• Production: CME Inclusion of Options on Eurodollar Futures in Portfolio Margin Program with Interest Rate Swaps (IRS) Products - Effective December 07, 2020

      • To
      • Clearing Firms; Back Office Managers; CME Optimizer Users; CME CORE Users
      • From
      • CME Clearing
      • #
      • 20-455
      • Notice Date
      • 30 November 2020
      • Effective Date
      • 07 December 2020

    • As referenced in advisory #20-416, CME is expanding its portfolio margining offering for IRS Products to include several Options on Eurodollar Futures in addition to existing eligible Futures products: Eurodollar Futures, Fed Funds Futures, Treasury Futures and Deliverable Swap (MAC) Futures. This expansion is scheduled to be enabled in the Production environment on December 7th , 2020, subject to regulatory approval. Note that the inclusion of Listed Options has been available for testing in CME’s test environment since October 28th, 2020.

      Click here for the full text of the advisory

      20-455

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