OTC IRS New Release Advisory – USD, CLP, COP Curve Input Changes

As part of our continuing efforts to ensure a prudent risk management process for all products, CME Clearing will be incorporating the following changes to USD LIBOR 3M, CLP TNA 1D and COP IBR 1D forecasting curves:

• USD LIBOR 3M – Adding 6 additional Eurodollar futures and removing 2Y and 3Y IRS

• CLP TNA 1D – Adding 6Y, 8Y, 9Y NDIRS

• COP IBR 1D – Adding 1M, 6Y, 8Y, 9Y NDOIS

For the full text of this advisory, please click here.