• OTC Production Advisory – USD, CLP, COP Curve Input Changes - Effective December 18, 2020

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 20-488
      • Notice Date
      • 18 December 2020
      • Effective Date
      • 18 December 2020

    • As mentioned in advisory # 20-466, 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

      These curves are used for end of day valuations. This change has been live in New Release since December 9, 2020 and will be in Production on Monday, December 21, 2020.

      Click here for the full text of the advisory

      20-488

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