Modifications to Discounting and Price Alignment for Emerging Markets Interest Rate Swaps (“IRS”) and Over the Counter Foreign Exchange (“OTC FX”) Products to Transition to the Secured Overnight Financing Rate (“SOFR”) and Euro Short Term Rate (“€STR”)

Modifications to Discounting and Price Alignment for Emerging Markets Interest Rate Swaps (“IRS”) and Over the Counter Foreign Exchange (“OTC FX”) Products to Transition to the Secured Overnight Financing Rate (“SOFR”) and Euro Short Term Rate (“€STR”) - Effective March 26, 2021
- - To
  - Clearing Member Firms; Back Office Managers
- - From
  - CME Clearing
- - #
  - 21-087
- - Notice Date
  - 12 March 2021
- - Effective Date
  - 26 March 2021
- CME cleared IRS products and OTC FX products that currently utilize either EONIA or SOFR for PA/Discounting will transition to €STR or SOFR PA/Discounting as applicable, the Transition, to take effect on the Transition Date, the close of business on March 26, 2021.
  
  For the full text of this advisory, please click here.

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Modifications to Discounting and Price Alignment for Emerging Markets Interest Rate Swaps (“IRS”) and Over the Counter Foreign Exchange (“OTC FX”) Products to Transition to the Secured Overnight Financing Rate (“SOFR”) and Euro Short Term Rate (“€STR”) - Effective March 26, 2021