• OTC IRS New Release Advisory – Dress Rehearsal for Basis Swap Splitting - Effective August 17, 2021

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 21-285
      • Notice Date
      • 17 August 2021
      • Effective Date
      • 17 August 2021

    • Please be advised that CME will be conducting a dress rehearsal for the splitting of GBP and JPY LIBOR basis swaps in our New Release environment on Friday, August 27, 2021. This process will run as part of CME’s end of day cycle where GBP and JPY LIBOR basis swaps will be converted (split) into a pair of fixed-float swaps. This conversion will not require cash compensation as portfolio NPVs will remain unchanged.

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

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