• OTC IRS New Release Advisory – Dress Rehearsal for the Conversion of Euro Overnight Index Average (EONIA) Overnight Index Swaps (OIS) to Euro Short-Term Rate (€STR) OIS - Effective September 01, 2021

      • To
      • Clearing Member Firms; Back Office Managers; CME Core Users
      • From
      • CME Clearing
      • #
      • 21-301
      • Notice Date
      • 01 September 2021
      • Effective Date
      • 01 September 2021

    • Please be advised that CME will be conducting a dress rehearsal for the conversion of EONIA OIS to €STR OIS in the New Release (NR) environment on Friday, September 10, 2021. As part of this dress rehearsal, CME will convert all CME cleared EONIA Swaps in NR to the €STR Floating rate option, utilizing a mandatory conversion process under which all continuing cleared trades in EONIA Swaps will be converted by CME in a single step, one time, conversion to €STR OIS.

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

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