• Modification of Cleared EONIA Overnight Index Swaps to Reference the €STR Index - Effective October 15, 2021

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 21-355
      • Notice Date
      • 04 October 2021
      • Effective Date
      • 15 October 2021

    • The EONIA index is scheduled to be discontinued on January 3, 2022. In order to further assist market participants in the transition from EONIA to €STR, subject to regulatory review, CME shall effect a single step conversion of CME cleared trades in EONIA OIS from the EONIA Floating rate option to the €STR Floating rate option, with a cash adjustment mechanism to compensate for any resulting change in valuation, to take effect at close of business on Friday, October 15, 2021.

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

       

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