OTC IRS Production Advisory – EUR €STR Curve Change

As part of our continuing efforts to ensure a prudent risk management process for all products, CME Clearing will be updating the existing EUR €STR curve inputs following the conversion of EONIA swaps to €STR. This curve is used for end-of-day valuation of EUR €STR overnight index swaps (OIS) and as the discounting curve for EUR-denominated IRS, OIS, basis swaps, zero coupon swaps and forward rate agreements (FRAs), as well as EUR/AUD and EUR/CHF cash-settled forwards (CSFs). This change will be reflected in the New Release environment on Wednesday, October 13, 2021 and in Production on Monday, October 18, 2021.

Click here for the full text of the advisory

21-367