OTC IRS New Release Advisory – Coupon Blending Enhancement

Please be advised that CME will enhance the current compression eligibility for interest rate swaps, supporting coupon blending of fixed-float swaps having varying fixed rates and trade spreads. This enhancement will be available for testing in the New Release environment on Wednesday, November 17, 2021 and in the Production environment on Monday, December 6, 2021. This enhancement will allow risk-free rate replacement swaps that carry the ISDA spread adjustment, created from the GBP/CHF/JPY LIBOR conversion, to be eligible for coupon blending with existing risk-free rate swaps that do not carry a trade spread.

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