• UPDATE: OTC IRS New Release Advisory – Support for Flexible Fixing Date Offset (Lookback)

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 21-421
      • Notice Date
      • 15 November 2021
      • Effective Date
      • 15 November 2021

    • Update to CH Advisory 21-338

      Please be advised that CME will support for flexible fixing date offset for overnight index swaps (OIS) in the New Release environment on Wednesday, November 17, 2021 and in the Production environment on Monday, December 6, 2021. This interest rate swap convention is also known as a “Lookback”, where the rate for each business day in a calculation period is determined on the basis of the rate observed for a certain number of business days prior to such date. This enhancement allows the OIS floating coupon to be known ahead of the calculation period end date.

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

       

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