• OTC IRS Production Advisory – Coupon Blending Enhancement

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 21-438
      • Notice Date
      • 29 November 2021
      • Effective Date
      • 29 November 2021

    • 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 in the Production environment on Monday, December 6, 2021 and has been available for testing in the New Release environment since Wednesday, November 17, 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.

      Click here for the full text of the advisory

      21-438

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