UPDATE: OTC IRS Production Advisory – Support for Flexible Fixing Date Offset (Lookback)

Please be advised that CME will not support a flexible fixing date offset for overnight index swaps (OIS) in the Production environment on Monday, December 6, 2021. A subsequent advisory will be published with the new Production date. This enhancement has been available for testing in the New Release environment since Wednesday, November 17, 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.

Click here for the full text of the advisory

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