• OTC IRS Production Advisory – USD Curve Input Changes - Effective March 07, 2022

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 22-079
      • Notice Date
      • 07 March 2022
      • Effective Date
      • 07 March 2022

    • As part of our continuing efforts to ensure a prudent risk management process for all products, CME Clearing will be incorporating the following changes to USD SOFR 1D, USD LIBOR 3M, and USD FEDFUNDS 1D curves. The USD SOFR 1D curve will now be the base curve for USD.

      The USD LIBOR 3M curve will be constructed using a combination of cash, FRA, Futures and SOFR/LIBOR 3M basis swaps. The USD FEDFUNDS 1D curve will be constructed using a combination of OIS and FEDFUNDS/SOFR basis swaps.

      These curves are used for end of day valuations. This change is scheduled for Production on Monday, March 14, 2022 and has been live in New Release since Wednesday, February 23, 2022.

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

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