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

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 22-249
      • Notice Date
      • 29 June 2022
      • Effective Date
      • 29 June 2022

    • Please be advised CME now supports flexible fixing date offset for overnight index swaps (OIS) in the production environment from today, Wednesday June 29, 2022. This interest rate swap convention is also known as a “Lookback”, where the rate for each business day in a calculation period is determined based on 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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