• OTC IRS New Release Advisory - EUR, JPY IRS Valuation Curve Input Changes - Effective July 26, 2023

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 23-212
      • Notice Date
      • 24 July 2023
      • Effective Date
      • 26 July 2023

    • As part of our continuing efforts to ensure a prudent risk management process for all products, CME Clearing will be making changes to EUR and JPY Interest Rate Swap (IRS) curves. These curves are used for end-of-day valuations. These changes will be reflected in the New Release environment on Wednesday, July 26, 2023 and in Production on Monday, August 14, 2023.

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

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