• OTC IRS Production Advisory - EUR, JPY IRS Valuation Curve Input Changes - Effective August 14, 2023

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 23-233
      • Notice Date
      • 09 August 2023
      • Effective Date
      • 14 August 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 have been effective in the New Release environment since Wednesday, July 26, 2023 and will be reflected in Production on Monday, August 14, 2023

      Click here for the full text of the advisory

      23-233

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