Modification of Cleared Over-the-Counter (“OTC”) Canadian Dollar (“CAD”) Denominated Interest Rate Swap Products Referencing the Canadian Dollar Offered Rate (“CDOR”) and Limitation of Acceptance for Clearing - Effective May 17, 2024

This Clearing Advisory sets out the terms of the CAD CDOR Transition and impacts Clearing Members and position holders of CME cleared IRS Contracts in Affected CAD CDOR Swaps from close of business on May 17, 2024.

The conversion processes that form the CAD CDOR Transition have been determined by CME based on extensive discussions with market participants and are designed to ensure alignment with wider industry initiatives for transition of cleared CAD CDOR IRS products. Subject to regulatory review, CME will transition CME cleared CAD CDOR Swaps by converting each affected CAD CDOR Swap on the relevant Conversion Date determined by CME and methodology specified in the table in this advisory notice.

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