New Product Advisory Notices
To | Clearing Member Firms
From | CME Clearing
Subject | CME Cleared Interest-Rate Swaps
Notice Date | 2008-08-26
Notice Number | NP 08-10
Effective Date | 2008-09-02
CME Cleared Interest-Rate Swaps are fixed versus floating cleared interest-rate swaps, both USD-denominated and EUR-denominated. Standard forward contracts are foward-starting swaps which start and end on IMM dates, and "roll" to the next-shortest maturity when their start date arrives. Overnight index (OIS) contracts are spot-starting and end on an upcoming IMM date. For further information concerning CME Clearing Interest-Rate Swaps, please see Clearing Advisory 08-197 at http://www.cme.com/clearing/clr/clradv/files/Chadv08-197.pdf or the CME Cleared Interest-Rate Swap main page at www.cmegroup.com/clearedswaps . For the full text of this advisory, please click here.