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 .