• Reminder: Implied Functionality for 3-Month OIS vs. Eurodollar Inter-commodity Spreads & Enabling All or None for OIS Futures-Effective Sunday, May 3, 2009

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers
      • From
      • CME Clearing
      • #
      • 09-144
      • Notice Date
      • 08 April 2009
      • Effective Date
      • 03 May 2009
    • Effective Sunday, May 3 (trade date Monday, May 4), implied functionality will be enabled for the 3-month Overnight Index Swaps (Globex symbol = OSS, Floor symbol = OSP) vs. Eurodollar futures Inter-commodity spread.
      To support this launch, the Symbol (FIX tag 55) for the 3-month OIS futures and spreads will be changed to GE. Currently, these instruments use F2.


      The Symbol change for the 3-month OIS futures and spreads, and implied functionality for the 3-month OIS vs. Eurodollar futures Inter-commodity spread, will be available for customer testing in New Release Monday, April 20.

      Also effective Monday, May 4,CME Group will enable All or None on Overnight Index Swap Futures. The AON code for OIS Futures is OIA and the minimum qty is 2000