• Value-Date Conventions for Non-USD Variation Margin for Interest-Rate Swaps

      • To
      • Clearing Member Firms
      • From
      • CME Clearing
      • #
      • 12-421
      • Notice Date
      • 01 October 2012
      • Effective Date
      • 08 November 2012

    • Effective Thursday, November 8, 2012, pending regulatory review, CME Clearing will adjust the value-date convention for settling non-USD variation margin obligations for cleared interest-rate swaps.  With this adjustment, the value-date for these non-dollar variation moves will be determined solely by the banking calendar of the currency in which the variation is denominated, without any reference to the USD banking calendar.  This change will harmonize the value-date convention with OTC market conventions for rate swaps.  CME Clearing will settle non-USD currencies on US holidays; the first holiday this will occur for is Veterans Day which is observed Monday, November 12. 

       

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      12-421

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