• OIS Discounting for GBP

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 13-172
      • Notice Date
      • 09 April 2013
      • Effective Date
      • 15 April 2013
    • Please be advised that CME Clearing is making changes to IRS margins in the Production environment for GBP.  Starting April 15, 2013, GBP-denominated Interest Rate Swaps will use OIS Discounting in margin computations. The base curve and scaled log return files will be updated on April 15 to reflect the additional curves.
       
      If you have questions, please contact the CME Risk Management Department at clearing.riskmanagement@cmegroup.com or 312-648-3888.  

      13-172

       

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