• OIS Discounting for JPY Interest Rate Swaps

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 13-192
      • Notice Date
      • 22 April 2013
      • Effective Date
      • 29 April 2013
    • Please be advised that CME Clearing is making changes to Interest Rate Swap (IRS) margins in the Production environment for Japanese Yen (JPY).  Starting April 29, 2013, JPY-denominated IRS will use OIS Discounting in margin computations. The base curve and scaled log return files will be updated on April 29 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.  



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