• Change to Interest Rate Swap Price Curve

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 13-309
      • Notice Date
      • 03 July 2013
      • Effective Date
      • 15 July 2013
    • Please be advised that beginning July 15, 2013, CME Clearing will utilize a revised price curve for CME discounting for cleared USD Interest Rate Swap Products.
      The price curve currently used for CME USD discounting utilizes Fed Fund/LIBOR basis swaps for all inputs. 
      The revision will combine two existing curves into one, using the OIS swap curve for tenor inputs zero to two years and applying the Fed Fund/LIBOR basis swaps for all inputs after two years. The change is designed to incorporate the most liquid instruments currently available for curve construction.
      The revision will also leverage the existing discount curve filename IRSDFR_OIS_YYYYMMDD and decommission the USD_FEDFUNDS_LIBOR_1D curve.
      The impact of the proposed change to the pricing of current discount curve is minimal.
      If you have any questions please contact the CME Client Services Group at onboarding@cmegroup.comor (312)-338-7112

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