• IRS SGD Production Advisory

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 13-444
      • Notice Date
      • 26 September 2013
      • Effective Date
      • 01 October 2013
    • Please note CME Clearing will deploy SGD denominated swaps to the Production environment Tuesday, October 1st. This deployment will include:
      ·         SGD margin data files and VWAP index support
      ·         To account for negative zero rates that Singapore dollar Swap Offer Rate (SOR) has experienced, CME will shift the data by 4% before computing the returns.
      CME has concurrently filed a change with the CFTC which will be effective in accordance with the CFTC Regulation 40.6 timeframes.
      Please contact the CME Client Services Team at onboarding@cmegroup.com or 312.338.7712 with any questions/concerns.
      CME Clearing

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