• OTC Holiday Advisory- Independence Day

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 15-175
      • Notice Date
      • 22 June 2015
      • Effective Date
      • 03 July 2015
    • On Friday, July 3rd 2015 (Independence Day observed), CME Clearing will be open to clear trades.

      Please note, that Friday, July 3rd is not a holiday in the US Banking calendar, meaning that CME Clearing will not treat it is a holiday for processing interest rate swap transactions. On July 3rd, however, CME Clearing will use the same curve from July 2nd for ITD and EOD processing. This means that for existing trades, there will be no price change and no new variation margin requirements.

      Friday, July 3rd, is a holiday in the SIFMA US calendar, meaning that we will invoke normal holiday processing for US dollar denominated credit default swap contracts. Please note, however, that CME Clearing will generate new initial margin requirements at end of day July 3rd.

      Please see tables at the link below to see impacts to CME Clearing’s processing schedule.

      For the full text of this advisory, please click here.