• Change in the curve instruments for GBP and JPY Libor 1M basis curve - Effective 02/22/16

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 16-087
      • Notice Date
      • 19 February 2016
      • Effective Date
      • 22 February 2016

    • Please note CME clearing will be switching the curve instruments for GBP & JPY Libor 1M basis curve from current 1M vs. 6M to 1M vs. 3M ensuring the valuations of the products are in line with the market practices. 

      This change will be reflected in the IRS_"CUR"_CURVE_YYYYMMDD.csv for GBP and JPY from February 22, 2016. 

      Please click here for the full text of this advisory.

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