Please be advised that CME Clearing is updating the IRS Volatility Floor for USD, EUR, and GBP. The new floor is tenor specific and portfolios with shorter maturities will generally see margin reductions. The changes will be effective in the New Release Environment November 20th, 2012 and in Production on Monday, November 26th, 2012.
Please contact CME Client Services at email@example.com if you have questions.
CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.