Please be advised that CME Clearing is updating IRS Liquidity Add-Ons for AUD, CAD, CHF, GBP, EUR, JPY, and USD. For multi-currency portfolios, new Liquidity Add-Ons will apply based on the naked margin requirement for the aforementioned currencies within a Clearing Member’s House Account and each individual Customer Account in New Release and Production beginning Monday, March 11, 2013. Each charge is based on a multiplier covering a set range of notional values (see table on the next page).
The table outlines swap parameters per currency for the concentration charge (“liquidity add-on”). These parameters are subject to periodic review and recalibration depending on market conditions.
For further details on calculation methodology, please contact the CME Risk Hotline: 312-648-3888
For the full text of the advisory, click here