• OTC FX Margin Model Enhancements - Effective October 30, 2017

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 17-406
      • Notice Date
      • 24 October 2017
      • Effective Date
      • 30 October 2017
    • In anticipation of launching clearing support for OTC FX Options, CME will be enhancing its existing Historical Value at Risk (HVaR) based performance bond model for OTC FX to cover the additional risk factors presented by the clearing of OTC FX Options and will margin existing OTC FX and OTC FX Options on a portfolio basis.

      The enhancements to the FX Margin Model will be implemented in the production environment effective October 30th and will initially apply to cleared OTC FX transactions during the end of day margin cycle.

      For the full text of this advisory, please click here