• OTC MXN IRS Event Risk Margin Change - Effective June 5, 2018

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 18-229
      • Notice Date
      • 05 June 2018
      • Effective Date
      • 05 June 2018

    • In anticipation of possible market moves specific to the Mexican Election on July 1st, 2018, CME Clearing will be increasing the volatility floor used for computation of margins for MXN IRS. The volatility floor increase for MXN IRS will be gradually implemented in three phases during the end of day settlement cycles on Thursday June 7th, 14th, and 21st.

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

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