• OTC BRL IRS Event Risk Margin Change

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 18-330
      • Notice Date
      • 20 August 2018
      • Effective Date
      • 27 August 2018

    • In anticipation of possible market moves specific to the Brazil Election on October 7th, 2018, CME Clearing will be increasing the volatility floor used for computation of margins for BRL IRS. The volatility floor increase for BRL IRS will also be implemented during the end of day settlement cycles on Monday August 27th, 2018.

      Click here for the full text of the advisory

      18-330

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