• OTC IRS Margin Model Parameter Change for USD

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 19-291
      • Notice Date
      • 05 September 2019
      • Effective Date
      • 09 September 2019

    • Given recent increases in volatility observed in interest rate markets, CME Clearing has undertaken a review of volatility floors used in margin computations for USD rates risk factors for IRS contracts. Therefore, volatility floors will be increased effective Monday September 9th, 2019.

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

       

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