• OTC IRS Margin Model Parameter Change - Effective April 17, 2020

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 20-164
      • Notice Date
      • 16 April 2020
      • Effective Date
      • 17 April 2020

    • Given recent increases in volatility observed in interest rate markets, CME Clearing has undertaken a review of the targeted volatility used in risk factor simulations for margin computations. Using targeted volatilities will help slow down reductions in margin if the market volatility were to suddenly ebb and ensure there is enough buffer in margin levels should volatilities suddenly spike. Therefore, targeted volatility will be increased across all currencies effective Friday April 17th, 2020.

      Click here for the full text of the advisory

      20-164

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