• CME OTC IRS Margin Model Parameter Change - Effective August 10, 2020

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 20-301
      • Notice Date
      • 03 August 2020
      • Effective Date
      • 10 August 2020

    • CME Clearing has undertaken a review of the targeted volatility used in risk factor simulations for its interest rate swaps’ (“IRS”) margin computation, as well as the liquidity parameters for IRS as highlighted below. These changes will be available for testing in New Release environment as of August 4, 2020, with a production date of August 10, 2020.

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

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