• Enhancements to CME Clearing’s OTC IRS Margin Model and Model Parameter Change - Effective April 11, 2022

      • To
      • Clearing Firms; Back Office Managers; CME Optimizer Users; CME CORE Users
      • From
      • CME Clearing
      • #
      • 22-090
      • Notice Date
      • 11 March 2022
      • Effective Date
      • 11 April 2022

    • CME Clearing is making enhancements to its procedure for determining LIBOR fixings in its OTC IRS margin model and separately updating liquidity and concentration model parameters for certain instruments as highlighted below. The changes will be available for testing in the New Release environment as of Wednesday, March 16, 2022, and will take effect in production on Monday, April 11, 2022.

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

       

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