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

      • To
      • Clearing Member Firms; Back Office Managers; CME CORE Users
      • From
      • CME Clearing
      • #
      • 22-130
      • Notice Date
      • 04 April 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. The changes will take effect in Production on Monday, April 11, 2022.

      Click here for the full text of the advisory

      22-130

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2026 CME Group Inc. All rights reserved.