• CME Inclusion of Options on SOFR Futures and Options on Treasury Futures in Portfolio Margin Program with Interest Rate Swaps (IRS) Products and Parameter Enhancements to CME Clearing’s OTC IRS Margin Model - Effective December 12, 2022

      • To
      • Clearing Member Firms; Chief Financial Officers; CME Optimizer Users; CME CORE Users; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 22-460
      • Notice Date
      • 05 December 2022
      • Effective Date
      • 12 December 2022

    • CME Clearing is making parameter enhancements to its OTC IRS margin model and is expanding its portfolio margining offering for IRS Products to include several Options on SOFR Futures and Options on Treasury Futures. The changes will take effect in Production on Monday, December 12, 2022.

      Click here for the full text of the advisory

      22-460

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