• Performance Bond Requirements: OTC IRS BRL and MXN Liquidity Parameter Changes - Effective June 26, 2023

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers; CME CORE Users
      • From
      • CME Clearing
      • #
      • 23-172
      • Notice Date
      • 15 June 2023
      • Effective Date
      • 26 June 2023

    • CME Clearing will be updating the liquidity and concentration model parameters for Interest Rate Swap (“IRS”) contracts denominated in BRL and MXN. CME Clearing will be updating the liquidity and concentration model parameters for Interest Rate Swap (“IRS”) contracts denominated in BRL and MXN. CME Clearing surveys market participants on a bi-annual basis to provide estimated bid-ask costs in stressed market conditions for IRS packages for different tenors, strategies and DV01. These survey results are used to calibrate liquidity and concentration add-on levels used in margin computations where appropriate. The most recent liquidity survey shows noticeable changes, which will be reflected in the calibrated liquidity and concentration model parameters for BRL and MXN denominated swaps.

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

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