• CME OTC IRS Margin Model Parameter Changes - Effective November 22, 2023

      • To
      • Clearing Member Firms; Back Office Managers; Margin Managers; CME CORE Users
      • From
      • CME Clearing
      • #
      • 23-345
      • Notice Date
      • 16 November 2023
      • Effective Date
      • 22 November 2023

    • CME Clearing has reviewed the volatility floor parameters used in USD risk factor simulations in its margin computation for interest rate swaps (“IRS”) contracts, as well as interest rate futures and options that are eligible for portfolio margining. Following this review, CME Clearing has determined it will introduce volatility floor parameter changes to align with current interest rate volatility across the term structure.

      Click here for the full text of the advisory

      23-345

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