• CME OTC IRS Margin Model Parameter Change - Effective June 17, 2024

      • To
      • Clearing Member Firms; Back Office Managers; Margin Managers; CME CORE Users
      • From
      • CME Clearing
      • #
      • 24-156
      • Notice Date
      • 05 June 2024
      • Effective Date
      • 17 June 2024

    • CME Clearing has reviewed the volatility floor parameters used in CLP and COP risk factor simulations in its margin computation for interest rate swaps (“IRS”) contracts. 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.

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

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