As per normal review, CME Clearing has undertaken a review of the parameters within the IRS margin methodology’s market risk component. The market risk component includes the use of a rolling lookback period in the filtered historical value-at-risk (“FHVaR”) and unscaled value-at-risk (“VaR”) components.

Given the use of a rolling lookback period, historical scenarios from the COVID-19 period (e.g., March 2020) will exit the rolling lookback period. Following CME Clearing’s review, CME Clearing has determined it will retain the period from 2/24/2020 to 3/31/2020 as historical scenarios in the FHVaR and unscaled VaR components going forward (i.e., even after such period would exit the rolling lookback period).

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