CME Clearing will be updating the liquidity and concentration model parameters for Interest Rate Swap (“IRS”) contracts denominated in CLP 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 component 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 component parameters for CLP and MXN denominated swaps.

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