• Performance Improvements to IRS Margining Software Available August 10, 2011

      • To
      • Clearing Member Firms, Chief Financial Officers, Back Office Managers, Margin Managers
      • From
      • CME Clearing
      • #
      • 11-276
      • Notice Date
      • 08 August 2011
      • Effective Date
      • 10 August 2011

    • Please be advised that CME is making changes to the IRS margins in the New Release environment on Wednesday, August 10th, 2011. The list of changes includes:

      • Confidence interval to sample for margin will be set at 99.7th percentile. We expect this change will enable us to continue to provide comprehensive 5-day coverage when we scale our offering to portfolios with multiple currencies and related interest rate products.
      • OIS Discounting in margin computations.

      The above changes are to parameters in the margin parameter file. For the avoidance of doubt, margin parameter files will be available for the New Release environment on Thursday, August 11th.

      Firms using CME margin software will be required to download a newer version (build 541) that incorporates performance changes. The new version will be available to authorized users at CME’s software distribution website at www.cme-ch.com/pcspan.

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

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2025 CME Group Inc. All rights reserved.