• CME OTC IRS Liquidity Add-On Implementation

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 12-015
      • Notice Date
      • 11 January 2012
      • Effective Date
      • 23 January 2012
    • Below please find a table describing the EUR Swap parameters for the Liquidity Add-On charge previously approved by the Interest Rate Swaps Risk Committee as part of our margining regime. These parameters are subject to periodic recalibration.
       
      For multi-currency portfolios, Liquidity Add-Ons will now be applied based on the naked margin requirement for EUR and USD Swaps within a Clearing Member’s House Account and each individual Customer Account in our New Release environment beginning on January 11, 2011.
       
      For further details on calculation methodology please contact the CME Client Service Team at Onboarding@cmegroup.com or reference the previously posted CME OTC IRS Liquidity Add-On Implementation Advisory sent on Friday, October 28th, 2011.
       
      Subject to a successful test period, we target going live with the EUR Liquidity Add-On on Monday, January 23, 2011.
       
       

       
      EUR Liquidity Margin Add-On Table
       
      Margin Lower Bound( ≥) – Mln €
      Margin Upper Bound (≤)- Mln €
      Multiplier
      0
      230
      0
      230
      400
      0.4
      400
      800
      0.8
      800
      1500
      1.0
      1500
      2300
      1.15
      2300
      ∞
      1.25

       

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