• IRS Margin Volatility Floor Change in New Release

      • To
      • Clearing Member Firms
      • From
      • CME Clearing
      • #
      • 12-502
      • Notice Date
      • 20 November 2012
      • Effective Date
      • 20 November 2012

    • Please be advised that CME Clearing is updating the IRS Volatility Floor for USD, EUR, and GBP.  The new floor is tenor specific and portfolios with shorter maturities will generally see margin reductions.  The changes will be effective in the New Release Environment November 20th, 2012 and in Production on Monday, November 26th, 2012. 

       

      Please contact CME Client Services at onboarding@cmegroup.com if you have questions.      

       

       

       

      Regards,

       

      CME Clearing

       

       

      12-502

       

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