• OTC IRS Liquidity Add-On Update for AUD, CAD, CHR, EUR, GBP, JPY USD

      • To
      • Clearing Member Firms, Chief Financial Officers, Back Office Managers, Margin Managers
      • From
      • CME Clearing
      • #
      • 13-114
      • Notice Date
      • 08 March 2013
      • Effective Date
      • 11 March 2013
    • Please be advised that CME Clearing is updating IRS Liquidity Add-Ons for AUD, CAD, CHF, GBP, EUR, JPY, and USD.  For multi-currency portfolios, new Liquidity Add-Ons will apply based on the naked margin requirement for the aforementioned currencies within a Clearing Member’s House Account and each individual Customer Account in New Release and Production beginning Monday, March 11, 2013. Each charge is based on a multiplier covering a set range of notional values (see table on the next page).
      The table outlines swap parameters per currency for the concentration charge (“liquidity add-on”). These parameters are subject to periodic review and recalibration depending on market conditions.  
      For further details on calculation methodology, please contact the CME Risk Hotline: 312-648-3888


      For the full text of the advisory, click here