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

      • To
      • Clearing Member Firms, Chief Financial Officers, Back Office Managers, Margin Managers
      • From
      • CME Clearing
      • #
      • 13-135
      • Notice Date
      • 19 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.  Please note there continues to be no upper bound on the liquidity charge.
      For further details on calculation methodology, please contact the CME Risk Hotline: 312-648-3888
      CME Clearing


      For the full text of this advisory, including the Liquidity Add-On Table, please click here.