OTC IRS BRL and MXN Liquidity Parameter Changes - Effective April 29, 2020 - CME Group

OTC IRS BRL and MXN Liquidity Parameter Changes - Effective April 29, 2020
- - To
  - Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
- - From
  - CME Clearing
- - #
  - 20-181
- - Notice Date
  - 28 April 2020
- - Effective Date
  - 29 April 2020
- CME will be updating liquidity parameters for Interest Rate Swap contracts denominated in BRL and MXN. These changes only impact portfolios with larger BRL or MXN exposures. For MXN, the impact to liquidity add-on is approx. 5-10% for portfolios with aggregated DV01 above 100M+ DV01 in local currency. For BRL, the impact to liquidity add-on is 30%+ for portfolios with aggregated DV01 above 10M+ in local currency. Based on current exposures, CME Clearing expects that there will be no impact to existing portfolios at this time. These changes will be available for testing in our New Release environment April 29, 2020, with a production date of May 4, 2020.
  
  Click here for the full text of the advisory
  
  20-181