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October 16, 2013

Swap Margins Increase by 12% | CME Group

CME group put an announcement on their website on October 15th stating that, effective October 16th, an Event Risk add-on of  3% will be applied to the base margins for all OTC IRS portfolios.

This will increase by 3% every day over the next four business days, resulting in an eventual 12% Event Risk add-on.

This is apparently a temporary margin increase, which will be rolled back if the uncertainty surrounding the US debt ceiling is resolved.

The original CME announcement is here.

-Ben L.


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