This advisory describes two upcoming changes for CME’s cleared credit default swaps contracts:
· To modify holiday processing for coupon accruals, so that there are no new accruals on days that are banking holidays for the currency in which the CDS contract is denominated
· To convert Price Alignment Interest (PAI) processing for CDS contracts, from a monthly to a daily process
The target date for implementing these changes is October 2011. The purpose is to better align processing with industry-standard practices.
In addition to describing these two processing changes, information is provided below to clarify the different aspects of holiday calendar processing for CME’s cleared USD-denominated Standard North American Corporate (SNAC) products.
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