• IMPORTANT - CDS Price Alignment Interest and Holiday Accrual Changes

      • To
      • Clearing Member Firms
      • From
      • CME Clearing
      • #
      • 11-203
      • Notice Date
      • 16 June 2011
      • Effective Date
      • 24 October 2011
    • 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.


      For a full text of this advisory, please click here