Please be advised that CME is making changes to the IRS margins in the New Release environment on Wednesday, August 10th, 2011. The list of changes includes:
The above changes are to parameters in the margin parameter file. For the avoidance of doubt, margin parameter files will be available for the New Release environment on Thursday, August 11th.
Firms using CME margin software will be required to download a newer version (build 541) that incorporates performance changes. The new version will be available to authorized users at CME’s software distribution website at www.cme-ch.com/pcspan.
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