Please be advised that CME Clearing is updating CDS margin related parameters in the New Release Environment. The following parameter changes will be effective April 11, 2012:
· CDX HY Liquidity Margin Exponent will change from 1.20 to 1
· CDX IG Liquidity Margin Exponent will change from 1.25 to 1
· CDX HY Curve will change from 0.4% to 1%
· CDX IG Curve will change from 0.2% to 0.5%
For the Full Text of This Advisory....