• IMPORTANT: CDS Margin Parameter Change – Effective May 31, 2012

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 12-277
      • Notice Date
      • 30 May 2012
      • Effective Date
      • 31 May 2012
    • Please be advised that CME Clearing is updating CDS margin related parameters in the New Release Environment. Effective May 31, 2012, the Duration Series Tenor (DST) parameter used to calculate the liquidity margin will be set to 7 for Consumer Goods Single Names and 5 for Consumer Services Single Names in the New Release Environment. Only portfolios that contain Consumer Goods or Consumer Services Single Names will be impacted by the DST change.  Additionally, the Curve parameter for all Single Names will change to 1.5. 


      Contact the CME Client Services Group at onboarding@cmegroup.com if you have any questions.




      for the full text of the advisory, click here