Please be advised that CME Clearing is updating CDS margin related parameters for Single Names in the New Release Environment. Effective October 15, 2012, the Duration Series Tenor (DST) parameter used to calculate the liquidity margin will be as following:
· Basic Materials = 5
· Oil & Gas = 5
· Telecommunications = 5
· Financials = 5
Only portfolios that contain Basic Materials, Oil & Gas, Telecommunications and Financials Single Names will be impacted by the DST change.
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