Please be advised that a new margin model for CDX Index Credit Default Swap contracts will become effective in New Release on Monday, September 15th, 2014.
The change will not be supported by PC-Credit. Additionally, the New Release CDS risk parameter file (cds.nr.risk.yyyymmdd.s.xml) will be decommissioned effective Monday, September 15th, 2014. Support of the new model in CME CORE will be announced at a later date.
The new CDS margin model will be implemented in Production at a later date, pending regulatory approval.
For questions about the new model or how to calculate margins with the new model, contact email@example.com.
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