• CDS Margin Parameter Change

      • To
      • Clearing Member Firms; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 12-072
      • Notice Date
      • 17 February 2012
      • Effective Date
      • 21 February 2012
    • Please be advised that CME Clearing is updating CDS margin related parameters in the New Release Environment. Effective February 21, 2012, the Duration Series Tenor (DST) parameter used to calculate the liquidity margin will be set to 6 for the Investment Grade Index and 2 for the High Yield Index in the New Release Environment.      
       
      Regards,
       
      CME Clearing

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