• CDS Margin Parameter Change-Effective Friday, March 2, 2012

      • To
      • Clearing Member Firms; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 12-086
      • Notice Date
      • 02 March 2012
      • Effective Date
      • 02 March 2012
    • Please be advised that CME Clearing is updating CDS margin related parameters in the Production Environment. Effective March 2, 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 Production Environment.      
       
       
      Regards,
       
      CME Clearing

      Printer Friendly Version...

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2025 CME Group Inc. All rights reserved.