• CDS Parameter Change-Effective Immediately

      • To
      • Clearing Member Firms; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 12-087
      • Notice Date
      • 02 March 2012
      • Effective Date
      • 02 March 2012
    • Please be advised that CME Clearing has revised the methodology used to calculate each CDS Clearing Member’s contribution to the CDS Guaranty Fund. Effective immediately, CME Clearing will calculate each CDS Clearing Member’s CDS Guaranty Fund contribution using a measure of Portfolio Residual Loss (“PRL”), rather than a proportional share performance bond requirement. The PRL calculation will contribute 95% to the Guaranty Fund and the proportional percentage of open interest of CDS contracts will continue to contribute 5%. The Guaranty Fund will continue to use ninety (90) day trailing averages for the calculation[i].   PRL is calculated by stress testing each Clearing Members Customer Sequestered and House portfolio and subtracting margins from the result. 
       
       
      CDS Clearing Members’ CDS Guaranty Fund contribution amount using the PRL will be reflected in the next Guaranty Fund Calculation. 
       
       
      Regards,
       
      CME Clearing
      [i] CME expects to use thirty (30) day trailing averages upon approval of the appropriate regulatory authorities.

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