• Enhancements to Processing Futures with a Daily Value Adjustment

      • To
      • Clearing Member Firms; Back Office Managers; Service Providers
      • From
      • CME Clearing
      • #
      • 12-091
      • Notice Date
      • 06 March 2012
      • Effective Date
      • 12 March 2012

    • At the request of Clearing Member Firms, effective Monday, March 12, 2012, CME Clearing will modify the manner in which the daily value adjustment (DVA) is determined for transfer trades and as-of offsets for give-outs.  The modification addresses the scenario where a different DVA for the long and the short position causes firm balancing discrepancies for offsetting transactions.

       

       

       

      Click here for the full advisory

       

       

       

      12-091

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