• CDS Margin Parameter Change in PROD

      • To
      • Clearing Member Firms, Chief Financial Officers, Margin Managers, Back Office Managers
      • From
      • CME Clearing
      • #
      • 12-169
      • Notice Date
      • 23 April 2012
      • Effective Date
      • 23 April 2012
    • Please be advised that CME Clearing is updating CDS margin related parameters in the Production Environment. The following parameter changes will be effective April 24, 2012:
       
      ·         CDX HY Liquidity Margin Exponent will change from 1.20 to 1
      ·         CDX IG Liquidity Margin Exponent will change from 1.25 to 1
      ·         CDX HY Curve will change from  0.4% to 1%
      ·         CDX IG Curve will change from 0.2% to 0.5%
       
      Contact the CME Client Services Group at onboarding@cmegroup.com if you have questions.      
       
       
       
      Regards,
       
      CME Clearing

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