• CDS Margin Parameter Change

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 12-217
      • Notice Date
      • 22 May 2012
      • Effective Date
      • 23 May 2012

    • Please be advised that CME Clearing is updating CDS margin related parameters in the New Release Environment. Effective May 23, 2012, the Duration Series Tenor (DST) parameter used to calculate the liquidity margin will be set to 5 for Industrials and Technology Single Names in the New Release Environment. Only portfolios that contain Industrials or Technology Single Names will be impacted.

       

      Contact the CME Client Services Group at onboarding@cmegroup.com if you have any questions.

       

      12-217

       

      For the full text of the advisory, click here.

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