• CME CDS – Update to Recovery Rate for all CME-Cleared High Yield CDS Index Products

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      • Clearing Member Firms; Back Office Managers
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      • CME Clearing
      • #
      • 12-329
      • Notice Date
      • 02 August 2012
      • Effective Date
      • 20 August 2012

    • Please be advised that CME Clearing will be updating the recovery rate on all CME-Cleared High Yield CDS Index products in production to 30%. This change is already effective in New Release and will take effect in production at end of day August 20th, 2012.

       

      On August 20th, 2012, CME Clearing will reflect this change on the CDS end of day FIXML settlement price file, indicated within the tag below.

       

      Current vs. Future State

      FIXML Attribute

      Current Setting (with 40% recovery)

      <Full Typ="Y" Px="40.0" Mkt="CMD" PxTyp="1" OpenClsSettlFlag="1"/>

      Setting as of August 20th (with 30% recovery)

      <Full Typ="Y" Px="30.0" Mkt="CMD" PxTyp="1" OpenClsSettlFlag="1"/>

       

      Please note that this change will not have any impact on EOD margining.

       

      If you have questions, please contact the CME Client Services Team at onboarding@cmegroup.com

       

      Regards,

      CME Clearing

      12-239

      For the full text of the advisory, click here

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