• CDS Margin Parameter Change in New Release- Effective Monday, October 15, 2012

      • To
      • Clearing Member Firms, Chief Financial Officers, Back Office Managers, Margin Managers
      • From
      • CME Clearing
      • #
      • 12-432
      • Notice Date
      • 10 October 2012
      • Effective Date
      • 15 October 2012
    • Please be advised that CME Clearing is updating CDS margin related parameters for Single Names in the New Release Environment. Effective October 15, 2012, the Duration Series Tenor (DST) parameter used to calculate the liquidity margin will be as following:
       
      ·         Basic Materials = 5
      ·         Oil & Gas = 5
      ·         Telecommunications = 5
      ·         Financials = 5
       
      Only portfolios that contain Basic Materials, Oil & Gas, Telecommunications and Financials Single Names will be impacted by the DST change.    
       
       
      Contact the CME Client Services Group at onboarding@cmegroup.com if you have any questions.
       
      Regards,
       
      CME Clearing

       

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