• Newly Updated: CDS Liquidity Margin Methodology Change in New Release

      • To
      • Clearing Member Firms
      • From
      • CME Clearing
      • #
      • 12-495
      • Notice Date
      • 26 November 2012
      • Effective Date
      • 28 November 2012

      Please be advised that on November 28, 2012, and in the New Release testing environment only, CME Clearing will implement a new method for evaluating liquidity risk in the margin methodology for CDX Index Credit Default Swap contracts. (There are no changes to the methodology used in production at this time.) required to calculate CDS margins using CDS New Release risk parameter files beginning on November 28. The new version of the software should not be used for production margining at this time. clearing.riskmanagement@cmegroup.com or 312-648-3888 for more information.



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