• CDS Margin Parameter Change in New Release

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 13-161
      • Notice Date
      • 01 April 2013
      • Effective Date
      • 02 April 2013
    • Please be advised that CME Clearing is updating CDS margin-related parameters in the New Release environment. Effective April 2, 2013, the Duration Series Tenor (DST) matrices used to calculate the liquidity margin for Indices will be updated with recalibrated values. Only portfolios that contain CDX Investment Grade and CDX High Yield Indices will be impacted by the DST change. Please note this parameter recalibration is taking place in the testing environment only.
       
      Please contact the CME Clearing Risk Hotline at clearing.riskmanagement@cmegroup.com  or 312.648.3888 if you have further questions. 

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