• CDS Margin Parameter Change in New Release

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 13-441
      • Notice Date
      • 24 September 2013
      • Effective Date
      • 25 September 2013
    • Please be advised that CME Clearing is updating CDS margin related parameters in the New Release Environment. Effective September 25, 2013, RTH, 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 contact the CME Clearing Risk Hotline at clearing.riskmanagement@cmegroup.com  or 312.648.3888 if you have further questions. 

       

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