• CDS Margin Model Change in New Release

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 14-359
      • Notice Date
      • 15 September 2014
      • Effective Date
      • 15 September 2014

    • Please be advised that a new margin model for CDX Index Credit Default Swap contracts will become effective in New Release on Monday, September 15th, 2014.

      The change will not be supported by PC-Credit.  Additionally, the New Release CDS risk parameter file (cds.nr.risk.yyyymmdd.s.xml) will be decommissioned effective Monday, September 15th, 2014.  Support of the new model in CME CORE will be announced at a later date.

      The new CDS margin model will be implemented in Production at a later date, pending regulatory approval. 

      For questions about the new model or how to calculate margins with the new model, contact cme.core@cmegroup.com.

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