• Enhancements to the CDS Margin Model to Support iTraxx Indices in New Release

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 14-380
      • Notice Date
      • 26 September 2014
      • Effective Date
      • 29 September 2014
    • Please be advised that the benchmark Markit iTraxx Europe index and the Markit iTraxx Crossover index contracts will become eligible for margining in New Release (testing environment) on Monday, September 29th, 2014.

      Additionally, a new report based on the Clearing Member positions in New Release (testing environment) titled CDSMR3_nnn_ccyymmdd.nr.csv (“CDSMR3”) will be available to clearing member firms starting on Monday, September 29th, 2014.  The CDS MR3 contains the initial margin requirement broken down by performance bond account.  More specifically, clearing member firms that hold positions in both USD and EUR denominated credit default swap contracts will see a currency-specific margin in addition to a single USD-equivalent margin requirement for their portfolio.  There will be no impacts to the CDS Margins Summary report at this time.  For specifications of these margin data files, including the CDS MR3, please refer to the below link:


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

      For questions about the CDS MR3 report, please contact the CME Client Services Team at onboarding@cmegroup.com.

      For the printer friendly version of this advisory, please click here.