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

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 29^th, 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 29^th, 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:

http://www.cmegroup.com/clearing/files/PBRequirementsDatafiles.pdf

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.

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