• CDS Product Advisory- iTraxx Holiday Calendar Change

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 15-110
      • Notice Date
      • 20 April 2015
      • Effective Date
      • 01 May 2015
    • Please be advised CME Clearing will change three iTraxx holiday calendars for New Release and Production on the below Effective dates:

      Clearing Attribute




      Clearing New Trades


      UK Bank

      May 1

      Price Submission

      SIFMA UK

      UK Bank

      July 3

      Variation Margin Calculation



      May 1

      *Effective date is the first day a difference will be observed from the current iTraxx holiday calendar

      For any iTraxx trades submitted on a UK bank holiday, the trades will have a cleared date of the following UK bank business day. Price submissions will not be required on UK Bank holidays. Price submissions will be required on UK Bank business days for clearing firms that hold open interest in iTraxx.

      Variation Margin Calculation will follow the Clearing calendar. The Clearing calendar is defined as all weekdays except Good Friday, Easter, Christmas and New Year’s.

      If you have any questions about the above changes, please contact the CME Client Services Team at Onboarding@cmegroup.com or by telephone at 312-338-7112.


      CME Clearing

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