• New Netting Algorithm Options for Credit Default Swaps (CDS)

      • To
      • CME Account Manager Users
      • #
      • 20160105
      • Notice Date
      • 05 January 2016
      • Effective Date
      • 24 January 2016

    •  

      Effective Sunday, January 24 (trade date Monday, January 25), CME Account Manager will offer three new Netting Algorithm options for accounts permissioned for Credit Default Swaps market types.This enhancement provides greater flexibility when creating portfolios.

      Netting Algorithm

      Description

      Classic Net
      • Leaves firms with either a net long or net short position.

      net Plus
      • Leaves firms with either a net long or net short position.
      • Maintains a netted trade-level record and sends termination messages.

      Adjusted Gross
      • Leaves firms with an aggregate long and aggregate short position.
      • Positions can be selectively netted on the client side.

      Additional information on setting market permissions is available here.

      Additional information on Credit Default Swaps is available here.

      The CDS Netting Algorithm options will be available for testing in New Release on Wednesday, January 13.

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