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Optimizer Version 16.0 Release Notes

Version: 16.0.0.0

Release Date: March 4, 2021

Mandatory Build: Y

Mandatory Cutover Date: April 26, 2021

Enhancements

  • Incorporates new portfolio margin eligible products SR1 (SOFR 1-month futures) and SR3 (SOFR 3-month futures). 
    • SR1 and SR3 products eligible to transfer to OTC accounts to achieve risk offsets.
    • This build of Optimizer will generate SR1 and SR3 futures transfers and consider SR1 and SR3 during Optimization.
    • Users who do not include SR1 and SR3 in the positions.csv file today should add these contracts to achieve optimal results.
    • See all eligible products here.
  • Updates to liquidity add-on computations for SOFR exposure.

Fixes

  • None

Configuration Changes

  • Updates the default configuration for options eligibility.
    • This build assumes Eurodollar options are eligible to optimize by default.
    • Firms who wish to exclude all options may utilize the standard Exclusions → Product configuration in the configuration.json file described here or simply carry forward their version 15 config file.
  • Reverts change to default location for program files span.ini and orgmast.xml from the 'Inputs' directory to the 'Plugins/Optimizer directory. This is consistent with all builds of Optimizer prior to Version 15.
  • See Configuration Changes in version 15.1 below (if not already installed). 

Optimizer Version 15.2 Release Notes

Version: 15.2.0.0

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Notes: Firms must take v15 (described below), v15.2 is optional but recommended

Enhancements

  • Minor updates to logging which improves the logged warnings for products which cannot be validated.
  • Updates the header fields in the MarginSummaryYYYYMMDD.csv file to read "Span for all Futures and Options" instead of "Span for all Futures."
  • See Enhancements in version 15.1 below (if not already installed).

Fixes

  • Fixes an issue related to complete account close-out/netting:

    • Overview: If a portfolio is NettingEligible = Y (netting is enabled) and all positions net to zero, then Optimizer is generating an error instead of generating the appropriate netting transfers.

    • Example:

      • Account A is 100 long Dec 10-year treasury, which is optimized in OTC account

        • No other positions in this account

      • Account A closes out; i.e. 100 short position is booked in the futures side account
      • EOD position is 0,0 for Account A
      • Optimizer generates an error for this account, processes other accounts
    • Out of scope:
      • Standard netting logic for accounts not undergoing a completed close-out of positions.
  • This build fixes the above by allowing netting transfers to occur for accounts undergoing a complete close-out and does not generate an error for this use case.
  • Interim workaround: Firms experiencing this issue can monitor their log files for the condition "SUCCESSwithERRORS” and work with their back office staff to treat the close-out are they would today if the Optimizer failed to run on the day of a close-out. This may be a manual T+1 action to close out the position in FEC.
  • See Fixes in version 15.1 below (if not already installed).

Configuration Changes

  • None
  • See Configuration Changes in version 15.1 below (if not already installed) 

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Notes: Firms must take v15 (described below), v15.1 is optional

Enhancements

  • Configuration support for Net Option Value (NOV) capping/SPAN flooring (see configuration notes below).

Fixes

Optimizer v15.1 addresses two issues with transfer records generated for options. Both changes impact attributes which are not required by CME clearing to clear options transfer records and therefore have no impact on front end clearing of options trades. Firms must evaluate if either issue presents any impact to their back office processing. If so, it is recommended firms use Optimizer v15.1 (in place of Optimizer 15) on the December 7, 2020 production date.

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Code Block
<FIXML v="5.0 SP2" xv="109" cv="CME.0001" s="20090815">
	<TrdCaptRpt RptID="900003" TrdID="900003" TransTyp="0" RptTyp="0" TrdTyp="3" TrdHandlInst="8" OrigTrdDt="2020-06-03" LastQty="10" LastPx="0" TrdDt="2020-11-11" MLegRptTyp="1" TxnTm="2020-11-11T10:52:38.0654511" MsgEvtSrc="API">
		<Hdr SID="1Z9" TID="CME" SSub="CME" TSub="CME" Snt="2020-11-11T10:52:38.0654511"/>
		<Instrmt ID="E3" SecTyp="OOF" MMY="202012" StrkPx="97.5" PutCall="0" Exch="CME"/>
		<Undly Src="H" SecTyp="FUT" MMY="202312"/>
		<RptSide Side="2" ClOrdID="PM001" InptDev="API" CustCpcty="4" SesID="RTH" SesSub="X" OrdTyp="M">
			<Pty ID="CME" R="22"/>
			<Pty ID="CME" R="21"/>
			<Pty ID="1Z9" R="1"/>
			<Pty ID="OPTMZ5" R="24">
				<Sub ID="1" Typ="26"/>
			</Pty>
			<Pty ID="973" R="17"/>
			<Pty ID="CME123" R="48">
				<Sub ID="1" Typ="26"/>
				<Sub ID="4" Typ="4000"/>
			</Pty>
		</RptSide>
	</TrdCaptRpt>
</FIXML>


Configuration Changes

Please note technical details about this configuration can be found in the Optimizer User Guide.

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Release Date: October 28, 2020 (see adoption timeline below)

Enhancements

This version of Optimizer support listed options in portfolio margining.

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HTML
<?xml version="1.0" encoding="UTF-8"?>
<FIXML v="5.0" s="20111206">
	<TrdCaptRpt RptID="900000" TrdID="900000" TransTyp="0" RptTyp="0" TrdTyp="3" TrdHandlInst="8" OrigTrdDt="2020-05-21" LastQty="1000" LastPx="0" TrdDt="2020-06-16" MLegRptTyp="1" TxnTm="2020-06-16T09:38:29.4090611" MsgEvtSrc="API">
		<Hdr SID="010" TID="CME" SSub="CME" TSub="CME" Snt="2020-06-16T09:38:29.4090611"/>
		<Instrmt ID="ED" CFI="FXXXXX" SecTyp="OOF" MMY="202009" StrkPx="99.5" Exch="CME" PutCall="1"/>
		<Undly SecTyp="FUT" Src="H"></Undly>
		<RptSide Side="1" ClOrdID="PM001" InptDev="API" CustCpcty="4" SesID="RTH" SesSub="X" OrdTyp="M">
			<Pty ID="CME" R="22"/>
			<Pty ID="CME" R="21"/>
			<Pty ID="010" R="1"/>
			<Pty ID="SEGACCOUNT" R="24">
				<Sub ID="1" Typ="26"/>
			</Pty>
			<Pty ID="0S0" R="17"/>
			<Pty ID="PMACCOUNT" R="48">
				<Sub ID="1" Typ="26"/>
				<Sub ID="4" Typ="4000"/>
			</Pty>
		</RptSide>
	</TrdCaptRpt>
</FIXML>


Fixes

  • No fixes in this release.

Configuration Changes

Optimizer version 15 re-imagines the Optimizer’s existing exclusion configurations. Please note technical details about the new configurations can be found in the Optimizer User Guide.

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Release Date: 28th May 2020 (see adoption timeline below)

Enhancements

  • Supports €STR discounting curve - more information about the discounting transition at CME is here
  • Netting behavior updated to net the positions with the net quantity closest to zero
  • Added support for an optional pass-through 'memo' field in the positions.csv file
    • Header and field values are firm-defined and entirely optional
  • Updates to field TrdHandlInst in output transfer record from TrdHandlInst="2" to TrdHandlInst="8"
    • This change is related to an FECPlus change described here

Fixes

  • Fixes a bug which prevented ERIS positions from being margined properly

Configuration Changes

  • No configuration changes in this release.

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Release Date: 13th December 2019

Fixes

  1. SNT date not applied to transfers generated from treasury rolls.
  2. Single net transfers not generated in FIXML and CSV transfers when MoveDecision and/or NettingMoveDecision was set to SNT.
  3. Transfers showing negative transfer amount.


Enhancements

  • New transfer origin 'Exclusion' for CSV transfers. Applicable to transfers generated from product and/or treasury roll exclusions.
  • New configuration property added to configuration.json called "ExclusionMoveDecision" which can be used to control exclusion transfer behavior (see matrix and sample below).


Configuration Changes

Change TypeSectionProperty NameData TypeValuesDefault ValueNotes
New PropertyDefaultsExclusionMoveDecisionString

LIFO

FIFO

SNT

LIFO

The transfer allocation method for transfers that are created when a given portfolio is enabled for product and/or treasury roll exclusions.


LIFO: Last in First Out

FIFO: First in First Out

SNT (single net transfer): Optimizer creates one transfer per contract with today’s trade date and trade price. This should be used for portfolios expressed as net position only (not trade-level).

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