• Portfolio Margining of Eris SOFR-based Swap Futures - Effective October 20, 2021

      • To
      • Clearing Firms; Back Office Managers; CME Optimizer Users; CME CORE Users
      • From
      • CME Clearing
      • #
      • 21-381
      • Notice Date
      • 20 October 2021
      • Effective Date
      • 20 October 2021

    • CME is expanding its portfolio margining offering for IRS products to include Eris SOFR-based Swap Futures in addition to existing eligible products: Eurodollar Futures, Fed Funds Futures, Treasury Futures, Deliverable Swap (MAC) Futures, SOFR Futures and several Options on Eurodollar Futures. This enhancement is available to test in the New Release environment on October 20, 2021. As referenced in advisory 21-346, Optimizer software users must upgrade to version 17 of Optimizer on the production deadline of November 15, 2021. Optimizer version 17 also incorporates support for BSBY and SORA-based swaps which will go live on November 15, 2021, see advisory 21-362.

      For the full text of this advisory, please click here.

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