Updated Forwards Processing Specification

Please note that an updated specification for clearing and bookkeeping processing for cleared forwards, is now available at:

http://www.cmegroup.com/clearing/files/Clearing-Forwards.pdf

The section on the calculation of Price Alignment Interest for forwards with cash mark-to-market, has been updated at the request of clearing firms.  It now reflects that PAI for forwards is calculated trade by trade.  The PAI amount for each position is then determined as the sum of the PAI amounts for the individual open trades.

The trade-level PAI amount has been added to the FIXML and CSV format trade register files, for each individual open trade. 

For further information please contact CME Clearing at 312-930-3170.

 Click here for the full text of the advisory

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