• Additional Margin File- New Release- Updated

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 15-027
      • Notice Date
      • 30 January 2015
      • Effective Date
      • 28 January 2015

    • Correction: The new MR3 filename and new column header have been amended from the original advisory sent on January 26.

      CME Clearing will begin generating an additional margin file in our test (“New Release” or “NR”) environment on January 28, 2015.  The MR3 file will be generated starting the night of January 28, 2015. This file will be reflective of the changes required to support clearing Swaptions, including:

      1.      Reflecting the time decay effects on interest rate swap and swaption products.

      A new version of the CME Optimizer will also be available to facilitate the commingling of interest rate futures in portfolios containing swaps and swaptions.

      This new margin file available on firms FTP sites will be in addition to the MR3 generated from our existing margin methodology and will contain an additional column for “Skew”.

      New MR3 filename - IRSMR3_FFF_YYYYMMDD_NR_PARALLEL.csv

      New Column present – Skew

      Column Number

      Column Name

      1

      Date

      2

      Firm Id

      3

      A/C ID

      4

      Seg Type

      5

      Currency

      6

      Maintenance Requirement

      7

      Initial Requirement

      8

      Net Notional

      9

      Concentration Margin

      10

      Breakout Currency

      11

      Breakout Margin

      12

      FX Risk

      13

      FX Rate

      14

      Settle Initial Margin

      15

      Settle Maintenance Margin

      16

      Skew

       

      Please reach out to cme.core@cmegroup.com with margin-related questions.

      Please reach out to onboarding@cmegroup.com with questions about the Swaptions offering.

      For a printer-friendly version of this advisory, please click here.

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