User Help System
Portfolio Types in Rates Calculator Screen
Multiple portfolio types may be loaded and margined from the Rates Calculator screen. Portfolio types include:
- Interest Rate Swaps (IRS)
- Futures and Options (SEG, SEQ, SEG-SEQ)
- Delta Ladders (DL)
Futures and Options portfolios can either be: futures segregated accounts (SEG), OTC sequestered accounts (SEQ), or a combination of the two.
These portfolio types can be combined into different margin types. The table below shows all possible combinations, and which results are available for that margin type. If a Result is indicated "False" in the table below, a result will not be returned for the margin / optimization when it is run in CME CORE.
Selecting Optimize triggers margin optimization.
- Optimal margin results based on Margin Optimization: Calculates the ideal allocation of user defined futures (trades provided in the upload) to move into an OTC sequestered account to minimize portfolio risk.
Note: When adding Futures, denote the Margin Type as FUT to signify the future is in a Futures Segregated (SEG) account, or OTC to signify the future is in a Sequestered (SEQ) account.
|
Margin Type |
Margin Result |
Opt Result |
|
SEG |
Yes |
False |
|
SEQ |
False |
False |
|
SEQ/SEG |
False |
False |
|
DL |
Yes |
False |
|
DL/SEG |
Yes |
Yes |
|
DL/SEQ |
Yes |
Yes |
|
DL/SEQ/SEG |
Yes |
Yes |
|
IRS |
Yes |
False |
|
IRS/SEG |
Yes |
Yes |
|
IRS/SEQ |
Yes |
Yes |
|
IRS/SEQ/SEG |
Yes |
Yes |
|
IRS/DL |
Yes |
False |
|
IRS/DL/SEG |
Yes |
Yes |
|
IRS/DL/SEQ |
Yes |
Yes |
|
IRS/DL/SEQ/SEG |
Yes |
Yes |
