CME releases new build of Optimizer software
In conjunction with CME expanding the Portfolio Margin program to include SOFR Futures, CME is releasing a new build of the Optimizer software, version 16.
Optimizer users must upgrade to the newest build by the production deadline April 26, 2021. Firms that do not upgrade on the production deadline will experience subsequent Optimizer failures.
Let’s note that the latest Optimizer release 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.
There are also several configuration changes. The new build updates the default configuration for options eligibility. This build also assumes Eurodollar options are eligible to optimize by default.
Firms that 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.
Finally, the build 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.