This topic includes release notes about enhancements and updates to CME Optimizer Software versions.
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1.2. Enhancements
1.2.1. PLN and MXN
CME will support MXN Overnight TIIE Funding Rate (F-TIIE) and PLN Warsaw Interest Rate Overnight (WIRON) swap clearing in the New Release environment on Wednesday, November 01, 2023 - please see the advisory here for more details. The Production support date is early 2024, please see CME's production advisories for more details. The New
Optimizer version 19 supports the curve data necessary for trading these new contracts. Users who do not trade these contracts are also required to support Optimizer version 19.
1.3. Fixes
1.3.1. Treasury Rules-based Offset Engine (CME/FICC Cross Margin Program) Logic
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Optimizer version 17 adds validation logic for invalid dates in the position.csv input file TradeDate field. Prior Optimizer versions defaulted transfer output to an un-tradable 1/1/0001 date when an improper TradeDate format was supplied. The TradeDate field is now expected to be in date format: yyyymmdd, mm/dd/yyyy, or m/d/yyyy. Optimizer version 17 produces an error at the portfolio level if the TradeDate field is not in these formats. The new expected error is:
Invalid trade date format detected: '<<invalid format>>'. Expected yyyyMMdd or MM/dd/yyyy or M/d/yyyy
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- Due to firm feedback on preferred default trade exclusions, Optimizer version 17 incorporates updates the default configurations in the EventExclusions section of the configuration.json file. Please note these configurations are suggestions only and firms can update exclusion configurations to meet their use cases. To better understand exclusion configurations please refer to the User Guide here.
- For treasury products:
- Changes the BeginEventType exclusion attribute to be first position/intent date (enum = 17).
- This was previously first notice date. Delivery for treasuries can begin as early as First Intent Day, one day before first notice day.
- Example updated config:
- For treasury products:
| Code Block |
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{ |
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"Enabled": true, |
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"Name": "First Position Date - Treasury Roll", |
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"BeginEventType": 17, |
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"DaysBefore": 0, |
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"EndEventType": 7, |
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"DaysAfter": 0, |
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"Type": "FUT", |
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"Exchange": "CBT", |
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"Codes": [ "17", "21", "25", "26", "TN", "UBE" ] |
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}, |
- For MAC swap futures products:
- Changes the BeginEventType exclusion attribute to be last trade date (enum = 7) and the EndEventType to be last delivery date (enum=14).
- This was previously beginning at First Intent Date, which is about a week prior to delivery for these products.
Example updated config:
- For MAC swap futures products:
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