This topic includes release notes about enhancements and updates to CME Optimizer Software versions.
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Optimizer Version 20.0 Release Notes
This section details Optimizer version 20.0, an optional release. Users who require an updated version of Microsoft’s .NET framework in their infrastructure should review this version. Users who do not plan such an upgrade can continue to use the prior version (19).
Version Number: 20.0
Release Date: December 16, 2024
Mandatory Build: N
Release window:
- This version can be installed in production anytime.
1.1. Technical Changes and System Requirements
Support for firms who want to upgrade from Microsoft’s .NET 6 to .NET 8.
Updated Minimum System Requirements
- .NET Runtime 8.0.x
1.2. Enhancements
None.
1.3. Fixes
None.
1.4. Configurations
None.
1.5. Testing Considerations
Standard testing.
1.6. Out of Scope
There are no changes to any business functionalities or configurations in this build.
Optimizer Version 19.1 Release Notes
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There are no changes to the minimum system requirements.
1.2. Enhancements
Additional logging has been added for account validation of FICC cross-margin accounts. The logging does not impact program processing or any other output file.
1.3. Fixes
This patch release fixes an issue which prevented non-front month contracts (normally referred to as "back months") from being considered for allocation into the FICC cross margin account when one or more of the following conditions were present. These conditions are only presented when the user has engaged the "UseBackMonthContracts": true configuration.
- Front month contract for a given instrument is not present.
- Front month contract for a given instrument is excluded (for instance during treasury roll).
- Front month contract for a given instrument nets to zero.
1.4. Configurations
There are no changes to configurations in scope in this build.
1.5. Testing Considerations
Please perform testing of the Rules-based Offset Engine, consistent with earlier builds.
1.6. Out of Scope
There are no changes to the IRS portfolio margin logic in this build. Users not testing the RBOE FICC Cross margin logic may choose not to take this build.
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There are no changes to the minimum system requirements.
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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| Configuration Section | Property |
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| Inputs | IrsGammaLadderFilename |
| Inputs | IrsSkewSensitivityFilename |
| Inputs | IrsTimeValueFilename |
| Inputs | IrsVegaLadderFilename |
1.5. Testing Considerations
As with all Optimizer test periods, it is recommended to test using a combination of input files:
- New Release (NR) environment version of the Optimizer Market Data Archive (MDA) file
- Production environment version of all other input files.
1.6. Out of Scope
All other IRS products remain unchanged by this release.
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†† Note that CME Optimizer 18 can run on earlier version of Windows Server (including Windows Server 2012 R2 and Windows Server 2016). However, in accordance with CME guidelines and industry best practices, discontinued, insecure or unsupported operating systems are no longer supported as of EOY 2020, this includes both Windows Server 2012 R2 and 2016.
1.2. Enhancements
1.2.1. SOFR and Treasury Options Support
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All other outputs, aside from the log file which highlights the RBOE process, are the same. Note the margin approximation reports are not expected to include positions in the FICC position account within the margin calculations.
1.3. Fixes
None.
1.4. Configuration Changes
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- The "cme_optimizer_marketdata . . ." file from the new release (NR) test environment.
- A positions.csv file generated in the test environment (unless SOFR and Treasury options are already in your production file, in which case, use production).
- All other input files from the production environment.
1.6. Out of Scope
Treasury and SOFR options not in 1.2.1 above, including:
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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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