Treasury Rules-based Offset Engine
CME Optimizer Software User Guide
RBOS - Rule Based Offset Engine
- Does not minimize or calculate margin
- Offsetting futures margin requirement with FICC positions
XMFICCPOSN (Equivalent Position Report)
- Produced exclusively for firm
- Contains synthetic futures
RBOE BEFORE IRS - margin offset is done FICC vs FuturesOpt first, residual positions are then used for IRS - has potential for higher offset
IRS BEFORE RBOE - margin offset is done IRS vs FuturesOps first
An account can be net - long/short offset, or gross - long plus short
The advantage of gross is that there are more position lots for position movement among accounts
Three accounts involved in process
- Fut/Opt firm account
- IRS Portfolio Margin account
- FICC Position account
RBOE process:
Firm specific input files:
- FICCPositions.csv is produced from FICC account. Would be blank first day
- CME produces XMFICCPOSN (Equivalent Position Report) which is exclusive for the firm's FICC account
- Original positions.csv file
