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