CME Clearing provides users with margin calculator modules which can be used to determine initial margins for actual or hypothetical portfolios which include Eris interest rate swap futures, CME Deliverable Swap futures, Eurodollar futures, and Treasury futures.
The CME Clearing SPAN model has been adopted by futures exchanges throughout the world. SPAN calculated margins are updated on a periodic basis for individual positions and portfolios of Eris Standards and other CME Group Interest Rate futures contracts.
The CME Clearing HVaR margin model is dynamic and reflects changing market conditions and asset price levels on a daily basis. The margin simulator generates an HVaR calculated initial margin for individual positions and portfolios of Eris Flexes and CME Group futures contracts.
CME Margin Optimizer is available for determining the number of Eurodollar and Treasury futures to move into HvaR accounts to maximize margin offsets and minimize total initial margin
Eris Exchange encourages participants to send sample portfolios to be run through the SPAN and HVaR margin calculators
Note: The screen shots above show margins generated through the CME Clearing provided user interface tool.