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Modifications to CFM Margin Calculations (Updated March 23)

Technical launch of the functionality is June 11. The functionality to remove scenarios is pending regulatory approval and will be communicated before introduction.

In order to get a more accurate margin level, some scenarios can be removed if the stress level is deemed too high. This will impact the content of JQ40 and JQ41 OMnet messages and interface files (.rct and .crv) as below example:

Today the stress of principal components includes all possible combinations of shifts

PC1 PC2 PC3
0 0 0
0 0 1
0 0 2
0 0 3
0 0 4
0 1 0
0 1 1
0 1 2
0 1 2
0 1 3
0 1 4

in this example scenario 1 and 6 have been removed so the stress in the principal components will look as below table:

PC1 PC2 PC3
0 0 0
0 0 1
0 0 2
0 0 3
0 0 4
0 1 1
0 1 2
0 1 3
0 1 4

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