CME AccountManager UserManual - Futures & Options Trading ... · CME AccountManager UserManual ......
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CME Account Manager User Manual May 14, 2018
Transcript of CME AccountManager UserManual - Futures & Options Trading ... · CME AccountManager UserManual ......
CME Account ManagerUser ManualMay 14, 2018
Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Swaps trading should only beundertaken by investors who are Eligible Contract Participants (ECPs) within the meaning of Section 1a(18) of the Commodity ExchangeAct. Futures and swaps each are leveraged investments and, because only a percentage of a contract’s value is required to trade, it ispossible to lose more than the amount of money deposited for either a futures or swaps position. Therefore, traders should only usefunds that they can afford to lose without affecting their lifestyles and only a portion of those funds should be devoted to any one tradebecause traders cannot expect to profit on every trade. All examples discussed are hypothetical situations, used for explanation purposesonly, and should not be considered investment advice or the results of actual market experience.
CME Group, the Globe Logo and CME are trademarks of Chicago Mercantile Exchange Inc. CBOT is a trademark of the Board of Trade ofthe City of Chicago, Inc. NYMEX is a trademark of New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange,Inc. All other trademarks are the property of their respective owners.
The information within this manual has been compiled by CME Group for general purposes only. CME Group assumes no responsibilityfor any errors or omissions. Additionally, all examples in this manual are hypothetical situations, used for explanation purposes only, andshould not be considered investment advice or the results of actual market experience. All matters pertaining to rules and specificationsherein are made subject to and are superseded by official CME, CBOT and NYMEX rules. Current rules should be consulted in all casesconcerning contract specifications.
Copyright © 2018 CME Group Inc. All rights reserved.
Table of ContentsGetting Started 6Entitlements 6Support Contacts 7
What's New 8CME Group Login and Registration 13Application Login 14
Limits Monitoring 14CME ClearPort 15CME Globex - CME Direct 15CME Globex - Inline Credit Controls 16
Mass Quote Protection 16Trade Type Restrictions 16Managing Trade Type Restrictions 16
User & Firm Limits 19User Maximum Quantity Limits 19Setting Maximum Quantity Limits 19Additional Options 22
Firm / User Price Band Limits 23Applying Price Band Limits to Users and Firms 23Assigning Price Band Limits with a Template 24Creating PBV Template 27
Updating User Clip Sizes 28Viewing Clip Sizes via Download 28Specifying / Updating Maximum Clip Sizes via Upload 30
Account Audit Trails 32Reports 33Report toolbar options 34
Managing Accounts 35Creating Accounts 36Account Setup 38Market Permissions 42Permissible Products 44Assigning Brokers 45Confirming Account Setup 46Setting Account Limits 48Editing Accounts 50Deleting an Account 52Copying an Existing Account 53
Credit Controls activation 54Accounts page activation 55
Managing Multiple Accounts 55
Downloading Account Configuration 55Updating Accounts Spreadsheet 57Uploading Account Updates 57Uploading Account Information (Template) 58
Restricting Trader Administrator Access 60Trading Sub Accounts 61
Creating and Updating Trading Sub-Accounts 62Adding Broker and Trader Preferences 62
Additional Information: 64Credit Controls 65Modifying Product Limits 68Calculation Option Limits 70Editing CME ClearPort / CME Direct limits 71Additional Options: 71
Configuring LCE Limits and Settings 71CME Direct Credit Controls 73Special Option Products 74Risk Control Algorithm 74Processing Orders for Working Long and Short 74Future Outright Orders 74Futures Intra-Commodity Spread Orders 75Option Outright Orders 76Option Spread Orders (UDSs, Covereds, Combos, etc.) 76
Processing Trades 78Summary of Calculating Max Possible Long (Short) Product Position 78Calculating the Account Credit Exposure 79Calculating Option Position Exposure 81Good 'til Order Checking 82
FX Link 83Spot FX Setup and Management 83Roles / Firms / Accounts functions 84Available Functions 84Additional Resources 85Configuring / Linking Trading Firms 85Next Steps 87Removing Linked Firms and Accounts 87
Setting Product Limits 90Next Steps 91
Creating FX Spot Enabled Account 91Suspending Order Entry 93Cancel working orders 94
Spot FX Central Prime Broker Administrator 95Currency Pair Level Limit Monitoring 96View Spot FX Trading Firm Total Usages 97
Inline Credit Controls 99Managing Inline Credit Controls 99Viewing CME Globex Inline Credit Controls 100Additional Functions 101
Configuring Inline Credit Controls 101Suspending Order Entry 104Downloading ICC Product Limits 105Uploading ICC Product Limits 107ICC Alerts 110Calculating ICC Limits 110Position Limit Calculations 111Futures Max Long and Short Position Usage Calculations 111Options Max Long and Short Position Usage Calculations 111Inline Credit Controls Calculation Examples 112Risk Control Algorithm 112Futures Outright with Default Contact Multiplier 113Futures Outright with Contract Multiplier not Equal to 1(CMED 50MW Power) 114Futures Spread 116Option Outright 117Options Spread 118
Inline Credit Control Policy and Alerts - Admin Settings 120Settings Inline Credit Control Alerts 121Downloading ICC Alert Settings 122Uploading ICC Alert Settings 123
Setting Inline Credit Control Policy 127
Getting StartedCME AccountManager® provides Clearing Members with an application to create accounts and manage risk settings for Clearing andExecuting firm users that trade via CME ClearPort and CME Globex.
Following is an overview of all functions, selectable from tabs. Availability is based on assigned user entitlements:
l Admin Settings: View and configure firm-wide Inline Credit Controls (ICC) policy settings and notifications alerts.
l Limits monitoring: As the default start page, clearing and trader administrators can view summary account level credit usageagainst permissible limits.
l Accounts: Search, create, edit clearing and trading firm accounts.
Authorized users can designate trading platform / venue, execution firm relationships, market permissions, permissible productsand broker firms that can operate an account.
l Credit Controls: Configure account pre-execution position and currency limits; including permissible order quantity.
l Inline Credit Controls: Optional, pre-trade risk management capability, that allows Clearing Member and Executing Firms to setdaily position limits for CME Globex, per product, at the account level. Orders are evaluated and processed on an in-line, pre-exe-cution basis.
l Account Groups: View and create Cross Venue account groups; constituent accounts, group limits, primary clearing firm andthresholds (of overall limits) that the clearing firm administrator is notified.
l User & Firm Limits: View and manage maximum quantity per order and order acceptance criteria, in relation to the currentprice and allowable price band variation.
l Audit Trails: View firm and account activity details, that affect accounts, risk settings, products and venues / trading platform.
l Upload: Upload a spreadsheet to create or update multiple Accounts, Credit Controls, User / Firm Limits, Alert Notification,allowable Trade Types.
l Mass Quote Protection: Configure Instrument Group or Product Line exposure values that will cancel or reject affected orders.
l Trade Type Restriction: Restrict the ability of CME ClearPort enabled firms and accounts to submit block trades.
l About: Application resources, including link to WebHelp instructions, application overview and support.
EntitlementsAssigned entitlements determine account user privileges and available functions.Entitlement Permission
Clearing Member FirmAdministrator
Creates and manages accounts (Clearing, Delegated Intermediary (DI) and Trading Accounts) and privileges,credit controls, audit trails, except trading sub accounts, which are managed by Trader Risk Administrators.
Globex Account Administrator
l Create and manage CME Direct Globex accounts, only.
l Control trading firm access to clearing accounts (Activate / Deactivate, Change Account Owner,Broker Selection).
NOTE: A user can be assigned Globex and Clearing Account Administrator privileges, to activate / deactivateand close accounts for CME ClearPort and CME Globex.
CME ClearPort Account Administrator
Entitlement Permission
l Create and manage CME ClearPort accounts, only.
l Control trading firm access to clearing accounts (Activate / Deactivate, Change Account Owner,Broker Selection).
NOTE: A user can be assigned Globex and Clearing Account Administrator privileges, to activate / deactivateand close accounts for CME ClearPort and CME Globex.
Trader RiskAdministrator
l Create and maintain trading sub-accounts of clearing accounts.
l Sub account transactions are cleared on the clearing account.
l Available selections include Trading Account or Delegated Intermediary (DI).
l Manage broker assignments to use trading sub accounts.
Trader Administrator l View clearing and sub-accounts, where the trading firm is the account owner.
l Manage broker firm permissions.
l Cannot create trading sub accounts.
Inline Credit Controls Entitlements
Clearing Member FirmAccount Administrator
l Create, view and update CME Globex Inline Credit Control policy settings for execution firms, includ-ing download / upload ICC configuration.
l Configure alert emails for the execution firm, which are activated by breached ICC thresholds.
l Configure long / short product position limits for account and execution firm.
l Suspend execution firm access to an ICC enabled account and execution firm.
l Monitor alerts of breached thresholds.
Sub Clearing MemberFirm AccountAdministrator
l Used by Sub-Clearing Firms that are guaranteed by parent Clearing Member Firm to create andmanage execution firm ICC accounts.
l Guaranteed by the parent clearing firm.
l Identified as a Controlling Firm of an executing firm.
l Requires assignment of at least one execution firm.
Execution Firm AccountAdministrator
l View policies and alerts, set by the Clearing Member Firm Account Administrator.
l Create ICC CME Globex enabled accounts and set long / short product position limits.
l For EF accounts for which they are authorized; manage order entry suspension, download / uploadICC configuration.
Support ContactsFor application support contact the GCC.
For user entitlement and access issues, contact EASE.
For relationship management or additional services request, contact GAM.
What's NewThe list below illustrates the updates made to the Account Manager User Manual.Date Author Topic Description
September5, 2018
MR Mass QuoteProtection
The Mass Quote Protections (MQP) function is available from the CME CustomerCenter menu.
May 14,2018
MR Account Setup
Editing Accounts
Authorized users can enable multiple Execution Firms for an ICC account.
May 14,2018
MR Managing InlineCredit Controls
Added Basis Trade at Cash Open (TACO) references, including product information andtrading schedule.
March 23,2018
MR FX Link
Configuring TradingFirms
Setting Trading FirmLimits
New functionality for managing Spot FX / FX Link firm and account associations andpermissible product limits.
March 20,2018
MR Reports
Market Permissions
Permissible Products
Deprecated CDS, as an available product option and selection.
February27, 2018
MR l Mass QuoteProtection
l Clarified MQP exposure value configuration, which is done at the Product Lineand Product Group level. Effects of breach include quote rejection and can-cellation of resting quotes.
February14, 2018
MR l Limits Mon-itoring
l Mass QuoteProtection
l Added Max Usage download functionality
l Updated delta description: Traded delta-based protection, tallies the net deltafrom each trade.
February5, 2018
MR Trading Sub Accounts Updated screens, roles and entitlements.
January 29,2018
MR Trading Sub Accounts
December22, 2017
MR l Logging Inand Out
l AccountSetup
l ManagingAccounts
l Credit Con-trols
Application availability hours added:
From Friday 7:00 PM EST through Sunday 1:00 PM EST, CME AccountManagerundergoes scheduled maintenance. During this period, login is not possible.
Date Author Topic Description
December17, 2017
MR Getting Started New role: Sub Clearing Member Firm Account Administrator
December6, 2017
MR l Inline CreditControls
l ConfiguringInline CreditControls
A video tutorial Illustrates the process to create / manage ICC enabled accounts and set/ update product limits; including the ability to upload updates for multiple accounts orproducts.
November29, 2017
MR Uploading ICCProduct Limits
Updated product limit upload instructions.
September15, 2017
MR l Getting Star-ted
l Inline CreditControls
l Feature overview updated to include ICC overview.
l Alternative function descriptions, with direct to ICC navigation.
August 8,2017
MR Calculating ICC Limits
Calculating CMEDirect Globex Limits
Position limits are reset daily at 4:07 PM CST, including holidays and market closure.
July 14,2017
MR Accounts
Credit Controls
Non-Member Broker Intermediary (NMBI) name has been changed to DelegatedIntermediary (DI)
June 29,2017
MR Account Setup CTI field: Required for CME Globex, CME ClearPort, CME Direct; optional for CMEGlobex (ICC only) enabled accounts.
May 30,2017
MR Getting Started Updated list of available features
April 23,2017
MR Trade TypeRestrictions
Authorized users can restrict firm and account block trades.
March 8,2017
MR Setting Inline CreditControl Policy
Setting ICC Alerts
Updated policy setting option selections and order handling.
December28, 2016
MR ICC Roles /Entitlements
Viewing Inline CreditControls
Configuring AdminSettings
Calculating InlineCredit Controls Limits
l Two additional roles determine ability to view and manage ICC configuation.
l New Inline Credit Controls functionality to manage CME Globex transactions.
l For a Clearing Member or Execution Firm, Admin settings to manage overallICC settings, alert notifications.
l Detailed description of the process of calculating ICC risk limits, includingexamples.
November15, 2016
MR Account Setup New Account selections: Short Code Account, Client Risk Master Account
Date Author Topic Description
October 5,2016
MR Trading Sub Account Trader Preferences functionality added.
July 7,2016
MR Calculating CMEDirect Globex Limits
CME Direct limit Front End Credit Controls (FECC) calculation details have been added.
July 7,2016
MR Creating Trading SubAccounts
The account designation formerly called Omnibus have been renamed to Non-ClearingMember accounts.
The account designation formerly called non-omnibus parent firm has been renamedTrading Account.
March 16,2016
MR Creating Non-ClearingMember and TradingSub Accounts
Trading sub account management updates.
January 25,2016
MR Setting MarketPermissions
Updated available selections for Credit Derivative CDS Netting Algorithm selections.
October30, 2015
MR Various EOS Trader has been decommissioned and features have been removed from CMEAccountManager.
August 28,2015
MR Account Setup
Creating Non-ClearingMember and TradingSub Accounts
A new role, Trader Risk Administrator, can be authorized to create NCM and subaccounts, whose activity aggregates and is represented through the parent firm to theclearing member firm.
June 16,2015
MR Creating a NewAccount
Credit Controls
Users can enable accounts for Portfolio Margining. An additional field is included onAccount and Credit Control pages.
June 12,2015
MR Reports Report toolbar options are modified.
June 6,2015
MR User &Firm Limits Using a download / upload process Clearing Member Administrators can view, specifyand update maximum user clip sizes for CME Globex enabled accounts.
May 15,2015
MR Upload New functionality: Account download and upload.
May 9,2015
MR Mass QuoteProtections
New functionality: Users can view, manage and download MQP thresholds.
March 5,2015
MR Creating a NewAccount
Update Selecting a Trading Platform, Agency Cross descriptions with supplementarydescriptions and references.
January 9,2015
MR Edit Accounts Download to spreadsheet functionality added.
January 9,2015
MR Creating a NewAccount
For account setup, when linking a customer account to another account (e.g. marginand master account) consolidated account setup form is no longer used.
Date Author Topic Description
January 9,2015
MR Closing an Account Renamed to Deleting an Account. The Close button has been renamed to Delete.
January9,2015
MR Assigning Price BandLimits with aTemplate
Updated with functionality that enables users to optionally apply Price BandingVariation Limit updates to existing firms and users to which the template has beenassigned.
December7, 2014
MR Firm/User Price BandLimits
Added Price Band Limits functionality overview and instructions.
July 26,2014
MR Getting Started SMART Click ID registration required by 9/26/14.
Instructions to claim CME AccountManager ID.
Common navigation menu.
July 26,2014
MR Reports Reports have been moved to the common navigation menu.
June 20,2014
MR Various Limit usage moved from Credit Controls to Limits Monitoring.
Asset manager assignment moved to Account Setup page.
On the Service drop-down list, CMED Globex is available as a selection.
Activate, De-Activate, Edit, Close requires full administrative entitlements and services.
June 7,2014
MR Various Creating Accounts
Reviewing Account Information
Setting Account Limits
April 14,2014
MR All Updated links and edited to meet Help standards
January 31,2014
MR Creating a NewAccount
Added master/margin account selection field.
December6, 2013
MR User Max Qty Limits Added maximum quantity per order limit.
November10, 2013
MR Global AccountManagement
Modifying ProductLimits
GCC contact phone numbers are updated.
Updated to include option limits.
September18, 2013
MR Closing an Account Account number validation prevents duplicate account numbers from being createdwhen firms are affiliated with the same clearing organization.
Added account closure functionality
June 13,2013
MR Creating a NewAccount
Added information about the iLink Session ID/SenderComp assignment.
May 10, MR Assigning Brokers and Added default asset manager details.
Date Author Topic Description
2013 Asset Managers
April 15,2013
MR Creating a NewAccount
Creating a NewAccount Based on anExisting Account
Viewing and Editingan Account
Credit Controls
Added Holding Account indicator to Account and Credit Controls screens.
March 8,2013
MR All Getting Started
l Updated the Trader Admin role
l Introduces the Settings feature, which is used to restrict the traderadmin role
Create a New Account - CME Direct Globex description is updated
Credit Controls - references trader admin role
Modify Specific Product Limits - references trader admin role
September28, 2012
MR Getting Started Added references to EOS Trader (now decommissioned).
MR Creating a NewAccount
Added EOS Trader as an additional venue, details of applicable market types andproducts. and exclusion of SenderComp.
MR Limits Monitoring
Modifying SpecificProduct Limits
Added a description of the relationship of options to their futures equivalent.
MR Viewing and Editingan Account
Added a reminder to view account exposure prior to modifying venues.
MR Setting MarketPermissions
Added CDS Risk Method description.
July 27,2012
MR Getting Started
Audit Trails
Modifying SpecificProduct Limits
Credit Controls
Viewing and Editingan Account
Description of the user roles.
Added new topic to describe the ability to monitor Account Manager activity.
Added new topic to describe the ability to modify specific product limits for CME Direct
Updated screens to illustrate:
l Audit Trails and Limits Monitoring tabs
l View Account Details and View Credit Controls links
May 25,2012
MR Limits Monitoring Added steps to set accounts up for CME Globex trading and for enabling accounts forCME Direct. Also added information about new Limits Monitoring page:
l Globex Brokers can now be assigned to accounts and product-level limits can
Date Author Topic Description
be set on CME Globex futures contracts submitted using CME Direct.
l Accounts can be enabled for CME Direct and SenderComp (iLink session ID)can be associated with that trading entity and account.
l A new Limits Monitoring page has been added to the system to act as the land-ing page.
l Added new functionality and services to support the distribution CME Direct,the new CME Group trading system that provides access to both over-the-counter (OTC) and Globex Energy, Metals, and Commodity markets.
March 5,2012
MR All Updated text and screens to reflect new interface and workflows.
August 26,2011
MR Reports
Creating a NewAccount Based on anExisting Account
Added the following topics:Reports, Create a New Account Based on an ExistingAccount. Incorporated new search functionality. Removed Default Account field.
June 24,2011
MR Market TypePermissioning
Updated to include functionality and screen shots related to two new fields for worst-case long and short calculations.
March 23,2011
MR All Single-sourced content and applied new styles and formatting.
February14, 2011
MR Obtaining User ID andPassword
Updated Obtain User ID and Password section.
December2, 2010
MR N/A Updated Account Information Edit and Permissioning screen steps for enhancedpermissioning flow.
April 29,2010
MR All Added Asset Manager functionality. Changed NYMEX references to CME references.
CME Group Login and RegistrationCME AccountManager uses CME Group Login to manage access and application entitlements.
l The Clearing Firm Verification Officer must submit a completed CME AccountManager registration form, which is available bycontacting Enterprise Application & System Entitlements (EASE).
l Prior to logging in to CME AccountManager, users should ensure the Login ID registration is completed.
l To establish entitlements, obtain a Token and provide to the Clearing Firm administrator.
l Firm and account entitlements are managed by clearing and trading firm administrators.
l CME Group recommends using a recent version of supported browsers (Google Chrome, Internet Explorer) to access and oper-ate application functions.
For questions or additional information contact Global Account Management (GAM).
Note: From Friday 7:00 PM EST through Sunday 1:00 PM EST, CME AccountManager undergoes scheduled maintenance. During thisperiod, login is not possible.
CME Group Login is a self-managed, centralized user profile service that authenticates access to CME Group applications and services.
Access the CME Group Login page to:
l Register for a new CME Group Login
l Review the CME Group Login User Guide: including support and troubleshooting information
l Update a CME Group Login User ID and profile
Application LoginTo log in to CME Account Manager:
1. Navigate to the CME AccountManager login page.
or navigate to www.cmegroup.com, then select Login.
2. On the login page that appears, enter User ID and Password, then select Login .
Upon successful login, the Account Manager application appears. Available tabs are dependent on assigned privileges.
If CME Account manager does not appear, select Portfolio & Risk, then select CME Account Manager.
To log out of CME Account Manager:
From the CME Customer Center menu, select your CME Group Login, then select Logout.
If the application is idle for 30 minutes, the system automatically times out.
Limits MonitoringUsing the Limits Monitoring function, Clearing and Execution Firm risk administrators can monitor account-level usage, against maximumpermissible limits, and net product positions that are near trading limits. Available data is based on the user entitlements and firm, if theymanage multiple firms.
Functions:
l Clearing Member
l Execution Firm
l Threshold / Percentage: Operand to apply to a given Percentage.
l Platform / Service: Groups activities by selected platform / service.
l Date Range: View limits utilization for a Start and End date duration.
l Quick Filter: Predictive text filter, of available results. Quick filter results disables auto refresh of results data.
l Max Usage Download: CME Globex ICC only - For the selected firm and date range, download account max usage data, as a MSExcel spreadsheet.
To select an alternate default firm, use the Clearing Member menu.
Example: When a clearing member firm assumes responsibility for an execution firm.
Results (up to 1000) appear in descending order by:
l % Limit Usedl Credit Controls greater than or equal to 90% utilization are highlighted RED.l Credit Controls between 80% and 89% utilization are highlighted YELLOW.
l Limit Usage
l Maximum Limit
l Platform / Trading Service
Data updates automatically every minute or can be manually refreshed by clicking .
To view real-time limit utilization, select from available tabs.
CME ClearPort
Initially limit utilization includes all Clearing Members you are authorized to view and trading data.
To filter accounts, select a Clearing Member.
CME Globex - CME Direct
Initially limit utilization includes all Clearing Members you are authorized to view, trading data, including worker order details.
To filter accounts, select a Clearing Member.
CME Globex - Inline Credit Controls
l To filter accounts, select a Clearing Member and / or Execution Firm.
l When using the quick filter, automatic refresh is halted.
l Use Thresholdswith Percentage to search accounts with limit usage within the specified operator and value.
Example - Threshold: >, Percentage: 70: Filters accounts with usage greater than 70% of their maximum permissible limit.
Mass Quote ProtectionThe Mass Quote Protections (MQP) function is available from the CME Customer Center menu.
From the Portfolio & Risk tab, selectMass Quote Protections.
Trade Type RestrictionsUsing the Trade Type Restriction function, Clearing Firm administrators can restrict the ability of CME ClearPort enabled firms andaccounts to submit block trades.
Managing Trade Type RestrictionsTo manage Trade Type restrictions:
1. Select the Trade Type tab, then select a search option:
An alphabetized list of Trading firms, associated with the clearing firm, appear.
Available selections are based on the authorized user's entitlements.
If only one firm is assigned, it is automatically selected.
l Firms: Select the Clearing Member Firm.
l Accounts:
l Select the Clearing Member Firm and (optional) Trading Firm.
l Also restricts all sub-accounts, and products associated with restricted Trade Type.Trader Risk Administrators can setlimits on the products specified on the parent to allow trading
l Select Short Code to filter available accounts to those designated as Short Code1 accounts.
1Brokers can submit Block trades and EFRPs for trading firms not registered with CME ClearPort. A separateaccount must be created for each trading firm.
2. From the Available Accounts pane, select Firm(s) / Account(s) or filter the list by performing a search.
Note: Block trades are the only available Trade Type restriction, and is automatically selected.For additional restrictions Accounts or Credit Controls instructions.
3. Select one or more (CTRL+select) firms, then select:
l - Adds selection(s) to the Restricted pane.
l - Removes selection(s) from the Restricted pane
l - Adds or Removes All available Firms / Accounts to or from the Restricted pane.
4. To finalize:
a. Confirm the restriction setting by ,agreeing with the dialog, "Selecting a Trading Firm will restrict all current and newaccounts for that firm."
b. Select Save.
Subsequent views of this page shows restricted accounts in the Restricted pane.
Only selected accounts are restricted, new accounts added subsequently appear in the Available pane.
Additional options:
l Reset - Undo selections and revert Clearing Member Firm or Trading Account restrictions to the prior state.
l Upload - Using the Upload function, restrict or allow block trade privileges.
a. Download accounts configuration: Trade Type Restrictions > Account > (adjacent to Trade Type selection).b. Update spreadsheet.
c. Upload > Trade_Type_Restrictions.d. Review > Confirm.
User & Firm LimitsCME Direct maximum quantity limits and firm / user price band limits are optional settings available at the product level.
l User Max Qty Limits - For energy and metals products, users can set maximum quantity per order limits.
l Firm / User Price Band Limits - Users can set price band limits, which are used for order and price validation, rejecting ordersoutside of the given band.
User Maximum Quantity LimitsFor energy and metals products, users can set maximum quantity per order limits. Orders in excess of the set limits will be rejected.Following is an overview of Instruments, Groups and products for which quantity limits can be set.
Quadrant Product Group Product Types
l Energy
l Metal
Futures l Outright
l Intra-Commodity Spreads1
l Strips 1
l Inter-Commodity Spreads 1
l Energy
l Metal
Options l Outright
l Intra-Commodity Spreads1
Limits set on spreads apply only to spread orders, not the component legs. If only Outright limits are set, outright limits will impact spreadorders by extending the limit to each component leg of a strategy.
Example: If Crude Oil / Futures have an Outright limit of 100 and all spread limits are “unlimited”, any attempts to submit a 100-lotbutterfly in Crude Oil / Futures would fail because the component legs would be treated as an individual order and validated against theMaximum Order Quantity limit. Leg 1 has a quantity of 100; Leg 2 has a quantity of 200 and Leg 3 has a quantity of 100. Leg 2 violates thelimit, so the order may not be submitted.
To modify the trading limits of an existing account or products, refer to View / Edit an Account or Credit Controls.
Setting Maximum Quantity LimitsUsing the User & Firm Limits - User Max Qty Limits functionality, users can set set maximum quantity limits. In addition, maximum userclip sizes can be viewed, specified or updated via a download / upload process.
To search User Max Qty Limits
1. Click the User & Firm Limits tab.
2. Locate a user by specifying in the search fields.
1If a specific limit is set for a product's spread or strip, it will be the effective limit for orders in the spread orstrip; otherwise, the product's outright limit will be the effective limit for orders in the spread or strip.
l Select a Clearing Member (mandatory).
l Enter a User Name.
NOTE: Enter either the user’s first, last or user name. Do not enter the first and last name.
l Select a Firm.
l Select the Account Status (Active or Inactive).
3. Click Search or press Enter (on the keyboard).
Matching accounts appear in a list and the following information is included:
l Broker or Asset Manager user account name
l Role
l Clearing or Executing Firm Name
l Clearing Member Firm
l Number of products for which specific limits are set
To set user maximum quantity limits:
1. After performing a search, select a User from the list.
The user maximum quantity limit settings screen appears.
Note: By default, all products have unlimited quantity limits for each of order type.
2. Click Edit.
NOTE: If this is the first time setting up CME Direct maximum quantity per order limits, click Edit.
3. Select aQuadrant, then select the Category/Type.
A list of available products appears.
4. Enter the maximum quantity per order a user may submit:
l Outrights
l Intra-Commodity Spreads
l Strips
l Inter-Commodity Spreads
To prevent order entry for the specified product and order type, enter a limit of zero (0).
l To set all unset quantity per order limits to zero, click Set All Unset Limits to Zero. New products are assigned the defaultvalue regardless of whether unset limits are set to zero (ClearPort-unlimited/Globex-zero).
l To restore default (unlimited) limits, click Remove All Zero Limits.
5. When done, click Submit .
Additional Optionsl De-Activate - This feature prevents a user from entering Globex orders without changing maximum quantity per order settings.
a de-activated user may only cancel working orders. Previously established Clip size limits are stored and may be updated whilethe user is deactivated. When a user is re-activated, the most recently set maximum quantity per order limits are enforced.
l Re-Activate - Restores default or custom quantity per order limits.
l Copy - Copy the user's credit control settings to other CME Direct users.
l Audit Trail - Modifications to quantity limits per order are recorded in the audit trail with the following change codes:l OTMQPO = outright max quantity per orderl INTRAMQPO = intra max quantity per orderl INTRMQPO = inter max quantity per orderl STRIPMQPO = strip max quantity per order
To copy limits to other accounts:
Quantity per order limits can be applied to up to five other users.
1. Locate the desired account.
2. Click Search or press Enter (on the keyboard).
Matching accounts appear in a list.
3. Select a User from the list.
The user maximum quantity limit settings screen appears.
4. On the CME Direct User Max Qty Limit screen, click Copy.
5. Select an available user, then click .
To select more than one user, press Ctrl and select an additional user.
6. On the Selected Users screen, click Copy.
Existing limits will be overwritten.
7. To confirm, click Yes.
Firm / User Price Band LimitsUsing Firm / User Price Band Limits, clearing firm administrators can set price bands for CME Direct Firms and Users. Once applied, pricebands are used in the evaluation of limit orders. Limit orders above or below a product's Last Traded Price or Best Bid or Offer, inclusiveof the price band will be rejected. The Price Band Variation Range (PBVR) adjusts dynamically as market state, last traded price, and bestbid/offer changes. Trading firm administrators have view only privileges.
The Firm / User Price Band Limits functionality is used for setting Price Band Variation (PBV) limits and creating templates for firms, usersand products.
l Assign price band limits to individual users and firms
l Using templates to assign price bands to multiple firms
l Create and Save a template
l View and update firm and user price band limits previously applied by a template
Applying Price Band Limits to Users and FirmsPrice band limits enable CME Globex and clearing firm administrator to set price bands for a selected user or firm.
To Apply Firm/User Price Band Limits:
1. Click the User & Firm Limits tab, then select the Firm / User Price Band Limits tab.
2. SelectUser PBV or Firm PBV.
l Selecting User PBV adds the User Name and Firm search fields, which are used to filter available users at the specifiedfirm.
l Selecting Firm PBV adds the Firm field, which is used to filter from available firms.
2. Click Search or press Enter (on the keyboard).
3. From the list of PBVs, select a User or Firm.
The default view is Products with individual limits only.
4. To view additional products, select from the available options:
l Show Products with individual limits - To show all products, clear the checkbox.
l Select Product Group - Filter the product list by asset class and category/type, or choose the option to display all availablechoices.
l Text Search - Enter a product name, Globex or Clearing code; predictive text actively filters possible matches.
5. Move the pointer over the row and select the Edit Limits ( ) icon.
6. Specify and Confirm( ) the Price Band in minimum number of ticks.
Upon confirming the price band limit, the limit is applied to the user or firm.
Assigning Price Band Limits with a TemplateUsing templates, Price Band Limits can be applied to multiple firms or users.
When a price band template is updated, CME Globex and clearing firm administrators can view a list of firms and users, to which thetemplate has been applied, and optionally apply the updated settings to selected firms and users or maintain existing price band limits.
To Apply Firm/User Price Band Limits using a template:
1. Click the User & Firm Limits tab, then select the Firm / User Price Band Limits tab.
2. Select a Clearing Member or search for a particular Template.
Note: Clearing Member firm is required.
3. In the Type field, select Template PBV, then click Search.
Note: From the Firm / User Price Band Limits tab, select Search to view a list of all templates for all firms and users.
Results appear below the search fields.
4. From the list, Select a template.
A list of configurable products appears. The default view is Products with individual limits only.
Available filter options include:
l Show Products with individual limits - To show all products, clear the checkbox.
l Select Product Group - Filter the product list by asset class and category/type, or choose the option to display all availablechoices.
l Text Search - Enter a product name, Globex or Clearing code; predictive text actively filters possible matches.
5. From the list, move the pointer over the row and select the Edit Limits ( ) icon.
6. Specify and Confirm the Price Band in minimum number of ticks.
7. Click Apply to User & Firm.
On the dialog box the appears, the Show previously applied users and firms checkbox is selected by default.
Firms and users to which the template has been applied appear in the Selected Firms and Selected Users panes.
8. Select whether to apply the price band to firms and users to which the template has been previously applied.
l Checked - Apply updated settings to selected firms and users.
l Unchecked - Maintain existing price band limits.
9. In the Available Users/Firms fields, enter the name of the Target Firm and User.
Note: As you type, predictive text filters from all available choices.
10. From the list of available choices, Select a user from the list then click Add ( ).
11. To confirm selections, click Apply and select a response to the confirmation dialog.
Orders beyond the specified limit, for the selected Firm and / or User, will be rejected.
Creating PBV TemplateAfter assigning price band limits, a PBV limit configuration can be saved as a template and assigned to a firm and/or user.
To Create a Price Band Limit Template:
1. Click the User & Firm Limits tab, then select the Firm / User Price Band Limits tab.
2. Select a Clearing Member, then click Search.
Note: Clearing Member firm is required.
Results appear below the search fields.
3. Click Create Template.
4. In the dialog that appears, specify aName, then click Save.
The default view is Products with individual limits only.
5. To view additional products, select from the available options:
l Show Products with individual limits - To show all products, clear the checkbox.
l Select Product Group - Filter the product list by asset class and category/type, or choose the option to display all availablechoices.
l Text Search - Enter a product name, Globex or Clearing code; predictive text actively filters possible matches.
6. Move the pointer over the row and select the Edit Limits ( ) icon.
7. Specify and Confirm the Price Band in minimum number of ticks.
8. Click Save As.
The PBV configuration is saved and can be used for multiple firms and users.
Note: Clicking Delete removes the template from a Firm or User list. This does not affect limits have been previously assigned.
Updating User Clip SizesUsing a file download / upload process on the User & Firm Limits - User Max Qty Limits functionality , Clearing Member Administratorscan view, specify and update maximum user clip sizes for their CME Globex enabled accounts. The process includes:
l Download - Clearing Member Administrators can download aMS Excel file to view privileges for user accounts,including: products for which a clip size limit is set and the maximum permissible clip size.
l Upload - Clearing Member Administrators can upload a modified MS Excel file to make changes to maximum clip size limits formultiple users.
Viewing Clip Sizes via DownloadTo download User Max Qty Limits:
1. Perform a User & Firm Limits search.
2. From the search results, select a User.
3. On the User Max Qty Limits page click (download).
A MS Excel spreadsheet is downloaded and includes columns that correspond User Max Qty Limits User attributes.
Columns with Green Headings are for reference only and not required for upload.
Note: Clip Size - A blank cell indicates an unlimited clip size value. Zero - means trading this product, for the type, is notpermitted.
MS Excel Column Equivalent CME Account Manager Column
ACTION n/a
CLEARING_FIRMNAME Clearing Member (Account Number)
USERNAME User
FIRMNAME Firm
CLEARING_CODE Globex / Clearing Code
MS Excel Column Equivalent CME Account Manager Column
PRODUCT_TYPE Category / Type
PRODUCT_EXCHANGE Product - listed after product name
Example: Cocoa Future - CCE
OUTRIGHTS Outrights
INTRA_COMMODITY_SPREADS Intra-Commodity Spreads
STRIPS Strips
INTER_COMMODITY_SPREADS Inter-Commodity Spreads
PRODUCT_NAME Product
GLOBEX_SYMBOL Globex / Clearing Code
QUADRANT Quadrant
CATEGORY Category / Type
Specifying / Updating Maximum Clip Sizes via UploadTo update User Max Qty Limits via upload:
1. Search for a User and Download the MS Excel file.
2. Specify information to be updated:
l User / USERNAME - Multiple users can be uploaded via the same spreadsheet.
l Clip Size: Outrights, Intra-Commodity Spreads, Strips, Inter-Commodity Spreads.
3. In the ACTION column, indicate rows to be processed, by entering X, x, or *.
Additional information can be included but will not be processed unless the ACTION column is indicated.
4. Save the file to an accessible location.
5. Perform a User & Firm Limits search.
6. From the search results, select a User.
7. On the User Max Qty Limits page click (upload).
8. Browse to the updated MS Excel file.
The Upload dialog is updated to include the name of the referenced file.
9. Click Upload & Verify.
A validation is performed and a confirmation dialog appears.
l Error - If validation error occurs it is listed on Upload User Limits dialog.
Example: No rows have been marked for Upload. Please use [*, x, X] in the ACTION column, to indicate which row youwould like to upload.
l Success - A confirmation message appears.
10. Click OK to continue.
A summary messages lists rows and updates to be performed.
11. To confirm, click Submit.
The file is uploaded and a confirmation message appears.
12. Click OK and close the upload dialog.
Account Audit TrailsCME AccountManager tracks all user activity, allowing users to view and filter search results from the Audit Trails tab. Users can searchand view Account or User and Firm Limit activity including accounts pending activation and the user that made changes to specificaccounts.
To search account activity:
1. Click the Audit Trails tab.
2. Select the Account or User & Firm Limits tab.
3. Filter the available list of activity by selecting from the following search criteria:
*Available for User & Firm Limits tab only.
l Limit Type*
l Clearing Member
l Control Entity Name (User) *
l Start Date/End Date of CME AccountManager activity.
l Modifier1.
l Account Number
l Type
l Account
l Credit Control
1The user that made the change.
l Market Type Permissions
l Firm Rights
l Alias
l Threshold
l User Max Qty Limits Account *
l User Max Qty Limits *
4. Click Search or press Enter (on the keyboard).
5. In the Account Number or User column, click the blue highlighted link.
6. If desired, use the Filter features to refine results further:
l Start Date
l End Date
l Modifier
l Type
ReportsAccountManager provides Clearing Members with the ability to generate the reports of system and account activity:
l Trade Summary by Account
l Trade Summary by Account and Product
l Volume Reports
To access reports:
1. From the navigation menu, Click Reporting then select ClearPort Reporting.
2. Select the application and roles and Click Get Reports.
3. From the page that appears, select the desired report from the list.
4. Set the parameter values.
RAV Summary by Account
Parameter Description
ClearingMember
Automatically populated based on the user. Additional clearing members can be selected from the pull-down menu.
Status Select Active, Inactive, or All.
Venue Select ClearPort or Globex.
RAV Summary by Account and Product
Parameter Description
ClearingMember
Automatically populated based on user login. If others options are available, select one from the pull-downmenu.
Status Select Active, Inactive, or All.
Exchange Select the desired exchange from the pull-down menu (only available for the Account and Product report)
Venue Select ClearPort or Globex.
Product Select the desired product from the drop-down menu (only available for the Account and Product report)
5. Click View. The report displays data that matches specified search criteria.
This example illustrates a trade summary report, which displays trades for the specified clearing dates.
Report toolbar optionsField Description
Opens the print dialog.
Opens the Export dialog, with options to export and save the file as a spreadsheet.
Indicates the current page and options to navigate to other pages.
Modify the zoom / magnification of the report.
Return to the previous report function.
Managing AccountsAccountManager enables searching and viewing accounts and selecting the account to view and edit details.
Note: Trader Admins can view all account information, but Edit only ClearPort Broker / Asset Manager Firms.
To view account details:
1. Click the Accounts tab.
2. Select the Search Type
Searches Clearing on Trading account fields. Based on the selection, search fields vary.
3. For Clearing Account searches, specify any of the following optional criteria:
Entering no criteria searches all clearing accounts for your firm.
Clearing Account Search fields
l Account Number
l Clearing Member
l Account Owner - Enter the first few characters of the Account Owner. Matches appear in a list, enabling you to click thedesired selection.
l CTI
l Seg Type
l Status
l Service
l Exec Firm
l Account type
l Agency Cross Enabled
l Portfolio Margin Futures
l DI Account
4. For Trading Account searches, specify any of the following optional criteria:
Entering no criteria searches all trading accounts for your firm.
Trading Account Search fields
l Account Number
l Managing Firm - The DI firm that creates and manages sub-accounts.
l Account Owner - As you enter the first few characters, matches appear in a list, enabling selection of an Account Owner.
l Status
5. Click Search or press Enter (on the keyboard).
Matching accounts appear in a list.
6. To view the Account Information page, click the blueAccount Number.
Download - Clicking the Download to Spreadsheet button, enables saving the list of clearing accounts as a MS Excel file. This filecan be updated, then uploaded as new or updated account information for multiple firms.
Creating AccountsThis section provides instructions to register a new account in CME AccountManager: set market permissions, assign permissibleproducts to the account, associate brokers and asset managers, and set product limits. Accounts can only be assigned to Asset Managersand Broker Firms that have permission for the exchange, division, or clearing firm for which the Clearing Member is assigningpermission.
For trades to be cleared, accounts must initially be registered for CME ClearPort, then registered in CME AccountManager.
Additional sections describe viewing and editing accounts:
l Searching / Viewing accounts
l Editing existing accounts
l Deleting Accounts
l Copying an Existing Account - Copy an existing account configuration as the basis for a new account.
l Restricting Trader Administrator Access
l Creating Trading Sub Accounts
l Downloading / Uploading Account Information - Download historical accounts configuration or perform an update of manyaccounts, without entering details on Accounts / Credit Control pages.
Using the Account Setup page, clearing member firm administrators can set up account access as Trading or Delegated Intermediaryaccounts. With entitlements, trading sub accounts can be created and managed for either type of account.
The following account criteria and behaviors apply:l Delegated Intermediary (DI): Created by a clearing member firm administrator. This account can create Trading Sub
Accounts with any Account Owner.l Trading Account: An account created by a clearing member firm administrator, that is entitled to create trading sub-
accounts. Thel Trading Sub-Account: An account created by a Trader Risk Administrator. A trading sub-account owner cannot be modified.
Trades entered by trading sub-accounts are evaluated against sub-account-level and managing firm risk settings at their firm and theiraccount owner firm and cleared through the assigned clearing account.
Note: For setup instructions, refer to the Account Setup and Creating Trading Sub Accounts.
Creating a new account consists of the following steps, illustrated in a diagram, additional activities include setting up trading limits andconfirmation.
A diagram indicates account setup progress:
l Green - Required information has been entered and saved.
l Orange - Currently displayed page.
l Grey - Not Started.
a. Account Setup
b. Market Permissions
c. Permissible Products
d. Broker Permissions
e. Confirm account setup
f. Setup Limits (Credit Controls)
NOTE: CME ClearPort and CME Globex are managed separately, therefore, firms may wish to establish a unique account for each venue.
To create a new account:
1. Click the Accounts tab. to go to the Account List page, then click Create New.
The Account List page appears.
2. Click Create New then enter Account Setup information.
Account SetupThe Account Setup page is the initial screen that appears when the Create New button is clicked. Using the following procedures clearingmember firm administrators can set up Globex, ClearPort, CME Direct, CME STP accounts; and Delegated Intermediary (DI) ClearPortaccounts.
a. Account Setup
b. Market Permissions
c. Permissible Products
d. Broker Permissions
e. Confirm account setup
f. Setup Limits (Credit Controls)
Note: From Friday 7:00 PM EST through Sunday 1:00 PM EST, CME AccountManager undergoes scheduled maintenance. During thisperiod, account configuration functionality is not accessible.
To enter Account Setup details:
1. From the Accounts tab > Account Setup page, specify Clearing Member, Account, Platform details:
Refer to the following information for guidance on entering details. Required fields are indicated by a red asterisk (*).
Note: Available fields are determined by assigned privileges of the selected Clearing Member.
l Clearing Member*
l Account Number* - The alphanumeric identifier for ClearPort or Globex accounts.
l ClearPort account numbers may be up to 14 characters.
l Globex account numbers may be up to 12 characters.
Do not use special characters (%, &, $, #, !, +, *) in the first, or first and second position.
l Trading Services*
CME assigns services to clearing members, which determines available selections.
Note: When creating an account for a clearing firm, that is affiliated with another clearing firm, an error messageappears: Duplicate account number; ensuring duplicate account numbers cannot be created.
l ClearPort Clearing - Assigns clearing market types.
l ICC (Globex) - Select to configure account based, in-line position limits for orders entered by the Clearing MemberFirm (CMF) or Executing Firm (EF) / Globex Firm ID (GFID) accounts.
Select one or more authorized Execution Firms (GFIDs), then select Add ( ).
Note: To select multiple firms, press CTRL + Selector Select first + SHIFT + Select last.For existing accounts, additional Execution Firms and GFIDs can be added.
l CME Direct (Globex)
l iLink Session ID - If CME Direct (Globex) is selected, select an iLink Session ID.
l An iLink Session ID / SenderComp, which is based on the selected Clearing Member and associated with trading firms,must be entered on all trades.
l Accounts without an iLink Session ID/SenderComp1 designated in CME AccountManager can only be used for in-house brokerage purposes. The iLink Session ID/Sender Comp field should only be left blank when the account owner(trading firm) is not registered for CME Direct (Globex), but the account administrator wishes to allow an In-HouseBroker to place Globex orders for this account. Clearing Firms must assign a default iLink Session ID/SenderComp forthe in-house Broker entity. This iLink Session ID/SenderComp can be obtained from a Global Account Manager.
l For all other account types, creating an account without assigning an iLink Session ID/SenderComp will result in anincomplete setup that will prevent trades from being processed. If an iLink Session ID is not selected, a message dialogappears and must be acknowledged before proceeding with account setup.
The available choices are:
l OK- Proceed without selecting an iLink Session ID.
l Cancel- Select an iLink Session ID, go back and select an iLink Session ID.
l CME STP
2. Select and enter account Privileges.
1The structure of a SenderComp is a concatenation of the iLink session and firm identifier.
l Account Description*
l Account Owner* - As the Account Owner is entered (Name or LEI), available firms appear. Select from the list.
l If the firm is not registered continue entering Account Owner details.
l For DI accounts: If sub-accounts are created, by the executing firm, specify the Account Owner.
l For DI / Trading Sub-Accounts, the Account Owner is specified at the clearing firm level, and cannot be modified.
l DTCC Participant Id - The Depository Trust and Clearing Corporation (DTCC) identifier appears when equity stocks are ondeposit as customer and house segregated performance bond collateral. For additional information refer to:http://www.dtcc.com
l Asset Manager1 (Controller) - Enter the name in the field; available choices appear based on the partially entered name.
Note: For DI and sub-accounts: If an asset manager firm is assigned, to the clearing account, trading sub-accounts cannotbe created and the DI selection will not be available.
l Alias - Optional
l CME Account Alias - A CME Group generated alternate account identifier to the platform alias for specific accounts.
l Firm Alias - If sub-accounts will be created, do not assign an alias.
l House / Customer - Indicates whether the account represents customer segregated funds or house funds.
l CTI Code2 - Required for all account services, except ICC-only enabled accounts.
l Currency
l Margin / Master Account3
l Agency Cross - At the account level, select the checkbox to opt in / out or upload a file to configure multiple accounts. ForCME Direct transactions, enables trades in certain energy and metals products if certain pre-execution communicationswere conducted, to discern interest in execution of a transaction. Persuant to rules 539 and 549 of the CME Group rule-book, these trades and associated pre-execution communication are subject to additional requirements. Additionalinformation is available on the Market Regulation Advisory Notice and Client System Wiki.
l Account Type - Account options used for submitting block trades and Exchange for Related Positions (EFRP).
For DI accounts: If any of the following account types are selected, trading sub-accounts cannot be created and the DIaccount selection will not be available. DI and sub-accounts are not eligible for Account Type designations.
l Holding Account - Available for submission of Interest Rate Swaps. All options are mutually exclusive.
l Client Risk Master Account - Futures Commission Merchant (FCM) Brokers can submit Block trades and EFRPs for mul-tiple clients using a single Client Risk Master Account for subsequent allocation or give-up.
l Short Code Account - Brokers can submit Block trades and EFRPs for trading firms not registered with CME ClearPort.A separate account must be created for each trading firm.
1An asset manager can manage, claim, cancel, or decline single side trades, and enter single side trades.2CTI1 - An individual member trading for his or her own account, CTI2 - A member firm trading for its proprietaryaccount, CTI3 - A member firm trading for another member, CTI4 - All other3Enables multiple customer accounts to be margined together to receive OTC trade cross-account margin offsets,and to aggregate trades to calculate margin and associate the clearing member's account to the beneficialowner. For Cleared OTC products, and reporting requirements FCMs designate the master/margin account foreach customer.
l Portfolio Margin Futures - Enables the account for the CME Portfolio Margining program for futures.
l Delegated Intermediary (DI) - Enables sub-account creation assignment to any registered Account Owner.
If a clearing account has been flagged as a holding account or an asset manager firm has been assigned, DI is not available.
DI account assignment and update is configurable in the account Upload / Download process.
3. To continue with the account creation process, Click Next, which navigates toMarket Permissions.
Additional options:
l Click Save & Exit to save the progress and exit the account creation process. The Account Confirmation page appears.Refer to Edit Accounts.
l Click Cancel to exit the account creation process and discard changes.
Note: New accounts appear in the account list as Pending until activated. Refer to Set Account Limits for information aboutaccount activation.
Market PermissionsMarket Permissions specify markets in which an account may trade. Permissions are enabled after the account is created.
To modify the market permissions of an existing account, refer to View and Edit an Account.
a. Account Setup
b. Market Permissions
c. Permissible Products
d. Broker Permissions
e. Confirm account setup
f. Setup Limits (Credit Controls)
To set market permissions:
1. On the Market Permissions page, for each product group, selectNone, Specific1, or All.
1Set individual product trading limits for the selected market types. Explicit product limits are specified after click-ing Next.
Note: By default,Market Permissionsare set to None for all market types.
For the following markets, additional information is required.
l CME IRS- Specify the claiming method:
l Credit Control - Available selections:
l Auto Clear / Check Limits - A CME hosted limit structure. Limits must be added in the Deal Management System > Lim-its function.
l Force Claim - The clearing member firm must consent to or refuse the trade through API messaging or the Deal Man-agement System.
l Netting Algorithm - Available selections:
l None
l CustomerID
l Standard
l Coupon Blending CustomerID
l Coupon Blending Standard
l Custodian
Note: Trading limits are required for Product groups. Unique trading limits are optional for Specific products.
2. To continue with the account creation process, click Next, which navigates to permissible products.
Additional options:
l Click Save & Exit to save the progress and exit the account creation process. The Account Confirmation page appears.Refer to Edit Accounts.
l Click Cancel to exit the account creation process and discard the changes on this page.
NOTE: New accounts appear in the account list as Pending until activated. Refer to Set Account Limits for information about accountactivation.
Permissible ProductsPermissible products are mapped if an account is assigned specific market permissions . Product availability is based on the selectedmarket types. If All products are assigned, individual products cannot be selected on this page.
To modify the market permissions of an existing account, refer to View or Edit an Account.
a. Account Setup
b. Market Permissions
c. Permissible Products
d. Broker Permissions
e. Confirm account setup
f. Setup Limits (Credit Controls)
To set permissible products:
1. To add permissible products, in the Available Products pane, select the product(s).
To search for a particular product, enter the first few characters of the ticker symbol or product name.
To select multiple products, press CTRL + select additional products.
2. Click (add selected).
To add all available products, click (add all).
3. To remove permissible products, click the product in the Selected Products pane then click (remove selected).
To remove all selected products, click (remove all).
4. To continue with the account creation process, click Next.
The Broker Permissions page appears.
Additional options:
l Click Save & Exit to save the progress and exit the account creation process. The Account Confirmation page appears.Refer to View or Edit an Account.
l Click Cancel to exit the account creation process and discard the changes on this page.
NOTE: New accounts appear in the account list as Pending until activated. Refer to Set Account Limits for account activation information.
Assigning BrokersBroker firms can submit single and dual-sided trades and claim, cancel, or decline single-sided trades. They can also have a relationshipwith one or more platforms. Using the following procedures, Clearing and Trader firm administrators can assign one or more BrokerFirm(s) to an account.
To modify the brokers and asset managers of an existing account, refer to View or Edit an Account.
a. Account Setup
b. Market Permissions
c. Permissible Products
d. Broker Permissions
e. Confirm account setup
f. Setup Limits (Credit Controls)
To assign brokers and asset managers to an Account:
1. From the Available Brokers pane, select the ClearPort Broker Firms then click (add selected).
To select more than one Broker Firm, press CTRL + select additional brokers.
2. Repeat to select Globex Broker Firms.
WARNING: Brokers can access and enter Globex orders on CME Direct, therefore, exercise caution when adding Globex BrokerFirms.
3. To continue the account creation process, click Next.
The Account Confirmation page appears. Refer to Confirming Account Information.
NOTE: New accounts appear in the account list as Pending until reviewed and activated. Prior to activating, review theprocedures for Setting Account Limits.
Additional options:
Click Save & Exit to save the progress and exit the account creation process. The Account Confirmation page appears. Refer toView or Edit an Account.
Click Cancel to exit the account creation process and discard the changes on this page.
Confirming Account SetupThe Account Confirmation page displays information that was entered in creation process.
a. Account Setup
b. Market Permissions
c. Permissible Products
d. Broker Permissions
e. Confirm account setup
f. Setup Limits (Credit Controls)
Accounts are assigned pending status and not tradable until limits are set.
l Overall account limit
l Product specific limits
1. Review the information on Account Confirmation page.
2. To modify setup information, refer to the following:
l Account Setup
l Market Permissions
l Selected Products
l Broker Permissions - Clicking displays a list of brokers within the firm.
3. If the information is correct, click Setup Limits.
NOTE: Accounts are assigned pending status until limits are set.
Setting Account LimitsAccount limits are set during the account creation or modification process. To be tradable, accounts must have limits set. Thisinformation displays on the Credit Controls tab.
NOTE: A ClearPort or CME Globex limitmust be set to complete the account creation process.
To modify the trading limits of an existing account or products, refer to View/Edit an Account or Credit Controls.
a. Account Setup
b. Market Permissions
c. Permissible Products
d. Broker Permissions
e. Confirm account setup
f. Setup Limits (Credit Controls)
To set the limits for an account:
1. Click the ClearPort Clearing or Globex Trading tab. If the page is not in an editable mode, select Edit.
NOTE: RAV and/or Credit Limits must be set for the account to be tradable. Product level limits are optional. ClearPort andGlobex orders will be rejected if they exceed or potentially exceed the specified limits.
l For ClearPort Clearing, enter the overallRAV Limit.
Configure (optional) product position limits.
l For Globex Trading enter the Credit Limit and / or Max Qty Long1,Max Qty Short2 position.
2. Enter product position limits for listed products.
For Globex Trading:
l If Credit Limit is specified, product position limits default to unlimited.
l If Credit Limit is not specified, product position limits default to zero.
Note: New accounts appear in the account list as Pending until activated.
3. If applicable, configure product specific limits.
4. Click Create as Active to save the limits and activate the account.
Additional option:
Click Create as Inactive to save the limits without activating the account.
Once a new account is created, CME Group automatically assigns a unique Account Alias that begins with the letter "A". This aliasis viewable on the Account Information View and Edit screens.
1Maximum Quantity Long Position of the selected product2Maximum Quantity Short Position of the selected product
Editing AccountsThe Edit feature is used to update the information prior to account activation or in an existing Account (e.g. adding a new Broker Firm ordisabling an account). Account details can be edited on the Account or Credit Controls tab. Only accounts with full entitlements can editanother account.
Example: An account entitled for ClearPort and Globex cannot be edited by an account that is enabled for Globex accounts only.
To edit account details:
1. On the Account Information: View screen, click Edit.
Account Information: View screen appears.
NOTE: If text is displayed in red, the assigned product or entity is no longer eligible due to assigned permissions. Contact the GCCfor a specific explanation.
2. Select one of the following options:
a. : Upload account information for multiple accounts via a formatted MS Excel template.
b. : Create a new account based on this account.
c. : An alternate account identifier specifies the recognized relationship (alias issuer) to the account.
d. Credit Control Info: View account limits and credit control information.
Change Credit exposure or product details.
e. : Delete an account that is no longer needed.
f. / - Select to Activate1or Deactivate
2an account.
g. : Modify Account Setup.
NOTE: Prior to modifying or adding venues, view the Limits Monitoring page to view and adjust limits against customertrading exposure. Failure to view and modify existing trades can result in a customer exceeding their limit.
h. Modify Market permissions.
1If the account is currently inactive, this button reads Activate.2Only accounts with full entitlements can Deactivate an account. For example: ClearPort and Globex accounts can-not be deactivated by an account that is enabled for Globex accounts only.
i. Update Selected products.
Enter Product limits for Selected Products.
j. Broker Firms
Note: Trader and Trader Risk Administrators can Edit Broker assignments.
Additional features include:
l - View Account, User & Firm Limit activity.
l DI / Sub Account assignment
Deleting an AccountBy using the CME AccountManager maintenance feature, clearing firm administrators can delete accounts. Only account administratorswith full entitlements can delete another account.
Example: An administrator entitled for ClearPort and Globex cannot be deleted by an account that is enabled for Globex accounts only.
To delete an account:
1. Click theAccounts tab, then select a Clearing Member from the pull-down list.
2. Locate the desired account using any of the following methods:
l Account Number
l Clearing Member
l Account Owner
l Click Text Search and enter the first few characters of the name of the Account Owner.
l CTI
l Seg Type1
l Status2
l Account type3
3. Click Search or press Enter (on the keyboard).
Matching accounts appear in a list.
4. In the Account Number column, click the blue Account Number.
The Account Information: View screen appears.
5. Click Delete.
A confirmation dialog appears.
6. At the confirmation screen, click Delete.
The account is no longer accessible and cannot be reopened.
Copying an Existing AccountNew accounts can be created by duplicating data from an existing account.
1Customer Account, House Account, All2Active, Inactive, Pending, All3All Accounts, Holding Accounts
To copy an account:
1. Click the Accounts tab.
2. Locate the desired account using a combination of the following methods:
l Select from the Account Owner drop-down menu.
l Click Find and enter the first few characters of the name of the Account Owner.
l Enter the account number in the Account Number field.
l Select the account status (Active or Inactive) from the Status drop-down menu.
3. Click Search or press Enter (on the keyboard).
All associated accounts appear.
4. In the Account Number column, select the Account link to copy from.
The Account Information: View page appears.
5. From the Account Information: View screen, click Copy.
Note: Any assigned sub-accounts are not copied.
6. Enter a new account number in the pop-up window, then select Submit.
The Account Confirmation screen appears with data pre-populated.
7. Modify account information as appropriate. Refer to View or Edit an Account for additional information.
8. Click Create as Active to save and activate the account.
Click Create as Inactive to save configured account information, without activating the account.
Credit Controls activation
To activate the account later, perform a search, access Credit Controls, then select Activate.
Accounts page activation
Managing Multiple AccountsUsing the upload functionality clearing firm administrators can download account information as aMS Excel file, update details, thenuploadmultiple account updates, including creating new accounts.
Note: Uploads are limited to a maximum of 20,000 accounts.
Downloading Account ConfigurationTo download account information as a file:
1. Go to the Accounts tab.
2. Using available filters, search for the firm or account.
Note: General search criteria may match a large number of results. Narrowing entered criteria on subsequent search entriesmay help narrow the matching results.
3. Select Download to Spreadsheet ( ).
The spreadsheet includes the following information:
Required for Updates:
l Clearing Member firm
l Account number
l Account description
l Account Owner
l House/Customer Indicator
l CTI Code
l Seg type
l Currency
l Status
Optional:
l iLink session ID
l Agency Cross
l Account Type (holding acct)
l Asset Manager
Note: If a relationship exists via the Trading and Asset Manager relationship for the specified account owner, and the assetmanager is not referenced on the uploaded file, the system will not assign an asset manager to the account.
l Master Margin Account
Updating Accounts SpreadsheetTo update a spreadsheet:
1. Select the downloaded Account spreadsheet; from the default browser directory.
2. For the account you intend to update / add, enter X in the ACTION column.
Note: The x indicates an update has been entered.Rows without an x will not be processed; even if information is updated.
3. On the Account spreadsheet, enter new / update existing account information.
Note: New rows default to General spreadsheet formatting. For example: In general formatting, an entry of "00115" is changedto "115", which may result in an upload error.
To ensure entered information appears exactly as entered, format cells for Text formatting (right-click row / cell > Format Cells).
4. Save the file.
Uploading Account UpdatesTo upload account updates:
1. Select the Upload tab, then selectUploading Type: ICC_Account.
2. Navigate and Choose the Accounts spreadsheet, then selectUpload & Verify.
Submissions are validated for required data and a confirmation dialog indicates the result:
The uploaded file is evaluated and validation dialog appears:
l Success: A confirmation message indicates the desired updates (field and value combination).
l Failure: An error message appears, recommending fixes.
Note: When uploading after an error, selectNew then choose the updated spreadsheet.
3. To finalize updates, select Submit.
Uploading Account Information (Template)To uploaded the updated file directly from the Account Information: View Page:
1. On the Account Information page, search and select an account.
2. Select Bulk Upload.
3. Browse to the updated spreadsheet, then selectUpload & Verify.
The uploaded file is evaluated and validation dialog appears:
l Success: A confirmation message indicates the desired updates (field and value combination).
l Failure: An error message appears, recommending fixes.
Note: When uploading after an error, selectNew then choose the updated spreadsheet.
4. To finalize the submission, select Submit.
Note: An alternate template based Account creation / update process is available from Upload > Uploading Type > Account_With_Template.
Restricting Trader Administrator AccessClearing Firm Account administrators can opt out of enabling Trader administrators access to accounts that are cleared by their clearingfirms.
To restrict Trader Administrator privileges:
1. Click the Settings link.
2. Select the trading firm to opt out.
3. Click Save.
All Trader Admins will have permissions.
Trading Sub AccountsUsing the Accounts functionality, authorized users can view and manage Trading Accounts (parent) and Sub-Accounts, including marketpermissions and risk settings.
Authorized users:
l Clearing Member Firm Administrators: Manages Clearing, Delegated intermediary (DI) and Trading accounts.
l Trader Risk Administrators: Manages Trading Sub-Accounts (add, edit, delete), including Credit Controls and Broker / Trader.Users can only manage services and entitlements which they are also entitled.
Example: To assign CME ClearPort and CME Direct services, the administrator must be entitled for CME ClearPort andCME Direct.
l Trader Administrators: View Sub-Account account information, but cannot manage Trading Sub-Account configuration.
l Sub-Clearing Member Firm Account Administrator: Manage execution firm ICC enabled accounts, when the registered clearingfirm is guaranteed by a parent ClearingMember Firm.
Account / Firm type:
DI
l Managed by Clearing Member Firm Administrators, for a non-member clearing firm and identified as a DI account.
Note: After sub-account creation, DI account cannot be unchecked
l Trading sub accounts clear through this DI or other designated clearing account.
l Individual customer account level risk management.
l Can assign any CME ClearPort registered trading firm as the trading sub account owner.
Trading / Customer (Parent) Account
l Managed by Clearing Member Firm Administrator.
l Services and entitlements persist to Trading Sub-Accounts.
l Once created, the Account Owner cannot be modified or deleted.
l Enables Trading Sub Account level risk management.Trading Sub Accounts
l Managed by Trader Risk Administrators, at the Trading Account firm.
l Viewable by the Trader Administrator and sub-account users.
l Owner firm and services / venues default to the clearing account owner, which cannot be modified.
l Inherits services from the Customer Trading Account. After account creation, services cannot be added or removed.
l Once created, the account owner and services cannot be added or removed.
Creating and Updating Trading Sub-AccountsPrior to creating a Trading Sub-Account, ensure the authorized user has Trader Risk Administrator entitlements.
The sub account creation process requires a creation / assignment of a Trading (parent) Account, which is intially done by a Clearing FirmAdministrator.
Note: When creating the parent account:- Holding Account: If selected for the parent, trading sub-accounts cannot be created and DI will not be available.- Delegated Intermediary:- Select: To specify another trading account as the Owner.- Do no select: Trading Sub Accounts will clear through the parent Trading Account (Owner).
Following Trading (Parent) Account creation, perform the following process.
To Create a Trading Sub-Account:
1. As a Trader Risk Administrator entitled user, go to the Accounts function perform a search then select the Trading / Execution(Parent) account.
2. On the Trading Sub Accounts pane, select Create New.
3. Enter the required information.
l Account Number: required
l Description: required
l Owner Firm: Available if the clearing account is designated as DI (by the clearing member firm).
Additional configuration is inherited from Trading Account Owner.
5. To finalize, select .
Adding Broker and Trader PreferencesBy default, all traders associated with the account owner of a trading sub account have entitlements to trade.
Using the Trader Preferences feature, Trader Administrators can specify preferred broker firms and / or traders. Both broker firms andtraders can be specified for an account.
To assign trader preferences:
1. From the Accounts tab, perform a search for a parent firm with trading sub accounts.
2. From a parent account, select a trading sub account to configure.
3. On the Broker Firms / Trader Preferences pane (located at the bottom of the Account Information screen), select Edit.
4. On the Account Information: View page that appears, select a method to configure preferences:
a. Select from Available Brokers then add ( ).
b. Select Trader(s).
Additional options:
l Filter Available Broker selections ( )
l Search available CME ClearPort Broker firms ( )
l Select multiple Traders - Press CTRL + select from the Traders pane.
5. To confirm, select Save.
The Broker Firms / Trader Preferences pane(s) are updated with the selections.
Additional Information:l Active / Inactive: Sub-account trading status has a dependency on clearing and trading account status and services.
l Copying accounts: When copying clearing and trading accounts, sub-accounts are not be copied.
l Creating accounts:l Trading sub-accounts can be assigned to only one clearing account.l Trading sub accounts inherit market permissions, products, risk settings from the parent account.l Newly created sub-accounts position limits are initially set to zero.l Market permissions, products and brokers cannot be edited on the trading sub-account level. To assign clearing or parent
account RAV and product limits, use the Credit Controls functionality.l Once created, trading sub-account assignment cannot be changed. Configuration updates require Changes require deleting
and creating the sub account again.
l Upload / Download: Using the download / upload feature, authorized users can update sub-account information and risk set-tings.
l Credit controls: At the account level, trades in excess of the most restrictive risk settings, within the account hierarchy, are notpermitted.
Credit ControlsUsing the Credit Controls functions, Clearing Member and Execution Firm Administrators can set quantity and currency limits foraccounts that are used by trading firms; Brokers, and Asset Managers, who electronically submit CME ClearPort, and CME Globex trades.
Trader firm administrators use the credit controls functionality to search and view credit control risk settings. They cannot edit accountlevel credit controls.
l View account credit settings
Clearing firm administrators can perform additional functions.; including editing.
Note: From Friday 7:00 PM EST through Sunday 1:00 PM EST, CME AccountManager undergoes scheduled maintenance. During thisperiod, Credit Controls functionality is not accessible.
Additional considerations:
l If submitted orders or trades are within limits, orders will be approved for execution.
Position limits can be set for short and long product positions.
l Risk checking reflects top of day trading activity (i.e. starts flat each trading day).
l CME ClearPort and CME Direct orders require an active account, which must exist or be created.
l CME Globex trades, submitted using CME Direct, can be viewed in Firmsoft.
l Orders that contain restricted products or exceed preset limits are rejected.l Rejected order handling: An authorized firm administrator must increase the limit, including permissible products.
l ICC Admin Settings can be set to Accept orders from unregistered accounts or for products with unset limits; the default orderhandling settings
l Margin rates and intra-commodity spread credits are used to determine credit usage, by product and type of trade.
l CME ClearPort: Hosted limits are managed in CME Account Manager for explicit claiming.l Orders are viewed in FEC.l Options product limits are set independently of futures; both are subject to the overall risk limit (specified currency value
limit).
To view account credit controls:
1. From the CME AccountManager menu, click Credit Controls tab.
The Account Credit Control List page appears.
2. Enter or select account search criteria.
3. Click Search or press Enter.
The list updates with matching accounts:
Limit Type
Previously called Account Type. Users can only view LCE's to which they are assigned entitlements.
l Clearing Acct
l Trading Acct
l Legal Clearing Entity (LCE) - The Clearing firm which legally guarantees trades executed for a single ExecutingFirm on CME Globex. The clearing firm may clear products from a single or multiple exchanges.
l Account Number, Group, Clearing Member and Account Owner.
l CME ClearPort, CME Globex and Inline Credit Control risk limits.
l Quantity and currency value.
l Agency Cross
l Portfolio Margin Enabled
l DI Account
4. From the search results, click the blue hyperlinked Account Number.
The Account Credit Control details screen appears.
Note: After reviewing Credit Controls for a firm, do not click the Back browser button. To view the Account Credit Control List,click Back to Search.
5. To view additional functions or configure risk settings, select a venue, then view additional instructions:
l Configure Credit Control risk settings
l Configuring ICC position limits: Directly or Download / Upload.
l Suspend / Allow Execution firm order entry
l Configuring ICC Admin Settings: Directly or Download / Upload.
l Activate / Deactivate account
NOTE: The example shows credit limit and usage information for CME ClearPort, Globex Inline Credit Control and CME Globex.Users can only view venues / trading platforms at which they are authorized.
l CME ClearPort Clearing
l CME Globex Inline Credit Controls
For additional information on entering long and short quantity and values, refer to: ICC Calculation or Configuring InlineCredit Controls
l CME Globex / CME Direct Trading
Modifying Product LimitsAccount limits can be modified for individual CME Globex, CME ClearPort and CME Direct futures and options products assigned to anaccount. Trader administrators can view and set product specific limits using the Credit Controls functionality.
NOTE: At least one Market Permission must be Specific with one assigned product .
a. Account Setup
b. Market Permissions
c. Permissible Products
d. Broker Permissions
e. Confirm account setup
f. Setup Limits (Credit Controls)
To set product limits:
1. Locate the account using steps 1 through 4 of the Credit Controls account search.
Futures and options products appear on the Account Credit Control screen.
2. Select the CME Globex Trading or ClearPort Clearing tab (if applicable).
3. On the Permissible Products drop-down menu, select Show products with individual limits or Show all products tradable in thisaccount.
Note: For options,Max Qty Long andMax Qty Short are calculated for the futures equivalent quantity of options.
4. Click Edit.
5. Modify the limits:
l Credit limit - For the entire account. Entered values are reflected in millions
Example: Entering a value of 5 is equivalent to an overall credit limit of $5 million (USD).
l Maximum quantity long and / or short - Per product. The following formula applies to options:
l Long Qty Usage (Options) = Working Long Calls + Traded Long Calls + Working Long Puts + Traded Long Puts – (TradedShort Calls + Traded Short Puts).
l Short Qty Usage (Options) = Working Short Calls + Traded Short Calls + Working Short Puts + Traded Short Puts –(Traded Long Calls + Traded Long Puts).
6. To finalize, click Submit.
Note: If initially setting up an account, confirm the account setup.
Calculation Option LimitsSetting limits for options products is optional. If no limit is set, trading may occur up to the futures limit. Risk controls do not allow fortrading only in options. The underlying future must have a non-zero quantity limit. Options are converted into futures equivalentquantities by applying the delta. When an options limit is “zero” and the underlying future has a quantity limit or displays “unlimited”,options trading may occur (subject to the Futures product and/or margin limits).
Example:
l Account: ABC
l Credit Limit: $5,000,000
l Eurodollar Futures Max Long Quantity Limit: 10,000
l Eurodollar Futures Max Short Quantity Limit: 10,000
l Eurodollar Options Max Long Quantity Limit: 20,000
l Eurodollar Options Max Short Quantity Limit: 20,000
l Avg. Maintenance Margin Rate for Eurodollars: $400
The order is entered as:
l Buy 10,000 Eurodollar DEC14 9950 Straddle
l GEZ4 9950 Calls (.51Δ)
l GEZ4 9950 Puts (.49Δ)
Note: The example assumes there are no existing fills or orders for the account.
Futures
Max Qty Short Usage = Buy Puts (10,000*.49) = 4,900
Options
l Max Qty Long Usage = Buy Call (10,000) + Buy Put (10,000) = 20,000
l Max Qty Short Usage = 0
l Margin Usage = 5,100 * $400 = $2,040,000
Editing CME ClearPort / CME Direct limitsTo edit CME ClearPort / CME Direct limits:
Accounts must be configured with at least one Specific Market Permission.
1. Select the Trading Platform (ClearPort Clearing / Globex Inline Credit Controls / Globex Trading ) tab, then select Edit.
2. Enter the overall RAV / Credit Limit.
3. On the Permissible Products drop-down menu, select Show all products with unique limits or Show all products tradable in theaccount.
4. Update product level permissible limits, as necessary(Max Qty Long / Short, Net Fills, % of Max Long / Short Qty Used, WorkingLong / Short, Net Fills Working Long / Short).
5. Click Submit.
For editing Globex Inline Credit Controls, refer to Inline Credit Controls.
Note: For additional information, refer to: Modify position limits for individual futures and options products
Additional Options:De-activate the account
Use the Activate / Deactivate button in the Account Credit Control Limits header.
Only Clearing Member Firm Administrators can Deactivate accounts at firms which they are authorized to modify.
Example: An account entitled for ClearPort and Globex cannot be deactivated by an account that is enabled for Globex accounts only. Anaccount at entity1 cannot deactivate an account at entity2, if entity2 is not an execution firm that clears trades through entity1.
Configuring LCE Limits and SettingsUsers with LCE entitlements can manage LCE limit, alert and notification settings of Clearing member firms at which they are an assignedadministrator. Separate configuration settings can be entered for House and Customer accounts.
To configure LCE Settings:
1. From the CME AccountManager menu, click Credit Controls tab.
The Account Credit Control List page appears.
2. Enter or select account search criteria.
For Limit Type, ensure LCE is selected.
3. Click Search or press Enter.
The list updates with matching clearing firm and summary PnL limit details.
l Clearing MemberLimit Type
Previously called Account Type. Users can only view LCE's to which they are assigned entitlements.
l Clearing Acct
l Trading Acct
l Legal Clearing Entity (LCE) - The Clearing firm which legally guarantees trades executed for a single ExecutingFirm on CME Globex. The clearing firm may clear products from a single or multiple exchanges.
l Origin
l IRMA PnL
l CME ClearPort, CME Globex and Inline Credit Control risk limits.
CME Direct Credit ControlsThe CME Direct credit control system has two main enforcement categories. Initial permissioning and “fat-finger” controls are checkedto ensure that:
l The account on the order is active
l The account is authorized to trade the product
l The broker or trader is authorized to use the account
l The order is within the order size and price deviation limits placed on the user by the clearing firm or trading firm.
Additionally, the following credit and position limit risk checks are performed in CME Direct for each “order request” (i.e., a new orderor order modification having an increase in quantity), to ensure that:
1. The order request will not result in a breach of any long or short position limits set on the future product.
Note: An option order request is converted to a futures equivalent order using the option’s delta value and checked againstposition limits set on the underlying future product (if any).
2. The order request would not result in a breach of the account’s overall credit limit (margin limit).
3. An option order request will not result in a breach of any long or short position limits set on the option product.
Note: This position limit only controls the number of outright long or short options and is effective only as a secondary limitationto an account’s risk, with the limitations described in 1 and 2 above being primary.
4. If an order request has a time-in-force of a “Good ‘Till” date beyond today’s trade date, then the order is checked to ensure itwill not result in a breach of any limit set on the account when the account’s positions are reset to zero (flat) for tomorrow’s(futures) trade date.
Accounts position limits are reset to zero, at 4:07 PM CST daily, including holidays and regular market closure (when trading issuspended).
The order request must pass:
l All of the limits set on it by the clearing firm admin
l AND pass at least one of the following:
l The futures position limit described in (1) above
l The overall credit limit described in (2) above
It is not sufficient to pass only the option position limit check described in (3) for the option order request to be accepted. Iflimits are set on the underlying future as well, then the future position check should be also performed. Additionally, if the orderis a Good ‘Till order, it must pass the Good ‘Till order test described in (4).
The following are applicable to the CME Direct credit and position limit risk checks:
l CMED deltas get re-queried every 1 minute and delta prices are being re-calculated every 5 minutes for all open orders;
l Margins are loaded once a day (beginning of the trading day). Margins are also visible for the customers in CME DirectTrading Client (instrument details view).
Available functions:
l Risk Control Algorithm
l Processing Orders
l Processing Trades
l Calculating Positions and Exposure
Special Option ProductsThe following products should not use the underlying firm's contract multiplier in converting to equivalent futures positions.
Instrument Name Instrument Code
Natural Gas Option on Calendar Future Strip Option XNYM-A6J XNYM-A6J
Risk Control AlgorithmThe basis of the risk control algorithm, for both position and margin limits, is to determine the maximum long and short positionexposures, per product, that may occur in an account given the current working orders and trades that have already occurred in theaccount for the session.
Consider the following formula:
ProductA Long Exposure = Working Long Orders ProductA + Traded Long ProductA – Traded Short ProductA
ProductA Short Exposure = Working Short Orders ProductA + Traded Short ProductA – Traded Long ProductA
The account is driven as long as possible and then as short as possible and these extreme position values are tested against any productposition limits that may exist. These extreme long and short positions are also used as the basis upon which to derive a marginrequirement for the account. In general terms, the larger of the margin that results from driving an account to its maximum long andshort exposures in each product is selected for each product, then these per product margin requirements are summed to arrive at theaccount’s overall margin requirement.
The following algorithm is a generalization of the process of calculating an account’s margin requirement. The details of the calculation,including how to calculate each product’s maximum margin requirement is described in Calculating Account Credit Exposure.
Processing Orders for Working Long and ShortA key aspect of understanding how the maximum position and margin exposures are calculated is to understand how working orders aretreated. Essentially, all working orders are expressed in cleared contract futures equivalency, where option working quantity is treatedas futures equivalent quantity using the option’s delta and added to the future’s working quantity to obtain a working long delta andworking short delta quantity per futures contract. Consider the following examples of converting orders to working quantity.
Future Outright OrdersThe formula for future outright orders is a straightforward calculation.
Formula for computing the working quantity for future outright orders:
Working long or short quantity=order quantity*instrument' s contract multiplier
Note: The contract multiplier is an attribute of the contract and is represented in the security definition message. It is used to calculatecleared contract quantity.
Example:
Buy 10 NNF7 futures at $5.40
The formula is expressed as:
Working long NNF7 =10*31 = 310
Note: Some products, such as the Henry Hub Swap (NN), trade such that a 1-lot traded on Globex actually clears with a different quantitythan the traded quantity. These contracts are generally referred to as “variable quantity contracts.” An instrument’s contract multiplier ismultiplied with the working or traded quantity to determine the cleared contract equivalence of the order or trade. Our risk algorithmsalways use the cleared contract quantity version of the working or traded quantities.
Futures Intra-Commodity Spread OrdersFor calculation purposes, the legs of intra-commodity spread orders are treated as “fractional outright futures orders”, i.e., they arediscounted quantities, so that the buy leg can be treated independently from the sell leg of the spread. Since the algorithm drives theaccount as long as possible and as short as possible by trading out the working longs without the working shorts and trading out theworking shorts without the working longs, we reduce the buy and sell-side quantities of intra-comodity spread order by 85% to accountfor the fact that the spread leg trading out will only ever create a margin charge of 15% of the outright future margin charge. Therefore,when the algorithm assumes that the buy leg trades out without the sell leg trading out, (and vice versa) a position impact of long .15 iscalculated in the futures contract per 1-lot spread quantity, resulting in the correct margin impact of 15% of a future’s outright margin.
Formulas for computing Futures Intra-Commodity Spread order working long:
UnweightedWkingLong = spread order qty * leg's contract multiplier
UnweightedWkingShort = spread order qty * leg's contract multiplier
ResidLong = if(UnweightedWkingLong > UnweightedWkingShort,UnweightedWkingLong - UnweightedWkingShort,0)
ResidShort = if(UnweightedWkingShort > UnweightedWkingLong,UnweightedWkingShort - UnweightedWkingLong,0)
WeightedWkingLong = Min(UnweightedWkingLong,UnweightedWkingShort) * .15 + (ResidLong)
WeightedWkingLong = Min(UnweightedWkingLong,UnweightedWkingShort) * .15 + (ResidShort)
Example:
Buy 10 NNF7/NNM8 at $0.50:
UnweightedWkingLong = 10 * 31 = 310
UnweightedWkingShort = 10 * 30 = 300
ResidLong = if(310 > 300,310 - 300,0) = 10
ResidShort = if(300 > 310,300 - 310,0) = 0
WeightedWkingLong = Min(310,300) * .15 + (10) = 300 * .15 + 10 = 45 + 10 = 55
WeightedWkingShort = Min(310,300) * .15 + (0) = 300 * .15 + 0 = 45
All spread orders that have quantities on the buy-side and sell-side of the same product but in different expiries are treated as “intra-commodity” spread orders, e.g., calendar spread, butterfly spread, strip spreads, certain UDSs, etc.
Option Outright OrdersTo determine the working long and short quantity for an option order, the option is converted to a futures equivalent order using theoption’s delta value.
The futures equivalent order is then processed as an outright futures order. The following table describes how it is determined whetherthe option order updates the working long or working short in the underlying product to the option.
Order Side Option Type Working Long Working Short
Buy Call X
Buy Put X
Sell Call X
Sell Put X
Formula for computing working futures quantity for option outright instruments.
Working futures long / short for option order =Order Quantity * delta * underlying instrument's cont mult
Example
Sell 100 LOZ6 45.00 Puts at $15.00
Working long CLZ6 = 100 * .55 * 1 = 55
Exceptions:
A list of options that should not apply the underlying instrument’s contract multiplier when calculating the futures equivalency of theoptions order is detailed at: Special Option Products.
Option Spread Orders (UDSs, Covereds, Combos, etc.)When a user enters an option spread order, the system converts each option to an equivalent futures position using the options’ deltasand underlying future’s contact multiplier. The futures equivalent quantities of each contract are then summed to determine a single netfutures equivalent quantity for each underlying contract (for any one contract buyer or seller).
Example
A spread order is entered with legs to:
l buy 20 LOM3 99.00 Calls (Delta = .50),
l sell 10 LOM3 100 Calls (Delta = .30)
l buy 10 LON3 99.00 Puts (Delta = -.50), t
These option legs will then result in the following NetWorking Futures Equivalent Orders in the 2 underlying contracts:
Leg-Level Option Order Equivalent Futures Order Delta Impact Net Working Order per Contract
Buy 20 LOM3 99.00 Calls (Delta = .50) Buy 10 CLM3 +10
Sell 10 LOM3 100 Calls (Delta = .30) Sell 3 CLM3 -3 Buy (Long) 7 CLM3
Buy 10 LON3 99.00 Puts (Delta = -.50) Sell 5 CLN3 -5 Sell (Short) 5 CLN3
Using the NetWorking Orders per Contract (including any futures orders due to the option spread being a Covered), the systemidentifies intra-commodity spreads present and charge a working spread quantity for the spreads. Any residual outright volume in thecontract should be included in the total working long or short quantity for the contract.
Example: If the spread charge for the system is configured as 15% for futures calendar spreads, then the following working quantitieswould result from the orders given above:
Net Working Order per Contract Spreads Residual Outright Spread Working Qty Working Qty From Total Working
Buy (Long) 7 CLM3 5 2 .15 (5 x .15) = .75 2 Long 2.75 CLM3
Sell 5 CLN3 5 .15 (5 X .15) = .75 0 Long .75 CLN3
In all complex option orders, the calculations are performed at the individual leg level. For orders on option spreads, the table belowshows how the working side of the leg within the order is determined:
Spread Order Side Option Type Leg Side Working Side
Buy Call Buy Long
Buy Call Sell Short
Buy Put Buy Short
Buy Put Sell Long
Sell Call Buy Short
Sell Call Sell Long
Sell Put Buy Long
Sell Put Sell Short
Example
Create UDS (LO WTI Am Option +1 Apr15 76.50 C, -1 Apr15 77.00 C, -1May15 78.50 C)
Place Buy 150 LO WTI Am Option +1 Apr15 76.50 C, -1 Apr15 77.00 C, -1May15 78.50 C
The following working quantity for CLJ5 and CLK5 should result: (Note*: contract mult of CL = 1).
Order Side OptionType
Leg Side WorkingSide
Delta FuturesEquivlt
Net perContract
Spreads Working Qty
Buy Call Buy 150 LOJ576.50
Long .60 +90
Buy Call Sell 150 LOJ577.00
Short .40 -60
Netted FuturesEquivalent Order
CLJ5 Long +30 30 30 * .15 = 4.5
Buy Call Sell 150 LOK578.50
Short .30 -45
Netted FuturesEquivalent Order
CLK5 Short -45 30 30 * .15 = 4.5 + remaining qty(15) = 19.5
Processing TradesWhen trades involving futures products are processed, the traded quantity should be calculated as:
Traded Quantity = Execution quantity * contract multiplier
Discounts that are given to the working quantities of calendar spread order legs should not apply to the traded quantity of the intra-commodity spread fills. This is because the algorithm will recognize the intra-commodity spreads within the net traded quantities for allcontracts belonging to a given product and a discount will be given at that time for margin purposes.
Example:
Enter order to buy 10 NNF7/NNM8 at $0.50
This results in the following working order quantities:
Working long NNF7 = 10 * 30 * .15 = 45 + (10 * 1) = 55
Working short NNM8 = 10 * 30 * .15 = 45
Assume the order executes for 5 lots. The following Traded Long and Traded Short quantities should result in the account:
Traded Long NNF7 = 5 * 31 = 155
Traded Short NNM8 = 5 * 30 = 150
The working order quantity should be adjusted to
Working long NNF7 = 5*30* .15 + (5 * 1) = 27.5
Working short NNM8 = 5*30* .15 = 22.5
If this was the only trade in the account for the day, the account would have a “Net Long Contract Position” of 155 in NNF7 and a “NetShort Contract Position” of 150 in NNM8.
Note: All trading activity in any individual contract, for example, NNF7, should be counted in “cleared contracts” and netted to a singlelong, short or flat position in the contract.
From the net long and short contract positions, the margin calculation algorithm will recognize 150 intra-commodity (or “calendarspreads”) and charge the account a spread margin rate on the 150 calendar spreads and an outright margin rate on the residual 5 lotslong.
Example: If the margin rate on NNF7 was ($337) and NNM8 was ($275), the the spread charge for the trades would be the greater of(150 * 337 * .15, 150 * 275 * .15) = $7582.50 PLUS the residual outright long 5 * 337 = $1,685 for a total of $9,267.5. This is equal to theworking long in NNF7 (27.5 * 337) = $9,267.5.
The margin impact of the working calendar spread Long and Short quantities are equivalent to what will be charged for the spread whenit becomes a traded position.
Summary of Calculating Max Possible Long (Short) Product PositionProduct working and traded quantities are computed by summing the contract quantities for each product on each side.
l ProductWorking Long = Sum of all open order working long quantities on all contracts belonging to the product
l ProductWorking Short = Sum of all open order working short quantities on all contracts belonging to the product
l Product Traded Long = Sum of all Traded Long quantities for all contracts belonging to the product
l Product Traded Short = Sum of all Traded Short quantities for all contracts belonging to the product
l Product Max Possible Long = ProductWorking Long + (Product Traded Long – Product Traded Short)
l Product Max Possible Short = ProductWorking Short + (Product Traded Short – Product Traded Long)
Product Max Possible Long (Short) is compared to the Max Qty Long (Short) Limit set for the product, if any, to determine if the orderrequest is within the product’s position limit.
Calculating the Account Credit ExposureFollowing is a description of current methodology for calculating an account’s credit (margin) exposure.
Note: Excel Spreadsheets examples appearing below may be downloaded.
Step Action
1 For each product with trades in the account, the net positions at the contract levelare maintained as indicated as Net Long Contract Position (NLCP) and Net ShortContract Position (NSCP) in columns “I” and “L.”
l There should only ever be a net long contract position, net short contractposition, or flat position per contract.
l These positions include all trades in the future contract, whether from out-rights, spreads, strips, or UDSF, and the futures equivalence of all options.
2 The minimum of the (sum of NLCP, sum of NSCP) for all contracts in the productyields the number of calendar spreads that should be removed from the account’sexisting position.
l In the example below, it is 128, as derived from Min (170,128).
3 Starting at the most prompt contract expiry and moving sequentially to the nextmost prompt expiry, the number of spread legs that may be removed from the netposition in the contract for both the NLCP and NSCP is identified. In the examplegiven, 128 spread legs are identified in the most prompt contract, CLK3 on the Longside and 75 legs in CLM3, 50 legs in CLN3 and 3 legs in CLQ4 on the Short side.
l See columns H & I, row 3 for buy legs
l See columns L & M, rows 4, 5 and 7 for sell legs
4 Each identified spread leg’s quantity is multiplied by (Spread % Charge x OutrightContract Margin) to determine the Side Spread Charge for the spread leg. Forexample, the Long Side Spread Charge for the 128 spread legs in CLK3 is equal to$86,400.
l Long Side Spread Charge = Row 3 (Column K x Column H x Column B).
l Short Side Spread Charge = Row 4 + Row 5 + Row 7 (Column K x Column Mx Column B).
5 The MAX of (total sum of all Long Side Spread Charges (86,400), total sum of all
Short Side Spread Charges (81,578) is taken to arrive at the Total Spread Charge(86,400). This amount will be charged to the account’s exposure requirement forfilled spread positions that exist in this product for the account.
Click the below image to view an excel spreadsheet that provides example Account Credit Exposure calculations, including formulas.
6 Calculate the Position Net of Spreads for each contract by subtracting the Long(Short) Spread Contracts from the Net Long (Net Short) Contract Position. This is theresidual position in the contract after the spread legs have been removed.
l Column F = Column I – Column H
l Column O = Column L – Column M
7 Determine the Max Possible Long (Max Possible Short) in each contract by addingthe Working Long (Working Short) to the Long Position Net of Spreads (ShortPosition Net of Spreads) and subtracting the Short Position Net of Spreads (LongPosition Net of Spreads).
l Max Possible Long (Column D) = (Column E + Column F) – Column O
l Max Possible Short (Column Q) = (Column P + Column O) – Column F
8 Sum the Max Possible Long (Short) for all contracts to arrive at the Max PossibleLong (Short) for the Product. In the example given, these values are 54 and 8,respectively. These are the values that should be tested against their respective MaxQty Long Limit or Max Qty Short Limit for the CL product.
9 Sum the product of each contract’s Max Possible Long and Contract Margin to arriveat a total Max Long Charge for the product, and, sum the product of each contract’sMax Possible Short and Contract Margin to arrive at the Total Max Short Charge forthe Product.
l Column C Row 8 = ∑ Column D * Column K = 235,000
l Column R Row 8 = ∑ Column Q * Column K = 28,500
10 Use the Max of (Total Max Long Charge, Total Max Short Charge) as the TotalOutright Charge for the product. (In the example given, Total Outright Charge =$235,000.)
11 The Total Outright Charge and the Total Spread Charge are summed to arrive at theTotal Product Margin Charge.
l Column D Row 11 = ($321,400)
12 Repeat Steps 2 through 10 for each product with either a) trades in the account orb) working orders in the account and then sum all Total Product Margin Charges to
determine the Account’s Credit Exposure value. In the examples given below,Account Credit Exposure = (321,400 + 879,491) = $1,200,891
Click the below image to view an excel spreadsheet that provides example Total Product Margin Charge for CL calculations, includingformulas.
Click the below image to view an excel spreadsheet that provides example Total Product Margin Charge for HO calculations, includingformulas.
Click the below image to view an excel spreadsheet that provides the results of an example calculation:
Calculating Option Position ExposureThe position limits that are set on option products in CME AccountManager should control the net long or short option position withoutregard to an option’s call or put designation and irrespective of an option’s futures equivalence, i.e., without consideration of the options’deltas.
The calculations to control the maximum long and short positions in options belonging to a product are as follows:
Max Qty Long = WBC + WBP + (Net Options)
and
Max Qty Short = WSC + WSP - (Net Options)
where:
l WBC = Working Buy Call Qty
l WSC = Working Sell Call Qty
l WBP = Working Buy Put Qty
l WSP = Working Sell Put Qty
l BCF = Buy Call Fill Qty
l SCF = Sell Call Fill Qty
l BPF = Buy Put Fill Qty
l SPF = Sell Put Fill Qty
l Net Options = (BCF+BPF)-(SCF+SPF)
Good 'til Order CheckingA Good ‘Till order requires a specific set of credit and position checking in addition to the normal checking that is performed for allorders. A GT order is an order with a time-in-force of either Good until Canceled (GTC) or Good until Day (GTD), with an expiration daybeing a future trade day. These additional checks are present to ensure that resting Good ‘Till orders don’t exceed the position or marginlimits the next trading day when ICC and/or CME Direct positions are reset to zero.
If a GT order passes all normal credit and/or position checking, based on the limits set for the account, then a second set of those samecredit and / or position checks should occur in which:
1. Only GT orders are considered to be working orders, and
2. The account is assumed to have a flat (zero) position in all contracts.
FX LinkCME FX Link is a spot FX basis spread, available from CME Globex, comprised of OTC FX and FX futures legs.
Firm administrators use the CME AccountManager - Spot FX function to manage the account configuration:
l Firm associations - linking.
l Authorize accounts to trade Spot FX basis spreads.
l Suspend Spot FX order entry.
l Central FX Prime Broker.
l Credit Limits Management - Set product level (currency pair) limits.l Credit limits, including quantity limits, are enforced real-time.l View cross product credit limit utilization by product (currency pair) or aggregate.l Cancel resting orders: Call CME Global Command Center.l Set up alerts to receive an email when thresholds of product limits are breached.
Spot FX Setup and ManagementPrior to accessing this function:
Onboarding:
To trade spot FX basis spreads, complete the Spot FX onboarding form:
l Request a Central FX Prime Broker to authorize your firm.
l Link Spot FX firm(s) to CME Globex Executing firm(s).
Note: Not required If a firm is registered for CME ClearPort or CME STP.STP authorized accounts can also receive trade confirmation messages by FIXML messages.
l Submit the completed form to CME Global Account Managment.
Setup / Confirm CME Group Login:
Credit Administrators must have a valid CME Group Login.
l CME Group Login is a self-managed, centralized user profile service that authenticates access to CME Group applications and ser-vices.
l If you have an existing Login ID, it can be authorized for FX Link access (proceed to the next step).
CME Account Manager functions:
C. Using the CME Group Login, go to CME AccountManager, then go to Spot FX.
D. Configure New Trading Firm(s).
E. Set Trading Firm limits, for authorized products.
F. Link Accounts to Trading Firms.
Optional:
Set alert notifications, which sends a notification when a selected percentage threshold is breached.
Roles / Firms / Accounts functionsl Spot FX Firm Administrator: Manage trading and execution firm configuration, product trading limits, Spot FX authorized
accounts, new order entry suspension, resting order cancellation.
l Trading Firm: Can have relationships with multiple Spot FX and Execution firms.
l Execution Firms: Can have relationships with multiple multiple trading firms, however, associated accounts must be unique tothe designated Spot FX firm.
l Accounts: Can only be linked ton one Spot FX firm.
Available FunctionsA. Spot FX Firm limits: View product limits for the entire Spot FX Firm and all associated Trading Firms.
B. Configuring / Linking Trading Firms.
C. Setting Trading Firm Limits.
D. Creating FX Link Accounts.
E. Suspend Trading Firm Order Entry.
F. Product (Currency Pair) Level Limit Monitoring.
G. Cross Product (Currency Pair) Level Limit Monitoring.
Additional ResourcesInformation
For CME Globex impacts, onboarding, Spot FX credit limit methodology, quotation and product specifications, refer to the CME FX Linkwebpage.
24 Hour Trading Support
Phone and Email: Global Command Center
Onboarding / CME Account Manager
Phone and Email: Global Account Management
Post Trade Messaging / MQ / Traiana Connectivity
Phone: 312 207 2525 (US)
Phone: +44 20 3379 3198 (London)
Phone: +65 6593 5591 (Asia)
CME STP
Email: [email protected]
Configuring / Linking Trading FirmsThe following instructions illustrate the process to access Spot FX functionality to configure Trading firms (account owner) and Executionfirms (submits FX Basis Spread orders).
To configure new Trading Firms:
1. Click the Spot FX tab, then select the Spot FX Firm.
Note: If only one firm is available, it is selected by default.
2. To create Spot FX and Trading Firm link, select Associate Trading Firm.
3. Select a Trading Firm, or use search to filter available selections.
As you type, trading firms appear in a list; select from available options.
l Registered firms appear as black text, and can be set up to receive STP trade execution messages.
Note: To receive CME STP messages, firms must be registered before linking firms and creating accounts.
l Unregistered firms appear in purple text and require verification of additional details. Enter the trading firm, then pressEnter, then specify:
l Primary Business Activity: required
l Firm LEI: optional - Must be 20 alphanumeric characters
l Country of Origin: required
l To complete manual firm linking, select Save.
The new firm appears italicized.
4. On the Trading Firms screen that appears, Select, Add, then Save Execution Firms.
Note: To filter firms, enter characters in the Text Search field.To add / remove multiple selections, press CTRL+Click or Shift+Click firms.
Next StepsAfter associating Spot FX Trading and Execution Firms:
A. Set Trading Firm product limits; long and short notional product level limits for each Spot FX firm that will be enforced.
B. Create, then Associate accounts authorized to submit Spot FX Basis Spread orders.
Removing Linked Firms and AccountsThe following instructions describe the process to delete associated execution firm accounts, which must be done prior to removinglinked trading firms.
Trading firms with a delete ( ) icon are not linked to accounts and can be removed directly. For instructions, go to step 4.
1. Select Accounts tab, then Search for the execution firm account.
2. From the Account Information: View page, select Delete.
3. On the Delete dialog that appears, confirm the Deletion.
4. Select the Spot FX tab, select the Spot FX Firm, select a Trading Firm, then select Remove Trading Firm Link ( ) button.
5. On the confirmation dialog that appears, confirm the deletion; by selecting Yes.
Setting Product LimitsUsing the Spot FX risk settings functionality, Spot FX firm administrators can set Trading Firm product limits; long and short notionalproduct level limits for each Spot FX firm that will be enforced.
Default limits are set to zero, which do not permit order submission.
The following instructions describe the process to view and set product limits.
To add products and specify limits:
1. From the Spot FX page, select a Spot FX Firm, then select a linked Trading Firm.
2. On the Trading Firm Limits page, move the mouse pointer to a product, then select Edit Limits (pencil ).
3. For selected Currency Pair Products, enter notional (Long / Short) limits.
l The number of spreads, which have an equivalent net contract equivalent and notional currency value.
Note: Entered quantities refer to the number of spreads, which have an equivalent net contract equivalent and notional currency value.For spread construction examples and calculation guidance, refer to the CME FX Link: CME Globex Impacts, quotation guide.
4. To accept entered quantities, select Submit Changes ( ).
Next StepsAfter setting product limits, Create, then Associate Accounts (with Trading and Execution firms); authorized to submit Spot FX BasisSpread orders.
Creating FX Spot Enabled AccountAfter specifying firm / entity associations and setting product limits, Spot FX Firm Administrators must create Spot FX enabled accounts.Accounts must be unique to Spot FX Firms.
The following instructions describe the process to create accounts and associated with trading / execution firms. Prior to creatingaccounts, Spot FX, Trading and Execution firms must be created and associated (linked).
To Create a FX Enabled Account:
1. Click the Accounts tab, then select Create New.
2. Specify Account details:
Refer to the below field descriptions.
A. Clearing Member / Spot FX Firm: Select a Spot FX Firm; the field label will update to Spot FX Firm and additional fieldswill be available / arranged for further specification.
B. Account Owner: Select the associated FX Link Trading Firm.
C. Account Number: The account that will execute the future leg; must be unique per Spot FX Firm; unique identifier thatidentifies the Spot FX firm account.
D. Execution Firm(s): Select and Add firms associated with the account.
E. Spot FX Reference Number: (optional) External reference number.
F. Account Description
G. Asset Manager (Controller)
H. Customer / House: Select House (required).
I. CTI Code
J. Portfolio Margin Futures
K. Delegated Intermediary
3. SelectNext, on the Account Confirmation page, select Create as Active.
Suspending Order EntryTo suspend order entry privileges:
The following instructions describe the process to Suspend Trading Firm Order Entry.
1. Click the Spot FX tab.
The Spot FX page appears.
2. Select a Spot FX firm.
3. From the Trading Firms select Suspend Order Entry for the firm you want to restrict.
Note: To find a specific PB Firm, enter search criteria, then press Enter.
Suspends trading privileges, including new order entry, for the Trading firm and linked execution firms and accounts; currentand future.
Note: Allow Order Entry:To permit order entry submission, select Allow Order Entry, then confirm on the confirmation dialog.
Cancel working ordersTo cancel working orders, an authorized Spot FX Firm Administrator must contact the Global Command Center.
You will be asked to provide your CME Group Login ID and the associated Trading Firm.
After identity verification, the GCC can cancel resting orders, for all accounts for the associated Trading Firm.
Spot FX Central Prime Broker AdministratorUsers with Central FX Prime Broker Administrator entitlements can monitor Trading Firm credit utilization at FX Prime Broker firms andoptionally suspend Order Entry for their Spot FX firm, including linked trading and execution firms.
To view Spot FX credit utilization:
1. From the CME Account Manager application, select the Clearing Member Risk Manager tab.
This page lists credit utilization by FX Prime Broker firm, overall limit, amount and percentage of overall limits.
2. To view cross product (currency pair) exposure, select View Spot FX Total Usages.
Results list Spot FX (FXPB) firms with detailed credit utilization information.
To suspend order entry privileges:
The following instructions describe the process to Suspend Trading Firm Order Entry.
1. Click the Spot FX tab.
2. Select a Spot FX firm.
3. From the upper pane of the Spot FX limits page, select Suspend Order Entry.
Suspends trading privileges, including new order entry, for the Spot FX firm and all linked trading / execution firms and accounts;current and future.
Note: Allow Order Entry:To permit order entry submission, select Allow Order Entry, then confirm on the confirmation dialog.
Currency Pair Level Limit MonitoringUsing Limits Monitoring functions, Central FX Prime Broker firm administrators can view overall credit usage and by product (currencypair).
Referenced products refer to Spot FX basis spreads, with legs that consist of OTC FX and FX futures
Monitoring options include:
l Product (Currency Pair)
l Cross Product (Currency Pair)
To modify long and short product (currency pair) exposure, refer to Setting Trading Firm Limits.
To view Trading Firm limit usage:
1. Click the Limits Monitoring tab.
2. If the Login ID is also used to managed futures, select the CME Globex ICC tab.
Otherwise, limits information appears below.
3. (optional) Specify search filters:
l Execution Firm: View activity for a given execution firm.
l Threshold: Select an operator, which is compared to the selected percentage and returns results matching the equation.
l >: Greater than
l >=: Greater than or equal to
l =: Equal
l <: Less than
l <=: Less than or equal to
l Percentage: 50-100, in increments of 10.
4. Select Search.
Results appear on the CME Globex ICC pane.
A. Trading Firm / Account Level limits.
B. Product (currency pair) Short / Long Notional limits.
C. % and amount of used limit, of the maximum limit.
D. User created threshold notifications: Activated threshold alerts appear orange.
View Spot FX Trading Firm Total UsagesAn additional report is available to view non-enforced cross currency pair exposure for a given Spot FX firm and associated trading firms.
To access this report, select the link from the CME Globex ICC pane.
If the selected firm does not have positions or the trading sessions is closed, results will not appear.
A. Reference Limit: Hypothetical maximum desired exposure for a given counter party, aggregated from all net product (currencypair) exposure.
This limit is not enforced and the Trading Firm limit is manually set.
B. Max Limits Across Products: The aggregate maximum limit for all individual product (currency pair) limits.
Calculated as the sum of each currency pair level limit; based on the maximum long or short limit for each product (currencypair).
C. Exposure: The sum of the aggregate value of all individual product (currency pair) exposure, which represents the sum of thenet exposure for each product.l Total Long Exposure: Sum of the long net exposure for all products (currency pairs).l Total Short Exposure: Sum of the short net exposure for all products (currency pairs).
D. % Limit Usagel % Reference Limit Usage: Total Exposure / Reference Limits.l % Max Actual Limit Usage: Total Exposure / Maximum Limits.
Inline Credit ControlsCME Group offers optional, pre-trade risk management capability through the Inline Credit Controls (ICC); allowing Clearing Member andExecuting Firms to set daily position limits for CME Globex, per product, at the account level. Orders are evaluated and processed on anin-line, pre-execution basis.
l Daily quantity position limits are applied per product at the account level.
l Positions reset to flat at the end of the day.l Good 'Til Cancel (GTC) and Good 'Til Date (GTD) orders roll-over and are calculated in the next trading day’s working orders.
l No latency differential; all Globex orders are subject to the same ICC processing, whether accounts are registered for ICC.
Available functionality:
From Friday 7:00 PM EST through Sunday 1:00 PM EST, CME AccountManager undergoes scheduled maintenance. During this period,view and configuration functionality is not accessible.
l Admin Settings: Clearing and Execution firm-wide administrative configuration, including Policy and Alerts.
l Accounts: Create ICC enabled accounts. Authorized administrators can enable existing accounts for ICC.
l Credit Controls:l Set ICC product limits.
Clearing Member and Executing Firm Risk Administrators can view, but cannot update the others' account limits.
The most restrictive limit applies to orders.l Suspend execution firm order entry.l Download ICC configuration to a .csv file, to facilitate multiple account, product, policy, alert updates.
l Upload: From an updated .csv file update multiple Account, Credit Control, Alerts, Policies.
l Audit Trails: View historical configuration updates.
l Alerts: For a given account, configure email alerts when a threshold (of overall account / product limits) breach specified limits.
Example: When an account breaches 80% of a given risk limit (credit or product), send an email to up to specified recipients.
ICC Video tutorials: This video Illustrates the process to create / manage ICC enabled accounts and set / update product limits;including the ability to upload updates for multiple accounts or products.
Managing Inline Credit ControlsICC is an optional risk management function that is used by Clearing Member Firms (CMF) and Executing Firms (EF) to set daily positionlimits for CME Globex orders, per product, at the account level. Each order will be checked on an in-line, pre-execution basis.
l CMF officers authorize CMF admins, who can set up additional admins.
l EF officers authorized EF admins, who can set up additional EF adminstrators and identify the trading firm owner of the account.
l To control the risk-checking behavior for non-registered accounts and registered accounts that have no configured limits, defaultlimits, settings and alerts may be set for each EF that is associated to one or more of accounts.
l Configuring Inline Credit Controls: Accounts are created, their limits and policy settings are managed by CMF / LCE and EFadmins. Only product-level position limits may be set.
l Notification alerts: If percentage thresholds of risk limits (as configured by account administrators) are breached, e-mail noti-
fications are sent to account administrators.
l Basis Trade at Cash Open (TACO) products operate on unique contract terms and trading schedule.
After trade execution (fill), positions are reset as specified in the Client Systems Wiki - Basis Trade at Cash Open.
Using the Inline Credit Control functions users can:
l View limits for Globex ICC enabled accounts.
l Entering Inline Credit Controls
l Suspend order entry for an execution firm
l Download current limits for an account; as a template for updating multiple product limits by upload.
l Upload a spreadsheet to update multiple products entitled to a particular account.
ICC Video tutorials: This video Illustrates the process to create / manage ICC enabled accounts and set / update product limits;including the ability to upload updates for multiple accounts or products.
Viewing CME Globex Inline Credit ControlsInline credit control account information, including Limits, is accessible after performing a search from the Credit Controls function.
To view CME Globex ICC enabled accounts:
1. From the Credit Controls page Account Type field, select Clearing Account.
2. From the Service field, select ICC.
3. To refine results, specify additional fields.
4. Conduct the search by pressing Enter or click Search.
5. From the list of matching accounts, select the blue hyperlinked Account Number.
Upon selection, the Account Credit Control page appears, from which the account configuration can be viewed and (for certainusers) edited..
Additional FunctionsFrom the Account Credit Controls page, additional functions can be performed:
A. Activate / De-activate an Account.
B. Suspend / Allow execution firm order entry.
C. Download / Upload product limits.
D. Filter products - Available selections appear as you type.
E. Manage limits.
Configuring Inline Credit ControlsUsing the Credit Controls function, authorized users can configure optional Inline Credit Controls and add additional executing firms touse the account.
In addition to viewing limits, authorized administrators can configure and update Globex ICC account and product limits.
Clearing Member Firms (CMF) / Executing Firms (EF) can register accounts and set limits:
l CMF and EF admins can view the other’s account limits. For submitted orders, the more restrictive limit applies.
l CMF and EF admins cannot change the other’s limit.
Adding ICC to accounts (Platform / System)
l Existing accounts: Assign ICC entitlements and product limits.
l New accounts: Create account, assign ICC entitlements, configure product limits.
ICC Video tutorials: This video Illustrates the process to create / manage ICC enabled accounts and set / update product limits;including the ability to upload updates for multiple accounts or products.
To configure CME Globex ICC position limits:
1. From the Credit Controls page, search for an ICC authorized account.
l Entity Type: Clearing Acct
l Service: ICC
l Account Number
2. Conduct the search by pressing Enter or select Search.
Note: Search results detail summary limit settings, by trading service, and whether accounts are agency cross enabled, portfoliomargin futures enabled and DI accounts.
3. From the search results, select a blue hyperlinked Account Number.
If it is not already selected, select the Globex Inline Credit Control tab.
Note: To download a spreadsheet of current limits for an account, click the blue highlighted number in the Inline Credit Control- # of Products column. From this spreadsheet you can update then upload CME and EF limits for multiple products.
4. On the Account Credit Control page that appears, for the selected account, select the Execution Firm which the account forwhich they will submit orders.
5. To view additional products, deselect Show Products with individual limits only, which updates the list with all permissibleproducts. and allows specification of product limits.
l Green - Enforced limits.
l Orange - Actual limits, that indicate the limit is not yet effective.
l Not set - Uses default behavior specified in the ICC policy settings. , which are managed by clearing member firm admin-istrators.
6. Move the mouse pointer to a row and select Edit Limits ( ).
Note: For additional information and calculation examples refer to Inline Credit Controls Calculations.- ICC / CMED.
7. Enter Max Qty Long / Short Limits, then Submit ( ) or Cancel ( ) edits.
Updated limits are effective on the next entered order , and / or the next market open.
8. To update additional firms, select from the Execution Firm drop-down menu or perform another search.
Additional functions:
l Configuring ICC Policy
l Configuring ICC Alerts / Notification (Screen / Upload)
Suspending Order EntryUsing the Suspend Order entry feature, authorized firm administrators can restrict the ability of execution firms to enter or modifyorders, with the exception of canceling orders.
This does not update limits, once execution firm privileges are allowed, order entry can be resume.
To suspend order entry for an execution firm:
1. From the Credit Controls page, search for the account to configure.
l Entity Type: Clearing Acct
l Service: ICC
l Account Number
l Additional fields
2. Conduct the search by pressing Enter or select Search.
3. From the search results, select a blue hyperlinked Account Number.
If it is not already selected, select the Globex Inline Credit Control tab.
4. On the Account Credit Control page that appears, for the selected account, select the Execution Firm, then select Suspend OrderEntry.
5. On the confirmation dialog that appears, verify the Execution firm and account number, then selectOK to continue.
Order entry for the execution firm is suspended, which is also indicated by a status message.
6. To allow a order submission privileges for a suspended firm, after the issue has been resolved, refer to steps 1-5, select the Exe-cution Firm, then select Allow Order Entry.
7. On the confirmation dialog that appears, selectOK.
Downloading ICC Product LimitsUsing the Credit Controls, you can download account level product limits as a spreadsheet. To effect product limits for one or moreexecution firms, this spreadsheet can be updated and uploaded.
To download current limits:
1. From the Credit Controls page, search for an account.
2. For the Service field, select ICC.
Search results include summary risk settings, agency cross, portfolio margin futures and NCM configurations.
3. Select a download method:
l ICC Column: View current product limits for the entire account, including associated Execution Firms.
l Account Number: Select the Account Number and Execution Firm, then select the Download Current Limits to Spread-
sheet ( ).
Note: To view all available Products, clear the Show Products with individual limits only checkbox.
4. Update the spreadsheet, then use the upload function to submit.
Uploading ICC Product LimitsUsing the downloaded ICC account configuration spreadsheet, users can modify multiple ICC product limits.
Prior to uploading, review the download instructions, which describe the process to obtain ICC account configuration.
To manage exposure limits via upload:
1. Search and download the ICC Account configuration spreadsheet.
2. Open the spreadsheet by selecting the download icon ( ).
3. For the rows you intend to update, enter X in the ACTION column.
Note: The x indicates an update has been entered.Rows without an x will not be processed, even if information is updated.
Note: Uploads are limited to 20,000 records / rows per upload.To update additional records:-Remove the Action flag from initially uploaded records.-Mark subsequent records.-Repeat the upload.
4. Update long / short product limits, then save the file.
For additional information (with examples), refer to Calculating Inline Credit Controls Limits.
5. From the Account Credit Controls page, select an Execution Firm then click Upload Credit Limits ( ).
6. Navigate and choose the updated spreadsheet, then selectUpload & Verify.
The uploaded file is evaluated and validation dialog appears:
l Success: A confirmation message lists submitted updates, fields and values for each spreadsheet row.
l Failure: An error message appears, with recommended resolution.
Note: When uploading after an error, selectNew then choose the updated spreadsheet.
7. After receiving a successful validation message, select Submit.
Additional functions:
l Alternate ICC limit updates: Upload tab > ICC_Limits.
l Upload multiple account updates: Including new account creation
l Manage ICC Administrative Alerts and Policies.
ICC AlertsUsing the Alerts function, clearing and execution firm administrators can view a list of accounts that have exceeded a configured alertthreshold for their account. In addition to the alerts function, individual email notifications are also sent to designated recipients.
By default all breached thresholds are shown.
To filter the list, specify an Execution Firm, Clearing Member and / or Reference number.
From the list, select a Reference Number to view a dialog with additional information.
Calculating ICC LimitsInline Credit Controls (ICC) support account-based, in-line, position limit controls for Globex orders, which are set by Clearing MemberFirm (CMF), Legal Clearing Entity (LCE) and/or Execution Firm (EF) account administrators.
l LCE Account admins associate a clearing account established in Account Manager to an Execution Firm ID and identify a tradingfirm owner for the account.
l Accounts are created by Clearing Member Firm, Legal Clearing Entity (LCE) or Execution Firm (EF) . Separate limits may be man-aged by both LCE and EF admins, with the most restrictive limits prevailing.
l Only product-level position limits may be set on accounts.
l Separate limits may be set for futures and options. Option limits are delta-based values.
l E-mail notifications will be sent out for breaches of percentage threshold levels set by account administrators.
l An upload of ICC accounts from an Excel spreadsheet will be supported for limits management within CME AccountManager.
See calculation examples.
Position Limit CalculationsThe position limit calculations are described below. Every ICC Account will start the new trading day with a flat position. Position are resetat 4:07 PM CST daily, including holidays (when trading is suspended). Accounts position limits are reset to zero, at 4:07 PM CST daily,including holidays and regular market closure.
Futures Max Long and Short Position Usage CalculationsLong Usage = Working Long + Traded Long – Traded Short
AND
Short Usage = Working Short + Traded Short – Traded Long
WHERE
l Working Long = Long quantity of open orders (in cleared contracts) + (Calendar Spread Order Quantities * 15%)
l Working Short = Short quantity of open orders (in cleared contracts) + (Calendar Spread Order Quantities * 15%)
l Calendar Spread Order Quantities = for each working spread order:
Note:• Long and Short Quantities in spread are after application of the leg ratios and applicable contract multipliers.• In the spread order, any residual leg quantity above the min quantity on the long or short side of a spread order is considered anoutright long / short quantity and is added separately to the working long / short side.• Only orders for futures contracts (i.e., futures or spreads) are considered for Working and Traded Quantities when testing againstFutures Max Long or Max Short Position Limits.• If Long Usage < 0, then Long Usage is displayed in CME AccountManager as 0. (Negative quantities are not displayed for Net LongPositions).• If Short Usage <0, then Short Usage is displayed as 0. (Negative quantities are not displayed for Net Short Positions).
Options Max Long and Short Position Usage CalculationsLong Usage = Working Long + Traded Long – Traded Short
AND
Short Usage = Working Short + Traded Short – Traded Long
WHERE
l Working Long = Futures Equivalence of (buy call/sell put) open orders (in cleared contracts) + (Futures Equivalence of Option Cal-endar Spread Order Quantities * 15%)
l Working Short = Futures Equivalence of (sell call/buy put) open orders (in cleared contracts) + (Futures Equivalence of Option
Calendar Spread Order Quantities * 15%)
l Option Cal Spread Order Quantities = for each working option spread order:
Note:• Long and Short Quantity in spread are after application of the leg ratios and applicable contact multipliers.• In the option cal spread order, any residual quantity (measured in Futures Equivalence) above the min quantity on the long or shortside of a spread order is considered outright long / short quantity and is added separately to the working long / short side.• Only orders for option contracts are considered for Working and Traded Quantities.• If Long Usage < 0, then Long Usage is displayed as 0 in CME AccountManager. (Negative quantities are not displayed for Net LongPositions).• If Short Usage <0, then Short Usage is displayed as 0. (Negative quantities are not displayed for Net Short Positions)
For details, see Calculations Examples.
Inline Credit Controls Calculation ExamplesAvailable examples:
Risk Control Algorithm
Futures Outright with Default Contact Multiplier
Futures Outright with Contract Multiplier not Equal to 1
Futures Spread
Option Outright
Options Spread
Risk Control AlgorithmThe risk control algorithm tracks the order size for each account at the product code level based on:
l Long Usage = Working Long + Traded Long - Traded Short
l Short Usage = Working Short + Traded Short - Traded Long
The available order size will be determined as follows:
l Long Order Size = Max Long Limit - Long Usage
l Short Order Size = Max Short Limit - Short Usage
The traded long and traded short positions are reset back to zero at the end of each day upon market close.
If the running long or short usage values for a product are such that it becomes less than zero, then the negative position will be used inthe calculation and stored by Account Manager, but Account Manager will display a zero for Long or Short negative usage value.
The risk control algorithm always breaks spreads down into legs and acts upon the legs of a spread, not the spread instrument itself.
The security type and spread type figure prominently in how the risk control algorithm tabulates usage values:*Delta is an option related statistic which is based on the price movements of the underlying future contract and plays an importantpart in determining the working position for options. Delta is used as a “hedge ratio” to determine the futures equivalence of theoption order. It is the futures equivalence of the option order that the Option Position Limits will apply to.
The value of the option delta is considered to one decimal place, such that the minimum delta applicable will be 0.1 and the maximumwill be 1. For example, a delta value such as 0.4985 is rounded up to 0.5.
Note: Delta values will be determined once, at the start of each trading session, and will remain stagnant during the trading session.
Futures Outright with Default Contact MultiplierThe futures outright calculation is based on order quantity and contract multiplier (Tag 231 in the 35=d security definition). Whereavailable the contract multiplier will be used otherwise it will just default to 1.
Note: The contract multiplier is used to converted traded quantity to cleared quantity.
Instrument GEZ1
Contract Multiplier 1
Max Long Limit (GE-FUT) 100
Max Short Limit (GE-FUT) 100
Example
Message Flow WorkingLong
WorkingShort
TradedLong
TradedShort
NetLongUsage
NetShortUsage
AvailMaxLongLimit
AvailMaxShortLimit
Comments
Buy NewOrder WithQuantity of 10
10 - - - 10 - 90 100 WL = 10 X 1 = 10
NL = 10 + 0 – 0 = 10
Avail Max Long Limit = Limit -(Working Long + Traded Long - TradedShort) 100 – (10 + 0 - 0) = 90
Avail Max Short Limit = Limit -(Working Short + Traded Short -Traded Long) 100 - (0 + 0 - 0) = 100
CancelReplace toQuantity of 20
20 - - - 20 - 80 100 WL = 20 X 1 = 20
NL = 20 + 0 – 0 = 20
Avail Max Long Limit = Limit -(Working Long + Traded Long - TradedShort) 100 – (20 + 0 - 0) = 80
Avail Max Short Limit = Limit -(Working Short + Traded Short -Traded Long) 100 - (0 + 0 - 0) = 100
Complete Fillfor Quantity of20
0 - 20 - 20 (-20) 80 120 NL = 0 + 20 – 0 = 20
NS = 0 + 0 – 20 = -20
Avail Max Long Limit = Limit -(Working Long + Traded Long - Traded
Short) 100 – (0 + 20 - 0) = 80
Avail Max Short Limit = Limit -(Working Short + Traded Short -Traded Long) 100 - (0 + 0 - 20) = 120
Sell NewOrder WithQuantity of 10
0 10 20 - 20 (-10) 80 110 WS = 10 x 1 = 10
NS = 10 + 0 – 20 = -10
Avail Max Long Limit = Limit -(Working Long + Traded Long - TradedShort) 100 – (0 + 20 - 0) = 80
Avail Max Short Limit = Limit -(Working Short + Traded Short -Traded Long) 100 - (10 + 0 - 20) = 110
CancelReplace toQuantity of 20
0 20 20 - 20 0 80 100 WS = 20 x 1 = 20
NS = 20 + 0 – 20 = 0
Avail Max Long Limit = Limit -(Working Long + Traded Long - TradedShort) 100 – (0 + 20 - 0) = 80
Avail Max Short Limit = Limit -(Working Short + Traded Short -Traded Long) 100 - (20 + 0 - 20) = 100
Complete Fillfor Quantity of20
0 0 20 20 0 0 100 100 NL = 0 + 20 – 20 = 0
NS = 0 + 20 – 20 = 0
Avail Max Long Limit = Limit -(Working Long + Traded Long - TradedShort) 100 – (0 + 20 - 20) = 100
Avail Max Short Limit = Limit -(Working Short + Traded Short -Traded Long) 100 - (0 + 20 - 20) = 100
Traded short increases acceptablelong order size
Futures Outright with Contract Multiplier not Equal to 1(CMED 50MW Power)Futures outright calculations are based on order quantity and contract multiplier (Number of deliverable units per instrument, forexample, number of peak days or calendar days in maturity month). Where available the contract multiplier will be used; otherwise willdefault to 1.
Instrument J4LZ8
Contract Multiplier 200
Max Long Limit (J4L-FUT) 20,000
Max Short Limit (J4L-FUT) 20,000
Example
Message Flow WorkingLong
WorkingShort
TradedLong
TradedShort
NetLongUsage
NetShortUsage
AvailMaxLongLimit
AvailMaxShortLimit
Comments
Buy New OrderWith Quantity of10
2000 - - - 2000 - 18000 20000 WL = 10 X 200 = 2,000
NL = Working Long + TradedLong - Traded Short = 2,000 + 0– 0 = 2,000
Avail Max Long Limit = 20,000 –2,000 = 18,000
Cancel Replaceto Quantity of20
4000 - - - 4000 - 16000 20000 WL = 20 X 200 = 4000
NL = 4,000 + 0 – 0 = 4,000
Avail Max Long Limit = 20,000 –4,000 = 16,000
Complete Fill forQuantity of 20
0 - 4000 - 4000 (-4000)
16000 24000 NL = 0 + 4,000 – 0 = 4,000
NS = 0 + 0 – 4,000 = -4,000
Avail Max Long Limit = 20,000 –4,000 = 16,000
Avail Max Short Limit = 20,000-(-4,000) = 24,000
Sell New OrderWith Quantity of10
0 2000 4000 - 4000 (-2000)
16000 22000 WS = 10 x 200 = 2,000
NS = 2,000 + 0 – 4,000 = -2,000
Avail Max Short Limit = 20,000 -(-2,000) = 22,000
Cancel Replaceto Quantity of20
0 4000 4000 - 4000 0 16000 20000 WS = 20 x 200 = 4,000
NS = 4,000 + 0 – 4,000 = 0
Avail Max Short Limit = 20,000 -0 = 20,000
Complete Fill forQuantity of 20
0 0 4000 4000 0 0 20000 20000 NL = 0 + 4,000 – 4,000 = 0
NS = 0 + 4,000 – 4,000 = 0
Avail Max Long Limit = 20,000 –0 = 20,000
Avail Max Short Limit = 20,000 –0 = 20,000
Traded short increases availablelong order size
Futures SpreadFutures spread calculations are based on the trade legs only such that:
l The effective side of each leg is derived based on spread side x leg side.
l Buy and sell legs belonging to the same product code could offset each other to the extent possible after taking into accounttheir respective leg ratios.
l The working quantity only (not traded) are further offset by a spread contribution factor such that a configurable value such as15% will be multiplied with the leg ratio which could be offset between both sides.
l If spread legs belong to a single side or if spread legs belong to different product codes, then no spread contribution factor willbe applicable.
l The buy side working quantity for all spread legs belonging to the same product code = total buy leg ratio – total sell leg ratio (ifnegative then zero) + spread contribution factor (15% of leg ratio common to both buy & sell sides) x spread quantity.
l The sell side working position for all spread legs belonging to the same product code = total sell leg ratio – total buy leg ratio (ifnegative then zero) + spread contribution factor (15% of leg ratio common to both buy & sell sides) x spread quantity.
l The buy side traded position for all spread legs belonging to the same product group = total buy leg ratio x traded quantity.
l The sell side traded position for all spread legs belonging to the same product group = total sell leg ratio x traded quantity.
l Product code is uniquely qualified with a combination of product code + security type + exchange.
Instrument GE:BF M8-U8-Z8
Max Long Limit (GE - FUT 100
Max Short Limit (GE-FUT) 100
Spread Contribution Factor 15%
Leg Instrument Leg Side Leg Ratio Product Code
GEM8 Buy 1 GE
GEU8 Sell 2 GE
GEZ8 Buy 1 GE
Example: Spread contribution factor: 15% of 2 = 0.3 since buy leg ratio (2) and sell leg ratio (2) are the same and offset each other.
Message Flow WorkingLong
WorkingShort
TradedLong
TradedShort
NetLongUsage
NetShortUsage
Avail MaxLong Limit
Avail MaxShort Limit
Comments
Buy New OrderWith Quantity of 10
3 3 - - 3 3 97 97 Working Long = 2 –2 + 0.3 x 10 = 3
Working Short = 2– 2 + 0.3 x 10 = 3
Cancel Replace toQuantity of 20
6 6 - - 6 6 94 94 Working Long = 2 –2 + 0.3 x 20 = 6
Working Short = 2– 2 + 0.3 x 20 = 6
Complete Fill forQuantity of 20
0 0 40 40 0 0 100 100 NL = WL (0) + TL(40) – TS (40) = 0
NS = WS (0) + TS(40) – TL (40) = 0
Sell New OrderWith Quantity of 10
3 3 40 40 3 3 97 97 Working Long = 2 –2 + 0.3 x 10 = 3
Working Short = 2– 2 + 0.3 x 10 = 3
NL = WL (3) + TL(40) – TS (40) = 3
NS = WS (3) + TS(40) – TL (40) = 3
Cancel Replace toQuantity of 20
6 6 40 40 6 6 94 94 Working Long = 2 –2 + 0.3 x 20 = 6
Working Short = 2– 2 + 0.3 x 20 = 6
NL = WL (6) + TL(40) – TS (40) = 6
NS = WS (6) + TS(40) – TL (40) = 6
Complete Fill forQuantity of 20
0 0 80 80 0 0 100 100 NL = WL (0) + TL(80) – TS (80) = 0
NS = WS (0) + TS(80) – TL (80) = 0
Option OutrightOption outright calculation is based on order quantity and delta:
l The delta value for an option is determined at the beginning of the trading session and it will remain constant for the entire trad-ing session. Orders entered during that session will utilize this “daily” delta value and will not change during the session.
l At the beginning of the next trading session, delta values will be refreshed and any new order and old “Good Till” orders still act-ive, will utilize the new delta value.
l Position limits on options on combination (OOC) underliers are treated independently from option on futures involving the sameproduct. For example:l LO position limits control the delta equivalence of the WTI outright underlierl WAY position limits control the delta equivalence of the WTI one-month calendar spread
l If there is no delta available for an option, a default value of 1 will be used.
Effective side is based on the order size as well as if the option instrument is a call or put since a put option results in the side beingflipped.
Instrument GEU0 C9950
Delta 0.5
Max Long Limit (GE – OPT) 100
Max Short Limit (GE – OPT) 100
Example
Message Flow WorkingLong
WorkingShort
TradedLong
TradedShort
NetLongUsage
NetShortUsage
AvailMaxLongLimit
AvailMaxShortLimit
Comments
Buy New OrderWith Quantityof 10
5 - - - 5 - 95 100 Working Long = 10 x 0.5 = 5
Cancel Replaceto Quantity of20
10 - - - 10 - 90 100 Working Long = 20 x 0.5 = 10
Complete Fillfor Quantity of20
0 - 10 - 10 (-10) 90 110 Traded Long = 20 x 0.5 = 10
Sell New OrderWith Quantityof 10
0 5 10 - 10 (-5) 90 105 Working Short = 10 x 0.5 = 5 AvailMax Short Limit = 100 - (5 + 0 -10) = 105
Cancel Replaceto Quantity of20
0 10 10 - 10 0 90 100 Working Short = 20 x 0.5 = 10Avail Max Short Limit = 100 - (10+ 0 - 10) = 100
Complete Fillfor Quantity of20
0 0 10 10 0 0 100 100 Traded short increases availablelong order size
Options SpreadOptions spread calculation is based on its legs only such that:
l The effective side of each leg is derived based on spread side x leg side, depending on whether the option leg is a put or call.
l The effective leg ratio of each leg needs to be determined by multiplying its leg ratio with its corresponding delta. If the delta isnot available then the effective leg ratio will default to 1.
l Buy and sell legs belonging to the same product code may offset each other after taking into account their respective leg ratios.
l The working quantity only (not traded) are further offset by a spread contribution factor such that a configurable value such as15% will be multiplied with the leg ratio which could be offset between both sides.
l If spread legs belong to a single side or if spread legs belong to different product codes then no spread contribution factor will beapplicable between them.
l The buy side working quantity for all spread legs belonging to the same product code = total buy effective leg ratio – total selleffective leg ratio (if negative then zero) + spread contribution factor (15% of effective leg ratio common to both buy & sellsides) x spread quantity
l The sell side working quantity for all spread legs belonging to the same product code = total sell effective leg ratio – total buyeffective leg ratio (if negative then zero) + spread contribution factor (15% of effective leg ratio common to both buy & sellsides) x spread quantity
l The buy side traded position for all spread legs belonging to the same product group = total buy effective leg ratio x traded quant-ity
l The sell side traded position for all spread legs belonging to the same product group = total sell effective leg ratio x traded quant-ity
l Product code is uniquely qualified with a combination of product code + security type + exchange
Instrument UD:U$:ST 0104931538
Max Long Size (GE-OPT) 100
Max Short Size (GE-OPT) 100
Spread Contribution Factor 15%
Leg Instrument Leg Side Leg Ratio Product Code Delta
GEU0 C9950 Buy 2 GE 0.5
GEU0 P9962 Buy 3 GE 0.25
Example: Spread contribution factor -- 15% of 0.75 = 0.1125 since buy effective leg ratio (2 x 0.5 = 1) and sell (buy put leg) effective legratio (3 x 0.25 = 0.75) can offset each other by up to 0.75 since this is the effective leg ratio common to both sides.
Message Flow WorkingLong
WorkingShort
TradedLong
TradedShort
NetLongUsage
NetShortUsage
AvailMaxLongLimit
AvailMaxShortLimit
Comments
Buy New OrderWith Quantityof 10
3.625 1.125 - - 3.625 1.125 96.375 98.875 Working Long = (1 – 0.75 +0.1125) x 10 = 3.625
Working Short = (0.75 – 1 (0) +0.1125 ) x 10 = 1.125
Cancel Replaceto Quantity of20
7.25 2.25 - - 7.25 2.25 92.75 97.75 Working Long = (1 – 0.75 +0.1125) x 20 = 7.25
Working Short = (0.75 – 1 (0) +0.1125) x 20 = 2.25
Complete Fillfor Quantity of20
0 0 20 15 5 (-5) 95 105 Traded Long = 20 x 1
Traded Short = 20 x 0.75
Avail Max Short Limit = 100 - (0 +15 - 20) = 105
Sell New OrderWith Quantityof 10
1.125 3.625 20 15 6.125 (-1.375)
93.875 101.375 Working Long = (0.75 – 1 (0) +0.1125) x 10 = 1.125 (sell put legbecomes buy)
Working Short = (1 – 0.75 +0.1125) x 10 = 3.625
Avail Max Long Limit = 100 -(1.125 + 20 - 15) = 93.875
Avail Max Short Limit = 100 -(3.625 + 15 - 20) = 101.375
Cancel Replaceto Quantity of20
2.25 7.25 20 15 7.25 2.25 92.75 97.75 Working Long = (0.75 – 1 (0) +0.1125) x 20 = 2.25 (sell put legbecomes buy)
Working Short = (1 – 0.75 +0.1125) x 20 = 7.25
Complete Fillfor Quantity of20
0 0 35 35 0 0 100 100 Traded Long = 20 x 0.75
Traded Short = 20 x 1
Traded short increases availablelong order size.
Traded long increases availableshort order size.
Inline Credit Control Policy and Alerts - Admin SettingsUsing the Admin Settings functionality Clearing member firm account administrators can configure risk settings, policy, alerts andnotifications. Authorized execution firm users can view policy / alert settings and receive notifications when thresholds have beenbreached.
Select an Admin Setting tab, then proceed to the following:
l Globex ICC Policy - Clearing member firm administrators can manage policy settings for execution firms that they have a clearingrelationship with.
l Globex ICC Alerts - Clearing member firm administrators can specify or upload multiple notification thresholds and alert settings,including email when submitted trades exceed selected thresholds.
Note: Available tabs are dependent on assigned entitlements.
Settings Inline Credit Control AlertsUse the Globex ICC Alerts function to select thresholds at which specified recipients will be notified, when execution firm transactionsexceed a percentage of their Globex ICC limit(s).
To edit Globex ICC Alerts:
1. From the CME AccountManager menu, select Admin Settings, then select Globex ICC Alerts .
2. Perform a search for a Clearing Member or Execution Firm, then select Search.
A summary list of execution firm alert settings, assigned to the selected clearing member or matching entered criteria, appears.
3. From the list, select a firm number / name.
4. On the dialog that appears, specify alert threshold settings.
l Enabled Thresholds - A percentage of the overall Globex ICC limit. An email notification is sent when a transactionexceeds the specified threshold.
l Alert Email Recipients - Specify up to 20 email address to receive a message when the specified threshold, of the GlobexICC limit, is breached.
5. To confirm and finalize settings, select Save.
Alerts settings are effective immediately.
Repeat, as necessary, to edit additional firms.
Downloading ICC Alert SettingsUsing the download / upload functionality authorized administrators can download ICC alert configuration information in aMS Excel file,enter new or updated account information and upload to facilitate multiple alert updates.
To download ICC Alert configurations:
1. From the CME AccountManager menu, select Admin Settings, then select Globex ICC Alerts .
2. Perform a search for a Clearing Member or Execution Firm, then select Search.
Searching by firm is optional, clicking Download saves a spreadsheet illustrating all alert configurations.
A summary list of execution firm alert settings, assigned to the selected clearing member or matching entered criteria, appears.
3. To download the configuration for the selected firm, select Download.
The downloaded spreadsheet contains ICC alert configuration details.
Additional functions:
l Upload ICC Product Limit updates
l Upload multiple account updates
Uploading ICC Alert SettingsUsing a downloaded spreadsheet, authorized administrators can update multiple Inline Credit Control alert settings. Prior to performingthis procedure, download the ICC thresholds alerts spreadsheets.
To update ICC Alerts via upload:
1. Access the Admin Settings > Globex ICC Alerts page, then download current ICC thresholds.
2. Access and open the downloaded ICC thresholds file.
3. Update or add the following details, as needed:
l CLEARING_MEMBER_FIRM_ID - The firm number of the Clearing Member Firm to update / add.
l CLEARING_MEMBER_CLEAR_ORG - The organization (exchange) at which the CMF and / or Execution firm clears.
l EXECUTION_FIRM_ID - The firm number of the Execution Firm to update / add.
l Percentage (PCT50 through PCT100) - For each threshold level, enter X to elect to enable notification if a transactioncauses the specified percentage of the overall ICC limit to be breached.
l EMAIL_1 through EMAIL_20 - Specify up to 20 email recipients to receive notification if the specified threshold isbreached.
4. When done, Save and Close the spreadsheet file.
5. On the Admin Settings > Globex ICC Alerts page selectUpload.
6. From the dialog that appears, Choose / Select > Open the recently updated spreadsheet, then selectUpload & Verify.
The file is validated and a message indicates results of the upload attempt.
Available results include:
l Validation is complete, results indicate errors or no update to be submitted (if submitted information is not different thancurrent configuration).
l Validation is complete, a message summarizes updates to be submitted.
7. On the Upload alert threshold settings dialog, select Submit.
The dialog updates, indicating the upload is complete.
A message appears, signifying completion. Updates are effectively immediately.
Additional functions:
l Download Globex ICC limits
l Upload > Update Globex ICC limits
Setting Inline Credit Control PolicyUse the CME Globex ICC Policy feature to specify settings for Globex ICC enabled accounts.
To specify Globex ICC Policy:
1. From the CME AccountManager menu, select Admin Settings, then select Globex ICC Policy .
2. Perform a search for a Clearing Member or Execution Firm, then select Search.
A list of execution firm policy settings, assigned to the selected clearing member or matching entered criteria, appears.
3. From the list, select a Execution firm number / name.
4. On the dialog that appears, specify policy settings.
Globex ICC Policy - Clearing member firm administrators manage policy settings for each execution firm they have a clearingrelationship with. Policy settings are set in CME Account Manager, when orders are submitted to CME Globex, the policy isapplied and validated at the Market Segment Gateway. Available configuration selections:
Unregistered Account Rule
The specified account is not registered in CME AccountManager.
l Accept - Accept order submissions for an account that is not registered. (Default setting)
l Reject - Reject any order submissions for an account that is not registered.Unset Limit Rule
Limits have not been set by either party (Clearing Member or Execution Firm) for the specified account.
l Accept: If no limits have been set, limits an account to trading products only within the overall firm credit controllimit. (Default Setting)
l Reject - If limits have not been set, order submissions for an account without ICC limits, will be rejected.Covered Strategy Handling
The order is submitted for Covereds (futures with options) strategy. The enabled thresholds will be used by the ICCcomponent to generate threshold events which will in turn be used when sending alert emails.
l Accept - Provide no credit controls enforcement for Covered User Defined Spread (UDS), hence a pass throughfor all such orders. (Default setting)
l Reject - Do not allow trading Covered UDS
l Enforce Option Leg Only - Perform position limit check on the option legs only.
5. To confirm and finalize settings, select Save.
Policy settings are effective immediately.
To edit additional firms, Repeat.
