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1. ci EL e Fulures Futures di SCS M 4 112002 hk H 4 Apop up message confirms the unblock Click OK to proceed 5 A pop up message indicates the unblock was successful Click OK Unblocking an account removes the criteria from the Risk Management Interface Active blocks will never appear on the Create Blocks tab as they are independent of one another To block another account refer to Block Accounts 39 User Manual Risk Management Tools Block Accounts The RMI Risk Administrator can set order entry blocks from a specific Execution Firm account defined by Product Type Options or Futures Product and Side Buy or Sell restrictions To block an account 1 From the RMI tab click Block Unblock 2 Select the Legal Clearing Firm and Execution Firms from the drop down lists 3 From the Create Blocks tab either add a new account name or select one from the Account List box Copy to List To enter a new account from the Account box type an Account name then click The Account name copies to the Account List box where it remains until RMI session logout 3 From the Account List box click the account name for which to set block criteria 4 Filter the block criteria as needed by clicking any of the following drop down boxes e Exchange e Derivative Type All Derivative Types Futures Options Selecting a Derivative Type without selecting a Product blo
2. Risk Management Tools User Manual 14 Risk Management Tools 2 Select the Futures Margin Rate from the drop down list Dynamic Margin Rate Dynamic Margin Rate Interest Hates Eurodollars Bonds 10 yrs 5 yrs E mini S amp P E mini Nasdaq E mini Dow Currencies Euro Yen Pound Franc Commodities Corn Soybeans CBT Wheat Energy NYMEX Crude NYMEX Natural Gas COMEX Gold BMD Products FCPO Crude Palm Oil FKUI KL Index Futures FKB3 3M KLIBOR 3 Select the Options Margin Rate from the drop down list 4 Click Save when finished gt To set notification percentage 1 Select the Notification percentages for up to three levels Hotifications Please select up ta three percentages D sox M eo C 7ox M 80 M 90 2 Click Save when finished 15 User Manual Risk Management Tools Add Update or Delete Email Address for Notifications GC2 allows you to manage email addresses to be notified when the percentage of exposure limit is reached To add an Email address 1 Select up to three percentage threshold check boxes Notifications Please select up to three percentages rT som M eme 70 M g M g Email Addresses 2 Click Add Add Email Address Email Address 3 Type the Email Address and click OK Email Addresses E JEnglishigroz arc 4 Click Save when finished Proceed to one of the following procedures to modify the email address e Update an
3. DME ECH MGE HYMEN 3 Dragthe appropriate exchanges from the Current Group first to the New Group second In this example COMEX KCB and MGE were moved to the New Group Legal Clearing Entity evz ciora Execution Firm 207 xYz Gibat us Current Group represents exchange groupings as Bey curently exist Click the ew Group bution to create a new grouping container Drag exchanges and Deop imo new or exiting COMBMErs to creabe new exchange groopags Chick ext fo contin TU COMER ET IM ECE OME Loud L1 24 Hew Group 4 Click the Next button User Manual 22 Risk Management Tools 3 10 Verify or modify the following for the Current Group first e Exposure Limits for Futures and Options e Max Quantity Limit Buy and Sell for Futures and Options e Notification Percentages e Email Addresses for Notifications Click the Next button when finished Enter the following for the New Group second e Exposure Limits for Futures and Options e Max Quantity Limit Buy and Sell for Futures and Options e Notification Percentages e Email Addresses for Notifications Warning You are required to enter Exposure Limits and or Max Quantity Limits In addition at least one email address must be entered for the notification alerts Click Save when finished or click Cancel to revert to the existing group settings GC2 displays a message that
4. Risk Management Tools Instruction History The RMI Instruction History function allows the RMI Risk Administrator to view filter and export the last 10 days of blocked unblocked and cancel activity within the Risk Management Interface RMI gt To view Instruction History 1 From the RMI tab click Instruction History current es of D7 17 2042 Oa PM cat LE From Date Una ToDate 07 17 2012 X Export To Excel Derivate Type Unbiock Options gc2 testi nm ui OTHTI 2012 04 47 PM cal Futures Al Products gc2 hesiDO rmi ui 07 17 2012 04 47 PM csi ions gc2 test mm ui BRAND DA AT PM cot Futures gez jesi i rmi ui 07 17 2012 04 47 PM cat Options gcz tesigi nm ui OAT 2012 04 47 PM cat Action bide Product Description Exchange User 10 amp ource F Due Time red i i fm EEN nm api gr 117 2012 04 18 PM cat Note When the number of results exceeds 5000 rows click the Next or Previous buttons to navigate the result pages 2 Select the Legal Clearing Firm and Execution Firms from the drop down lists Perform any of the following actions to filter or sort the activity information e To narrow an account search click Filters select search criteria then click Apply Historical Instruction Filters Ctrl click to select deselect multiple items 43 User Manual Risk Management Tools e Click the From Date and To Date drop down boxes to filter activity by specific dates within the last 10 days After set tin
5. 1 000 000 549 550 2817 159 1 000 000 934 350 3473 19 ORDER REJECTED Clip Limit Exceeded Risk Admin Max Limit 100 User Manual 28 Risk Management Tools Position Calculations Current position totals are calculated as overall long and short positions for both futures and options per Executing Firm ID The current position totals are defined as the margin rate multiplied by the number of contracts which is an aggregate of open orders and fills per product complex Product complex values are then aggregated to the total overall position e Quotes Mass Quotes are not included in open position calculations but fills resulting from quotes are included in the filled and total position e The following are included in the filled and total position but not the open position e User Defined Spreads UDS covered instruments e Positions are maintained separately for each futures product complex and for each options product complex Then futures product complex positions are aggregated and options product complex positions are aggregated e Positions are calculated continuously Filled Positions are reset at the end of each trade day at 16 30 CST Note Good til Cancel GTC and Good til Day GTD orders are included in the position calculation for the given Executing Firm ID Exchange group at the beginning of the trading week e Submitted orders that trigger a violation at 10096 of the limit will not be rej
6. To make any changes to a selected pending block proceed to Manage Pending Block 41 User Manual Risk Management Tools Manage Pending Blocks The Create Blocks tab of RMI lists all accounts that have not yet been blocked from activity Active Mocka Create Blocka ES Block Criteria Account Filters Exchange 1zC Corn Dec Dec CS0 Account Liat 1 AP Exctarges 125 Soybean Nov Nev CSO 14 12 Wheel JubJduby CSO Derivative Type 1 7 r ear interest Rete Swap Future AW Dow Jones WSS Excess Retur Al Derivalive Types BOB U 5 Treasury Bond vs Ultra U i BOl US Treasury Bord va Bear ope apa BSW Bleck Sea Wheel Futures All Complex Types Burs Binary Options Spresds Ea Pending Blocks Derrgeative Type Product Product Description pons AI Products Otani Al Products rs Com Dec Dec C30 i Com Dec Dec 50 After setting block criteria and adding the selected accounts to the Pending Blocks section RMI Risk Administrators can use the following buttons to manage any of the accounts for which they have selected check boxes Button Description Clears all selected check boxes for accounts in the Pending Blocks section Pleo plan Clear Selected Removes accounts with selected check boxes from the Pending Blocks section emos all accounts from the Pending Blocks section even if check boxes are not selected For additional information see how to Block or Unblock an account User Manual 42
7. Administrator must set the exposure limits per Executing Firm ID Exchange for e Futures overall exposure limit in USD no default a value must be set e Options overall exposure limit in USD no default a value must be set If a position reaches the exposure limit at 100 CME Globex rejects all new orders and cancel replace messages on the exceeding side A cancel message is accepted Buying and selling the same future but on different Exchanges Example NYMEX July Wheat vs KCBT Oct Wheat All legs are in a similar underlying asset Buying one future in a given delivery month and selling a different future in the same delivery month Example Crack Spread Crude Oil vs Unleaded Gasoline and Heating Oil Example Crush spread Soybeans vs Soybean Oil and Soybean Meal Buying and selling the same future but for different months Example Buy July Wheat and sell Dec Wheat GC2 Entity is defined as the Clearing firm which legally guarantees trades executed for a single Executing Firm on CME Globex The clearing firm may clear products from a single or multiple exchanges GC2 Entity is defined as the combination of Legal Clearing Entity Executing Firm ID Exchange In addition to entering the Exposure Limits the risk administrator can enter the optional Max Quantity Limit Clip Size for Buy Sell Futures and or Buy Sell Options for the grouping The Clearing Firm or partner exchange risk administrator can specify the pe
8. Controls GC2 set pre execution credit control limits on futures and options e Risk Management Interface RMI block prevent and unblock allow orders and cross requests from being entered or modified by Execution Firm accounts Also view and generate reports for blocked unblocked and cancelled orders e Deliverable Swap Futures DSF Access Manager positively permission accounts so DSF products may be traded during the DSF pre settlement blocked window e Kill Switch provides a Globex Orders Kill function for the following levels Legal Clearing Entity Execution Firm and Sender Comp Access the Risk Management Tools login https risktools cmegroup com Note Only versions of Chrome and Internet Explorer released in the most recent 12 month period will be certified and supported Note If you receive a message from the browser indicating that this file is restricted click the message and select Allow Blocked Content Learn about any of the following functions e CME Globex Credit Controls GC2 e Risk Management Interface RMI e DSF Access Manager e Kill Switch IThe CME Group Class A Clearing Member Firm 5 User Manual Risk Management Tools Obtain Access Only authorized CME Group Clearing Firm or partner exchange Clearing Firm administrators will have the capability to authorize access for new risk administrators Risk administrators will need a SmartClick ID to access CME Group Risk Management Tools g
9. Email Address e Delete an Email Address User Manual 16 Risk Management Tools To Update an Email Address Select the check box next to the Email Address that requires updating Click Update odii E a Modify the email Address and click OK 4 Click Save when finished To Delete an Email Address 1 Select the check box next to the Email Address that needs to be deleted 2 Click Delete 3 Click OK 4 Click Save when finished Email Notification Messages The following figure displays an example email notification from CME Group Clearing Firm gyr gisi Exetetion Firm nIEWI Geb Exchanges ECB MGE CBT Futures Long 12 R 18 1 18 PH Datalled politis Laformation PTE Credit lade 11 6 Long Poaleien 8 8 Sheet Bealeton ZEEE ee au Ll al In Millions oe Long Overall i5 8 Agriculture 8 86 E i i ft GE 22 LE ftf 23 ees ii zi 221 27 TP p i l I OPTIONS Credit Limit Fi H k pri In Millions b Long Overall e 2000 CME Groep U A Inc 17 User Manual Risk Management Tools Manage Executing Firm ID Exchange Groups Regroup exchanges modify a group or set up a new group Regroup exchanges Modify a group Set up a new group Use the Regroup Exchanges function to create or modify an Executing Firm ID Exchange group gt To navigate to the Regroup Exchanges Window 1 From the GC2 menu click Regroup Exchange
10. ID U179851028 Y10 202 8 FIX 4 29 15 735 334 3498369 276 52 20131010 01 41 19 67549 CME50 G56 ZU8650N5 7 DUMMY143 US IL45 276758 Kill Switch enforced by LCE for Executing Firm 6501028 N10 022 8 FIX 4 29 30935 834 734369 83252 20131009 22 14 45 10949 CME50 G56 U17985N57 0J070143 US IL1 123456 011 verylongo rderlID1314 017 82305 137870520 037 8210361888638 1 39 440 241 044 962048 80704754 155 GE59 060 20131009 22 14 45 107107 GEZ8150 4151 0167 FUT 378 10643 2 201310101028 Y9717 ERIC110 079 Note For Order Cancel ack the cancel type indicator tag 378 is same as RMI 106 User Manual 56 Risk Management Tools Execution Firm View Dashboard or Execution Firm Kill Unkill page as an Execution Firm Administrator Dashboard gt To access Execution Firm Dashboard 1 From the Kill Switch tab select Firm Dashboard Kill Switch p Firm Dashboard Firm Kill Unkill Kill Switch Execution Firm Dashboard displays 2 Select an Execution Firm Execution Firm Select an Execution Firm Select an Execution Firm 57 User Manual Risk Management Tools Execution Firm Kill Unkill Use this page to Kill or Unkill Legal Exchanges at the Execution Firm and Sender Comp levels gt To utilize Ekecution Firm Kill Unkill page 1 From the Kill Switch tab select Firm Kill Unkill Kill Switch Firm Dashboard SA Firm Kill Unkill Kill Switch Execution Firm Kill Unkill page displays 2 Sel
11. Select All at the bottom of the page 4 Click Revoke Confirmation message appears 5 Click OK Selected accounts are removed from the Active Permissions list Note Once Revoke has been clicked selected accounts will not have access to trade immediately Note If incorrect rows have been selected click Cancel and Clear Selected at the bottom of the page 49 User Manual Risk Management Tools Account Rules Note the following when creating accounts e Permission is only granted to the account exactly as it is entered e These special characters are not permitted S tt 96 amp Same Account Different Accounts ABC1 ABBC1 HABCI ABC SABC ABC1 ABC1 ABC1 amp ABC1 1ABC IABC1 ABC1 ABC1 ABCT ABC1 ACB1 abc1 ABC11 User Manual 50 Risk Management Tools Kill Switch Kill Switch provides a Globex Orders Kill function for the following levels Legal Clearing Entity Execution Firm and Sender Comp Use Kill Switch to shut down trading and influence conditions such as e Extreme trading events e Market disruption e Market fairness e Systemic risks that runaway algorithms could pose See Enforcing Kill Switch for more detailed information Primary Features Kill Switch functionality includes e Day Orders and Good Till messages are blocked when Kill Switch is invoked however Kill Switch will not cancel resting Good Till or Day Orders when a market is closed or in the final 30 seconds prior to
12. an open e mpacted customers are prevented from submitting any message other than what is required to keep alive the con nection with the exchange session management e Only orders intended for CME core match engines are supported e Customers receive a reject message with entity level and administrator role information e Blocking takes less than one second though the cascading cancellations may extend beyond this time frame See Message Impact for more detailed information Access Kill Switch Kill Switch may be activated by the following administrator roles e Legal Clearing Entity Admin e Execution Firm Admin e CME Admin See Administrators on the Enforcing Kill Switch page for more detailed information on Administrator roles and permissions Access Kill Switch using e Execution Firm e Legal Clearing Entity 51 User Manual Risk Management Tools Enforcing Kill Switch CME Kill Switch tool enables Legal Clearing Entity LCE risk administrators and Execution Firm risk administrators to immediately block all new order entry and cancel all working orders The kill switch has three levels of kills that are enforced independently e Sender Comp is the most granular level The SenderComplD FIX Tag 49 is made up of Session ID first three char acters Firm ID second three characters and Fault Tolerance last character e Execution Firm EF is the next highest level and contains one or more Sender Comps assigned
13. e cece cence cece eeeeeeeeeeeeeeeeeceeeseeeeeeeteeseees 22 GC2 X 01 6 5 24 Limits by Legal Clearing Entity 0 0 0 00 22 coco cece ence cece cece eee eeecceeeeeeeeeeetteeeeees 24 Max Positions by Exchange Firm 2 2 2 occ cece LALALALA LLALL LLALLA LLALLA LLa LaaLa a Laana 24 Partner Exchange 2 2 22 cece cece ccc cccccccccccccccceecceeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeees 25 Dynamic Clip Size G Guu ss ss eeeeeeeeeeees 26 Prior to Trading METTRE RR 26 During Trading aoaaa aoaaa oaaao anaa adaa Laa Laa reen eee 26 Dynamic Clip Size Parameters 0o00 aa oaaao aaao oaaao c cece cece eee eeeeceeeeeeeeececcceeeeeeeeeeeees 26 Dynamic Clip Size Example 22 22 eee eeeeeeee 27 Prior to Trading ccccccccccccccccccccccccecececececeeteeeeececeteeeeeceeeeeececeeeeceeeeeeeeeeeeeeees 27 During Trading ss ere Laa Laa 27 Position Calculations sees e ccc cccccccccccceccececeeeeeeeeeeeeeeeeeeeceeeeeeeeeeeeeteeeeeees 29 Spread Order Calculations _ 0 renerne 30 Spread Adjustment Factor 2 2 2 occ cece ence nce e DLADLA LALALALA LLDD ALDADA Laa aa aana 30 Conditions for Spread Adjustment Factor Application 30 Working Order Spread Calculation 2 000 022 2oc cool e cece cece ccc ccc cece cece cece cee eeeeeeeeettetetttttttstees 31 Working Summary oaaao aaa aaoo aaan
14. lt 3 CME Group Risk Management Tools User Manual 10 27 2014 Disclaimer Futures trading is not suitable for all investors and involves the risk of loss Futures are a leveraged investment and because only a percentage of a contract s value is required to trade it is possible to lose more than the amount of money deposited for a futures position Therefore traders should only use funds that they can afford to lose without affecting their lifestyles And only a portion of those funds should be devoted to any one trade because they cannot expect to profit on every trade All references to options refer to options on futures CME Group is a trademark of CME Group Inc The Globe Logo CME Chicago Mercantile Exchange Globex iLink E mini CME EOS Trader Galax C FirmSoft CME DataSuite and CME DataMine are trademarks of Chicago Mercantile Exchange Inc New York Mercantile Exchange NYMEX miNY and ClearPort are registered trademarks of the New York Mercantile Exchange Inc COMEX is a trademark of Commodity Exchange Inc FIX and FAST are trademarks of FIX Protocol Limited FIX FAST is a service mark of FIX Protocol Limited Dow Jones Dow Jones AIG Commodity Index The Dow Dow Jones Industrial Averagesm and DJA are service marks of Dow Jones amp Company Inc and American International Group Inc AIG and have been licensed for use for certain purposes by the Board of Trade of the City of Chicago Inc CBOT CBOT futu
15. same Execution Firm in which case a kill applied by one administrator can be removed by another e EFrisk administrators can view kills that are put on by LCE administrators or CME administrators but do not have permission to change these kills unkill instructions e Legal Clearing Entity LCE GC2 risk administrators are automatically granted access to Kill Switch They have per missions to kill unkill the LCE all Execution Firms that the LCE clears and all Sender Comps that the LCE clears e AnLCE risk administrator is only able to kill unkill activity at these levels for exchanges that the LCE clears e f an Execution Firm clears CME at LCE 1 but clears CBT at LCE 2 a kill instruction sent by the risk admin at LCE 1 would only affect trading for CME e LCE administrators are able to view kill unkill status placed by EF administrators and CME administrators but not change that status e CME administrators have the ability to act as both EF administrators and LCE administrators e When impersonating risk admins CME risk administrators have identical rights as the role they are impersonating e CME risk administrators have the ability to view kill unkill status placed by EF risk administrators and LCE risk admin istrators but not change that status Administrator Permissioning Administrator May Clear Permissioned to Legal Clearing Entity LCE e Legal Clearing Entity e Kill their own LCE for permissioned exchanges across all Admi
16. to an execution firm e Legal Clearing Entity LCE is the highest level and contains one or more EFs which in turn contain one or more Sender Comps Legal Clearing Entity 1 Execution Firm 1 Execution Firm 2 EF1 EF1 EF1 EF2 EF2 EF2 EF2 SenderComp1 SenderComp2 SenderComp3 SenderComp1 SenderComp2 SenderComp3 SenderComp4 These levels act as a hierarchy where higher level kills will affect all levels below Examples from the table above e F EF1 SenderCompi1 is killed all new order entry is prevented and all working orders are canceled for EF1 Sender Comp1 e f Execution Firm 1 is killed all new order entry is prevented and all working orders are canceled for EF1 Sender Comp1 through EF1 SenderComp3 e f Legal Clearing Entity 1 is killed all new order entry is prevented and all working orders are canceled for all Exe cution Firms and Sender Comps that are cleared by Legal Clearing Entity 1 User Manual 52 Risk Management Tools Administrators The kill switch has three levels of risk administrators that can send kill unkill instructions e Execution Firm risk administrators can be granted access to Kill Switch by their LCEs e Once permissioned EF risk admins can send kill unkill instructions for all Sender Comps under their Executing firms Kill unkill instructions impact only exchanges to which the execution firm has access e Multiple EF risk administrators can be permissioned for the
17. 0 futures e Mini Dow 2 5 futures Gold futures 8 Eurodollar 5 futures Eurodollar 112 Futures e Mini Dow 12 5 futures Gold futures 15 e Mini Dow CANCEL 5 futures 5 Gold futures 74 e Mini Dow 74 5 futures e Mini Dow 74 5 futures Eurodollar 25 futures Total Quantity 10 12 20 29 37 32 47 IZI 195 269 Instrument Margin Rate 750 5200 1100 750 750 5200 1100 5200 1100 5200 5200 750 Total Trans action Mar gin 7500 10 400 8800 3750 62 400 16 500 26 000 81 400 384 800 384 800 Total Long Margin 7500 17 900 26 700 30 450 Long Weighted Avg Margin Rate 7500 10 750 17 900 12 1491 26 700 20 1 335 30 450 25 1218 Risk Management Tools GC2 Dynamic Clip Size 1 000 000 0 750 1333 1 000 000 7500 750 1323 1 000 000 17 900 1491 658 1 000 000 26 700 1335 729 1 000 000 30 450 1218 796 ORDER REJECTED Max Quantity Limit Exceeded 92 850 109 350 83 350 164 750 549 550 934 350 92 850 37 2509 109 350 52 2102 83 350 47 1773 164 750 121 1361 549 550 195 2817 3473 1 000 000 92 850 2509 361 1 000 000 109 350 2102 423 1 000 000 83 350 1773 517 1 000 000 164 750 1361 613
18. 0 or greater or Mozilla Firefox 3 0 or greater gt To manage active or pending blocks proceed to one of the following topics e Unblock Accounts e Block Accounts e Manage Pending Blocks 37 User Manual Risk Management Tools Unblock Accounts Trading member firms can resume trading only if the Clearing firm risk administrator unblocks the account through RMI gt To unblock actively blocked accounts 1 From the RMI tab click Block Unblock 2 Select the Legal Clearing Firm and Execution Firms from the drop down lists 3 From the Active Blocks tab select the check box for the Account s to Unblock By default all currently active blocks for all accounts belonging to the selected execution firm are populated in the list regardless of which system or user applied the blocks The total number of blocks and page navigation display at the bottom of this tab To narrow an account search click Filters select search criteria then click Apply Historical Instruction Filters Ctrl chck to selectideselect multiple tems Account Acton Side Dermatiee Type Exchange i Note To clear the check box selections and to refresh the screen view click as needed 3 Click Unblock User Manual 38 Risk Management Tools RMI Block Unblock Legal Clearing Entity 94 TESTI LCE Execution Firm B2B RMI TEST FRN EJE id Active Blocks Create Blocks current as of 07452032 11 25 AM cst
19. A kill instruction placed at the EF level will remain in place until itis unkilled at the EF level regardless of whether kill unkill instructions have been placed at other levels A kill instruction placed at the LCE level will remain in place until it is unkilled at the LCE level regardless of whether kill unkill instructions have been placed at other levels User Manual 54 Risk Management Tools Message Impact Blocked Messages The following message types are blocked when a kill is being enforced e New Order e Cancel Replace e New Order Cross e Cancel e Order Status e Quote Request e Security Definition Request to create a UDS determine exchange ID based on first leg since although there could be multiple groups there are no inter exchange UDS e Mass Quote determine exchange ID based on first leg since there is only one exchange ID per instrument group e Quote Cancel applies only to cancel quotes for a specific instrument amp instrument group e Mass Cancel applies only to cancel orders for a specific instrument amp instrument group If a message is blocked due to kill switch an order reject message will be generated for the customer Non Blocked Messages These messages will not be blocked since they could potentially encompass an exchange which is not supposed to be blocked e Quote Cancel cancel all quotes e This message covers the entire options market It is not possible to block this message ba
20. Estabiish lin Contracts OK T j Calculations kapona 9 Limit Options Exposure Limit Max Quantity Limit No Max Umt Opt Long Open Filled Total 3995 A 1020 ox ma in USD millions in Contracts i DU Opt Short Open Filled Total 5 i lin Contracts oK NOTE Values displayed are for a moment n time and could change in the bme between cickng REFRESH FT Cancel all working orders 0 ns j 9 and the value baing displayed Notifications t Credit Control Alerts p YA to Set Reference Percem mages M gn Rate roger xw FT 70 I Email Address wana pz aa Messages 7 TESTGTEST User Manual 10 Risk Management Tools To select a firm From the GC2 tab select the Legal Clearing Firm and Execution Firms from the drop down lists Legal Clearing Entity Execution Firm Select a Legal Clearing Entity This window has four sections Window Section Credit Controls Management Area Current Position Area Notifications Credit Control Alerts Description The GC2 Risk Administrator must enter the appropriate Exposure Limit for Futures and Options for the Executing Firm ID Exchange group Note Uncheck the No Max Limit checkbox to enter Max Quantity Limits In addition to the Exposure Limits the GC2 Risk Administrator can enter the Max Quantity Limit Clip Size for Buy Sell Futures or Buy Sell Options for the group Note If both Exposure Limits and Max Quantity Limits are set t
21. Examples Example 1 Inter Commodity Futures Spread BUY 1 CORN vs WHEAT Future Calendar Spread 2 1 Ratio CORN Margin 1500 WHEAT Margin 2500 Value A Corn 1 order qty 1500 margin gt leg ratio Wheat 1 order qty 2500 margin 4 leg ratio 3000 2500 or 500 Value B abs 1 9 der aty 1500 margin 7 leg ratio 4 abs 4 order aty 2500 margin _4 leg ratio Value C Value B Spread Adjustment Factor or 5500 0 10 or 550 Determine working long value Since Value A is positive then working long for Corn is equal to Value A Value C or 500 550 or 1050 Determine working short value Since Value A is positive then working short for Wheat is equal to 1 Value C or 1 J 550 or 550 Example 2 Intra Commodity Futures Spread Sell 3 CORN Future vs CORN Futures Calendar Spread 1 1 Ratio CORN Margin 2000 Value A Corn 3 2000 1 Corn 3 2000 1 20 Value B abs 3 2000 1 abs 3 2000 1 12000 Value C Value B Spread Adjustment Factor lt or gt 12000 0 10 1200 Determine working long value Since Value A is zero then the working long value is Value C or 1200 Determine working short value Since Value A is zero then the working short value is 1 Value C or 1 i 1200 or 1200 Example 3 Intra Commodity Options Spread Buy 100 eMini S amp P Strangles 1put 1call ratio Put Margin 280 Call Margin 200 Value A Put 100 280 1 Ca
22. Exchange Firm 3C2 Reports Max Positions by Exchange Firm Legal Clearing Entity Select a Lagal Clearing Entity Execution Firm User Manual 24 Risk Management Tools To run a Max Postions by Exchange Firm report Select Reports GC2 Max Positions by Exchange Firm Select the Legal Clearing Entity and the Execution Firm Enter the From Date and To Date Click Run Report LU e zw Der To Depending on the browser being used the file either automatically downloads or a dialog box displays with open save file options If dialog box displays take actions as appropriate Partner Exchange Generates the partner exchange limits that have been set GC2 Reports MGE Partner Exchange Run Report gt To run a Partner Exchange report 1 Select Reports GC2 Partner Exchange and then select one of the following e BMD e KRX e MGE 2 Click Run Report 3 Depending on the browser being used the file either automatically downloads or a dialog box displays with open save file options If dialog box displays take actions as appropriate 25 User Manual Risk Management Tools Dynamic Clip Size Credit controls are enforced by means of maximum allowable order known as clip size Clip size is dynamically calculated based on real time fill and open order calculations and a weighted average margin rate Note In addition to dynamic clip size the Risk Adm
23. Weighted Avg Margin Rate Weighted average sum of all open long option orders long option fills short option fills Options Short Weighted Avg Margin Rate Total Options Short Weighted Avg Margin Rate Weighted average sum of all open short options orders short option fills long option fills For Option Put orders the side of that order is reversed for clip size position calculations and static clip sizes o Long calls and Short puts are both applied against long option position calculations o Short call and Long puts are applied toward short option position calculations Example The GC2 Risk Administrator sets the options long max qty limit 200 options short limit 100 Incoming new buy order 105 put options The order is rejected because it exceeds the options short limit of 100 Dynamic Clip Size Example This example depicts a 1 000 000 exposure limit distributed across three products Prior to Trading Assume e Noreference margin rate selected by GC2 Risk Administrator GC2 default is the Eurodollar Futures initial margin rate of 750 e GC2 Risk Administrator sets a Max Quantity Limit clip size of 100 Initial clip size 1 000 000 750 S contract 1333 contracts During Trading When trading activity begins GC2 calculates the dynamic clip size according to quantity and margin rate per product 27 User Manual Instrument Quantity Initial Clip Size Calculation Eurodollar 1
24. all options e The Spread Adjustment Factor is not applied to spread types that have both Futures and Options for example Covereds For futures spreads the spread contains at least one buy leg and one sell leg For options spreads the spread contains at least one buy leg and one sell leg and or one call and one put All the spread legs are within the same Control Group Control Group is the product Legal Clearing Entity relationship defined by the Risk Administrator In conditions where a spread has some legs which qualify for the Spread Adjustment Factor and some leg s do not e Forthe legs which do qualify the Spread Adjustment Factor and the resulting working margin will be applied to the associated group Executing Firm ID Exchange e Forthe leg s which do not qualify GC2 applies the full margin rates to the associated group Executing Firm ID Exchange Spread Adjustment Factor Application and Exception Examples Intra Commodity Future Spread For a Eurodollar bundle the Spread Adjustment Factor does not apply because all the future legs are on the same side Intra Commodity Covered single For 10 yr Note option call covered by the 10 yr Note future the Spread Adjustment option leg and single future leg Factor does not apply because the spread crosses over futures and options Product Types Inter Exchange Future Spread For DME NYMEX energy future calendar spread the Spread Adjustment Factor does across Control Group
25. ccc erne nere 31 Spread Calculation Examples 2 2 2 cee c rer rer er erne 32 E das iero ors II aa 34 Risk Management Interface RMI _ 2 22220 c cece ccc cece cece cece ececeeccceeeteceeeceeetttceeeseeees 37 Unblock Accounts 22 2 2 ooo c cece ccc cece cece cece cece eeeeeceeeeeeeeeeeeeceeeeeceeeeeeceeeetttttececceeeeeeeesssees 38 Block Accounts 2 2 22222222 cece cece cece cece ccc cece ccc anaa cece eeeeeeeeeceeeececeeeeetetetsettttttstttttttsssseeeees 40 Manage Pending Blocks ss eee eee eeeeeeeeeees 42 Instruction History _ 22 0022 cle cece cece I ame 43 User Manual 3 Table of Contents POT COO AA AA Wa AA AA AA AA ee see AA AA AA E er eee 45 DSF Access Manager ss mema mw nema nene m DELALA walau RE e eat 46 Perms ONA OOUT III AA hh PM sense emacs 46 View Active Permissions wmmmmmmmmwmwanu mumewe DADA wanu zw mwananume ia 222222 48 Revoke Active Permissions ss s Rs s LADLAD LADLAD LLALL LaLa aLaaa aLa 48 ACCOUNERUIES eh oe RR RR T EM E E a NEE A EE 50 KN SWI E eE A AE ate ne 51 KUNA m O IA IIIA IIIA 51 Access ICE WI AA AA ai 51 Enforcing Kill Switch oooouioiussssssssssssssssssssss aa Dna ALALA DALLA LLALLA DLADLA LLALA Laa naonana 52 A eE E AA E 53 Administrator Permissioning usuuuuuussssssssssssssssss sss sss ss s rllrllll22222222222222222222 53 Additional AA a MIA M E LL MED dE DEM 54 Miser ea AA ERR RT RR ELE 55 Bl
26. cks all Products for the selected type e Complex Type All Complex Types Commodities Energy Equities Interest Rate CBOT Interest Rate CME e Product Click a product to block Select multiple products by pressing either Ctrl click or Shift click e Side All Sides Buy Sell If you do not select any criteria ALL is selected by default 5 Click Add The selection appears in the Pending Blocks section of the screen RMI Block Unblock Legal Clearing ntity Ga TESTI LOE hi Execution Firm 628 RMI TEST FIRM 628 Active Mocka Create Blocks Block Cntena Account Filters Product Side i i Enchanga 12C Com Dec Dec CSO Al Sides Account List Al Exchanges m 125 Soybeas Nov Nov C30 12 Wheat Jub July CSO Derivative Type BSW Black Sea Wheat Futures CWZ Wheat Dec Dec CSO Al Derivative Types CZE Corn July Dec CSO I CES Cam Dec July CO Complex Type CFC Consecutive Carn C30 rommodies CAL Cash Soybean Od Future Perding Blocks Account ID Sada Derivative Type Presduct Product Descriptio E i Buy Options AI Products E 1 Sel Options Al Products User Manual 40 Risk Management Tools 6 Selectthe check box next to the account to block then click Block 7 A pop up message confirms the block Click OK to proceed 8 A pop up message indicates the block was successful Click OK When an account is Blocked it appears in the list on the Active Blocks tab where it can then be Unblocked
27. eceeeeeeeeeeeeteteeeeceeeeeteeeetttttteseees 6 UA MEEMC 6 WA IAA IAA 6 Additional Resources 2 2 2 2 oie ieee cece cece eee ec ec cece cece eee e cece ee eeeeeeeeeeeeetetettetttttttttttttttttteteteeee 6 What s NeW II E a a ANT 7 CME Globex Credit Controls GC2 ss aa haaa Laa Laa Laa LLALLA LLa LLa aa Laana 9 Time Frame for Changes oaaao oaaao aoaaa aoaaa 2 aa Laa Laa LLALLA LLALLA DLADLA LALLA LLALLA 3332222222222 2222 10 GC2 Window sssssusulllllllllllllllllllilllll22222222222222 eee 2 2 2222 10 Set Up the Credit Control Parameters 22 2 2 o oo cece ccc ccc e ec cecc ccc ccceeeeeeeececeeeeeseeeesetees 12 Set Exposure Limits and or Max Quantity Limits 222 2222222022222220002 13 Advanced Settings 20 2 2 22 occ c cece cece cece cece aa DAADAA DLADLA DLLD LLALLA DLADLA LLLA DLLD DLADLA LLAD a naana 14 Add Update or Delete Email Address for Notifications 2 200000 cece cece eecccccceeeceeeeeee 16 To Update an Email Address Gu renere nen 17 To Delete an Email Address _ 222 22 2 ccc cece cece eee LLLA LLALLA LLALL LAL aLa aLaaa 17 Email Notification Messages a aaao ooo cence eee cece eeeeeeees 17 Manage Executing Firm ID Exchange Groups 22 2222 ccc nunne renere reen renere 18 Modify a Group 0 19 Set Up a New Group 222 2 e cece cee
28. ect a firm 2 Click Run Report 3 Depending on the browser being used file either automatically downloads or a dialog box displays with open save file options If dialog box displays take actions as appropriate 45 User Manual Risk Management Tools DSF Access Manager Deliverable Swap Futures DSF contracts settle up with the delivery of the underlying swap from one clearing firm to another Globex accounts at Clearing Firms are blocked by CME Group from entering new buy or sell orders for deliverable swap futures seven 7 calendar days before settlement of each contract Use DSF Access Manager to positively permission accounts so these products may be traded during the blocked window Note e Not all deliverable products can be accessed during the blocked trading window Use DSF Access Manager to view products that are eligible for this feature e All current and future Globex Credit Controls GC2 administrators are automatically permissioned for the DSF Access Manager Both GC2 administrator rights and DSF Access Manager rights are granted simultaneously e DSF Access Manager only blocks new buy and sell orders from getting to the matching engine during the blackout win dow DSF Access Manager does not keep a record of any open orders or start of day positions All open positions and open working orders remain on the engine and in clearing until acted upon or expiration of the contract Use DSF Access Manager to e Permis
29. ect an Execution Firm from the list Selected Execution Firm and associated Sender Comps display Note The Sender Comps that display will depend on Administrator role Kill Switch Execution Firm Kill Unkill Execution Firm 111 Exec Firm A Execution Firm sender Comp Exchanges Kill Unkill Killed by LCE Killed by CME Group EF 111 Exec Firm CBT CME N Y MEX CBT CME N Y MEX CBT CME NY MEX CBT CME N Y MEX 3 Doone or more of the following e Click Kill or Unkill for Execution Firm and click the confirmation message e Click Kill or Unkill for one or more Sender Comps and click the respective confirmation messages Note A kill can be made at the Execution Firm level by one administrator with the appropriate permissions and one or more Sender Comps can be killed by a different administrator with the appropriate permissions Kills at all levels must be cleared before the Execution Firm or Sender Comp can trade again Kill Switch Execution Firm Reports Kill switch reports show all firms killed for an Execution Firm Note If an execution firm has been selected previously in the Dashboard or Firm Kill Unkill page the report will automatically populate with kills for that execution firm gt To run a Kill Switch report for an execution firm 1 From the CME Group Risk Management Tools window select Reports gt Kill Switch gt Firm Kill Switch CME Group Risk Management Tools Kill Switch Reports Logout Kill Switc
30. ected as long as the order does not violate the dynamic clip size Any subsequent orders will be rejected Click this link to learn more about Spread Order Calculations 29 User Manual Risk Management Tools Spread Order Calculations GC2 nets out the working exposure for both positions as long as both Buy Sell sides exist for the spread and applies a Spread Adjustment Factor to all working spread orders Spread Adjustment Factor The Spread Adjustment Factor is a single percentage value applied to all qualifying spreads and only applicable to working spread orders The spread s working margin value is unwound or recalculated if the spread order s open quantity matches partially See Example 4 below The Spread Adjustment Factor is calculated to a maximum of two decimals places is always a positive value is configurable by designated Exchange personnel only if the Spread Adjustment Factor value is reconfigured the new value is applied to incoming spread orders at the start of the next day s trading session Conditions for Spread Adjustment Factor Application All of the following conditions must be valid before the Spread Adjustment Factor is applied 1 The spread legs are in the same Product Complex Current Product Complexes include Agriculture Energy Envir onmental Equity Index FX Interest Rates Metals and Weather The spread legs are all within the same Product Type which is either all futures or
31. edit Control Parameters To set up CME Globex Credit Controls follow these steps 1 2 3 4 5 Select the Firm Manage the Executing Firm ID Exchange Groupings Enter the Exposure Limits and or Max Quantity Limits Set Notification Percentages Add Update or Delete an Email Address for Notifications Click the following links to learn more Dynamic Clip Size Position Calculations Risk Management Tools User Manual 12 Risk Management Tools Set Exposure Limits and or Max Quantity Limits There are two sections to this panel The GC2 Risk Administrator may enter an Exposure Limit for futures Long Short and options Long Short and or Max Quantity Limit for both Buy Sell Futures and Buy Sell Options gt To Modify the Exposure Limit 1 Enter the Futures and Options Exposure Limit CME yH DME 14 KCB H MGE Mu CBT yH COMEX yH HY MEX Credit Controls Management Enter Oto black order entry Futures Exposure Limit Max Quantity Limit Mo Max Limit 3 Buy Ive in USD millions in Contracts Sell ir in Contracts Options Exposure Limit Max cuantity Limit Mo Max Limit in USD millions in Contracts Sell m in Contracts Note Minimum Exposure Limit level is 0 5M Increase from 0 5M in 0 1M increments Note Exposure Limit field recognizes only one decimal point to the right for example 1 3M 2 Click Save if there are no other c
32. g the date range click Reload to update the search results e Click any column heading to sort the results e Click Refresh at any time to clear all sort filter criteria and view most recent activity gt To export the activity information to Excel 1 Click the Export to Excel icon The File Download window appears prompting to Open or Save the file 2 Savethe file in a desired location or Open the file to view the output Al E Account ID A B Ic D E F G H 1 Account ID Action Side Derivative Type Product Product DescriptionRequested By Source 2 1234 Block Buy Options CZ6 Com July Dec CSO E11960 rmi ul 3 1234 Block Sell Options Cb Com July Dec CSO E11960 rmi ul 4 1 Unblock Buy Futures All Products E11960 rmi ui 5 1 Unblock Sell Futures All Products E11360 rmi ui 6 1 Unblock Sell Futures All Products E11360 rmi ui T J 07 16 2012 02 15 PM cst Accepted orne 2012 02 15 PM cst Accepted 07 16 2012 02 00 PM cst Accepted 07 16 2012 02 00 PM cst Accepted 07 16 2012 02 00 PM cst Accepted User Manual 44 Risk Management Tools RMI Reports gt To run an RMI report 1 From the CME Group Risk Management Tools window select Reports gt RMI gt Active Blocks by Legal Clearing Entity The following window displays RMI Reports Active Blocks by Legal Clearing Entity Legal Clearing Entity METIE 1 From the Legal Clearing Entity drop down box sel
33. h Exec Kill Switch Ld Firm Kill Switch The Kill Switch Execution Firm Report page displays User Manual 58 Risk Management Tools 2 Select a firm from the Execution Firm drop down box Report populates Kill Switch Execution Firm Report Execution Firm 628 RMI TEST FIRM 828 A Sender Comp Kill Unkill Level Role Initiator Actor Effective Date zZ14528 Kill oC EF ks_efadmini admin Self 10 14 2013 09 53 12 NA Kill EF EF ks efadminl admin Self 10 14 2013 08 53 10 e To view active blocks only click Active Blocks Only e To export to an Excel spreadsheet click the icon 59 User Manual Risk Management Tools Legal Clearing Entity View Dashboard or Legal Clearing Entity Kill Unkill page as a Legal Clearing Entity Administrator Dashboard gt To access Legal Clearing Entity Dashboard 1 From the Kill Switch tab select LCE Dashboard Kill Switch LCE Dashboard LCE Kill Unkill Kill Switch Legal Clearing Entity Dashboard displays 2 Selecta Legal Clearing Entity Kill Switch Legal Clearing Entity Dashboard wma E Select a Legal Clearing Entity TEST LCE STi LCE TESTS LCE Kills for selected LCE display Kill LCE Legal Clearing Entity TEST1 LCE EF Level Sender Comp Level LCE Level EF Level Sender Comp Level LCE Level EF Level Sender Comp Level Note To Kill the LCE and all underlying Execution Firms and Sender Comps from this page click the red Kil
34. hanges gt To Modify the Max Quantity Limit Uncheck the No Max Limit checkboxes Enter the Buy Max Quantity Limit for Futures E 2 3 Enter the Sell Mar Ouantity Limit for Futures 4 Enter the Buy Max Quantity Limit for Options 5 Enter the Sell Max Quantity Limit for Options CME H DME 34 KCE H MGE CBT H COMEX 3 NYMEX Credit Controls Management Enter Oto block order entry Ho Max Limit Futures Exposure Limit Max Quantity Limit 3 Buy 100 Mm in USD millions in Contracts Sell S in Contracts Options Exposure Limit Max Quantity Limit Ma Max Limit i 2 Buy 50 7 in USD millions in Contracts Sell 25 7 Click Save when finished 13 User Manual in Contracts Advanced Settings gt To set advanced settings 1 Click Advanced Settings on the GC2 window CME 34 DME 3 KCB H MGE CBT y COMEX H NYMEX k Credit Controls Management Futures Exposure Limit 3 in USD millions Options Exposure Limit z2 in USD millions The Advanced Settings pop up displays Advanced Settings Futures Margin Rate Dynamic Margin Rate Options Margin Rate Dynamic Margin Rate Enter to block order entry Max Guantity Limit Mo Max Limit Buy 100 E in Contracts Sell 50 7 in Contracts Max Quantity Limit Mo Max Limit Buy 50 in Contracts Sell 23 E in Contracts Advanced Settings
35. he most conservative value is used The Exposure Limit for futures and options and Max Quantity Limit Clip Size must be set for each respective Executing Firm ID Exchange group Total Futures Long Sum of all weighted quantity open long futures orders Sum of all weighted long fills Sum of all weighted short fills Total Futures Short Sum of all weighted quantity open short futures orders Sum of all weighted short fills Sum of all weighted long fills Total Options Long Sum of all weighted quantity open long options orders Sum of all weighted long fills Sum of all weighted short fills Total Options Short Sum of all weighted quantity open short options orders Sum of all weighted short fills Sum of all weighted long fills Note Click the Refresh button to update the Current Positions area This area identifies the 3 threshold percentages when notifications occur The area also identifies the email address es of the recipient s of the alerts when the 100 threshold is reached These percentages are selected by the GC2 Risk Administrator Note At least one email address must be entered per Executing Firm ID Exchange group Displays the alerts based on the current position s and threshold percentage Note In addition this window has a Kill Trading button an emergency switch that blocks all subsequent order entry at the Legal Clearing Entity and Executing Firm ID 11 User Manual Set Up the Cr
36. ill or Unkill for one or more Sender Comps and click the respective confirmation messages Kill Switch Legal Clearing Entity Reports Kill switch reports show all firms killed for a Legal Clearing Entity LCE Note If an LCE has been selected previously in any section of Risk Management Tools the report will automatically populate with kills for that LCE gt To run a Kill Switch report for an execution firm 1 From the CME Group Risk Management Tools window select Reports gt Kill Switch gt Firm Kill Switch 61 User Manual Risk Management Tools CME Group Risk Management Tools GC2 DSF Access Manager Kill Switch Reports GC2 Manage Limits GC2 gt Kill Switch gt LCEKill Switch The Kill Switch Legal Clearing Entity page displays Select a firm from the Legal Clearing Entity drop down box Report populates Kill Switch Legal Clearing Entity Report Legal Clearing Entity QA TEST1 LCE Active Blocks Only Actor Effective Date Execution Firm Sender Comp Kill Unkill Initiator RMI TEST FIRM 628 YW7 628 Kill Ice admin001 Self 10 14 2013 10 28 22 AM RMI TEST FIRM 628 YWB5268 Kill Ice admin001 Self 10 14 2013 10 28 19 AM RMI TEST FIRM 818 NA Kill RMI TEST FIRM 628 NA Kill Ice admin001 Self 1014 2013 10 28 15 AM Ice admin001 Self 10 14 2013 10 28 13 AM e To view active blocks only click Active Blocks Only e To export to an Excel spreadsheet click the icon User Manual 62
37. inistrator has the ability to set a static maximum quantity limit If the GC2 Risk Administrator sets this value GC2 compares its dynamic calculation against the static limit and enforces the smaller value as shown in this example Prior to Trading Atthe beginning of the weekly trading session prior to market open GC2 requires an Initial Margin Reference Rate to calculate an initial clip size For this calculation if the GC2 Risk Administrator has set the reference margin rate this value will be used for the initial clip size calculation otherwise GC2 will use a default reference margin rate from a highly liquid product for example Eurodollars The initial clip size is calculated as Exposure Limit Current Calculated Position in USD Risk Administrator selected Reference Margin Rate or default Reference Margin Rate During Trading During trading GC2 calculates a Weighted Average Margin Rate based on the order trade activity for the related Legal Clearing Entity The larger value of either the Weighted Average Margin Rate or the selected Margin Rate is used to calculate the dynamic clip size resulting in the selection of whichever generates the smaller clip size Clip Size Exposure Limit Current Calculated Position in USD Risk Administrator selected Margin Rate OR Clip Size Exposure Limit Current Calculated Position in USD Weighted Reference Margin Rate Tip Weighted Reference Margin Rate 2 Quantity per i
38. k update information 1 Exposure limits added to newly created firms or exchanges will take effect at 16 45 CST each weeknight or upon Sunday start up 2 Added The SenderComplD FIX Tag 49 is made up of Session ID first three characters Firm ID second three characters and Fault Tolerance last character Updated links and edited to meet Help standards Updates for Exposure Limit e Minimum Exposure Limit level is 0 5M e Increase from 0 5M in SO 1M increments e Only one decimal place to the right is recognized Roles of RMI Risk Admin and GC2 Risk Admin are combined Added content for DSF Access Manager and Kill Switch topics Added Kill Switch Reports Added Partner Exchange report Updated images on various pages Updated Newly created execution firms and Newly added exchanges bullet points Updated text table header on CME GC2 page GC2 Features Time Frame for Changes Updated text on Dynamic Clip Size page Prior to Trading Updated images on Advanced Settings page Updated warning that required changes are effective upon the next Sunday start up Updated example Added Filter functionality Added topic Streamlined topics and expanded What s New section e Updated RMI sections to rename Pending Block tab to Create Block tab e Added Export to Excel description to RMI Instruction History Risk Management Tools Date Author Topic Description 2 24 12 NU General Risk Manage
39. l LCE in the upper right of the page and click OK on the confirmation pop up User Manual 60 Risk Management Tools Legal Clearing Entity Kill Unkill Use this page to Kill or Unkill Legal Exchanges at the Legal Clearing Entity LCE Execution Firm and Sender Comp levels To utilize the Legal Clearing Entity Kill Unkill page 1 From the Kill Switch tab select LCE Kill Unkill Kill Switch L CE Dashboard LOE Kill Unkill Kill Switch Legal Clearing Entity Kill Unkill page displays 2 Select a Legal Clearing Entity from the list Legal Clear Entity Execution Firms and Sender Comps display for the selec ted LCE Note The Execution Firms and Sender Comps that display will depend on Administrator Role 3 Selectan Execution Firm from the list Optional View is restricted by to selected Execution Firm Kill Switch Legal Clearing Entity Kill Unkill Legal Clearing Entity TEST LCE A Execution Firm 628 RMI TEST FIRM 628 Killed by Legal Clearing Entity Execution Firm Sender Comp Exchanges Kill Unkill Execution Firm Killed by CME Group TEST1 LCE HA 628 RMI TEST KCB FIRM 628 MEMBE Ho BVUOZ KCB MGE PSB ZT KCB MGE XHz0 zT7 KCB MGE 4 Doone or more of the following e Click Kill or Unkill for the Legal Clearing Entity and click the confirmation message e Click Kill or Unkill for one or more Execution Firms and click the respective confirmation messages e Click K
40. le accounts at once click Copy to List and repeat for as many accounts as needed Note Accounts added to the Account List persist across different LCE and Execution Firm combinations only through the duration of the DSF Access Manager s current login They are lost if browser is closed or DSF Access Manager logs off Account list is unique to the DSF Access Manager s instance and is not shared across login session at the same time Copy to List eii es Account Account 3 Account List Account 1 Account 2 5 Select an Exchange 6 Select one or more products either e Click one product to select that product e Click one product and then use Click CTRL to select non continuous products e Click one product and then use Click Shift to select continuous products 7 Select accounts only needed for accounts have been moved to the account list either e Click one account to select that account e Click one account and then use Click CTRL to select non continuous accounts e Click one account and then use Click Shift to select continuous accounts 8 Click Add Selected account product combinations display in the Pending Permissions section Pending Permissions Account ID Derivative Type Product Product Description Expiration Window Account 1 Futures 30 Year USD Deliverable Interest Rate Swap Futures Account 1 Futures 10 Year USD Deliverable Interest Rate Swap Futures Account 2 Futures 30 Year USD Deliverable Interest Rate Swap Futu
41. ll 100 200 1 8000 User Manual 32 Risk Management Tools Value B abs 100 280 1 abs 100 200 1 48000 Value C Value B Spread Adjustment Factor or 48000 0 10 4800 Determine working long value Since Value A is negative then the working long value is Value C or 4800 Determine working short value Since Value A is negative then working short value is Value A Value C or 8000 4800 or 12800 Example 4 Unwinding a Partially Matched Futures Spread 1 Assume the margin results of Example 3 A buy order of 100 eMini S amp P Strangles is resting on the book Working Long 4800 and Working Short 12800 Buy 100 eMini S amp P Strangles Total Long Total Short 4800 12800 2 An incoming 25 lot order matches 25 strangles fill and 75 strangles remain Value A Put 75 280 1 Call 75 200 1 6000 Value B abs 75 280 1 abs 75 200 1 36000 Value C Value B Spread Adjustment Factor or 36000 0 10 3600 Determine working long value Since Value A is negative then the working long value is Value C or 3600 Determine working short value Since Value A is negative then working short value is Value A Value C or 6000 3600 or 9600 Calculate Longs Call 25 qty 200 5000 Calculate Shorts Put 25 qty 280 7000 Total Long Working Long Longs Shorts Total Long 3600 5000 7000 Total Long 1600 Total Sho
42. ment Interface RMI allows authorized Clearing Firm risk administrators to manage market exposure of their respective execution firms at the account level by Blocking or Unblocking the entry of all new orders gt To view or manage blocks 1 Login to CME Group Risk Management Tools 2 From the RMI tab click Block Unblock 3 Select the Legal Clearing Entity and Execution Firm from the drop down boxes The Active Blocks tab populates The bottom of the Active Blocks tab displays the number of results and page navigation CME Global Command Center CME Group Risk Management Tools muitis ob esed Asia 65 6225 1357 GC RMI DSF Access Manager Kill Switch Logout RMI Block Unblock Legal Clearing Entity YF GLOBAL iv Execution Firm AN EXECUTION FIRM I Active Blocks Create Blocks j i current as of 10 02 2013 11 16 AM cst Account ID Si Derivative Type Product Product Description Mini European 1 Fuel Oil Barges FOB Rdam Platts ACCOUNT 1 Futures OA BALMO Futures Mini European 1 Fuel Oil Cargoes FOB NWE Platts ACCOUNT 1 Futures 0B Futures Mini European 1 Fuel Oil Cargoes FOB NWE Platts utu ACCOUNT 1 Futures BALMO Futures Mini European 3 5 Fuel Oil Barges FOB Rdam Platts BALMO Futures ACCOUNT 1 Futures Unblock Clear Selected unblocks selected 0 2013 CME Group Inc Version 4 0 1 SNAPSHOT Last Revised 08 27 2013 This site is best viewed with Internet Explorer 9
43. ment e Incorporated Risk Management Interface RMI functionality Interface Basics including a new RMI section e The Risk Management Tools GUI was renamed from CME Globex Credit Controls to now support both CME Globex Credit Controls GC2 and a new Risk Management Interface RMI All graphics updated to reflect renaming of Credit Con trols tab User Manual 8 Risk Management Tools CME Globex Credit Controls GC2 CME Globex Credit Controls GC2 is a front end application that provides pre execution risk controls that enable Clearing Firm or Partner Exchange Clearing Firm risk administrators to set exposure limits for order and trade activity transacted on CME Globex and cleared by CME Clearing The Clearing firm or partner exchange Clearing firm risk administrators can choose a set of real time actions to follow if specified limits are breached including e mail notifications order blocking and order cancellation GC2 Features include Exposure Limits set Exposure Limits for Futures and Options GC2 exposure limits are applied to e Exposure Limit Futures Long e Exposure Limit Futures Short e Exposure Limit Options Long e Exposure Limit Options Short The Exposure Limit entered in the Exposure Limit field is applied to both Long and Short Max Quantity Limits in addition to Exposure Limits the risk administrator can enter the optional Max Quantity Limit Clip Size for Buy Sell Futures and or Buy Sell Options for the grou
44. n or if you have forgotten your ID or password follow the appropriate links on the page Login gt To login Access CME Group Risk Management Tools at https risktools cmegroup com using the SMART Click ID and password Logout Closing the CME Group Risk Management Tools window will NOT terminate the session Risk Administrators must log out of the application gt To log out From the Risk Management Tools window click Logout Additional Resources e Client Systems Wiki o M Risk Management Video User Manual 6 Risk Management Tools What s New The following content has been updated or added to the Risk Management Tools Help system Date 10 27 14 4 28 14 4 15 14 3 2 14 12 13 13 10 18 13 8 26 13 6 21 13 4 30 13 8 11 12 3 23 12 Author Topic JK 1 CME Group Risk Man agement Tools JK 1 Globex Credit Con trols 2 Enforcing Kill Switch JK All JK Set Exposure Limits and or Max Quantity Limits JK CME Group Risk Management Tools JK DSF Access Manager new Kill Switch new Partner Exchange report JK CME Globex Credit Controls GC2 JK CME Globex Credit Controls See Dynamic Clip Size Advanced Settings NU Regroup Exchanges CME Globex Credit Controls GC2 NU Basics of Position Calculations Instruction History RMI Reports Global NU General Instruction History 7 User Manual Description 1 Updated Login section with SmartClic
45. n EFs and Sender Comps e Execution Firm e Kill Execution Firms and Sender Comps orders that have e Sender Comp been Guaranteed by that LCE Execution Firm Admin e Execution Firm Kill Execution Firms and Sender Comps under their Executing firms e Sender Comp CME Admin e Legal Clearing Entity e Kill any Legal Clearing Entity Execution Firm and or Sender Comp e Execution Firm e Kill all guaranteed exchanges for EFs and Sender Comps e Sender Comp e Use the Kill functions on behalf of any other Initiator can impersonate a CM or EF risk admin 53 User Manual Risk Management Tools Additional Rules Kill states at different levels by different roles are independent of each other Multiple kills can be in place at the same time however an administrator cannot kill more than one entity at the same level at the same time For example if three Sender Comps are to be killed each requires a separate kill instruction e An EF can put a kill on a single Sender Comp multiple Sender Comps or the entire EF e An LCE can place kills on specific Sender Comps the entire EF or the entire LCE If there are multiple kills on a Sender Comp they will have to be removed at each level before that Sender Comp is completely unkilled A kill instruction placed at the Sender Comp level will remain in place until it is unkilled at the Sender Comp level regardless of whether kill unkill instructions have been placed at other levels
46. n Sunday start up Exposure Limits X Max Quantity Limits X Executing Firm ID Exchange X Regroupings New Firms X Clearing Mapping Relationships X GC2 Window The GC2 window incorporates Execution Firm ID Exchange group functionality whereby predefined groups display on the tabs and the associated credit control parameters display for the selected active tab The GC2 Risk Administrator uses this window to establish the parameters for CME Globex Credit Controls gt To access this screen 1 Login to GC2 2 From the GC2 tab click Manage Limits CME Global Command Center North America 4 312 454 2391 amp CME Group Risk Management Tools corepescet 36 NIS QU Asia 65 5221 1357 GC2 RM DSF Access Manager Kall Switch Reports GC2 Manage Limits Block trading across all exchange grouping Emeepency the selected Execution Fem switch blocks Legal Clearing Entity af subsequent Execution Firm m m the Unga Clearing Entry Executing mip Exchange ai Mason p rove a a Quantity Limits updated by QA GC2 Test gc 16510 Jan 10 026 AM 8855558585 jemayi s Bcnegioup cor Retresh Credit Controis Management Ente Oto block andaa Current Positions cuneet as of 2 8 12 10 11 AM cst n Dollars EE ostoes Futures Exposure Limit Max Quantity Lene No Max imt Fut Long Open Filled Total s 9995 Buy 020 OK fin USD millions in Contracts Fut Short Open Filled Total el 1090 Realm x 9 0 eon
47. nge Spreads IES at the leg level Breach of the exposure limit on one or more of the exchange groups results in the rejection of the IES order Working Order Spread Calculation When a spread meets the criteria specified above the following calculations are applied Calculate Value A Spread s total margin Value A is the sum of e the spread order quantity for buy sell e multiplied by each leg s buy sell ratio for buy sell e multiplied by each leg s margin rate as seeded from the ref file Calculate Value B Spread s total margin in absolute value Value B is the sum of terms e the spread order quantity e multiplied by each leg s buy sell leg Ratio e multiplied by each leg s margin rate Calculate Value C Value B multiplied by the Spread Adjustment Factor Determine the spread s working long value e If Value A is positive then the working long value is Value A Value C e If Value A is zero or negative then the working long value is Value C Determine the spread s working short value e If Value A is negative then the working short value is Working Summary 31 User Manual Value A Value C e If value A is zero or positive then the working short value is 1 multiplied by Value C Risk Management Tools Working Long Working Short If Value A is positive Value A Value 1 Value C C If Value A is negative Value C Value A Value C If Value A is zero Value C 1 Value C Spread Calculation
48. nstrument x Rate per Instrument 2 Quantity per instrument Dynamic Clip Size Parameters GC2 Calculates dynamic clip size according to the following formulae where Dynamic Exposure Limit Total Futures Long Margin Futures Long Weighted Avg Clip Size Futures Long minus Total futures Long Maren divided by Margin Rate sum of long futures Total Futures Long Weighted order margins sum of Avg Margin Rate Weighted long futures fill margins average sum of open long sum of short futures fill futures orders long futures margins fills short futures fills Exposure Limit Total Futures Short Margin Futures Short Weighted Avg Paires Mor Total Futures Short Margin MS USLE LG sum of short futures Total Futures Short Weighted order margins sum of Avg Margin Rate Weighted short futures fill margins average sum of open short sum of long futures fill futures orders short futures User Manual 26 Risk Management Tools Exposure Limit Options Long Exposure Limit Options Short margins Total Options Long Margin Total Options Short Margin sum of short options order margins sum of short options fill margins sum of long options fill margins Total Options Short Margin Total Options Short Margin sum of short options order margins sum of short options fill margins sum of long options fill margins fills long futures fills Options Long Weighted Avg Margin Rate Total Options Long
49. ot ked MOSSdBBS aa A Lp oe a A a Muri pP LE cae et WA ERE eel 55 Non Blocked Messages contanti ate oye eee et tye eee se VN EL S Lu beue Le rl LA E LE EL RR 55 iLink Kill Switch Messages sosuuuussssssssssssssmIIIIIIIIIIIIIIIIImIIImIIIIllllll22ll2222222222222222 56 Oa Ya e mda NM EEE E E E A E E E E A EEEE 57 DATA BOA aa ES cee cine E AEE R 57 Execution Firm Kill Unkill renere 58 Kill Switch Execution Firm Reports 2mmmmmmmmmm mmama mam mmm mma mmemmme mmea 58 Legal Clearing ENTITY IIIA AE EEANN 60 BESES a ale AA AA AA AA AA AA AA R E 60 Legal Clearing Entity Kill Unkill saae renee 61 Kill Switch Legal Clearing Entity Reports 202020 222 oon eee eens 61 4 User Manual Risk Management Tools Please submit user experience feedback about this help system CME Group Risk Management Tools CME Group Risk Management Tools is a browser based application that is permissioned by account for access to the following CME Globex Credit Controls GC2 the Risk Management Interface RMI Deliverable Swap Futures DSF and Kill Switch Depending on permissioning administrators may not have access to all tools Risk administrators are issued a SMART Click ID and password to log into the application A CME Clearing Member Firm CMF or exchange partner Clearing administrator authorizes access to the risk administrator for one or more of the following functions e CME Globex Credit
50. ping Open and Filled Position Calculations open and filled positions are calculated for a product complex per Executing Firm ID Exchange group Advanced Settings used to set a reference margin rate Newly created execution firms will have a 0 exposure limit This means that the firm is blocked The clearing firm admin must enter a value to enable trading Newly added exchanges will have a 0 exposure limit and will appear in a separate tab This means that the firm is blocked for the newly added exchanges The clearing firm admin must enter a value to enable trading Exposure limits added to newly created firms or exchanges will take effect at 16 45 CST each weeknight or upon Sunday start up If the customer wishes to re group the exchanges the change will take place upon the next Sunday start up For detailed information about GC2 calculations see Dynamic Clip Size Position Calculations 9 User Manual Risk Management Tools Time Frame for Changes The following table summarizes when various types of changes take effect for CME Globex Credit Controls GC2 e Clearing firms have the ability to apply exposure limits to Executing Firm IDs created on or transferred mid week Lim its are applied by 16 45 CST e Filled positions are not carried over between trading days and are reset to zero at 16 30 Central Standard Time CST Type of Change Realtime 16 30 16 45 each week Next Sunday Start up night or upo
51. rcentage of utilized limit at which to receive a credit control alert Describes a group of products belonging to a given economic sector or market segment which include Agriculture Credit Economic Events Energy Equity Index FX Interest Rates or Term Reference Margin Rate Risk Administrator Sell Futures Sell Options Spread Adjustment Factor User Defined Spread UDS Weighted Margin Rate Provided By Risk Administrator Risk Management Tools Definition Metals A contract of reference is selected on GC2 to determine the initial reference margin rate using in calculating the dynamic clip size Defines the daily exposure limits per Executing Firm ID Exchange group using GC2 The Sell Futures area on the CME Globex Credit Controls window where the GC2 Risk Administrator sets Max Quantity Limit for a futures sell order The Sell Options area on the GC2 window where the GC2 Risk Administrator sets Max Quantity limit for an options sell order A positive single percentage value that is universally applied for all qualifying spreads Spreads whose legs are defined by the client UDS are the only way by which option spreads and Covereds can be created There are no UDS for futures This value is dynamically calculated by GC2 based on all the contracts the Executing Firm ID Exchange group is trading User Manual 36 Risk Management Tools Risk Management Interface RMI The Risk Manage
52. res Account 2 Futures 10 Year USD Deliverable Interest Rate Swap Futures M 4 14ol4 bh M Remove All permissions selected 0 Note It may be necessary to scroll down to see options at the bottom of the page 9 Doone ofthe following e Click boxes adjacent to Account ID and then click Grant to grant permissions for selected accounts to cor responding products Click OK on confirmation page e Click Select All and then click Grant to grant permission for all accounts to corresponding products Click OK on confirmation page e Click Clear Selected to clear checked boxes e Click Remove Selected to remove checked boxes from list e Click Remove All to clear list Note Once Grant has been clicked selected accounts have access to trade immediately 47 User Manual Risk Management Tools View Active Permissions To view active permissions 1 From the DSF Access Manager tab click Grant Revoke Permission DSF Access Manager Grant Revoke Permission page displays 2 Select Legal Clearing Entity and Execution Firm from the respective lists Active permissions display in the Active Permissions tab Active Permissions Permission Account current as of 09 06 2015 11 40 AM cst Account ID Derivative Type Product Description Expiration Window ACCOUNT 1 Futures 30 Year USD Deliverable Interest Rate Swap Futures 10 ACCOUNT 1 Futures 10 Year USD Deliverable Interest Rate Swap Futures T ACCOUNT 2 Futu
53. res 30 Year USD Deliverable Interest Rate Swap Futures ACCOUNT 2 Futures 10 Year USD Deliverable Interest Rate Swap Futures 3 Optional To filter by criteria click Filters select appropriate criteria and click Apply Filtered rows are removed from list and a message displays indicating filters are applied e To cancel active filters click Filters click Cancel and then click Refresh All active permissions display Revoke Active Permissions gt To revoke active permissions 1 From the DSF Access Manager tab click Grant Revoke Permission DSF Access Manager Grant Revoke Permission page displays 2 Select Legal Clearing Entity and Execution Firm from the respective lists Active permissions display in the Active Permissions tab Active Permissions Permission Account current as of 09 06 2013 01 19 PM cst Account ID Derivative Type Product Description ACCOUNT 1 Futures 30 Year USD Deliverable Interest Rate Swap Futures ACCOUNT 1 Futures 10 Year USD Deliverable Interest Rate Swap Futures ACCOUNT 2 Futures 30 Year USD Deliverable Interest Rate Swap Futures ACCOUNT 2 Futures 10 Year USD Deliverable Interest Rate Swap Futures unblocks selected 1 Note It may be necessary to scroll down to see options at the bottom of the page User Manual 48 Risk Management Tools 3 Doone of the following e Click boxes adjacent to the accounts and corresponding products for which permissions are to be revoked e Click
54. res and options on futures contracts based on the Dow Jones Industrial Average are not sponsored endorsed sold or promoted by Dow Jones and Dow Jones makes no representation regarding the advisability of trading such product s BM amp FBOVESPA is a trademark of BM amp FBOVESPA KRX is a trademark of Korea Exchange DME is a trademark of Dubai Mercantile Exchange BMD is a trademark of Bursa Malaysia BMV is a trademark of Bolsa Mexicana De Valores All other trademarks are the property of their respective owners The information within this document has been compiled by CME Group for general purposes only CME Group assumes no responsibility for any errors or omissions Additionally all examples in this brochure are hypothetical situations used for explanation purposes only and should not be considered investment advice or the results of actual market experience All matters pertaining to rules and specifications herein are made subject to and are superseded by official CME CBOT and NYMEX rules Current rules should be consulted in all cases concerning contract specifications Copyright O 2014 CME Group Inc All rights reserved Table of Contents Table of Contents CME Group Risk Management Tools suser aLL aa Laana 5 Obtain ACCESS _ 22 ccc ccc cece cece cece e eee e eee e eee e cece eee cece eeeeeeececeeeeeeeeeeeeteeeeccceeeeeeeeeee 6 Login and Logout o oaaao aaan aana c cece cece cece cece ee eeeeeeeee
55. rt Working Short Shorts Longs Total Short 9600 7000 5000 Total Short 11600 Buy 75 eMini S amp P 500 Strangles Bought 25 Calls Bought 25 Puts Total Long Total Short 1600 11600 33 User Manual Terminology Term Buy Futures Buy Options Clip Size CME Globex API ID Clearing Firm Clearing Firm Administrator Control Group Covered Spread Credit Control Alerts Current Positions Futures Current Positions Options Dynamic Clip Size Exchange Exchange Defined Spread EDS Executing Firm ID Provided By Risk Administrator Y Risk Management Tools Definition The Buy Futures area on the GC2 window that enables the GC2 Risk Administrator to set Max Quantity Limit for a futures buy order The Buy Options area on the GC2 window that enables the GC2 Risk Administrator to set Max Quantity Limit for an options buy order Maximum quantity per order Also called Executing Firm ID The CME Group or partner exchange Clearing member firm Individual at the Clearing firm who has the capability to enter and change risk parameters for GC2 Logical grouping of Executing Firm ID Exchange within a Legal Clearing Entity LCE Buying and selling option s and future s to achieve delta neutrality i e insulate the option leg s from price risk Example Buying 10 50 delta eMini S amp P Dec call options and selling 5 eMini S amp P Dec futures GC2 displays e
56. s CME Global Command Center amp CME Group Risk Management Tools Europe s46 20 76234708 H Hep Asia 55 5273 1357 Gig RMI DSF Access Manager Kill Switch Reports Logout i Fleck trading across all axchange groupings for the selected Execution Fem Select a Legal Clearing Entity Warning If modifications are required changes are effective upon the next Sunday start up The two current groups in the figure correspond to the tabs on the GC2 main window Legal Clearing Enty xvzGee sj Execution Firm 247 AYZ Global US Current Group represents exchange groupings xs they currently exist Click the Wew Groop button to create a new grouping container Drag exchanged amd Drop into new or existmg containers to create new exchange groupings Click ex 10 contra Current Group Current Group m 1 CME j et T2000 COMER Current Executing Firm ID Exchange groups KCB NYMEK MGE 2 From this window the GC2 Risk Administrator can modify or set up a new group Select the appropriate link e To Modify a Group e To Set Up a New Group User Manual 18 Risk Management Tools Modify a Group gt To modify a group 1 Dragthe exchange button to a different group In this example the MGE exchange was moved to the second group GC2 Regroup Exchanges Legal Clearing mtity yv Ciobal x Execution Firm 287 XYZ Global US A Curent Group represen
57. s not apply if the Risk Admin defined the DME and NYMEX across two Control Groups If the Risk Admin has grouped them in the same Control Group then the Spread Adjustment Factor would apply Intra Commodity Covered two For Eurodollar Put Vertical covered with a Eurodollar future the Put Vertical by option legs and single future leg definition includes two different option legs same month but different strikes In this User Manual 30 Risk Management Tools Spread Adjustment Factor Application and Exception Examples Intra Commodity Option Spread across Control Groups case the entire spread will not qualify for the Spread Adjustment Factor because at least two of the legs cross over Product Types i e the spread is not all futures or all options Assume a 10 leg generic UDS is created wherein 6 of the legs are CBOT option products buy call and put options and the other 4 legs are CME option products sell put options The Risk Admin has CBOT and CME products in separate Control Groups The 6 CBOT option legs will have the Spread Adjustment Factor applied because the call and put options offset The resulting working margin will be applied to the CBOT Control Group The 4 CME option legs will not have the Spread Adjustment Factor applied because the put options do not offset Each of the four options full margin rates will be applied to the CME s Control Group s working margin Note GC2 enforces Inter Excha
58. sed on a Kill Switch invoc ation of any one exchange or group of exchanges since the market maker could have working quotes belonging to exchanges which do not come under the domain of that particular Kill Switch command e Mass Cancel cancel all orders for a market segment ID match engine e Market segments potentially envelope multiple exchanges It is therefore not possible to block the Mass Cancel mes sage based on a Kill Switch invocation for one exchange or group of exchanges as a segment could be hosting other exchanges which do not fall within the domain of that particular Kill Switch command Administrative messages which the trading entity uses to Maintain its connection to Globex are allowed for example heartbeat sequence reset resend 55 User Manual Risk Management Tools iLink Kill Switch Messages iLink messages that may be used when Kill Switch is invoked Message Order reject because of Execution Firm level block placed by CME Order reject because of Sender Comp level block placed by Execution Firm Admin Order reject because of LCE level block placed by LCE Admin Order Cancel ack Example 8 FIX 4 29 15535 334 739369 83652 20131009 22 16 11 30549 CME50 G56 U17985N57 DUMMY143 US L45 83658 Kill Switch enforced by CME for Executing Firm 9851028 Y10 202 8 FIX 4 29 15535 334 739369 83652 20131009 22 16 11 30549 CME50 G56 U17985N57 DUMMY143 US L45 83658 Kill Switch enforced by EF for Sender Comp
59. sion Accounts e View Active Permissions e Revoke Active Permissions Permission Accounts Permission accounts by entering account and selecting applicable products Note Selected account and product information remains populated for the current session only gt To add permissions to an account 1 From the DSF Access Manager tab click Grant Revoke Permission DSF Access Manager Grant Revoke Permission page displays 2 Select Legal Clearing Entity and Execution Firm from the respective lists 3 Click the Permission Account tab Permission Account sections display DSF Access Manager Grant Revoke Permission Legal Clearing Entity LCE Brokerage Execution Firm Execution Firm for LCE Brokerage Active Permissions Permission Account Permission Criteria Copy to List Account vy Exchange Product Expiration Window CBT B1U 30 Year USD Deliverable Interest Rate Swap Futures 10 days Account List F1U 5 Year USD Deliverable Interest Rate Swap Futures 5 days N1U 10 Year USD Deliverable Interest Rate Swap Futures 7 days T1U 2 Year USD Deliverable Interest Rate Swap Futures 3 days in calendar days Pending Permissions Account ID Derivative Type Product Product Description Expiration Window No pending permissions created User Manual 46 Risk Management Tools 4 Enter Account e Toretain account information between Legal Clearing Entity Execution Firm selections or to permission mul tip
60. t Obtain Access to CME Group Risk Management Tools 1 A clearing firm or partner exchange clearing administrator completes the Exhibit C of the Schedule 6 of the Customer Connection Agreement and faxes or emails the form to your Global Account Manager Note Executing Firms will need to have their clearing firm s submit a Schedule 6 Exhibit F on their behalf to access Kill Switch 3 The Global Account Manager verifies the paperwork and coordinates across CME Group departments to ensure pro cessing of the request 4 The Global Account Manager contacts the clearing firm or partner exchange clearing firm when the new user has been granted access Login and Logout If you forget a username or password request for it to be retrieved through the SMART Click online application The account is locked out after more than five login attempts and administrators must contact the CME Group Global Command Center GCC for a username and password reset Additional SMARTClick information SMARTClick instructions at http www cmegroup com tools information webhelp smart click Default html Note Click the following link to view a video that describes the SMART Click registration and access process x SMART Click Video Note For SMART Click support and troubleshooting contact Enterprise Application amp System Entitlements EASE If changes are required to your SMARTClick password or ID access SMARTClick with your current login informatio
61. the modifications were successfully made Click OK to respond to this message Click Next Tab when finished 23 User Manual Risk Management Tools GC2 Reports gt To run a GC2 report From the CME Group Risk Management Tools window point to Reports then GC2 CME Global Command Center CME Group Risk Management Tools urope s44209234708 Elie Asia 55 6223 1357 GC RMI DSF Access Manager Kill Switch Reports Logout GC2 Manage Limits GC2 p Limits by Legal Clearing Entity RMI d Max Positions by Exchange Firm Unable to retrieve current position info for the selected firm and or exchange s Please contact the Cl Legal Clearing Entity xY7 GLOBAL Kill Switch Partner Exchange F Execution Firm 000 AN EXECUTION FIRM Select one of the following options e Limits by Legal Clearing Entity e Max Positions by Exchange Firm e Partner Exchange Limits by Legal Clearing Entity GC2 Reports Limits by Legal Clearing Entity Legal Clearing Entity Sa sect a Legal Clearing Entity gt To run a Limits by Legal Clearing Entity report 1 Select Reports gt GC2 gt Limits by Legal Clearing Entity 2 From the Legal Clearing Entity drop down box select a firm 3 Click Run Report 4 Depending on the browser being used the file either automatically downloads or a dialog box displays with open save file options If dialog box displays take actions as appropriate Max Positions by
62. ts exchange groupings as hey currently wal Click The Waw Group bullion To create new groupeng container Drag exchanges and Drop into mew or exiting combiners to create new exchange groupings Click Beet do contine Current Group TECH i HYMEN MGE j Ae Drag MGE exchange to the second 2 Click Next when all exchanges have been moved to the correct group s 3 Verify or modify the following for the Current Group e Exposure Limits for Futures and Options e Max Quantity Limit Buy and Sell for Futures and Options e Notification Percentages e Email Addresses for Notifications 19 User Manual Risk Management Tools GC2 Regroup Exchanges Lagai a Execute f anm 287 XYZ Global US MEN groupsngs are represented in Taba below Please ensure ali exchange groups have valid amd realistic limits set j cut enr Credit Cossiros Management Emer B io biack order entry No ficabons sa Buy La Fax aw Com arx MW sx Emai Addresses Sel Tm sta me es MC TESTQagTEST coms s i8 Buy d m USD rrulbona m Contracts Em T in Cordractal F Cancel all wirkieg orders a 100 of h ira Agaarced Satra 4 Click Next Tab GC2 Regroup Exchanges Uwe Next Tat and Prewiows Tab buttons to navigate through taba Chck Save lo gave all changes Click Cancel to reset values DOME CET Comex KCB NYMEX MGE Futeres Exposure Lime Max Duantt
63. xposure limit and clip size alerts The area on the GC2 window which details the long and short futures positions The position is based on the margin rate and defined in U S dollars The area on the GC2 window which details the long and short options positions The position is based on the margin rate defined in U S dollars The maximum order quantity which is dynamically calculated by the tool An organization incorporated or unincorporated that constitutes maintains or provides a marketplace or facilities for bringing together purchasers and sellers of securities or futures Examples CBOT CME NYMEX COMEX and KCBT Spreads whose legs are defined by the Exchange EDS is the only way by which future spreads are defined There is no EDS for options A logical entity allowed to trade products in accordance with its User Manual 34 Risk Management Tools Term Exposure Limit Inter Exchange Spread Inter Market Spread Intra Commodity Spread Legal Clearing Entity LCE Max Quantity Limits Notifications Product Complex 35 User Manual Provided By Risk Administrator Definition clearing relationships The Executing Firm ID is three digits long and is alphanumeric or just numeric Sometimes this coincides with the Clearing Firm ID Executing Firm ID is synonymous with Executing Firm CME Globex API CME Globex API ID Trading Member Firm TMF Trading Firm and Badge Firm The GC2 Risk
64. y Limit Ha Max Limit Plagas palici up Ta Tired percestageas om s F sow C rs sow F oon rTEST2z amp TEST2 COM E User Manual 20 Risk Management Tools 5 Verify or modify the following for the Current Group e Exposure Limits for Futures and Options e Max Quantity Limit Buy and Sell for Futures and Options e Notification Percentages e Email Addresses for Notifications Note For every Executing Firm ID Exchange tab there must be Exposure Limits and or Max Quantity Limits set In addition there must be at least one email address for notification alerts 6 Click Add in the Email Addresses area and enter the email address 7 Click Save when finished GC2 displays a message that the modifications were successfully made 8 Click OK 9 Click OK on the GC2 window The following message displays 10 Click OK to respond to this message Note Click the Cancel button to revert to the previous settings 21 User Manual Risk Management Tools Set Up a New Group gt To set up a new group 1 Navigate to the Regroup Exchanges window 2 Click the New Group button at the bottom of the window Current Group representa exchange groupa aa they currently exist Cikk the eve Groop button to create a new grouping coriamer Drag exchanges and Drop into new or existing containers 10 create new exchange groupings fpck Heext to combines CME CHT i COMEZ

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