The CME Clearing360 program offers central clearing for specially designated OTC trades made by firms such as hedge funds, proprietary trading firms and global and regional banks. It enables OTC participants to substitute OTC trades for cleared-only futures positions and thereby benefit from the elimination of counterparty credit concerns. It also makes it possible to take advantage of existing systems and infrastructure offered by CME Clearing and its clearing member firms. To participate in Clearing360 services you need to have a relationship with a CME clearing member firm – or be a clearing member.

Clearing360 benefits include:

• Greater capital and operational efficiencies, including risk offsets against related futures and options positions
• World-class risk management of the credit, operational and legal risks related to OTC trading
• Regulated market protections

To learn more, read the CME Clearing360 Q&A (PDF).  You may also view a sample Clearing360 swap form (PDF).

View Onboarding Forms and Agreements 

Substitutions (“Subs”)
The Substitutions (Subs) of futures for forwards program is part of the Clearing360 initiative to extend existing clearing services to the OTC marketplace. It is currently in place for Eurodollar transactions, but we expect to extend it to other markets in the future. The Subs program enables you to:

• Substitute CME futures contracts for over-the-counter (OTC) transactions in standard contract terms
• Streamline the transaction process, consolidate OTC and futures positions for administration and clearing
• Work with a single counterparty, CME Clearing

For example, you can substitute daily expirations of Eurodollar futures contracts of up to six calendar months for Forward Rate Agreements (FRAs).

Subs are available in standard futures monthly and quarterly expirations, and for futures with flexible expiration dates. They also offer flexibility in contract size (unit of trade) beyond standard futures contract sizes.

With Subs, you can also do OTC swap-to-futures substitutions at a favorable cost compared to OTC market bid/ask spreads. Prices are based upon a sliding scale, so the per-contract cost declines as the term of the transaction increases.

To learn more, read An Overview of CME Substitutions (PDF)

Sliding Scale of Substitutions (Subs) Fees

The following table demonstrates the advantages of the sliding scale for subs fees.  Please note that the “Total/Contract” column shows the per contract cost for each year of CME Eurodollar expirations.

The combination of the CME Clearing and SUB/EBF fees, $0.99 per contract if eight consecutive quarterly expirations were bought or sold, makes an all-in cost per strip of $7.92.

With longer maturities, SUB and EBF transactions are even more cost effective, with costs per contract for transactions extending out 5- to 7-years at $0.49 to $0.29, respectively.

Maturity in Years	Clearing Fee	SUB/EBF Fee	Total/Contract	Total Structure Cost
1	$0.09	$1.00	$1.09	$4.36
2	$0.09	$0.90	$0.99	$7.92
3	$0.09	$0.70	$0.79	$9.48
4	$0.09	$0.50	$0.59	$9.44
5	$0.09	$0.40	$0.49	$9.80
6	$0.09	$0.30	$0.39	$9.36
7	$0.09	$0.20	$0.29	$8.12
8	$0.09	$0.20	$0.29	$9.28
9	$0.09	$0.10	$0.19	$6.84
10	$0.09	$0.10	$0.19	$7.60

 

A New Way to Electronically Trade CME Group Weather Blocks

CME Clearing360, CME Group's clearing service for privately negotiated OTC and block transactions, is now connected to Pivot Instant Markets- the premier product in the OTC derivatives community for real-time communication and management of quote data.

This partnership enables brokers to electronically submit CME Group Weather block trades directly to CME Clearing360, resulting in significant benefits to traders:

 

• Greater efficiency from straight-through processing of transactions
• Reduced costs due to reduction of administrative efforts
• Ability to manage increased trade volume
• Access to the full benefits and financial safeguards of CME Group's central counterparty clearing

Learn more about Pivot Instant Markets

CME Clearing provides participants with an open-access clearing solution for over-the counter credit default swaps. The CME OTC CDS solution builds on the existing OTC market, with CDS contracts that are economically equivalent to the current OTC contracts. It also incorporates the proven structural benefits of the futures market to deliver:

• Customer protection: Customer collateral and positions are protected through mandatory segregation from assets of the customer’s clearing firm.
• Systemic and counterparty risk reduction: CME Clearing facilitates multi-lateral netting of positions and margin to reduce participants’ counterparty risk, required capital, and margin.
• Operational efficiency: Participants receive near-instantaneous transaction matching and clearing confirmations with CME Clearing managing the full-trade life cycle.

CME Clearing enforces a rigorous risk management regime, featuring a newly developed multi-factor algorithm, which efficiently and accurately captures the risk of CDS portfolios. The CME Clearing risk management regime also offers the flexibility to mark positions to market on a twice-daily basis, to ensure that all positions are continuously and adequately collateralized. Because of this proactive and rigorous risk management process, CME Clearing has never suffered a clearing firm default in more than a century of operation.

Cleared OTC CDS Buyside Solutions FAQ (PDF)
Review of CME Group Margin Model and Financial Safeguards for CDS Clearing (PDF)

Benefits of CDS Clearing

• Day 1 coverage of more than 75 percent of the market, including more than 500 single-name reference entities
• Reduction of the bilateral credit risks, outstanding notional balances and operational complexity of OTC trades
• Access to CME Clearing’s well-established clearing, settlement and risk management capabilities, in addition to its industry leading $8 billion financial safeguards package
• Direct access for both buy-side and sell-side participants through a web-based portal, deployed application, or API
• Expanded flexibility for trading in and out of existing positions

 

Firms wishing to clear OneChicago products must read and, where appropriate, execute the following:

• Two clearing guarantee agreements for CME Globex access before becoming authorized to trade OneChicago products. These are the:
  • Clearing House Advisory Notice 02-71 - OneChicago Clearing Guarantee Agreement for Globex Access (PDF)
    
  • The OneChicago Clearing Guarantee Agreement for Globex Access (PDF).
• An Agreement Required for Delivery of OneChicago Products (PDF)
  
• The Trade Transfer Agreement for OneChicago Products – CME Firm to CBOE Firm (PDF) Required for CBOE firms wishing to receive give-up trades from CME firms in OneChicago products. Firms must specify what they will accept for give-ups.
• The GAINS System Agreement for CBOE Firms Trading OneChicago Products (PDF). is required for CBOE firms wanting to participate in the CME GAINS system for brokerage billing for trades executed in OneChicago products.
• Clearing Choices for CME firms for OneChicago Security Futures (PDF) describes how clearing and bookkeeping processing works for CME firms trading OneChicago products
• Corporate Event Processing at CME for OneChicago Security Futures (PDF) explains the mechanics of how corporate events, such as stock splits, affect OneChicago futures positions in bookkeeping and clearing. Additional documents focus on detailed examples of corporate events:
  • Integral Splits
    Forecast - Integral Split (PDF)
    Trade Register - Integral Split (PDF)
    
  • Non-Integral Splits
    Forecast - Non-integral Split (PDF)
    Trade Register - Non-Integral Split (PDF)
    
  • Extraordinary Cash Dividends
    Forecast - Extraordinary Cash Dividend (PDF)
    Trade Register - Extraordinary Cash Dividend (PDF)
    
  • Summary Report of Corporate Events
    Forecast - Corporate Event Summary (PDF)
    
•  A Web page of the clearing codes can be found at Single Stock Futures Codes.

Enhancements to the CME Edit File for OneChicago
Enhancements to the CME Edit File for OneChicago, Client Management Advisory CM-0275, published Sept. 13, 2002. The CME Edit File, published daily and available on the Internet, now provides (a) a cross-reference between the full OneChicago product code and the two-byte CME clearing code, and (b) the CME-internal firm numbers assigned to CBOE firms, so that CME firms can do cross-exchange give-ups with CBOE firms and vice versa.
Please check back periodically for the latest information and updates.

Market Data Information

If you wish to clear OneChicago products at CME Clearing and have access to OneChicago market data, please read:

• Obtaining OneChicago Market Data
• The OneChicago Customer Memo 081302 (PDF)
  

Please check back periodically for the latest information and updates. 

If you wish to access OneChicago market data via CME Globex, please read:

• ONE Chicago Customer Memo 081302 (PDF)
• Security Order Modifications (PDF)
  
• Security Price Format (PDF)
  
• CMEMarket Data & OneChicago Single Stock Futures Market Data (PDF)

Please check back periodically for the latest information and updates. 

Security Futures Testing
You can now test Security Futures Products (SFP) in the CME Group certification environment using their existing iLink 2.0 user IDs. SFPs are available for testing Monday through Friday between 8:00 a.m. and 5:00 p.m. (Central time). Weekly maintenance is scheduled every Wednesday from 12:00 a.m. to 4:00 p.m. (Central time).

You must request that your CME Group certification ID be enabled to access the SFP environment. Please contact your Technology Marketing Account Manager at info@cmegroup.com or 312-930-2397 for more information

OneChicago Product Information

For information on trading OneChicago products and clearing them at CME Group, please read the CME Group User Reference Guide (PDF).

To find out about transaction costs, please read the OneChicago Fee Schedule.

View the Security Futures Margins Q&A (PDF)

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