CME CORE for OTC Clearing

CME CORE offers OTC customers unparalleled capital efficiencies via portfolio margining of Cleared OTC Interest Rate Swaps vs. Eurodollar and Treasury futures with savings of up to 90%.

Key Benefits

  • Timely margin funding information for trade execution and reconciliation
  • Effectively mitigate risk
  • Interaction with CME margin models
  • Simple portfolio upload and fast margin results
  • Download latest SPAN and CME Optimizer versions of software

Getting Started with CME CORE

To access CME CORE, you will need a user-defined CME Group Login ID. To obtain a CME Group Login ID:

1. Complete this registration form.
2. Receive your CME Group Login ID.
3. Email cme.core@cmegroup.com to request entitlements to CME CORE. You need only provide:

  • Your user ID
  • The asset class for which you want interactive margin calculations

CME CORE supports:

  • Initial Margin Analysis
    • Model portfolios for margin calculation for OTC IRS, CDS and FX Cleared products
      • Simple .csv upload files
      • Support for CME trade register files
    • “What If” Margin – Identify the impact of adding or removing trades from the portfolio
  • Margin optimization — allows customers and Clearing Firms to calculate the ideal allocation of futures to move into an OTC account to minimize portfolio risk, and in turn, minimize IRS margin requirements.
  • Portfolio Optimization analysis for Interest Rate Futures and OTC IRS— helps users optimize the allocation of Interest Rate Futures with OTC IRS for end-of-day margin calculation. CORE Optimization also generates a detailed report providing transparency into the future positions recommended for transfer, as well as comparison between your pre and post optimization savings.
  • Ideal Optimization analysis — calculates the ideal allocation of Interest Rate futures to best hedge the OTC account and minimize portfolio risk.
  • *NEW* Coupon Blending — Identify portfolio impacts to blending economically similar swaps on trade count and notional
  • *NEW* Termination Analysis — Analyze methods to reduce line items and lower total notional outstanding

Latest CME CORE Enhancements

OTC IRS Trade Termination Analysis

  • Reduce line items and lower total notional outstanding
  • Filter portfolio by currency, floating index tenor, and DV01 risk at individual tenor buckets
  • Provides detailed Termination reporting: Target, Remnant and Terminated trade analysis
  • Export Terminated Portfolio in CME Trade Register Format

For more information, email cme.core@cmegroup.com