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 credit limits. 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.
- Open and Filled Position Calculations - open and filled positions are calculated for a product complex per Executing Firm ID / Exchange group.
- Good Till Cancel and Good Till Day Orders - Good Till Cancel (GTC) and Good Till Day (GTD) orders are included in the position calculation for the given Executing Firm ID / Exchange group at the beginning of the trading week.
- Advanced Settings - used to set a reference margin rate.
- 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 grouping.
When Orders and Cancel/Replace messages submitted with a quantity greater than the current clip size, GC2 will send out Session Level Reject (35=3) with the following description in tag 58: Credit Limit Violation: Order Quantity x exceeds Clip Size: y.
For Mass Quotes, GC2 only applies post-execution.
GC2 Calculations Video Overview
The following video provides an overview of how GC2 calculations work:
For complete details regarding the GC2 GUI, please refer to the Risk Management Tools Help System.