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Deployable Margin Software provides providers with the following capabilities:

  • Interact with CME Group Margin Models
  • Compute initial margin requirement on cleared or hypothetical portfolios
  • Reconcile end-of-day margin requirements with CME Group
  • Integrate calculation capabilities with proprietary risk management systems
  • Control performance, scalability and flexibility 

Deployable Margin Software supports the following products:

  • OTC CDS
    • CDX IG
    • CDX HY
    • European iTraxx Main
    • European iTraxx XO
  • OTC IRS
    • Vanilla
    • Basis
    • OIS
    • FRA
    • Zero Coupon
    • Swaption

Licensing

Each product OTC-CDS and OTC-IRS needs to licensed separately.

The suite of deployable margin software can be licensed from CME by contacting cme.core@cmegroup.com.

The licensing process is two steps:

Step 1

  • CME will provide an NDA to discuss the Software Agreement
  • CME will provide a trial software license agreement to use the software for 60 days to determine if licensee would like to enter full license agreement.

    Market Participants will return both agreements and CME will make the software available for download to start the 60 day trial period. 

    The software will include a suite of sample portfolio files and a complete risk data set that can be used for testing during the trial period.  

    Step 2

    • CME will provide full license agreement to customers following receipt of the agreements from Step 1
    • Market participants that decide to license the software during the trial period will return the fully executed agreement 
      • Agreements must be finalized within 60 day trial period to avoid disruption to using the software
      • Once an agreement is executed, the licensee will be given access to CME Input Risk Data files through a Secure FTP Directory 
        • The risk data files for CDS are accessible for download from CME SFTP through FIRMPUB/CDSRD (user credentials and access details will be provided separately from support team), files are available after 7 pm cst
        • The risk data files for IRS are accessible for download from CME SFTP through FIRMPUB/IRSRD (user credentials and access details will be provided separately from support team), files are available after 6 pm cst
        • The production risk data file for CDS will be named "xxxrd.yyyymmdd.prod.jsx" and will need to be placed in the /MarketData directory to run software in batch or service mode
        • The production risk data file for IRS will be named "irsrd.yyyymmdd.prod.zip" and will need to be placed in the /MarketData directory to run software in batch or service mode
        • An optional test environment risk data file will also be published named "xxxrd.yyyymmdd.nr.jsx" for CDS and for IRS named  "irsrd.yyymmdd.nr.zip" and will need to be placed in the /MarketData directory to run software in batch or service mode
        • Unzip the risk data file to this folder: \IrsMargin\MarketData

    Deployment Modes

    Deployable Margin Software can be run in batch mode or in

    real time

    service depending upon the client needs.

    See the topics below for a detailed description of each. 

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    Contact

    Support Team:

    Phone: 312-580-5353

    Email: cme.core@cmegroup.com