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:
  • Exposure Limit Futures Long
  • Exposure Limit Futures Short
  • Exposure Limit Options Long
  • 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 grouping.
  • 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:

 

Time Frame for Changes

The following table summarizes when various types of changes take effect for CME Globex Credit Controls (GC2).

  • Clearing firms have the ability to apply exposure limits to Executing Firm IDs created on or transferred mid-week. Limits are applied by 16:45 CST.
  • Filled positions are not carried over between trading days and are reset to zero at 16:30 Central Standard Time (CST).
  • Basis Trade at Cash Open (TACO) products operate on unique contract terms and trading schedule.

After trade execution (fill), positions are reset as specified in the Client Systems Wiki - Basis Trade at Cash Open.

 

Type of Change Realtime 16:30-16:45 each week night or upon Sunday start-up Next Sunday Start-up

Exposure Limits

X

 

 

Max Quantity Limits

X

 

 

Executing Firm ID / Exchange Regroupings

 

 

X

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.

  • To access this screen:
  1. Login to GC2.
  2. From the GC2 tab, select Manage Limits.

 

  1. To select a firm:

From the GC2 tab, select the Legal Clearing Firm and Execution Firms from the drop-down lists.

This window has four sections.

Window Section Description

Credit Controls Management Area

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, the 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.

Current Position Area

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: Select the Refresh button to update the Current Positions area.

Notifications

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.

Credit Control Alerts

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.

Set Up the Credit Control Parameters

To set up CME Globex Credit Controls, follow these steps:

 

  1. Select the Firm.
  1. Manage the Executing Firm ID / Exchange Groupings.
  1. Enter the Exposure Limits and/or Max Quantity Limits.
  1. Set Notification Percentages.
  1. Add, Update or Delete an Email Address for Notifications.

 

Select the following links to learn more:

 

 

 


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