CME CORE

User Manual
8/15/2014
Disclaimer

Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a leveraged investment, and because
only a percentage of a contract’s value is required to trade, it is possible to lose more than the amount of money deposited for
a futures position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles. And
only a portion of those funds should be devoted to any one trade because they cannot expect to profit on every trade.
All references to options refer to options on futures.
CME Group is a trademark of CME Group Inc. The Globe Logo, CME, Chicago Mercantile Exchange, Globex, iLink, E-mini, CME
EOS Trader, Galax-C, FirmSoft, CME DataSuite, and CME DataMine are trademarks of Chicago Mercantile Exchange Inc. New
York Mercantile Exchange, NYMEX, miNY, and ClearPort are registered trademarks of the New York Mercantile Exchange, Inc.
COMEX is a trademark of Commodity Exchange, Inc.
FIX™ and FAST™ are trademarks of FIX Protocol Limited. FIX/FASTsm is a service mark of FIX Protocol Limited.
Dow Jonessm, Dow Jones AIG Commodity Indexsm, The Dow sm, Dow Jones Industrial Averagesm, and DJIAsm are service
marks of Dow Jones & Company, Inc. and American International Group, Inc. (AIG) and have been licensed for use for certain
purposes by the Board of Trade of the City of Chicago, Inc (CBOT®). CBOT futures and options on futures contracts based on the
Dow Jones Industrial Averagesm are not sponsored, endorsed, sold or promoted by Dow Jonessm, and Dow Jonessm makes no
representation regarding the advisability of trading such product(s).
BM&FBOVESPA™ is a trademark of BM&FBOVESPA, KRX™ is a trademark of Korea Exchange, DME™ is a trademark of Dubai
Mercantile Exchange, BMD™ is a trademark of Bursa Malaysia, BMV™ is a trademark of Bolsa Mexicana De Valores.
All other trademarks are the property of their respective owners.
The information within this document has been compiled by CME Group for general purposes only. CME Group assumes no
responsibility for any errors or omissions. Additionally, all examples in this brochure are hypothetical situations, used for
explanation purposes only, and should not be considered investment advice or the results of actual market experience.
All matters pertaining to rules and specifications herein are made subject to and are superseded by official CME, CBOT, and
NYMEX rules. Current rules should be consulted in all cases concerning contract specifications.
Copyright © 2014 CME Group Inc. All rights reserved..
 Table of Contents

Table of Contents
Getting Started 7
Additional Information 7
Functionality 7
Work Flow 7
Logging In and Logging Out 8
Receive an Administrative Message 8
Contact Information 8
What's New 9
The Landing Page 11
Main Menu 12
Margin Calculator 12
Reports 12
Trade Overview 13
Credit Default Swaps 13
Interest Rate Swaps 13
Simplified Incremental VaR Analysis 14
Delta Ladder 14
Foreign Exchange 14
Futures and Options 14
Portfolio Margining 15
Reasoning for Use 15
Margin Optimization 15
Historical Value at Risk (HVar) 16
Simplified Incremental VaR Analysis 16
The Trade Menu 17
Copy, Cut and Paste Trade information 17
Add Rows 18
Remove or Isolate Rows 18
Import or Export a Trade Portfolio 18
Filter Trades 18
Hide / Show Portfolio Summary 18
Interest Rate View 19
Schedule a Report 20
Download Center 21
Documents 21
Software 22
Rates Calculator 23
Portfolio Type Options 25
Manage Portfolios 26
Portfolio Options 26
Add a Portfolio 27
Load Cleared Portfolios 28
Search Portfolios 28
Load Trades 29

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Export the portfolio summary 29

Remove Selected Portfolios 29
Downloads 29
Manage Trades 30
IRS Trade Reference 30
Trade Grid Options 30
Import Trades 31
Manually Enter non-IRS Trades 32
Manually Enter Interest Rate Swaps 32
Add a Variable Notional Schedule 33
Edit / Remove / Export Trades 34
Save and Validate Portfolios 34
IRS Expanded Trade Editor 34
Run Analysis 36
Report Generation Options 36
Viewing Reports 36
Margin Portfolios 36
Combine Portfolios 37
Optimize Portfolios 38
Termination 39
Futures and Options Trade Management 42
Manage Futures and Options Portfolios 43
Portfolio Options 43
Add a portfolio 43
Margin Portfolios / Schedule a Margin 45
Search Portfolios 46
Remove Portfolios 46
Export Portfolio Summary 46
Manage Futures and Options Trades 47
Trade Options 47
Add Trades 47
Edit Trades 49
Remove Trades 49
Export Trades 49
Margin Trades 49
Base Portfolio and Hypothetical Portfolio 50
Examples 50
Base Portfolio 50
Hypothetical Portfolio 50
Navigating Hypothetical Portfolios in the Portfolio Section 51
CDS and FX Trade Management 53
The Portfolio Menu for CDS and FX 54
Additional Menu Options 55
Add CDS or FX Trades 56
Import Trades 56
Load Trades From an Existing Portfolio 56
Manually Enter Credit Default Swaps 57

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Manually Enter Foreign Exchange Trades 58

Manage Calculation 59
Generate a Margin Report 59
Trade Validation Errors 60
Trade Validation Rules 60
General Validation Rules 60
Interest Rate Swap Trade Validation Rules 60
Start and Maturity Date Validations 60
Zero Coupon Validations / Defaults 60
Overnight Index Swap (OIS) Validations / Defaults 61
View Reports 62
Report Descriptions 62
Export Reports 63
Credit Default Swap Results 64
Net Positions Breakdown 64
Interest Rate Swap Margin Results 65
IRS Margin Details 65
IRS Margin Report 65
IRS Margin Details Scenario Analysis 66
Termination Reports (IRS only) 67
Termination Summary 67
Termination Details 68
OTC FX Margin Results 69
Delta Ladder Report 70
Delta Ladder Margin Details 70
Delta Ladder Margin Details Scenario Analysis 71
Interest Rate Futures and Options Results 72
Portfolio Margin Details Report 73
Margin Amounts without Portfolio Margining 73
Margin Amounts with Portfolio Margining (Cross-margining) 73
Savings 73
Portfolio Margin Results Breakdown 74
Portfolio Margin Results Comparison Breakdown 74
Portfolio Margin Details Report 74
Portfolio Margin Optimization Details Report 76
Margin Amounts without Margin Optimization 76
Margin Amounts with Margin Optimization (Cross-margining) 76
Savings 76
Portfolio Margin Optimization Detail Report Breakdown 77
Margin Optimizer Results Comparison Breakdown 77
Portfolio Margin Optimization Detail Report 78
Postion Optimization Report 78
Ideal Optimization Report 79
Layout Reference 80
Layout Reference for Credit Default Swaps 81
Layout Reference for IRS 83
Reference for Basic Layout (Interest Rate Swaps) 84

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Reference for Simple Layout (Interest Rate Swaps) 85

Layout Reference for Trade Register (Extended) View 87
Layout Reference for Foreign Exchange 96
Layout Reference for Futures and Options 97

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CME CORE

Please submit user experience feedback about this help system.

Getting Started
CME CORE is an interactive margin calculator that provides a means for cleared over the counter customers and clearing firms
to:
l Calculate initial margins using portfolio upload or manual trade entry to model actual or hypothetical portfolios.
l Maintain transparency with clearing house minimum margin methodology applied to all customers.
l Calculate capital efficiencies across multi asset classes. See below for all supported product types including trans-
parency into IRS portfolio margining program.

CME CORE consists of multiple components, which are accessible from the Landing page.

Additional Information
For additional information on any of these products, reference:
l About OTC Derivatives
For more on CME CORE, to get started initially, or to view demos, reference:
l CME CORE: Clearing Online Risk Engine

Functionality
CME CORE provides a tool to enter, margin trades, and view reports for:
l Credit Default Swaps (CDS)
l Interest Rate Swaps (IRS Trades and IRS Delta Ladder)
l Foreign Exchange Trade (FX)
l Futures and Options
l Portfolio Margining
l Margin Optimizer

Work Flow
All components follow the same work flow:
1. Add trade information to a grid
2. Validate, save and margin or validate, save and portfolio margin / optimize
3. View and interpret reports

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Logging In and Logging Out

To log into CME CORE:

1. Click on this link: https://cmecore.cmegroup.com/core/index.html, or type the web address into a browser. The
SMART Click Login page displays.

2. Enter SMART Click ID and Password in the appropriate boxes, and click Login.
Note: To register for a SMART Click ID or to retrieve a SMART Click ID or Password, click on the links below the login
button. If registering, follow instructions on the CME CORE page.

To log out of CME CORE:

Click Logout in the upper right corner of the page.

Receive an Administrative Message

Administrative messages display in the yellow band above the Portfolio section.

l To close the message band, click the "X" on the right.

Contact Information

Access the Client Systems Wiki Contact Information page for CME CORE contact information.

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CME CORE

What's New
The list below describes the updates made to the CME CORE Help system.

Date Author Topic Description

8/15/14 JK 1. Manage Report Generation l Added Termination to the Rates Calculation Section
(1)
2. Termination Reports
l Added new page for Termination Reports (2)
3. Rates Calculation
4. Trade Overview l Updated Rates Calculation page to include Status
(Core/Cleared) (3)
5. Manage Portfolios (Rates)
l Updated IRS description (4)
and CDS / FX
l Search feature added to Portfolio menu descriptions
(5)

5/10/14 JK 1. Download Center 1. Added new page for Download Center

2. The IRS Trade Editor 2. Added Basic Swap information
3. Basic Layout Reference 3. Added a new page fo Basic Layout Reference

Updates that reference above changes:

4. The Landing Page and Main Menu 4. Modified download center content

5. Manage Trades 5. Added a section for IRS Trades

6. Manually Enter Interest Rate Swaps 6. Modified to take into account Basic Swap

4/14/14 JK 1. Rates Calculation Removed legacy pages for IRS and DL. (n/a)
2. CDS and FX Trade Management Adjustments to existing sections for removal of legacy IRS
and DL pages:
l Modified Rates Calcution section (1).
l Added CDS and FX Trade Managment section (2).

3/15/14 JK 1. Added pages: l Added 5 pages for Rates Calculator (1)

l Rates Calculator
l Modified pages to reference Rates Calculator (2)
l Portfolio Type Options
l Manage Portfolios
l Manage Trades
l Manage Report Generation
2. Modified pages:
l The Landing Page and Main

Menu
l Trade Overview

l Portfolio Margining Page

l Add Trade Information to a Grid
l Futures and Options Trade Man-
agement

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Date Author Topic Description

1/10/14 JK 1. Added Pages: l Added 4 pages for Futures and Options

GUI update (1)
l Futures and Options
Trade Management l Modified existing pages to adjust for Futures and
Options GUI update (2)
l Manage Portfolios
l Manage Trades
l Base Trades and Hypothetical
Portfolios

8/24/13 JK 1. Trade Overview l Updates for VNS (1, 2, 3, 4)

2. Add Trade Information to a Grid
l Scheduling a margin report (5)
3. Manually Enter Interest Rate Swaps
4. Using the IRS Single Trade Editor
5. Margining, Viewing and Exporting

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CME CORE

The Landing Page

Use the Landing page to access CME CORE.

A. Main Menu: Access all CME CORE functionality from the main menu, including reports.
B. Shortcuts: Access Margin Calculator or Margin Optimizer by clicking Click here to get started for the appropriate tool.
C. Download Center: Click View the Download Center to access sample portfolio format files and help files.
D. Knowledge Center: Links to product, clearing, CME Margin API and other information.
E. Margin Matrix: Margin Matrix for IRS Vanilla Swaps and Credit Default Swaps.

Note:Click Help for user guide, support, about and download information.

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 CME CORE

Main Menu
The following options are available from the Main Menu:
l Margin Calculator
l Reports
l Download Center

Margin Calculator

Access all portfolios fromMargin Calculator. IRS, Delta Ladders , Futures and Options, Margin Calculation and Margin
Optimization are available from the Rates Calculation page.
To select a product:

1. Click Margin Calculator.
Note: When Margin Calculator is selected, the adjacent arrow points up. The product selection menu is locked and
remains visible until another main menu option is selected.
2. Click the product to margin or click Portfolio Margining. Theselected product page displays.

Reports

Access all reports from the Reports tab.

Note: In addition to accessing reports from the Reports tab, reports for portfolios on the Rates Calcution page may be accessed
by clicking the reports icon ( ) that appears to the right of the reports after they have been run.
To select a report:

1. Click Reports.
Note:Double-click Reports to lock the Reports menu and keep the product selections visible until another main menu
option is selected.
2. Click the product report to view.
3. In the Margin History list, double-click a Margin Run. The corresponding report displays.

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CME CORE

Trade Overview
CME CORE allows margining on the following products:
l Credit Default Swaps
l Interest Rate Swaps (includes Portfolio Margining and Optimization)
l Delta Ladder (includes Portfolio Margining and Optimization)
l Foreign Exchange
l Futures and Options
l Portfolio Margining
l Portolio Optimization
To Switch between product pages, use the Main Menu.

Credit Default Swaps
CME CORE provides a way to easily, independently run margin requirements for Credit Default Swaps (CDS) using the Credit
Default Swap Portfolio page.
The generated report includes:
l Margin Computation
l Contributing Portfolio Factor
l Factor Breakdown Report
l Portfolio Net Positions
l SNAC Trade Conversion
Credit Default Swaps are calculated using CME SPAN.
See Cleared OTC Initiatives - CME Group: An Overview for more on CDS trading.

Interest Rate Swaps

Interest Rate Swaps (IRS) are calculated using Historical Value at Risk (HVaR). Interest Rate Swaps can be margined against
Futures and Options.
Input options include Variable Notional Swaps. Features:
l Available for Fixed vs. Floating Swaps and Basis Swaps
l Clients can submit customized notional schedule
See Amortizing Swaps Clearing for more on Variable Notional Swaps
The generated reports include:
l PNL Vector Histogram
l PNL Report
Termination can be run on IRS portfolios to show trades which can be terminated while still keeping the same portfolio profile.
Termination Summary and Detail reports are generated.
See Cleared OTC Initiatives - CME Group: An Overview for more on Interest Rate Swaps.

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Simplified Incremental VaR Analysis
Simplified Incremental VaR Analysis is triggered through the Combine Selected functionality. This functionality provides the
ability to easily combine two or more portfolio that contain IRS trades or a delta ladder, and receive the margin results for the
new aggregate portfolio.

Delta Ladder
Delta Ladder Estimation Engine provides low latency IRS margin calculation for portfolios represented by DV01 across the tenor
/ curve structure. The Estimation Engine estimates results that are generally within a couple percentage points of variance from
full revaluation, and is recommended for use with low latency estimation of results. Delta Ladders can be margined against
Futures and Options.
The portfolio is populated based on apportioning DV01 to various IRS curves and tenor buckets. For example, a 10 year swap
with DV01 of 100 on a USD 3 Month Libor Trade could be entered in CME CORE by populating the 3656 day (10 year) column
in the Delta ladder entry screen and using a 3 Mo Libor Curve
The generated reports include:
l Margin Report
l PNL reporting
l Delta Ladders
Simplified Incremental VaR Analysis can also be run on Delta Ladder portfolios.
Optimization can be performed from the Rates Calculation page.
See Delta Ladder Spec for more on creating Delta Ladders in CME CORE.

Foreign Exchange
OTC FX Clearing provides a post-execution clearing and settlement service designed to meet the risk-mitigation needs of
market participants. This allows customers to retain the flexibility of OTC products and to utilize any established OTC execution
method, while addressing counterparty credit risk.
The generated report includes:
l Account information
l PNL Vector Histogram
See Cleared OTC Initiatives - CME Group: An Overview for more on FX trading.

Futures and Options

Futures and Options supports calculation of all eligible futures and options contracts by the following exchanges:
l CME
l NYMEX
l COMEX
l CBOT
Treasury Futures and Options and Eurodollar Futures and Options are available for portfolio margining.
Interest Rate Futures and Options are calculated using CME SPAN.

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CME CORE
The generated reports include:
l IRS & Delta Ladder & Futures (SEQ) Portfolio Margin Details (pending asset classes)

Note: Access from the Rates tab if Futures and Options are margined with IRS and / or Delta Ladder.
l Futures and Option Report (Futures and Options only)

Portfolio Margining
Portfolio Margining provides the ability to margin Interest Rate Swaps and/or Delta Ladders with Interest Rate Futures by
leveraging the current multi-currency HVaR framework. CME CORE calculates savings from a total costs perspective.
Porfolio Margining is accessed from the Rates Calculator page.
The generated reports include:
l IRS Trades & Futures (SEQ) Portfolio Margin Details
l Delta Ladder & Futures (SEQ) Portfolio Margin Details
l IRS & Delta Ladder & Futures (SEQ) Portfolio Margin Details
See Portfolio Margining of Cleared OTC IRS Swaps and Futures for more on portfolio margining.

Reasoning for Use

Treasury Future prices and Eurodollar prices are used as an underlying risk factor, as they account for risks, including:
l Switch of the Cheapest-to-Deliver (applies to Treasury Futures)
l Delivery timing (applies to Treasury Futures)
l Changes in the convexity adjustment (applies to Eurodollars)
l Covers extremely well-hedged portfolios (applies to Eurodollars)

Margin Optimization
The Margin Optimizer specifies the ideal allocation of Eurodollar and Treasury Futures to move into the OTC Customer Cleared
Swaps account to minimize portfolio risk, and therefore, reduce margins. Clearing Members can use the Margin Optimizer to
facilitate Portfolio Margining for both their clients and their house accounts. Interest Rate curve sensitivities in the form of Delta
Ladders and/or Interest Rate Swaps are optimized against Futures.
Margin Optimization is accessed from the Rates Calculator page.
The generated reports include:
l IRS Portfolio Margin Optimization Report
l Delta Ladder Portfolio Margin Optimization Report
l IRS & Delta Ladder Portfolio Margin Optimization Report
See CME CORE Margin Optimization Demo for a demo.

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Historical Value at Risk (HVar)

l HVaR calculation for Interest Rate Swaps, Delta Ladder, Portfolio Margining and Margin Optimization:
l Margins are built to provide 99% coverage over a 5-day closeout Period
l Historical scenarios are:
l Generated using a 5-year look back period
l Synchronized across all observed tenors on the zero curve, across all currencies
l Scaled using Exponentially Weighted Moving Average (EWMA) based volatility forecasts
l Margin is currently the 99.7 percent of portfolio changes (loss) across all scenarios
l HVaR calculation for FX:
l Initial margins calculated utilizing historical VaR, using a 99%, 5-day loss coverage assumption.

Simplified Incremental VaR Analysis

Simplified Incremental VaR Analysis is useful for running a base portfolio of Interest Rate Swaps or Delta Ladders each day and
then adding in smaller IRS portfolios without having to do a margin re-run—essentially dynamic margin creation. This tool is
typically used when very large portfolios are used and re-running the portfolios with additional trades would be time
consuming.
Simplified Incremental VaR Analysis is accessed via the Combine Selected function of the Rates calculator.

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CME CORE

The Trade Menu

The Trade Entry (Grid) section for all trade types includes a Trade Menu, which contains basic tools for managing trade
information. Use the Trade menus to perform basic editing, import/export and filtering tools for the Trade Entry sections.
Note: Menu does not apply to Futures and Options. Access Futures and Options Trade Management for Futures and Options
trades.

The Trade Menu provides the following functionality:

l Copy, cut and paste trade information
l Add rows
l Remove or isolate rows
l Import and export portfolios
l Filter trades by specified criteria
l Hide / Show Portfolio Summary

Note: The Interest Rate Swap page has an additional option to select between view types.

Copy, Cut and Paste Trade information

CME Core provides basic editing capabilities to make it easier to enter, modify or remove trade information. Individual data
cells or rows of data can be copied and pasted within a trade section.
Note:
l You cannot cut and past between different portfolios.
l Short-cut keys CTRL-C, CRTL-V and CRTL-X can also be used to copy, paste and cut information.
l If the Paste, Copy and Cut options are grayed out in the trade menu, these options are not available on your browser.
Use the Ctrl-C (Copy), Ctrl-X (Cut) and Ctrl-V (Paste) options only.
l Copying / pasting more than one row or column at a time is not recommended.
l CME CORE does not check that rows are pasted into a corresponding cell, for example, Firm ID into Firm ID. Verify that
data has been posted into the correct row and column.

To copy and paste trade information:

1. Select one or more data cells or a row of trade data.

2. Use Ctrl-C to copy the trade information or click Copy in the Trade menu.
3. Select, from left to right or up to down, the cells into which to paste the data, and use Ctrl-V or Paste in the Trade
menu to paste the information.

To cut and paste trade information:

1. Select one or more data cells or a row of trade data.

2. Use Ctrl-X to cut the trade information or click Cut in the Trade menu.
3. Select, from left to right or up to down, the cells into which to paste the data, and use Ctrl-V or Paste in the Trade
menu to paste the information.

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Add Rows
To add a trade row:

Position the cursor in the section where the row is to be added and click the [+] symbol on the left of the menu. The
new row shows in the trade list.
Note:View Manage Trades in the Rates Calculation section for adding IRS trades manually from the Trade Grid.

Remove or Isolate Rows

To delete one or more rows:

1. Click the box or boxes adjacent to the rows to delete.

2. Click Removed Selected Rows.

To isolate one or more rows:

1. Click the box or boxes adjacent to the rows to isolate.

2. Click Isolate Selected Rows.

Import or Export a Trade Portfolio

Import any type of portfolio from a csv file. Export trade data into Excel, PDF or XML (formatted for use with API) files. Use a file
that was previously exported from CME CORE or create a file manually. Files exported from other applications can also be used,
as long as they have the correct format.
See Add Trade Information to a Grid for importing trade information.

To export a trade portfolio:

1. Click the Export arrow. The export options display.

2. Select a file option. The Opening Portfolio window displays.
Note: Export to API option is available for IRS, CDS, FX and Futures and Options trade data.
3. Select Open with or Save File option.
Note: Files are saved to the Downloads directory.

Filter Trades
Trades can be filtered by various options, depending on which CME CORE product is being used. Only one filter type can be
selected at a time.
To filter trades:

Click the Filter arrow and select the appropriate filter.

Hide / Show Portfolio Summary

To view more trades in the Trade grid, the Portfolio section can be hidden, so that the Trade grid displays on a larger portion of
the screen.
To toggle between hiding and showing trades:

Click the icon to hide the Portfolio section and the icon to make the Portfolio section visible when it is hidden.

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CME CORE

Interest Rate View

Interest Rate Swaps have additional functionality to select between view types.
Note: This selection is for viewing trades. Product type can also be selected for individual trades.
To select an IRS view:

Click the arrow to the right of Vanilla and select a Product view.

View displays:
l Vanilla: View only simple columns
l OIS: View only Overnight Index Swap columns
l Zero Coupon: View only Zero Coupon columns
l Basis: View only Basis columns
l FRA: View only Forward Rate Agreement columns
l Extended: Shows leg information in addition to simple swap display (all columns)

Note: To easily view / enter all fields for a single trade, use the IRS Basic Trade Editor.

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Schedule a Report
CME CORE allows report scheduling.
To schedule a Margin Report:

1. Click the clock ( ) icon beside the portfolio to schedule. The Schedule a Margin dialog box appears. 
Note: If a margin has not been previously scheduled, click Schedule a Margin in the bottom left corner. The Schedule
a Margin dialog box displays the scheduling fields.
2. Enter or edit the following fields:

Field Description

Next Schedule Date Pick the date of the next margin run from the calendar.

Finish By Select a finish time from the list.

Repeat Select a repeat interval from the list.

Note Add a note (optional).

3. Click Save. Clock icon turns green showing schedule is set and dialog box closes.

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CME CORE

Download Center
Download documents or software from the Download Center.

l Download Documents
l Download Software

Documents
Download asset class templates and supported products list.

Download documents include:

l Templates for all asset classes
l OTC IRS Templates:
l Basic, Simple and Trade Register templates
l OTC IRS VNS Simple Trade and VNS Schedule template
l OTC IRS Supported products list
l Futures and Options only download section

To download files:

1. Click Download Center. The download options display.

2. Click file to download.
Note: File save / open actions may vary depending on browser type.

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Software
Download PC-Span, and request CME Optimizer or Span Risk Manager download information.

PC-Span is a single-user, windows based desktop application that offers margin calculation across multiple exchanges. The
software also includes a scripting language called ''Span-it'' that allows you to automate margin calculation once a day. For more
information call the SPAN Hotline at 312-648-3888.”
Request CME Optimizer or Span Risk Manager:
l To request CME Optimizer, contact cme.core@cmegroup.com.
l To purchase SPAN Risk Manager, click the Register for Software link at the bottom of the page.

To download files:

1. Click Download Center. The download options display.

2. Click software to download. Software downloads.
Note: File save / open actions may vary depending on browser type.

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CME CORE

Rates Calculator
Use the Rates Calculator page to manage portfolios, trades, margining and optimization for the following: Interest Rate Swaps,
Delta Ladders and Futures and Options. Portfolios may be consist of any of these individual trade types or combinations of these
trade types. In addition to margining and optimizing IRS trades and/or DL portfolios with futures, CME CORE provides an Ideal
Optimization analysis. Portfolios may also be combined, using the Combine Selected option.
Access the Portfolio Type Options page for a full list of all trade types which may be utilized from the Rates Calculator page, and
which margining / optimization options are available for these trades.
A portfolio may have a status of "CORE," "Cleared EOD" or "Cleared CUR," depending on whether the trades have been cleared
through CME Group and are part of the Clearing System database.
l CORE: For any aggregate portfolio or any combination of IRS, Delta Ladder or Futures in the Rates Margin Calculator.
This include hypothetical portfolios and cleared portfolios which have been edited.
l For Interest Rate Swap portfolios only:
l Cleared EOD: Status is assigned when a CME generated IRS Trade Register file is uploaded or a portfolio is uploaded
using “Load Cleared Portfolio. CME CORE builds a portfolio that includes all trades cleared in the account as of the
prior day’s end of day process.
l If a Trade Register contains many firms and accounts, one new Cleared EOD portfolio is created per FIRM /
ACCOUNT combination.
l If multiple Trade Registers upload at once, a new Cleared EOD portfolio is created per Trade Register.
l If trades are removed from or added to a Cleared EOD portfolio, it becomes a CORE portfolio.

The Rates Calculator page allows multiple types of trade portfolios to be entered and margined / optimized. To manage this,
there are three tabs in the Trade grid: IRS, Futures & Options and Delta Ladder. Trades are entered from their respective grids.
Futures and Options portfolios can either be: futures segregated accounts (SEG), OTC sequestered accounts (SEQ), or a
combination of the two.
A. Manage Portfolios in the Portfolio section:
l Load trades and load cleared portfolios (IRS only)
l Add a new portfolio
l Remove selected portfolios
l Export the portfolio summary

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 CME CORE

l Download templates
l Schedule a Margin Report
B. Manage Trades in the Trade Grid:
l Add
l Edit / Remove / Export
l Save and Validate
C. Manage Report Generation in Portfolio Section or Trade Grid:
l Margin
l Combine Selected
l Optimize
l Termination

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CME CORE

Portfolio Type Options

Multiple portfolio types may be loaded and margined from the Rates Calculator page. Portfolio types include:
l Interest Rate Swaps (IRS)
l Futures and Options (SEG, SEQ, SEG-SEQ)
l Delta Ladders (DL)
Futures and Options portfolios can either be: futures segregated accounts (SEG), OTC sequestered accounts (SEQ), or a
combination of the two.
These portfolio types can be combined into different margin types. The table below shows all possible combinations, and which
results are available for that margin type. If a Result is indicated "False" in the table below, a result will not be returned for the
margin / optimization when it is run in CME CORE.
Selecting Optimize triggers two processes: margin optimization and the ideal optimization.
l Optimal margin results based on Margin Optimization: Calculates the ideal allocation of user defined futures (trades
provided in the upload) to move into an OTC sequestered account to minimize portfolio risk.
l Ideal Optimization: Calculates the ideal allocation of futures to hedge the OTC account and minimize portfolio risk
based on the IRS portfolio.
Note: When adding Futures, denote the Margin Type as FUT to signify the future is in a Futures Segregated (SEG) account, or
OTC to signify the future is in a Sequestered (SEQ) account.

Margin Type Margin Result Ideal Opt Result Opt Result

SEG Yes False False

SEQ False False False

SEQ/SEG False False False

DL Yes Yes False

DL/SEG Yes Yes Yes

DL/SEQ Yes Yes Yes

DL/SEQ/SEG Yes Yes Yes

IRS Yes Yes False

IRS/SEG Yes Yes Yes

IRS/SEQ Yes Yes Yes

IRS/SEQ/SEG Yes Yes Yes

IRS/DL Yes Yes False

IRS/DL/SEG Yes Yes Yes

IRS/DL/SEQ Yes Yes Yes

IRS/DL/SEQ/SEG Yes Yes Yes

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Manage Portfolios
Use the Portfolio section to manage all portfolio types generated on this page.

Portfolio Options
Portfolio management workflow typically involves: portfolio creation, accessing the portfolio at a later time, exporting portfolio
information, and deleting the portfolio. Example templates may be downloaded for portfolio types.
l Add a Portfolio:
l Add a new portfolio (use for hypothetical portfolios)
l Load cleared portfolios ( Access permission from CME is required)
l Search for / Load an Existing Portfolio:
l Search portfolios
l Load trades
l Export the Portfolio Summary:
l Export the portfolio summary
l Remove Portfolios:
l Remove selected portfolios
l Download Templates:
l Download templates

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Add a Portfolio
One or more portfolios can imported or manually entered from the Rates Calculator page.
Note the following:
l If file is entered manually, portfolio does not show up in the Portfolio summary until the file is saved.
l If more than one file is loaded and the Account / Firm information is the same for all files, then the generated portfolio
will be named Portfolio [Firm] [Account] and have the same Account / Firm information.
l If more than one file is loaded and the Account / Firm information is not the same for all files, then the generated port-
folio will be named "Portfolio Aggregate Aggregate," and both Account and Firm will have the value of "Aggregate."

To add a portfolio:

1. Click Add Portfolio. The Add New Portfolio dialog box displays.

2. Do one of the following:

l Upload CSV File(s):
a. Click Select a File...and select a file to load.
b. Click Import. The file name and type displays below Files Uploaded in the dialog box.

c. (IRS only) If an IRS file requires a VNS schedule, the following link appears beside the uploaded file:

Either:

l Load a VNS file by clicking Have a VNS file? and importing the appropriate VNS schedule.
l Load a VNS file at a later time.

d. To load additional files, click Select a File... and select a file to load, then click Import. Repeat until all files
are loaded.
Note: Multiple files can be uploaded across the different asset classes to create aggregate portfolios.
e. Click Done when fished with all files. Portfolio(s) displays in Portfolio Summary.
l Manually Enter Files:
a. Click Enter Manually. The Grid Area displays. Follow instructions on Manage Trades to enter trades.

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Load Cleared Portfolios

To load a cleared portfolio:

1. Click Load Cleared Portfolios in the Portfolio menu.

The Select and Load Clearing Accounts into CORE dialog box displays.

2. Click the box adjacent to the accounts to load.

3. Select End of Day or Current.
4. Click Load Selected.
5. Portfolios load into trade grid, with a status of Cleared EOD or Cleared CUR.

Search Portfolios
Use Search to filter portfolios on any search term within the Name, Account or Firm fields.

To search portfolios:

1. Click and enter a search term in the box. Only portfolios which match the entered term in any part of the Name,
Account or Firm fields display.
2. To clear the search "filter," click the filter icon. All portfolios display.

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Load Trades
Trades are loaded similarly to other portfolios. If two or more portfolios are loaded into the trade grid at the same time, then a
new aggregate portfolio will be generated when the portfolio is margined.

To load trades:

1. Click the box adjacent to the portfolio(s) to load.

2. Click Load Trades. One of the following occurs:
l If there is no existing portfolio, the trades load.
l If there is an existing portfolio, a dialog box displays with the Portfolio load options.
3. If the dialog box displays, select Close Existing, Merge with Existing or Cancel. Trades load or action is canceled.

Export the portfolio summary

Export a summary of all portfolios.

To export the portfolio summary:

Click Export Portfolio Summary. Summary information is downloaded in a .csv file.

Remove Selected Portfolios

Remove one or more portfolios from the Portfolio section.

To remove one or more portfolios:

1. Click the box adjacent to the portfolios to remove.

2. Click Remove Selected Portfolios.
3. In the Remove Current Items dialog box click Yes.

Downloads
Download sample files.

To download templates:

1. Click Downloads.
2. Select file to download from the list. File downloads in a .csv file.
3. Open or Save file.

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Manage Trades
Use the Trade grid to manage trades for all portfolio types generated on this page.

Portfolios in the Trade Grid are identified by: Created on Date, Name, Firm, Account and Number of Trades. Margin indicates
portfolio status, and following Margin, will show the margined amount.
There are three trade grids:
l IRS
l Futures and Options
l Delta Ladder
From an open portfolio, click a tab to view trades for the corresponding trade types.
Note: Futures and Options may also be viewed and updated from the Futures and Options page.

IRS Trade Reference

IRS trades may be imported or manually entered using the basic template, the simple template, or the trade register.
See the following layout reference for input fields for each template:
l Basic template required fields
l Simple template input fields
l Trade register input fields

Trade Grid Options

From the Trade Grid:
l Import Trades
l Manually Enter non-IRS Trades
l Manually Enter Interest Rate Swaps
l Add a Variable Notional Schedule (VNS)
l Edit / Remove / Export trades
l Save and Validate portfolio(s)

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Import Trades
Import portfolios for any trade type. IRS trades may also require a Variable Notional Schedule (VNS).
Note: When adding Futures, denote the Margin Type as FUT to signify the future is in a Futures Segregated (SEG) account, or
OTC to signify the future is in a Sequestered (SEQ) account.

To import a portfolio:

1. Click Add Portfolio to add a new portfolio OR select the box adjacent to an existing portfolio and click Load Trades to
load an existing portfolio.
2. Do one of the following:
l New Portfolio:
a. Click Import Portfolio button in the appropriate trade grid.

b. From the Import Items dialog box, select a file to import.

c. Click Import. Trades appear in Trade Grid.
d. Click Save.
l Existing Portfolio:
a. Click Import.
b. If the Import Trades dialog box displays, select an option:

c. In the Import Items dialog box, select a file and click Import.

The Uploading message displays, and the trade grid populates.

3. (IRS Trades only) If trades with notional schedules are found, the Notional Schedule dialog box displays.

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Do one of the following:

l Click Import Notional Schedule, select a file and click Import. The Variable Notional Schedule imports.
l Click Cancel. The dialog box closes.

Manually Enter non-IRS Trades

To add non-IRS trades to a grid manually:

1. Click Add Portfolio and select Enter Manually to add a new portfolio OR select the box adjacent to an existing portfolio
and click Load Trades to load an existing portfolio.
2. Click the [+]button, place cursor in the new row and enter all item information.

Manually Enter Interest Rate Swaps

A minimal amount of information is required to generate an IRS Portfolio for the selected swap. Leg information can be
entered manually or generated automatically. Use the IRS Row Editor to enter this infomation.
Note: Using the Expanded Trade Editor for entering more complicated IRS swaps.

Fields displayed vary by product type.

Note:
l Click the expand icon ( ) to view the expanded trade editor.
l Click the arrow icons ( ) to navigate between trades.
l The current row number displays at the top.
l Click "Save" to save changes.
l All Basic Swap fields are required when entering information directly into the trade grid.
l Variable Notional Swaps can be manually entered.

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To manually enter trades:

1. Click Add Portfolio and select Enter Manually to add a new portfolio OR select the box adjacent to an existing portfolio
and click Load Trades to load an existing portfolio.
2. Do one of the following:
l From the IRS tab, click the icon on the left side of a trade row.

OR
l From the IRS tab, click Add Trade and select a Product Type.

The IRS Basic Editor displays.

3. Enter Firm ID, Account ID and Cleared Trade ID.
4. Select a Product Type. Fields displayed may vary depending on product type selected.
5. Select / enter remaining fields as required.
6. Click Save when information is complete.

Add a Variable Notional Schedule

Import or manually add a VNS from the IRS trade grid when there are existing IRS Trades.
To import a Variable Notional Schedule for IRS Trades:

1. Click the Import arrow and select Import Variable Notional Schedule.

The Import Items dialog box displays.

2. Select a file and click Import. The Variable Notional Schedule imports.

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To manually enter a Variable Notional Schedule for IRS Trades:

1. In the Notional column, click the Schedule icon for a Variable Notional Swap.
Note: Notional Type for Variable Notional Swaps is SCHEDULE.
Generate Schedule displays.

2. Do one of the following:

l Click Generate Schedule. Schedule generates and displays.
l Manually enter schedule amounts in Step Notional column.
3. Click another section of the display. Schedule closes and schedule icon turns green.

Edit / Remove / Export Trades

The menu functionality on the Rates Calculator page does not differ from the other non-Futures and Options pages.
To edit, remove or export trades on any portfolio:

1. Click the tab of the portfolio to edit.

2. Follow instructions in corresponding section on the Trade Menu.

Save and Validate Portfolios

Save and Validate Portfolios prior to margining or optimization.
To save and validate trades:

1. Click Save. Trades are saved. Confirmation message displays. Margin fields in both the Trade Grid and the Portfolio sec-
tion will indicate trade is saved.
Note: If a Portfolio with a different trade type is added, a new portfolio is created with a Margin Type that reflects this.
For example, if IRS trades are added to a DL portfolio, a new portfolio is created with Margin Type IRS/DL.

Note: If the Cross-Margin boxes are checked for a futures position, this denotes that the trade is in a OTC Sequestered
account and the margin type will be SEQ. If this box is selected for some of the future positions, but not all the futures,
the margin type will be SEG-SEQ.

Note: If the Account / Firm information is not the same for both files, the Portfolio Name will be "Aggregate
Aggregate," and Account and Firm values will both be "Aggregate."
2. Click Validate. If Validation passes, confirmation message displays.

l If validation errors occur, correct and re-validate.

IRS Expanded Trade Editor

The IRS Expanded Trade Editor shows all fields for a single IRS trade in one view.

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To edit a trade using the IRS Expanded Trade Editor:

1. Click the expand icon ( ) in the upper right of the screen.

The editing window expands.
2. Select a Product Type. View will adjust to show only fields required for the selected product type.
3. Enter information as appropriate.
4. Click in the upper right of the IRS Trade Editor when finished with all edits. The IRS Trade Editor closes, and the
row information will appear as entered in the Trade grid.
5. Click Save in the upper right of the Trade grid. Row is saved.

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Run Analysis
Run analysis for margining, combining portfolios and optimization to generate reports, or run a termination for an IRS portfolio.
Functionality for these options is split between the Portfolio section and Trade Grid.

Report Generation Options

Margin, combine or optimize portfolios:
l Margin
l Combine Portfolios
l Optimize
l Termination (IRS Only)

Viewing Reports
l To view generated reports, click the report icon adjacent to the report ( ), or click Report and navigate to the cor-
responding report tab.
l To view the Ideal Optimization Report, navigate to Reports -> Rates, and select a report of type IDEAL-OPT.

Margin Portfolios
Margin portfolios from the Portfolio section or the Trade Grid.
Note:From the Rates calculator, Futures and Option-only portfolios cannot be margined if they contain any futures in the OTC
Sequestered account (if Margin Type is SEQ or SEG-SEQ).

Note: Reports generated from the Portfolio section can also be scheduled.

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To margin a portfolio from the Portfolio section:

1. Select the box adjacent to the portfolio to margin.

2. Click Margin Selected Portfolios in the Portfolio menu. Portfolio is margined. Margin result amount displays in the Mar-
gin Result field of the Portfolio section and the Margin field of the Trade Grid.

To margin a portfolio from the Trade Grid:

1. Load trades into the Trade Grid.

2. Validate trades.
3. Click Margin. Portfolio is margined. Margin result amount displays in the Margin Result field of the Portfolio section
and the Margin field of the Trade Grid.
4. To view reports, access the individual report page. For example, view IRS/SEG reports in Reports -> IRS.

Combine Portfolios
Combine multiple portfolios that contain an IRS or DL Margin Type (like DL/SEG with an IRS) to create a combined portfolio with
margin result.
Note: Portfolios that consist of Futures and Options ONLY (margin types: SEG, SEQ, SEG-SEQ) are not eligible to be combined
with other portfolios via "Combine Selected" option.

To combine portfolios:

1. Load a portfolio that contains IRS trades or a delta ladder (this includes aggregate portfolios that contain IRS and DL mar-
gin types).
2. Click the box adjacent to each margined portfolio to combine. The Combine Selected button becomes active.

3. Click Combine Selected. A new portfolio is created and a margin result is generated for the portfolio.

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Optimize Portfolios
Selecting Optimize triggers two processes: margin optimization and the ideal optimization:
l Optimal margin results based on Margin Optimization: Calculates the ideal allocation of user defined futures (trades
provided in the upload) to move into an OTC sequestered account to minimize portfolio risk.
l Ideal Optimization: Calculates the ideal allocation of futures to hedge the OTC account and minimize portfolio risk
based on the IRS portfolio.
Portfolios generated from the provided futures and option portfolio following optimization:
l  Optimized portfolio (Portfolio type + -OPT): Optimization of the current portfolio. Description field in the Portfolio Sum-
mary is assigned "Optimized."
l Ideal-optimization portfolio (IDEAL-OPT): CME CORE has calculated an ideal Optimization for your portfolio - please see
reports.
l Original portfolio is margined with recommended futures.
Ideal optimization is automatically triggered if Optimize is selected and the portfolio includes either an IRS and/or DL portfolio.
The Ideal Optimization report provides the recommended future positions to achieve this ideal savings.
Note: See Portfolio Type Options for which portfolio types may and may not be optimized.

To optimize a portfolio:

1. Load trades into the Trade Grid.

Note: If a portfolio does not contain user provided Futures and Option positions (margin type IRS, DL or IRS/DL), when
Optimize is selected, this will trigger the Ideal Optimization.
2. Click Optimize in the Trade Grid. Optimization portfolios are created.

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Termination
Termination can be performed on USD, EUR, GBP, and JPY vanilla swaps that are part of IRS only portfolios (Margin Type must
equal IRS). This functionality shows which trades can be terminated while maintaining the portfolio risk profile. Run Termination
analysis for a cleared IRS portfolio, or a hypothetical portfolio manually created or uploaded via the IRS Simple Upload File.
Termination is performed within the following parameters:
l Selection of one of the following four Vanilla Swap currencies: USD, GBP, EUR, JPY.
l Filtering of trades by Vanilla Floating Index Tenors: 1M, 3M, 6M.
l Use of a default risk profile, existing profile, or creation of a new one.

Three new portfolios are created following a Termination run:

l Termination Target Portfolio: All Vanilla Swap trades for the currency type selected.
l Termination Remnant Portfolio: Trades that remain following removal of suggested termination trades.
l Termination Terminated Portfolio: Trades which may be terminated.

Note: To access reports following portfolio generation, click the icon in the Termination Target Portfolio.
Termination reports cannot currently be accessed through the Reports tab.

To generate Termination files:

1. Select an IRS Portfolio (Margin Type IRS) and click Load Trades.
Note: Margin type must be IRS. The button is disabled for all other margin types (i.e. IRS/DL or IRS/SEG), as these are
not supported for running Termination analysis.

Interest rate swap trades load in the Trade Grid.

2. Click Termination.

The Termination window displays.

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3. From the Currency drop-down, select a currency.

4. Select Floating Index Tenor(s).

5. Select one of the following:
l Default risk profile.

If desired, click View to view the Default risk portfolio.

l An existing risk profile from the Risk Profile drop-down.

If desired, click Edit to edit the selected profile, or Delete to delete profile.
l A new risk profile:
a. Select Create New from the Risk Profile drop down.

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b. Enter profile name in the Create New Risk Profile dialog box, and click Create.

c. To edit new profile, click Edit.

The Risk Profile displays.

c. Update Name, Global Min / Max DV01 parameters and /or individual tenor DV01 requirement buckets. To
adjust individual tenor buckets, check the box adjacent to a tenor to activate that row, then adjust the values.
Note: Global min and max are the DV01 parameters at a portfolio level. The Termination analysis stays
between the desired global min and max risk profile regardless of adjustments at the individual tenor level.
d. Click Save. Risk Profile closes.
6. Click Run Analysis. The Termination Analysis runs. The three new portfolios: Termination Target Portfolio, Ter-
mination Remnant Portfolio and Termination Terminated Portfolio are created and display in the Portfolio section.
Note: If no trades are applicable to the Termination calculation, a message appears indicating that the Currency and
Index Tenor Filter combination produced 0 trades to send to the termination engine, and that a new currency / index
combination should be selected.

7. Click , in the Margin Result column of the Termination Target Portfolio to view results.

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Futures and Options Trade Management

Use the Futures and Options Portfolio page to manage Futures and Options trades.
Note: Futures and Options may also be entered on the Rates page. Trades entered through the Futures and Options portfolio
page will also display on the Rates page.

The Futures and Options Portfolio page consists of:

A. The Portfolio section which contains a list of all the portfolios for the selected trade type. From the Portfolio section:
l Add a new portfolio
l Margin a portfolio or schedule a margin
l Search portfolios
l Remove portfolios
l Export the portfolio summary
B. The Trade grid, which displays trades for a selected portfolio. From the Trade grid:
l Add trades
l Edit trades
l Remove trades
l Export trades
l Margin Trades

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Manage Futures and Options Portfolios

Portfolios display on the left side of the page.

Portfolio Options
The following options are available:
l Add a portfolio
l Margin portfolios / Schedule a margin
l Search portfolios
l Remove portfolio(s)
l Export portfolio summaries

Add a portfolio
Add portfolios from the Portfolio section by uploading a file or entering manually.
Note: New Portfolios are created as base portfolios.
To add a portfolio:

1. Click Add New. The Add New Portfolio dialog box opens.

2. Do one of the following:

l Upload a file:
a. Click Upload CSV File (if not already selected).
b. Click Select a File and select a file to upload. Click Open to continue.
c. Click Import. Portfolio is added to list and trades load into the Trade area.

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Note: Access the Download Center for templates of accepted import formats.
l Add a trade manually:
a. Click Enter Manually. Add Portfolio area displays, with portfolio naming section active.
b. Enter Name, Firm and Account (required), and Description(optional). 

When required fields are entered, the Add Trades section becomes active.
c. Select Product Name from the drop-down. Clearing Code and Exchange will also populate.

Note: To change Product Name, the Ticker, Exchange and Clearing Code fields must be cleared.
d. Select Ticker. Maturity Code will also populate. If trade is an option, Put / Call, Strike and Underlying Period
Code also populate.
e. Enter Quantity / Position.
f. Click Add Trade.

Note: Add Tradeis enabled only when all necessary information is populated.

Trade displays in Created Trades list.

g. To enter additional trades, repeat steps c-f.

h. When finished with all trades, click Done. Trades are added to portfolio.

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Margin Portfolios / Schedule a Margin

Portfolios can be margined from the Portfolio section, and margining can be scheduled.
To Margin a Portfolio:

1. Check the box(es) adjacent to the portfolio(s) to margin.

2. Do one of the following:
l Click Margin in the same row as the Portfolio to margin.
OR
l Click Margin above the Portfolio list.

The background of the Margin Field for the selected portfolios becomes a striped blue/gray background as calculation
takes place.
Note: If the portfolio is new and hasn't been saved, the trades will be automatically be validated prior to margining.
3. Results can be viewed in the Reports section.

To schedule a Margin Report:

1. Click the clock ( ) icon beside the portfolio to schedule. The Schedule a Margin dialog box appears. 
Note: If a margin has not been previously scheduled, click Schedule a Margin in the bottom left corner. The Schedule
a Margin dialog box displays the scheduling fields.
2. Enter or edit the following fields:

Field Description

Next Schedule Date Pick the date of the next margin run from the calendar.

Finish By Select a finish time from the list.

Repeat Select a repeat interval from the list.

Note Add a note (optional).

3. Click Save. Clock icon turns green showing schedule is set and dialog box closes.

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Search Portfolios
Searches match on any part of Portfolio Name, Firm Name and Account.
To search portfolios:

Enter text to search for in the search box.

If the text is included in the Portfolio Name, the Firm Name or the Account of a portfolio, the matching portfolio(s)
display in the list.

Remove Portfolios
Remove one or more portfolios.
To remove one or more portfolios:

1. Click the box adjacent to the portfolio(s) to remove.

2. Click Remove. A confirmation dialog box appears.
3. Click Yes on the dialog box. The selected portfolio(s) no longer appear in the list.
Note: Removing a base portfolio also deletes any hypothetical portfolios for that base portfolio.

Export Portfolio Summary
Download a summary of all portfolios, including margin results. Includes hypothetical portfolios.
To export the portfolio summary:

1. Click Export.
Note: Depending on the browser being used, additional dialog box messages may display.
2. Open the file or save to the computer.

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Manage Futures and Options Trades

Trades for a portfolio display on the right side of the page.

Trade Options
The following trade options are available:
l Add trades
l Edit trades
l Remove trades
l Export trades
l Margin Trades

Add Trades
Trades can be added before or after margining the portfolio. 
Note: Adding trades after margining creates a hypothetical portfolio with original and added trades.
To add trades to a portfolio:

1. Click Add. The Add New Trades dialog box displays.

2. Do one of the following:

l Upload a file:
a. Click Upload CSV File (if not already selected).
b. Click Select a File and select a file to upload. Click Open to continue.
c. Click Import. Portfolio is added to list and trades load into the Trade area.

l Merge with existing file:

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a. Click Merge with Existing. The portfolio list displays.

b. Click a portfolio. The selected portfolio and new portfolio merge scenario display on the right side of the dia-
log box.
c. Click Merge Portfolios at the bottom of the dialog box. The trades from the selected portfolio merge with
the trades from the existing portfolio.
l Add a trade manually:
a. Select Product Name from the drop-down. Clearing Code and Exchange will also populate.

Note: To change Product Name, the Ticker, Exchange and Clearing Code fields must be cleared.
b. Select Ticker. Maturity Code will also populate. If trade is an option, Put / Call, Strike and Underlying Period
Code also populate.
c. Enter Quantity / Position.
d. Click Add Trade.

Note: Add Tradeis enabled only when all necessary information is populated.

Trade displays in Created Trades list.

e. To enter additional trades, repeat steps a-d.

f. When finished with all trades, click Done. Trades are added to portfolio.

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Edit Trades
Edit trades before or after margining a portfolio.
Note: Editing trades after margining creates a hypothetical portfolio with original and added trades.
To edit trades in a portfolio:

1. Click Edit. Portfolio switches to edit mode and Cancel Edit / Save Changes options display.
2. Modify trades as needed. Click Save Changes or Cancel Edit.
Note: If a different portfolio is selected prior to saving or cancel, a prompt to save or ignore changes displays.

Remove Trades
Remove trades before or after margining a portfolio.
Note: If trades removed after margining a hypothetical portfolio is created with original and added trades.
To remove trades from a portfolio:

1. Click the box(es) to the left of the trade(s) to remove.

2. Click Remove. Dialog box displays.
3. Click Yes to delete trades. Trades are removed from portfolio.

Export Trades
Export trades to a CSV, PDF or API-ready file (XML).
To export trades:

1. Click Export.
Note: Depending on the browser being used, additional dialog box messages may display.
2. Open the file or save to the computer.

Margin Trades
Margin portfolios or selected trades. Portfolios can also be margined from the Portfolio section.
To margin a portfolio:

Click Margin. Portfolio is margined. The background of the Margin Field becomes a striped blue/gray background as
calculation takes place.
Note: If the portfolio is new and hasn't been saved, the trades will be automatically be validated prior to margining.

To margin selected trades:

1. Select trade(s) to margin. Margin button switches to Margin Selected.

2. Click Margin Selected. A Hypothetical Portfolio is created. Trade(s) and margin amount display in this portfolio.

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Base Portfolio and Hypothetical Portfolio

New portfolios are created as base portfolios. Trades in a base portfolio can be added, edited or removed without changing the
portfolio identifying information. After a portfolio has been margined, however, editing or adding to the portfolio will create a
hypothetical portfolio. Adding or removing subsets of trades in a hypothetical portfolio allows the execution of ‘What if’ analysis
seeing the margin impact on the overall portfolio without changing the state of the base portfolio.

Examples
Base Portfolio

This base portfolio has three trades, and the green total indicates the trades have been margined.
The portfolio name is "F&O Portfolio."

Hypothetical Portfolio

When edits are made to the base portfolio after it has been margined, a selected hypothetical portfolio is created. In this
example, the product Alberta Power Pool has been added to the portfolio.

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Note the following:
l Name of portfolio is "Hypothetical Portfolio A" and Description is "Hypothetical Portfolio A for portfolio F&O Portfolio."

Note: Double-click the edit icon ( ) adjacent to the hypothetical portfolio name to update portfolio names and
descriptions.
l Base portfolio still exists, but the Selected Hypothetical Portfolio has been created in a new tab.
l Valid trades now shows 4 and added trades shows 1. If a trade is removed, it will show in the removed trades total.
l "Make Base" displays and can be clicked to make the portfolio a new base portfolio. if the Hypothetical Portfolio
becomes a Base Portfolio, the Selected Hypothetical Portfolio tab no longer displays in the original base portfolio.

Navigating Hypothetical Portfolios in the Portfolio Section

More than one hypothetical portfolio can be created. Hypothetical portfolios display below the base portfolio in the Portfolio
section.
In the example below, F&O Portfolio has three hypothetical portfolios.

Note the following:

l Margined hypothetical portfolios will show both the margin amount and difference between the hypothetical portfolio
and the base portfolio.

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l To navigate between the hypothetical portfolios, click on the hypothetical portfolio to view and it will display in the
"Selected Hypothetical Portfolio" tab to the right of the base tab.
l Clicking a base portfolio from the Portfolio section will display the base portfolio only, however the base portfolio is
always accessible when a hypothetical portfolio is selected:

l To expand view of hypothetical portfolios, click . To close hypothetical portfolio view, click .

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CDS and FX Trade Management

Manage CDS and FX trades from their respective portfolio pages.

Example: Portfolio page for CDS

The Portfolio page consists of a Portfolio section and a Trade grid.

A. From the Portfolio section:
l View Portfolios and overall margin result
l Manage Portfolios
l Receive an administrative message
B. From the Trade grid:
l View Trades
l Add trades
l Validate, save and margin

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The Portfolio Menu for CDS and FX

Portfolios can be managed using the menu at the top of the portfolio section.

Note:CDS has additional menu options.

Option Functionality

Search Click and enter a search term in the box. Any portfolio that matches the term
within the Name, Account or Firm fields will display.
To clear the search "filter," click the filter icon:

Load Trades 1. Click the box adjacent to the portfolio to load.

2. Click Load Trades. Trades display in the Trade grid.

Add Portfolio Click Add Portfolio to add a Portfolio. Grid area is cleared and a new, unnamed
portfolio is added to the list. If changes from previous portfolio are pending, a prompt
displays to save changes before proceeding.

Remove Selected Select rows to delete and click Remove Selected Portfolios. Action cannot be undone. 
Portfolios
Note: This option cannot be accessed unless at least one row is selected.

Export Portfolio Click Export Portfolio Summary to export summary information for all portfolios.
Summary

Downloads l Download Template: Click Downloads and select Download Template. Open

sample template with Notepad or save as a .csv.
l Download Reference Data (CDS and Futures and Options only): Click Down-
loads and select Download Reference Data. Open reference data file with
Notepad or save as a .csv.
Note: File download actions may vary depending on browser type.

Margin Selected Run margin calculation for the selected portfolio.

Portfolios
(far right of menu bar)

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Additional Menu Options

Additional menu options are available either to the right of menu options or on the far right of the menu bar and vary by
product.

Option Applies to these products: Description

Environment l CDS Select Production or New Release.

Located on far right of menu bar.

Margin Matrix l CDS Click Margin Matrix on right of Portfolio menu.

Margin Matrix-CDS pop-up displays. Option to print or export.

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Add CDS or FX Trades

Add trade information using one of these methods:
l Import trades
l Load trades from an existing portfolio
l Manually enter the following trade types:
l Credit Default Swap (CDS)
l Foreign Exchange (FX)

Import Trades
To import a trade portfolio:

1. Click the Import arrow.

2. If the Import Trades dialog box displays, select an option.

3. In the Import Items dialog box, select a file and click Import.

The Uploading message displays, and the trade grid populates.

Load Trades From an Existing Portfolio

To open an existing portfolio:

1. In the Portfolio section of the page, click one or more boxes adjacent to a portfolio, and click Load Trades.
2. Do one of the following:
l One portfolio has been selected: in the Open or Append dialog box, select the option to create a new portfolio
or to append the trades to the existing portfolio, as appropriate.
l More than one portfolio has been selected: In the Create Merged or Append dialog box, select the option to
create a new merged portfolio or to append the trades to the existing portfolio, as appropriate.
The selected portfolio populates the Trade grid.

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Manually Enter Credit Default Swaps

Trades can be entered manually by filling in information for each trade row.
To manually enter trades:

1. Place cursor in an empty row in the Credit Default Swap grid and enter Firm ID, Account ID, Trade ID and RED ID.
Note: Trade ID and RED ID are not mandatory.
2. Click the Ticker, Reference Entity Name or Commodity Code Description box and click the arrow ( ). A list with all
Ticker, Reference Entity Name and Commodity Code Description options displays.

3. Click a Ticker, Reference Entity Name, Commodity Code Description combination. The following fields are populated:
l Currency
l Ticker
l Reference Entity Name
l Seniority 
l Restructuring
l CC Code
l CC Description
4. Click the Maturity box, click the arrow ( ) and select a maturity date from the calendar.
5. Double-click the Buy/Sell box, click the arrow ( ) and select from the list.
6. Enter a Notional amount.
7. Click the Coupon box, click the arrow ( ) and select a value from the list.
Note: The Clearable field fills with a 'Y' or 'N' when required trade information has been entered.

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Manually Enter Foreign Exchange Trades

Trades can be entered manually by adding trade information for each row. 
Note: All fields are required.
To manually enter trades:

1. Place cursor in an empty row in the Foreign Exchange grid and enter Firm and Account.
Note: Firm and Account number must be the same for each distinct portfolio. A portfolio will be created for each
unique Firm / Account combination entered.
2. Click on the right of the Ticker box. A list with all Ticker, Short Currency, Long Currency, Exchange and Currency Code
options displays. Select a Ticker combination.

The corresponding information displays in the grid.

3. Enter Short Notional, Long Notional and Maturity.

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Manage Calculation
Create a portfolio, then perform one of the following actions:
l Generate a Margin Report
l Schedule a Report

Generate a Margin Report

Generate a margin report for CDS or FX portfolios.

To generate a Margin Report for CDS or FX:

1. Click Margin Calculator in the Main Menu, and select CDS or FX.

2. Do one of the following:

l Click Add Portfolio. A new portfolio is created in the Portfolio section.
OR
l Click the box adjacent to portfolio(s) to load and click Load Trades. Trades load in Trade Grid.
3. Add or import additional trades as needed.
4. Click Validate and Save in the Trade Menu.
l If validation errors occur, correct and re-validate.
5. Do one of the following:
l To margin trades from the Trade Grid:
Click Margin in the Trade Menu. The margin for the portfolio that is open is calculated and updated in the
Margin Result field of the Portfolio section.
l To margin trades from the Portfolio Section:
a. Click the box adjacent to one or more portfolios to margin.
b. Click Margin Selected Portfolios. Margins are calculated for selected portfolios and display in the Margin Res-
ult field.

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Trade Validation Errors

If a required field is not entered, or if entered data is incorrect, the field(s) will be flagged as an error during validation. Error
cells are marked with a , the cell is surrounded with red, and an error message displays. Click Okay, correct errors and re-
validate.

Trade Validation Rules

There are minimal validation rules that apply to all products, and validation rules that are IRS specific. For a list of required and
interdependent fields for each product, see Layout Reference.

General Validation Rules

l Trades within a portfolio must have thesame Firm IDs and the same Account IDs.
l To merge portfolio trades, both portfolios must have the same Firm IDs and the same Account IDs.

Interest Rate Swap Trade Validation Rules 

Start and Maturity Date Validations
Note: Default stub values are assigned as shown below if these fields are not assigned.
l Values not supported in CME CORE are highlighted.
l The time between the Start Date and Maturity Date of the trade must be a multiple of the Calculation Frequency:
l Scenario 1
START_DT = 12/15/2011
MAT_DT = 12/15/2012
CALC_FREQ = QTR (3M)
In this scenario, 12 months is divisible by 3. No Stub will exist on this swap.
l Scenario 2
START_DT = 12/15/2011
MAT_DT = 2/15/2013
CALC_FREQ = QTR (3M)
In this scenario, 14 months is not divisible by 3. So, a stub of “ShortInitial” is assigned to this swap.
If the time between the Start Date and Maturity Date of the trade is NOT a multiple of the Calculation Frequency, a
default STUB_TYPE value of “ShortInitial” is assigned to the trade.

Zero Coupon Validations / Defaults

CME CORE supports only USD, EUR and GBP-denominated zero coupon swaps.

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l If a ZC Swap exists in the uploaded portfolio, the appropriate fields that define this product type must be included:LEG_
PAY_FREQ, LEG_CALC_FREQ, LEG_ROLL_CONV.
l If LEG_CALC_FREQ = 1T then:
l LEG_PAY_FREQ is set to 1T
l LEG_ROLL_CONV is set to NONE

Overnight Index Swap (OIS) Validations / Defaults

l Overnight Index Swaps are defined as the following:
l USD-Federal Funds-H.15-OIS-COMPOUND
l EUR-EONIA-OIS-COMPOUND
l GBP-WMBA-SONIA-COMPOUND
l JPY-TONA-OIS-COMPOUND
l For OIS swaps, the floating LEG_INDEX_TERM field must equal 1D on the upload file.
l For the floating leg only, if LEG_CALC_FREQ = 1T then:
l LEG_RESET_FREQ is set to 1T

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View Reports
To select a report:

1. From the Main Menu, click Reports and then click the report type to view.

Reports are listed along the left side of the page by Portfolio (Firm / Account) in order of most recent portfolio
creation. All margins run for each portfolio are listed within the portfolio in create date order.

To sort by any column, hover over the column heading, click the arrow that appears to the right of the column, and
select sort, grouping or column selections from the menu.

2. From the Margin Run list, click the row of the report to view. Report appears in window to right of list.

Report Descriptions
l Credit Default Swap
l Interest Rate Swap
l Foreign Exchange (FX)
l Delta Ladder
l Futures and Options

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CME CORE
l Portfolio Margining
l Margin Optimizer and Ideal Optimization

Export Reports
Use the Report View to export margin reports to a pdf or excel file.
The Export menu provides the following functionality:

Report Icon Description

Save report to an excel file.

Excel

Save report to an Adobe Acrobat .pdf file.

Adobe Acrobat PDF

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Credit Default Swap Results

The Credit Default Swap Report consists of:

A. Account Information: Identifying account information.
B. Maintenance Margin Factor Breakdown:Addresses six risk factors including the overall risk of credit market, portfolio
risk, idiosyncratic risk and liquidity risk. Includes total maintenance margin requirement.
C. Contributing Factor Breakdown: Shows contributing factors in pie chart.

Net Positions Breakdown

The Net Positions Breakdown report shows positions used to generate the report, in addition to the information provided
above.
To view the Net Position Breakdown report:

Click the Net Positions tab.

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Interest Rate Swap Margin Results

The result set for IRS and Portfolio Margining generates the following reports:
l IRS Margin Report
l IRS Margin Details Scenario Analysis

IRS Margin Details

IRS Margin Report
The Portfolio Margin report provides summary trade information, incuding Total Gross Notional for each currency.

The Profit and Loss Vector Histogram shows the profit and loss distribution of the 1260 profit and loss vectors. Each bar
represents a quarter of a standard deviation.

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IRS Margin Details Scenario Analysis

The scenario based chart shows the Historical P/L vectors across all trades within the portfolio over the past 5 years.

To view the IRS Margin Details Scenario Analysis:

Click the IRS Margin Details Scenario Analysis tab.

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Termination Reports (IRS only)

Running a Termination generates two reports:
l Termination Summary
l Termination Details
Additionally, the following reports may be downloaded:
l PDF: Summary and Detail reports
l CSV: Details and Terminated Trade Register

Note: Access the Termination report by clicking the icon in the Termination Target Portfolio row.

Termination Summary
The Termination Summary Report contains two main sections. The top section summarizes the results of termination analysis.
The bottom section shows the DV01 of terminated trades bucketed by tenor.

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Termination Details
The Termination Details Report shows Tenor details, and target, terminated and Remnant DVO1 quantities for the portfolio.

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OTC FX Margin Results

The OTC FX Report consists of:
l Account Information: Account, Initial Margin Requirement, Number of Trades Entered
l PNL Vector Histogram: Initial margins calculated utilizing historical VaR, using a 99%, 5-day loss coverage assumption.

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Delta Ladder Report

The result set for Delta Ladder generates the following reports:
l Delta Ladder Margin Details
l Delta Ladder Margin Details Scenario Analysis

Delta Ladder Margin Details

The Delta Ladders Histogram Report consists of:

l Account Information: Account, Maintenance, Concentration and Initial Margin Requirements, Number of Tenor Curves
l PNL Vector Histogram: Initial margins calculated utilizing historical VaR, using a 99%, 5-day loss coverage assumption.

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Delta Ladder Margin Details Scenario Analysis

The scenario based chart shows P/L vectors across curves within the portfolio over the past 5 years.

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Interest Rate Futures and Options Results

The Futures and Options Margin Report displays:
l Total Portfolio Initial Margin - Margin market participants must pay when meeting a margin call (applies to Speculator
accounts only, does not apply to Hedge/Member
l accounts)
l Total Maintenance Margin - Minimum margin amount market participants must keep in their account to prevent having
a margin call
l Long Option Value (LOV) - Total value of options purchased
l Short Option Value (SOV) - Total value of options sold
l Net Option Value (NOV)- Net Value of Option Premium Paid/Received

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Portfolio Margin Details Report

The Portfolio Margin Details Report provides a comparison of the costs saved or incurred between margining the IRS trades
and/or Delta Ladder curves and Futures and Options portfolios separately, and margining the IRS portfolio and/or Delta Ladder
and Futures and Options portfolios together.
The Portfolio Margin Details Report may be generated for the following portfolio types:
l IRS Trades & Futures (SEQ) Portfolio Margin Details
l DL & Futures (SEQ) Portfolio Margin Details
l IRS Trades & DL & Futures (SEQ) Portfolio Margin Details
When the Cross Margin option in the Futures and Options grid is checked, the trade will be margined against the IRS trades and/
or Delta Ladder and HVAR is used to calculate results. Margins for unchecked Futures and Options are calculated using
CME SPAN.

Margin Amounts without Portfolio Margining

Margin Amounts = Interest Rate + Portfolio Margin + IR Futures and
without Portfolio Swap (plus) Futures (FUT) (plus) Options (OPT)
Margining AND / OR
Delta Ladder

Note: The Portfolio Margin Futures do NOT have the Cross Margin box checked. The Margin Type field will fill with FUT when
the portfolio is saved. Interest Rate Futures and Options are cross-margined with the Interest Rate Swaps, and the Cross Margin
box is checked. When the portfolio is saved, the Margin Type field will show OPT.

Margin Amounts with Portfolio Margining (Cross-margining)

Margin Amounts = Cross-margined OTC IRS AND / + Residual IR Futures and
with Portfolio OR Delta Ladder and Portfolio (plus) Options (FUT)
Margining Margin Futures (IRS + OPT
Interest Rate Futures and
and/or DL + OPT)
Options not cross-margined
Reduce the total margin with Interest Rate Swaps.
payment required by
transferring excess margin
from one account to another.

Savings
Savings = Margin Amounts without - Margin Amounts with
Portfolio Margining (minus) Portfolio Margining

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Portfolio Margin Results Breakdown

Portfolio Margining in CME CORE approaches initial margin calculation from a total cost savings perspective.

This example shows OTC IRS, the comparison is the same for Delta Ladder or IRS and Delta Ladder.

Portfolio Margin Results Comparison Breakdown

l The first set of totals represents the margins for OTC IRS and/or Delta Ladder, Portfolio Margin Futures and Futures and
Options initial margin calculated as separate portfolios.
l The second set of totals represents the calculated margin with the OTC IRS and/or Delta Ladder and Portfolio Margin
Futures calculated together, and the Residual Futures and Options calculated separately.
l The Portfolio Margin Savings (in green) is the difference between the totals of the two calculations.

Portfolio Margin Details Report

The Portfolio Margin Details report is a Profit and Loss Vector Histogram.

This example shows OTC IRS. the report is the same for Delta Ladder or IRS and Delta Ladder.

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Portfolio Margin Optimization Details Report

The Portfolio Margin Optimization Details Report performs portfolio margining of all IRS Swaps and/or Delta Ladder curves with
Eurodollar Treasury and Futures to mimize initial margin requirements.
When the Cross Margin option in the Futures and Options grid is checked, the trade will be margined against the Delta Ladder
curves and/ or IRS trades, and HVAR is used to calculate results. Margins for unchecked Futures and Options are calculated
using CME SPAN.
An Ideal Optimization analysis is also generated when a portfolio that contains IRS and/or delta ladders is optimized.

Margin Amounts without Margin Optimization

Margin Amounts = Delta Ladders + Portfolio Margin + IR Futures and
without Margin AND/OR (plus) Futures (FUT) (plus) Options (OPT)
Optimization IRS Trades

Note: The Margin Optimization Futures do NOT have the Cross Margin box checked. The Margin Type field will fill with FUT
when the portfolio is saved. Interest Rate Futures and Options are cross-margined with the Interest Rate Swaps, and the Cross
Margin box is checked. When the portfolio is saved, the Margin Type field will show OPT.

Margin Amounts with Margin Optimization (Cross-margining)

Margin Amounts = Cross-margined Delta Ladder + Residual IR Futures and
with Margin and/or OTC IRS and Portfolio (plus) Options (FUT)
Optimization Margin Futures (DL and/or
Interest Rate Futures and
OTC IRS + OPT)
Options not cross-margined
Reduce the total margin with Interest Rate Swaps.
payment required by
transferring optimized
positions from one account to
another.

Savings
Savings = Margin Amounts without - Margin Amounts with
Opimization (minus) Optimization

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Portfolio Margin Optimization Detail Report Breakdown

Portfolio Margining in CME CORE approaches initial margin calculation from a total cost savings perspective.

This example shows Delta Ladder, the same is true for IRS trades, or IRS and Delta Ladder.

Margin Optimizer Results Comparison Breakdown

l The first set of totals represents the margins for Delta Ladder (or IRS or both), Portfolio Margin Futures and IR Futures
and Options initial margin calculated as separate portfolios.
l The second set of totals represents the calculated margin with Delta Ladder (or IRS or both) and assuming the recom-
mened transfer of Futures into Swap Portfolios.
l The Portfolio Margin Savings is the difference between the totals of the two calculations.

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Portfolio Margin Optimization Detail Report

The Portfolio Margin Optimization Detail report is a Profit and Loss Vector Histogram.

Postion Optimization Report

The Postion Optimization Report breaks down CME Cleared OTC IRS to receive savings as described in the initial report. These
are the future positions that are transfered to the IRS portfolio.

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Ideal Optimization Report

Ideal Optimization calculates the ideal allocation of treasury and Eurodollar futures to hedge the OTC account and minimize
portfolio risk. The report provides the list of proposed futures positions to gain the greatest savings based on the IRS/ delta
ladder portfolio. It also provides a breakdown of DV01 associated with the Swaps and futures portfolios.
Note:  The report will only display DV01 data associated with the Delta Ladder that was submitted and will not contain DV01
portfolio information on IRS trades.

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Layout Reference
Each product has different field requirements. Click to see product layout requirements:
l Credit Default Swaps
l Interest Rate Swaps
l Foreign Exchange
l Futures and Options

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Layout Reference for Credit Default Swaps

Field Description Req / Opt Sample Values

Firm ID ID of the firm Optional

Account ID The account the trade belongs to Optional

Trade ID ID of the trade Optional

Currency Standard Currency Code Required USD - US Dollar (day

1).

Ticker Ticker associated with the product Required; filled in

conjunction with
Reference Entity
Name and CC Code

Reference Entity Name Name of Entity Required; filled in

conjunction with
Ticker and CC Code

RED ID An identifier issued by Markit to Optional

uniquely identify a Credit Default
Swap (CDS).

Seniority Seniority of debt rating required SR=Senior

SD=Senior secured
SB=Subordinated

Restructuring Restructuring code. required XR=No Restructuring

MM=Modified
modified
MR=Modified
Restructuring

Maturity Maturity Date of CDS Required

Buy / Sell Buy or sell. required

Notional Represents the notional amount required

Coupon The interest rate stated on a bond required

when it's issued.

CC Code Combined Commodity Code. required; filled in

conjunction with
Reference Entity
Name and ticker.

CC Code Description Combined Commodity Code required;

description. automatically filled in
when CC Code is

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Field Description Req / Opt Sample Values

entered.

Clearable Is trade clearable? required;

automatically filled in
as 'Y' when all
required information
has been entered
and validated.

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Layout Reference for IRS

Reference layouts contain name, description, and required/optional values for Interest Rate Swaps.
l Basic Layout - provides the mimimal number of fields required for an IRS swap.
l Simple Layout - provides a sImple layout for an IRS swap.
l Extended Layout - provides a layout for all fields that can be displayed for any type of IRS.

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Reference for Basic Layout (Interest Rate Swaps)

This file is a subset of the Trade Register (Extended) Template and SImple Template reference files. Index, Index Tenor, Pay
Frequency and Spread values are generated based on industry standards for most OTC IRS product types.

Field Description Req / Opt Sample Values

Firm ID ID of the firm Required

Account ID The account the trade belongs to Required

Cleared Trade ID CME Group assigned Trade ID for the Optional

trade

Product Type Product Type Required Vanilla, OIS, Zero

Coupon, Basis, FRA

Currency Standard Currency Code Required USD - US Dollar (day

1).

Effective Date Start (Effective) Date of the swap. This Required US format 8/2/2010
is the date when the accruals begin

Maturity Date Maturity Date of the swap. This is the Required US format 8/2/2010.
last day of the swap, usually the last
coupon payment for the types of
swaps supported day 1

Direction Direction of the swap from the required P - Payer of the Fixed
position accounts perspective. Rate
R - Receiver of the
Fixed Rate

Notional Represents the notional amount of Required.

the swap

Leg 1 Fixed Rate The fixed rate assigned to swap Required

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Reference for Simple Layout (Interest Rate Swaps)

This file is a subset of the Trade Register (Extended) reference file. Additional Leg One and Leg Two information is populated on
trade validation. Applies to Vanilla, OIS and Zero Coupon product types. There is also a Basic Layout Reference, which shows the
minimal required fields.

Field Description Req / Opt Sample Values

Firm ID ID of the firm Required

Account ID The account the trade belongs to Required

Cleared Trade ID CME Group assigned Trade ID for the Optional

trade

Product Type Product Type Required Vanilla, OIS, Zero

Coupon

Currency Standard Currency Code Required USD - US Dollar (day

1).

Effective Date Start (Effective) Date of the swap. This Required US format 8/2/2010
is the date when the accruals begin

Maturity Date Maturity Date of the swap. This is the Required US format 8/2/2010.
last day of the swap, usually the last
coupon payment for the types of
swaps supported day 1

Direction Direction of the swap from the required P - Payer of the Fixed
position accounts perspective. Rate
R - Receiver of the
Fixed Rate

Notional Represents the notional amount of Required.

the swap

Leg 1 Fixed Rate The fixed rate assigned to swap Required

Leg1 KnownAmount Current value of a sum to be paid / Applicable to Zero

received on a future date. Coupon products
Note: Displays for Zero Coupon and
Extended View only.

Leg 2 Index The index of the floating leg Required

Leg2 IndexTenor How frequently the rate for the Required 1M

floating leg is reset.
3M
6M

Leg1 PayFreq Frequency at which interest is paid Required 1M

on the fixed leg.
1Y

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Field Description Req / Opt Sample Values

3M
6M

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Layout Reference for Trade Register (Extended) View

Complete list of OTC IRS fields. Required fields vary by product. Also reference Basic Layout Reference, which shows the
minimal required fields, or Simple Layout Reference for fields that correspond to the IRS Simple Template.

Field Description Req / Opt Sample Values

Firm ID ID of the firm Required

Account ID The account the trade belongs to Required

Portfolio ID The portfolio name Optional

Cleared Trade ID CME Group assigned Trade ID for the Optional

trade

Product Type Product Type Required Vanilla, OIS, Zero

Coupon

Currency Standard Currency Code Required USD - US Dollar (day

1).

Start Date Start (Effective) Date of the swap. Date Required US format 8/2/2010
when accruals begin

Maturity Date Maturity Date of the swap. Last day of Required US format 8/2/2010.
the swap, usually the last coupon
payment for the types of swaps
supported day 1

Direction Direction of the swap from the required P - Payer of the Fixed
position accounts perspective. Rate
R - Receiver of the
Fixed Rate

Notional Represents the notional amount of the Required.

swap

Fixed Rate The fixed rate assigned to swap Required

Floating Index The index of the floating leg Required 1M LIBOR

3M LIBOR
6M LIBOR

Floating Index Tenor How frequently the rate for the Required 1M
floating leg is reset.
3M
6M

Fixed Pay Frequency Frequency at which interest is paid on Required -2 D

the fixed leg.
0 D
1W
2W
1- 11 M

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Field Description Req / Opt Sample Values

1Y

Source Platform from which the trade was Required BLOOMBERG,

received MARKIT_WIRE,
TRADE_WEB, CME

LEG1_TYPE Fixed or Float leg Required FIXED

FLOAT

LEG1_CCY Currency of the leg Required USD

LEG1_START_DATE_ Adjustment to effective date. ALWAYS Required NONE

ADJ_BUS_DAY_CONV NONE

LEG1_MAT_DATE_ Adjustments to Maturity Date R NONE

ADJ_BUS_DAY_CONV
FOLLOWING
MODFOLLOWING
PRECEDING
MODPRECEDING

LEG1_MAT_DATE_ Calendars to use for MAT DATE Required USNY

ADJ_CAL Adjustment
GBLO
USNY,GBLO

LEG1_PAY_FREQ Coupon Payment Frequency R 1M

3M
6M
1Y

LEG1_PAY_REL_TO Payment relative to the beginning or R BEG_PER

end of the period
END_PER

LEG1_PAY_ADJ_BUS_ Business day convention to use to R NONE

DAY_CONV adjust the payment date if the date
FOLLOWING
falls on a holiday
MODFOLLOWING
PRECEDING
MODPRECEDING

LEG1_PAY_ADJ_CAL Calendars used to apply the business R USNY

day convention for payments
GBLO
USNY,GBLO

LEG1_DAYCOUNT Day count convention to use for R 30/360

calculation of periods
ACT/360
ACT/365.FIXED

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Field Description Req / Opt Sample Values

ACT/ACT.ISDA
30E/360.ISDA

LEG1_CALC_PER_ADJ_ Business day convention for O (Required only of NONE

BUS_DAY_CONV calculation Period date adjustements this is a float leg)
FOLLOWING
MODFOLLOWING
PRECEDING
MODPRECEDING

LEG1_CALC_PER_ADJ_ Calendars to use for calculation period O (Required only of USNY

CAL date adjustment this is a float leg) "
GBLO
USNY,GBLO

LEG1_CALC_FREQ Calculation Frequency also known as O (Required only of 1W

the compounding frequency for this is a float leg)
2W
compounded swaps
1M
2M
3M
6M
12M

LEG1_COMP_METHOD Specify the method used for O (Required only of None

compounding if this is a compounded this is a float leg and
Flat
leg a compounded
swap)

LEG1_INDEX Index specification Required only if USD-LIBOR-BBA.

LEG1_TYPE =
"FLOAT"

LEG1_INDEX_TENOR Index Tenor Required only if 1M

LEG1_TYPE =
3M
"FLOAT"
6M

LEG1_RESET_FREQ Frequency of the rate reset O (Required only of 1M

this is a float leg)
3M
6M

LEG1_RESET_REL_TO Specify if the reset is relative to the O (Required only of BEG_PER

beginning of the period or end of the this is a float leg)
END_PER
period

LEG1_RESET_DATE_ Date Adjustment on the reset dates O (Required only of NONE

ADJ_BUS_DAY_CONV this is a float leg)
FOLLOWING
MODFOLLOWING

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 CME CORE

Field Description Req / Opt Sample Values

PRECEDING
MODPRECEDING

LEG1_RESET_DATE_ Calendars to use for reset date O (Required only of USNY

ADJ_CAL adjustment this is a float leg)
GBLO
USNY,GBLO

LEG1_FIXING_DATE_ Offset to use to come up with the O (Required only of

OFFSET fixing date this is a float leg)

LEG1_FIXING_DAY_ The type of days to use to find the O (Required only of Business
TYPE fixing date this is a float leg)
Calendar

LEG1_FIXING_DATE_ Adjustment to use for fixing date O (Required only of NONE

BUS_DAY_CONV this is a float leg)
FOLLOWING
MODFOLLOWING
PRECEDING
MODPRECEDING

LEG1_FIXING_DATE_ Calendars to use when adjusting the Required only if USNY

ADLJCAL fixing date LEG1_TYPE =
GBLO
"FLOAT"
USNY,GBLO

LEG1_START_DATE Effective Date of this leg Required US format 8/2/2010

LEG1_MAT_DATE Maturity Date of this leg Required US format 8/2/2010

LEG1_NOTIONAL Notional Amount R

LEG1_FIXED_RATE FIXED Rate Required only if

LEG1_TYPE =
"FIXED"

LEG1_ROLL_CONV Roll convention to end / start period R 1-30

on
IMM
EOM

LEG1_SPREAD Spread to apply on top of the index O (Required only if

this is float leg and a
spread is applied)

LEG1_STUB_TYPE Type of Stub O (Required only if ShortFinal

there is a initial or
LongInitial
final stub)
LongFinal
NONE
SPECIFIC BOTH

User Manual - 90 -
CME CORE
Field Description Req / Opt Sample Values

LEG1_FIRST_REG_ First regular period start date on this O (Required only if US format 8/2/2010
PERIOD_START_DATE leg. This is when the stub period ends there is a initial stub)
and regular periods begin

LEG1_LAST_REG_ Last regular period start date on this O (Required only if US format 8/2/2010
PERIOD_END_DATE leg. This is when the regular periods there is a final stub)
end and the stub period starts

LEG1_INITIAL_STUB_ Initial Stub Rate O (Required only if

RATE there is a initial
stub).

LEG1_INITIAL_ For Initial Stub specify the index and O (Only present if 1W - 2W
STUBRATE_INDEX1 tenor to be used for this stub period index and tenor is
1M - 11M
used for stub period
rate on float leg) 1Y

LEG1_INITIAL_ For Initial Stub specify the second O (Only present if 1W - 2W

STUBRATE_INDEX2 index and tenor to be used for CME Group has to
1M - 11M
interpolating rate for this period interpolate between
two terms for stub 1Y
period rate on float
legs)

LEG1_FINAL_ For Final Stub provide the index and O (Only present if 1W - 2W
STUBRATE_INDEX1 tenor to be used for this stub period index and tenor is
1M - 11M
used for stub per on
float leg) 1Y

LEG1_FINAL_ For Final Stub specify the second index O(Only present if 1W - 2W
STUBRATE_INDEX2 and tenor to be used for interpolating CME Group has to
1M - 11M
rate for this period interpolate between
two terms for stub 1Y
period rate on float
legs)

LEG1_CURRENT_ Populated with the current floating O (Only present if

PERIOD_RATE period rate this is the float leg).

LEG1_FINAL_STUB_ The actual rate to be used for the final O (Present only in
INT_RATE stub period whether it is interpolated case of initial stub)
or based off an index

LEG1_ACCRUED_INT Accrued interest for the current leg as O (Not present if the
of the current valuation date accruals have not
started)

LEG1 KnownAmount Current value of a sum to be paid / Applies to Zero

received on a future date. Coupon Trades.

LEG2_TYPE Fixed or Float leg Rt or product. fixed

float

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 CME CORE

Field Description Req / Opt Sample Values

LEG2_CCY Currency of the leg R USD

LEG2_START_DATE_ Adjustment to effective date. ALWAYS R. None

ADJ_BUS_DAY_CONV NONE.

LEG2_MAT_DATE_ Adjustments to Maturity Date R NONE

ADJ_BUS_DAY_CONV
FOLLOWING
MODFOLLOWING
PRECEDING
MODPRECEDING

LEG2_MAT_DATE_ Calendars to use for MAT DATE Required USNY

ADJ_CAL Adjustment
GBLO
USNY,GBLO

LEG2_PAY_FREQ Coupon Payment Frequency R 1M

3M
6M
1Y

LEG2_PAY_REL_TO Payment relative to the beginning or R BEG_PER

end of the period
END_PER

LEG2_PAY_ADJ_BUS_ Business day convention to use to R NONE

DAY_CONV adjust the payment date if the date
FOLLOWING
falls on a holiday
MODFOLLOWING
PRECEDING
MODPRECEDING

LEG2_PAY_ADJ_CAL Calendars used to apply the business R USNY

day convention for payments
GBLO
USNY,GBLO

LEG2_DAYCOUNT Day count convention to use for R 30/360

calculation of periods
ACT/360
ACT/365.FIXED
ACT/ACT.ISDA
30E/360.ISDA

LEG2_CALC_PER_ADJ_ Business day convention for O (Required only of NONE

BUS_DAY_CONV calculation Period date adjustements this is a float leg)
FOLLOWING
MODFOLLOWING

User Manual - 92 -
CME CORE
Field Description Req / Opt Sample Values

PRECEDING
MODPRECEDING

LEG2_CALC_PER_ADJ_ Calendars to use for calculation period O (Required only of USNY

CAL date adjustment this is a float leg) "
GBLO
USNY,GBLO

LEG2_CALC_FREQ Calculation Frequency also known as O (Required only of 1W

the compounding frequency for this is a float leg)
2W
compounded swaps
1M
2M
3M
6M
12M

LEG2_COMP_METHOD Specify the method used for O (Required only of None

compounding if this is a compounded this is a float leg and
Flat
leg a compounded
swap)

LEG2_INDEX Index specification Required only if USD-LIBOR-BBA.

LEG2_TYPE =
"FLOAT"

LEG2_INDEX_TENOR Index Tenor Required only if 1M

LEG2_TYPE =
3M
"FLOAT"
6M

LEG2_RESET_FREQ Frequency of the rate reset O (Required only of 1M

this is a float leg)
3M
6M

LEG2_RESET_REL_TO Specify if the reset is relative to the O (Required only of BEG_PER

beginning of the period or end of the this is a float leg)
END_PER
period

LEG2_RESET_DATE_ Date Adjustment on the reset dates O (Required only of NONE

ADJ_BUS_DAY_CONV this is a float leg)
FOLLOWING
MODFOLLOWING
PRECEDING
MODPRECEDING

LEG2_RESET_DATE_ Calendars to use for reset date O (Required only of USNY

ADJ_CAL adjustment this is a float leg)
GBLO
USNY,GBLO

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 CME CORE

Field Description Req / Opt Sample Values

LEG2_FIXING_DATE_ Offset to use to come up with the O (Required only of

OFFSET fixing date this is a float leg)

LEG2_FIXING_DAY_ The type of days to use to find the O (Required only of Business
TYPE fixing date this is a float leg)
Calendar

LEG2_FIXING_DATE_ Adjustment to use for fixing date O (Required only of NONE

AdjBUS_DAY_CONV this is a float leg)
FOLLOWING
MODFOLLOWING
PRECEDING
MODPRECEDING

LEG2_FIXING_DATE_ Calendars to use when adjusting the Required only if USNY

AdjCal fixing date LEG2_TYPE =
GBLO
"FLOAT"
USNY,GBLO

LEG2_START_DATE Effective Date of this leg Required US format 8/2/2010

LEG2_MAT_DATE Maturity Date of this leg Required US format 8/2/2010

LEG2_NOTIONAL Notional Amount R

LEG2_FIXED_RATE FIXED Rate Required only if

LEG2_TYPE =
"FIXED"

LEG2_ROLL_CONV Roll convention to end / start period R 1-30

on
IMM
EOM

LEG2_SPREAD Spread to apply on top of the index O (Required only if

this is float leg and a
spread is applied)

LEG2_STUB_TYPE Type of Stub O (Required only if ShortFinal

there is a initial or
LongInitial
final stub)
LongFinal
NONE
SPECIFIC BOTH

LEG2_FIRST_REG_PER_ First regular period start date on this O (Required only if US format 8/2/2010
START_DATE leg. This is when the stub period ends there is a initial stub)
and regular periods begin

LEG2_LAST_REG_PER_ Last regular period start date on this O (Required only if US format 8/2/2010
END_DATE leg. This is when the regular periods there is a final stub)
end and the stub period starts

User Manual - 94 -
CME CORE
Field Description Req / Opt Sample Values

LEG2_INITIAL_STUB_ Initial Stub Rate O (Required only if

RATE there is a initial
stub).

LEG2_INITIAL_ For Initial Stub specify the index and O (Only present if 1W - 2W
STUBRATE_INDEX1 tenor to be used for this stub period index and tenor is
1M - 11M
used for stub per on
float leg) 1Y

LEG2_INITIAL_ For Initial Stub specify the second O(Only present if 1W - 2W

STUBRATE_INDEX2 index and tenor to be used for CME Group has to
1M - 11M
interpolating rate for this period interpolate between
two terms for stub 1Y
period rate on float
legs)

LEG2_FINAL_ For Final Stub provide the index and O (Only present if 1W - 2W
STUBRATE_INDEX1 tenor to be used for this stub period index and tenor is
1M - 11M
used for stub per on
float leg) 1Y

LEG2_FINAL_ For Final Stub specify the second index O(Only present if 1W - 2W
STUBRATE_INDEX2 and tenor to be used for interpolating CME Group has to
1M - 11M
rate for this period interpolate between
two terms for stub 1Y
period rate on float
legs)

LEG2_CURRENT_ Populated with the current floating O (Only present if

PERIOD_RATE period rate this is the float leg).

LEG2_ACCRUED_INT Accrued interest for the current leg as O (Not present if the
of the current valuation date accruals have not
started)

LEG2_FINAL_STUB_ The actual rate to be used for the final O (Present only in
INT_RATE stub period whether it is interpolated case of initial stub)
or based off an index

LEG2_ACCRUED_INT Accrued interest for the current leg as O (Not present if the
of the current valuation date. Next accruals have not
indicates that the interest accrual started)
starts on the effective date instead of
the following day.

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 CME CORE

Layout Reference for Foreign Exchange

Field Description Req / Opt Sample Values

Firm ID of the firm Required All values must be

the same for a given
portfolio

Account The account the trade belongs to Required All values must be
the same for a given
portfolio

Ticker Ticker associated with the product Required; filled in

conjunction with
Short Currency, Long
Currency, Exchange,
CC Code

Short Notional Notional Amount for Short side. Required Any number value

Long Notional Notional Amount for Long side. Required Any number value

Short Currency Currency of the Short side. Required; filled in

conjunction with
Ticker, Long
Currency, Exchange,
CC Code

Long Currency Currency of the Long side. Required; filled in

conjunction with
Ticker, Short
Currency, Exchange,
CC Code

Exchange Exchange used for swap. Required; filled in

conjunction with
Ticker, Short
Currency, Long
Currency, CC Code

Maturity Maturity Date of CDS Required

CC Code Combined Commodity Code. Required; filled in

conjunction with
Ticker, Short
Currency, Long
Currency, Exchange

User Manual - 96 -
CME CORE

Layout Reference for Futures and Options

Field Description Req / Opt Sample Values

Firm ID of the firm Required

Account The account the trade belongs to Required

Exchange Name of Exchange Required; must

match Product
Name and
Combined
Commodity Code

Ticker Symbol Ticker symbol associated with the Optional

product

Product Name Name of Product. Required; must Eligible Futures:

match Exchange and
Eurodollars
Combined
Commodity Code 2Y Treasury
5Y Treasury
10Y Treasury
Treasury Bonds

CC Code Combined Commodity Code. Required; must

match Exchange and
product

Period Code Value date for consummating the required

forward transaction (contract date).

Put / Call Whether the trade is a put or call. Optional

Strike Strike price for options Optional

Underlying Period Code Period Code for the Underlying Optional

product.

Net Positions Net Positions’ determines the required

direction: negative equals a short
position, positive equals a long
position.

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