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CME Adds OTC FX to Core

CME Group’s interactive margin calculator, CME Core, is now supporting OTC foreign exchange calculations.

The expanded product support allows cleared OTC customers and clearing companies to view internal margins and exact positions, as well as calculate portfolio margining savings.

CME says it has also upgraded its scalability enhancements, following requests from users of CME Core. The expanded product support includes allowing multiple portfolios to be margined simultaneously across products, removing the limits of the portfolio size, and permitting more than ten portfolios to be uploaded and margined at once.

A number of new pairs have also been added: USD/BRL, USD/CNY, USD/INR, USD/MYR, USD/CLP, USD/RUB and EUR/USD. In total 38 currency pairs are now supported by the Core offering.

The enhancements came into effect on January 16, with the planning beginning six months ago, says Derek Sammann, senior managing director, interest rates and FX products. He tells Profit & Loss, “We are now supporting FX as part of our plan to expand the overall set of services that we are bringing to the OTC clearing service at CME.  Additional asset classes that we now clear –  like FX NDF’s – can now be evaluated using this great new tool to determine what to expect in terms of margin if you choose to clear at CME. This is part of our overall plan to continue to bring value added tools and services to the broader OTC markets that we now serve.”

CME Core is also now supporting calculating interest rate swaps margins with a Delta Ladder-based sensitivity calculation. All IRS users have now been given access to the Delta Ladder estimation engine. The tool provides low latency IRS margin calculation for portfolios represented by DV01 across the tenor/curve structure which normalised product representation for submission to the margin engine.

Profit & Loss

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