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Excerpt

The calculate margin request performs a margin calculation on an existing portfolio with optional additional transactions.

Table of Contents
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Description

The request allows the client to calculate the margin of an already existing portfolio which was added to CME CORE (Add Portfolio and Update Portfolio). The client must specify the margin type and must submit the unique CME CORE assigned portfolio identifier in the request URL. The URL may optionally include additional (transient) transactions by value or the transactions to exclude by identifier from the portfolio. Once the Client/ CMF (Clearing Member Firm) has submitted the above, the server will queue up the request for execution after which it is submitted to the risk engine for processing a request identifier and status that are returned. If the portfolio does not exist, referenced transactions do not exist, or there are other errors an error message/code will be returned.   

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Entity

Margin

Action

Calculate

URL

/margins

HTTP Method

POST

Parameter Input

No

XML Input

Yes

Multiple Output

No

Synchronous

No

Request

XPath

Name

Type

Required

Notes

/marginReq@reqUserId

Requesting User ID

String

No

/marginReq/margin@portfolioId

Portfolio ID

String

Yes

/marginReq/margin@riskFramework

Risk Framework

String

No

Specifies if the request should be margined in the SPAN or the SPAN 2 methodology. This is relevant to Futures & Options users only. 

Response

XPath

Name

Type

Required

Notes

/marginRpt@status

Status

Async Status

Yes

/marginRpt/margin@createTime

Create Time

Date/Time

Yes

/marginRpt/margin@id

ID

String

Yes

/marginRpt/margin@portfolioId

Portfolio ID

String

Yes

/marginRpt/margin@updateTime

Update Time

Date/Time

Yes

/marginRpt/error@code

Error Message

String

No

/marginRpt/error@msg

Error Message

String

No

Errors

Code

Description

400

Bad XML syntax or missing content. More information will be provided in the error message.

403

Returned if the user does not have permission to perform calculations on the portfolio

500

The server was not able to process the request. More information (if available) will be provided in the error message.

Examples

Basic

This example requests that a portfolio with ID 123 be margined.  The unique ID of the margin request is returned along with the portfolio identifier.

Calculating Margin for CME

Request - All Margin Methodologies
Code Block
POST {{API_URL}}/margins

Code Block
languagehtml/xml

linenumberstrue

<core:marginReq xmlns:core="http://cmegroup.com/schema/core/1.2">
  <margin portfolioId="123" />
</core:marginReq>

Request - SPAN 2 Margin

For the SPAN 2 project, the CORE API has been enhanced with a new was enhanced to include attribute "riskFramework" which specifies if the request specific products going through a SPAN 2 framework transition should be margined in the SPAN or the SPAN 2 methodology during the SPAN 2 transitionframework. This is relevant to Futures & Options users only.

Expected values in riskFramework attribute:

  • CURRENT - current production margin framework.

    • This will equate to SPAN methodology until the SPAN 2 project go live for upcoming in-scope products.

  • NEXT - upcoming production margin framework, in production parallel.

    • This will equate to SPAN 2 methodology for in-scope products.

For Top top day margin request in CORE, please refer to the below table for cycle names and approximate timings.

Risk Cycle Naming Conventions

CORE Cycle Naming Convention

Naming Convention (risk parameter files)

Approximate Risk Snapshot Timing

Description

X

.x

8:30 a.m. CT

Forecasting cycle. Includes any risk parameter changes planned for go live in the top day EOD cycle as described in Clearing Advisories. Does not include forecasted risk scenario changes.

AM

.a

11:00 a.m. CT

Morning file, run occurs before ITD cycle.

ITD

.i

12:00 p.m. CT

ITD cycled used for CME settlements and reporting.

AFTER_ITD

.ai

2:30 p.m. CT

After ITD cycle.

SUPER_EARLY

.

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be

3:30 p.m. CT

Very early EOD cycle.

EARLY

.e

4:30 p.m. CT

Early EOD cycle. Settle prices incorporated for some markets.

FINAL

.s

6:30 p.m. CT

Second early EOD cycle. Settle prices incorporated for all markets.

EOD

.c

8:00 p.m. CT

Final EOD cycle used for CME settlements and reporting.

Request

Code Block
languagehtml/xml
linenumberstrue
<core:marginReq xmlns:core="http://cmegroup.com/schema/core/1.12">
         <margin portfolioId="123" riskFramework="NEXT" />
</core:marginReq>

Response

Code Block
languagehtml/xmllinenumberstrue
<ns2:marginRpt 
    xmlns:ns2="http://cmegroup.com/schema/core/1.2" status="PROCESSING">
    <margin portfolioId="123" id="321"/>
</ns2:marginRpt>
Request - Historical Margin

The CORE API now supports historical margin calculations and two new with the attributes "date" and "code" have been added to in the request. This is relevant to Futures & Options users only.

New attributes:

  • Date: CME core allows user to margin portfolios in SPAN 2 framework as of late 2022 and in SPAN framework as of late 2021. Acceptable date format is yyyy-mm-dd.

  • Code: For last 5 business days, user can select from several daily cycles, please refer to the

below

  • above table “Risk Cycle Naming Conventions”.  For margin request prior to 5 business days, the .

I

  • i, .s and .c cycles are available.

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SPAN requestRequest Example

Code Block
<core:marginReq xmlns:core="http://www.cmegroup.com/schema/core/1.14">
    <cycle date="2023-03-31" code="ITD"/>
    <margin portfolioId="123" riskFramework="CURRENT"/>
</core:marginReq>

SPAN 2 Request

Code Block
<core:marginReq xmlns:core="http://www.cmegroup.com/schema/core/1.14">
    <cycle date="2023-03-31" code="EOD"/>
    <margin portfolioId="123" riskFramework="NEXT"/>
</core:marginReq>

ResponseResponse Example

Code Block
<ns2:marginRpt xmlns:ns2="http://cmegroup.com/schema/core/1.2" status="PROCESSING">
    <margin portfolioId="123" id="321"/>
</ns2:marginRpt>