This topic provides guidance for firms participating in the CME Group and Fixed Income Clearing Corporation (FICC) cross-margin program and interacting with CME Group’s hosted optimization service over API to manage their post-trade allocations into a FICC cross-margin account at CME Group.

For details on running the hosted optimization service over API to manage post-trade allocations in the IRS portfolio margin program, please see Margin Optimization Service Over API User GuidePreview.

Contents

Revision History

Key Events and Dates

Overview of CME Group and FICC Cross-Margin Program

The CME Group and FICC cross-margin program is designed to provide margin efficiencies by identifying CME Group interest rate futures that can offset FICC treasury positions. This optimization service determines the movement of CME Group interest rate futures into a cross-margin account that will be applied against FICC Treasuries for purposes of the cross-margin savings calculations. The program aims to provide margin efficiencies for a given portfolio accounting for:

1. Unallocated positions consisting of futures and options that are not eligible for the FICC Cross-Margin program (used for optimization analysis only).

2. Eligible CME Group futures allocated for cross-margin with FICC Treasuries “FICC Cross-Margin Account.”

3. FICC Treasuries allocated to the cross-margin program with CME futures.

4. FICC positions not allocated to the program.

Active management of positions between accounts 1 and 2 above are required to achieve savings, and the optimizer service performs both a savings optimization and offers API workflows to enable automation of the position transfer between these accounts.

Similarly, CME Group has supported IRS/listed interest rate product cross-margining in the Portfolio Margin Program since 2012. Because many clearing firms intend to participate in both the IRS portfolio margin and CME Group and FICC cross-margin program and because active management of positions to a special account is required for both programs, CME Group is also expanding the margin optimization service over API (the “Hosted Optimizer”) to support CME Group and FICC cross-margining in addition to IRS portfolio margining.

The margin optimization service allows users to pass positions data containing any combination of positions in 1) segregated futures and options accounts, 2) FICC cross-margin accounts, and 3) IRS portfolio margin accounts. Margin optimization can be performed for IRS Portfolio Margining or FICC cross-margin program or through a combined process if submitting positions across all three. The margin optimization service evaluates the ideal allocation of interest rate futures and options to transfer between segregated, FICC cross-margin, and IRS portfolio margin accounts to provide margin efficiencies. As an output, Optimizer generates transfers, each having two sides (buy and sell) that are booked at CME Group using standard Clearing Firm message queue setup. The margin optimization service is hosted on CME Group infrastructure and available to users exclusively over the CME CORE API.

Additional program details regarding the interest rate portfolio margin program are available in Portfolio Margining for OTC Interest Rate SwapsPreview.

User Entitlements and Onboarding

The margin optimization service requires special entitlements to ensure only authorized users are able to interact with cleared Optimization workflows. Authorization occurs at the user, firm, and margin account level. Users will need to set up a service account with an API ID that will be entitled to the new workflow. Clearing Member Users must have signed the API Agreement or be working with a service provider that has completed this agreement to gain access to the service.

Service Account Creation and Entitlement Process

1. Create an Account (if applicable): If you don’t already have an account, please register to create a new account.

2. Generate an API ID: Go to My Profile > My Account > APIs, then create and claim an API ID under Auth Type=“Basic Auth”.

   1. The API ID used for the Margin Optimization Service must be dedicated solely to the new workflow. Users with an existing API ID should create a new one for this purpose.

3. Submit the Margin Optimization Service Over API Access Request Form and enter your newly created API ID. Ensure you select “Submit” to initiate the entitlement workflow.

4. Verification Process: The Enterprise Application and System Entitlements (“EASE”) team will contact your firm’s designated CME ClearPort Verification Officer to confirm authorization access for clearing data usage in the service.

5. Onboarding Completion: Upon successful verification, the CME Group post trade services team will reach out to finalize the onboarding process. As part of this process, they will ensure the API ID is entitled to the CORE API, which is a mandatory general authorization step.

Non-authorized users will receive an authorized error with the code 401 or 403 if attempting to interact with Optimization workflows. See Error Handling.

API URL

The optimization service will utilize the CME CORE post trade URLs. 

Test Environment: https://posttrade.api.uat.cmegroup.com/MarginServiceApi/

Please contact the CME post trade service team regarding the production environment URL after completion of testing.

Service endpoints are described in the User Interface section.

Testing Expectations

• Testing to commence in Q4 2025. All interested clearing members may contact the post trade service team to set up testing in advance.

  • Users may also do functional testing against the API prior to the CME Group and FICC cross-margin optimization workflows being available.

  • Please review the Margin Service APIPreview.

• UT environment testing (expected testing: functional):

  • Testing may be available for a limited set of available dates and cycles. Users can interact with the “status” endpoint, described below, which provides detail on which dates and cycles are available for optimization. Users may experience errors when submitting requests for dates and cycles that are not available.

  • The UT environment is not a production copy. This is important because the service performs account validation from UT environment data and will flag accounts as invalid that are not set up in the test environment or have no IRS trades in the test environment. It is recommended that users build their positions data with test accounts matching CME Group test accounts. If that is not possible, please work with the post trade service team to ensure there are accounts enabled in the UT environment that match production identifiers and, as needed, contain IRS trades to limit account validation errors. Please request a maximum of five new test accounts.

  • The UT environment is not expected to be used for number matching against the deployable Optimizer software in production. Please see production environment testing below.

  • The UT environment is expected to be the sole environment for testing the “accept transfers” endpoint (see below), since this workflow pushes live transfer records to the clearing system. All other upstream workflows prior to the transfers endpoint can also be tested in production, see production environment testing below.

• Production environment testing (expected testing: number matching):

  • Users can interact with the production environment for testing by interacting with the “Hypothetical Optimization” user role. This user role allows testing of all endpoints other than the “accept transfers” endpoint portion of the workflow, making it suitable for testing purposes.

  • The production environment should be used for number matching against the deployable Optimizer software. UT environment data is independently produced and not validated against production, making it an unsuitable alternative. If number matching is only allowable in the UT environment, please validate against the UT environment IRSMR3 margin report or a run of deployable Optimizer with only test environment data to ensure consistency.

Expected Inputs

Clearing members are expected to maintain the state of portfolios in their books and records.

Expected Outputs

User Interface

The existing CME CORE API service has been expanded to support the margin optimization service. The test URL can be found in the API URL section. In conjunction with CME Group and wider industry standards, only secure communication channels are used. 

The following new API endpoints support hosted Optimization:

Hosted Optimization User Workflow Diagram

Hosted Optimization User Workflow Examples

1. Submit Optimize Request

Request Endpoint

Sample Request 1 - User has both IRS PM and FICC cross-margin positions

Sample Request 2 - User has FICC cross-margin positions only

Sample Response

The report contains:

• The Optimizer ID (ID in the 'portfolio' block). 

  • This ID has a one-to-one relationship with the user input payload, not the optimized account. There can be many accounts in a single optimize request payload or one, depending on the users’ preference.

  • In the example below the ID is this string: 123456e1-12b3-123z-a0cf-12ee3ee5e56d

• The FIXML trade capture for all positions in the payload.

• Position-level errors, for instance validation errors.

• The below payload is a sample response for users participating in FICC cross-margining program. For users submitting IRS position only, they would see PBA Account populated in the response instead of FICC Account ID.

2. Optimized Reports

As part of the hosted Optimizer service, two reports represent the most commonly used deployed Optimizer software reports.

All Optimizer reports are requested via GET messages to report endpoints containing the Optimize ID provided in the Optimize POST response.

Report 1: FIXML Transfer Report Request Endpoint

Sample Request

Sample Response

The report contains a header with the following information: 

• Cycle date and cycle type

• Transfer records in FIXML format.

  • To comply with standard CME Clearing transfer message processing, all transfer messages will be single-sided.

  • The below payload is a sample response for users participating in FICC cross-margining program. For users submitting IRS position only, they would see PBA Account populated in the response instead of FICC Account.

Report 2: FICC Estimated Savings Report Request Endpoint

Sample Request

Sample Response

The report contains:

• Margin states for each portfolio, expressed for both the F&O account and the FICC account:

  • Pre-optimization state.

  • Post-optimization state.

• Change in margin (savings), in dollar and percentage terms.

• Margin account IDs (FiccPBAcctId) for all optimized accounts

• Clearing firm ID (clrMbrFirmId)

Mapping table of Optimizer software Estimated Savings Report to API estimated savings report.