In conjunction with CME Clearing’s roll-out of the SPAN 2 framework for calculating performance bond requirements for energy products, CME has made enhancements in the CORE API service.

These changes include:

• Supporting margin calculation for SPAN and SPAN 2 Frameworks for historic points in time.
• Supporting decomposition of margin results of futures and options margined in SPAN 2 framework.

These enhancements are now live in the production environment. Users interested in testing these features should download an updated CORE API schema. Older versions of the schema continue to be supported and these enhancements are optional.

For futures and options users only, the CORE API now supports historical margin calculations, defined as margin requests for points in time prior to the last EOD settlement cycle. To support additional point in time, two new attributes “date” and “code” have been added to the margin calculate request:

• Date: CME core allows user to margin portfolios in SPAN 2 framework as of late 2022 and in SPAN framework as of late 2021. The acceptable date format is yyyy-mm-dd.
• Code: For last 5 business days, user can select from several daily cycles, please refer to the table below. For margin request prior to 5 business days, .I, .s and .c cycles are available.

The CORE API’s validation logic has also been enhanced to support expired contracts where it previously operated on a top-day product validation model. Changes have been made to the portfolio validation workflow including:

• Product validation is relaxed to allow users to load and margin expired contracts for any business date. For expired contracts users will receive a ‘success with errors’ informational message in the Transaction Add response to provide feedback for users interacting with the top-day margin workflow.

o Expired trades will continue to be excluded from top-day margin results.

o For historic margin requests, valid expired trades will be included in margin results.

• Additional enhancements are being made to provide trade-level errors for historic margin results. These enhancements are expected to be live by June 2023. Users may source historic product reference data from CME to complete product validation prior to interfacing with the CORE API and can contact our team with questions on this process.

The CORE API has been enhanced to decompose margin results of futures and options margined in the SPAN 2 framework. SPAN 2 margin results for these portfolios will contain separate risk component amounts for futures and for options. Margin results will also contain a new attribute “futuresOptionsOffset” which is defined as a risk offset occurring between futures and options within a given Product Group.