Risk Management Gateway (RMG)

1. Risk Management Gateway (RMG) Overview. The Risk Management Gateway (RMG) is a web-based dashboard used to monitor, configure and control Futures & Options “Orders” and “Risk Filters” within the RMG system. Mexican Clearing firms will be responsible to control and configure those risk filters and view order blotter for accounts which they are entitled to see, only for their customers. The RMG dashboard provides access to the following functions: Viewing orders Viewing order message chains Cancelling orders Viewing risk filters Creating risk filters Modifying risk filters Deleting risk filters Enabling risk filters Disabling risk filters

2. Risk Filter Configuration Clearing Firms should set filters based on a customer account level (Member - Clearing account) Accounts inbound from the CME (North to South Order Routing) as well as the local participant´s will be managed by the clearing firms. Clearing Firms could configure/assign several accounts to handle one customer for a specific class or some other purpose, as an example, we have “Banamex” (Mexican Clearing Firm) who could assign account 00401 for IPC and 00402 for TE28 (both for the same customer)

3. Risk Filters Pre-Trade Checks “Quantity” Filter Reject any order with size bigger than a specified number, this filter applies for any asset class product (Futures or Options). “Quantity per Symbol and Side” Filter Reject any order with size bigger than a specified number on a specific class and side “Symbol, Side, Order Type, Time in Force” Filter” Reject any order matching a specific combination of symbol, side, order type, time in force and a time window (start time and end time). None of the fields are mandatory; the user is not required to set each of the 4 fields. The user may also set a start time and an end time for this filter. This would allow filters to be configured which prevent certain order types during different hours of the trading sessions. Any unset fields are essentially ignored. “Value” Filter Reject any order exceeding a specified value (notional value)

4. Aggregated Checks Daily Credit Limit Control for Net Long/Short Margin Reject any order exceeding the limit margin set by symbol once the aggregated amount has reached the set limit. “Daily Quantity” Filter If the aggregated traded volume exceeds the specified value for the day, cancels and or rejects the orders resting on the book and the incoming ones. If an order is cancelled, the unfilled quantity should be removed from the day’s accumulated quantity. If an order is modified, the number of contracts should be added or removed from the day’s aggregated total. The Clearing Firm can optionally set the Side field to only check daily value for a particular side. If Side is unset it will be ignored and treated as a wildcard. “Daily Quantity per Symbol and Side” Filter Reject any order that exceeds the maximum daily quantity for a daily quantity entry. An entry consists of a symbol, side, and maximum daily value. Each entry maintains its own limit and tracking. When orders exceed a limit on an entry it should only reject orders matching that entry. Other entries that have not exceeded their threshold should continue to allow orders through.

5. “Daily Value” Filter The RMG will cancel the orders resting on the book and not allow new orders into the trading engine if the notional value exceeds the specified value for the day. If an order is cancelled or modified in size, the change in value will be removed or added to the day’s aggregated total. “Daily Value per Symbol and Side” Filter The RMG will cancel the orders resting on the book and not allow new orders into the trading engine if the notional value exceeds the specified value per side for the day. If an order is cancelled or modified in size, the change in value will be removed or added to the day’s aggregated total.

6. RMG Message Flow