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Related Keywords: Interest Rates, Market Fundamentals
Intro of CME Euribor futures adds Efficiencies through SPAN
The introduction of CME Euribor futures provides the opportunity for significant capital efficiencies for all contract users. The safety and soundness of the financial safeguards of CME Clearing apply to Euribor futures spread positions against CME Eurodollar futures, CBOT Treasury futures, and other CME Group interest rate products. No longer must the user post full margin on interest rate positions that are broken up across multiple clearing houses.
CME Clearing calculates futures margin requirements using SPAN, an optimal margining process that calculates risk on the basis of the entire futures portfolio, resulting in more efficient and appropriate margin requirements. SPAN portfolio margin calculations now include Euribor spread credits across the entire CME Group Interest Rate product suite (Euribor, Treasury, Eurodollar, Fed Funds, and Swap futures and options), with margin spread-credits as high as 55% available for opposing positions.
The upshot is that every CME Euribor futures user can benefit from having global interest rate futures positions margined as one portfolio. Potentially significant amounts of interest rate contract performance bond become available for cross-margining against opposing positions, greatly enhancing capital and operational efficiencies and improving risk management.
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