Reaping Rewards From Portfolio Margining

Rate Swap Margin Requirements Poised to Drop Sharply

Amid approaching mandatory clearing rules for over-the-counter derivatives, initial margin requirements for interest rate swaps are poised to drop by at least 32% when portfolio margining becomes available to all market participants, according to Adam Sussman, director of research with TABB Group, LLC.

For CME Group interest rate contracts, the benefits may be even greater. Based on a TABB Group analysis of over 200 CME Group inter-contract spreads, margin requirements could fall by 65% to as much as 90%, with products of similar maturities, such as Eurodollars and certain Treasury futures, awarded higher offsets.

"Margin offsets, primarily through OTC swaps and futures contracts, dramatically reduce margin requirements," Sussman wrote in a recent report. "Simply put, portfolio margining allows firms with offsetting risks to also offset their margin."

Industrywide, portfolio margining for interest rate swaps may save at least $618 billion, Sussman estimated. "Portfolio margining, or the lack thereof, will therefore play a significant role in the future of the OTC market," he said.

On December 3, CME Group will launch Deliverable Interest Rate Swap Futures, the first futures contract that allows for delivery of a CME-cleared OTC interest rate swap. The new contracts allow swap exposure while achieving maximum margin benefits.

Read Full Report

Futures & Options Trading

As the world's leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. CME Group exchanges offer the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, energy, agricultural commodities, metals, weather and real estate. CME Group brings buyers and sellers together through the CME Globex electronic trading platform and trading facilities in New York and Chicago. CME Group also operates CME Clearing, one of the largest central counterparty clearing services in the world, which provides clearing and settlement services for exchange-traded contracts, as well as for over-the-counter derivatives transactions through CME ClearPort.

Idea Exchange

Idea Exchange is your direct link to the product managers, marketers, and the development teams who create and will allow you to review functionality, participate in focus and provide feedback on upcoming Web initiatives

Idea Exchange - Join Our User Focus Program

Contact Us

CME Group/Chicago HQ:
Local: +1 312 930 1000
Toll Free: +1 866 716 7274

Global Customer Contacts

More CME Group Direct Lines
Phone list by department

Global Partnerships


Global Offices Contact Information

Calgary Houston Chicago New York Washington São Paulo Belfast London Singapore Hong Kong Seoul Tokyo Beijing

© 2014 CME Group Inc. All rights reserved.

CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX, and COMEX.