Fed Fund and Ultra 10-Year Futures Added to CME Portfolio Margining

Additional Capital Efficiencies of up to 77%

Fed Fund and Ultra 10-Year Treasury futures are now available for portfolio margining with CME cleared interest rate swaps. 15 clearing members now support CME portfolio margining, with customers averaging 43.1% savings across 380 accounts, generating a total initial margin reduction of $2.34 billion*

  • Fed Fund futures averaged over $893 billion (178,000 contracts) in daily volume in 2016 while open interest has grown to over $5.7 trillion (1.15 million contracts)
  • Ultra 10-Year futures, CME Group’s most successful new product launch, increased daily volumes to over $7.2 billion (72,000 contracts) since launch, with open interest now over $24.4 billion (244,000 contracts)

Add More Efficiency

The portfolio was run through CME CORE on September 30, 2016 and all volume and open interest data is also as of that date.

CME portfolio margining savings as of October 7, 2016

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