Portfolio Margining of Cleared OTC Interest Rate Swaps and Futures

Significant Margin Savings

CME Group offers portfolio margining of our Eurodollar and Treasury futures and Cleared OTC IRS products for both house and customer accounts. Clearing firms and market participants have been taking advantage of portfolio margining and benefitting from significant margin savings. Our portfolio margining offering builds on the strength of our market leading interest rate products business.

  • Nine clearing firms are now live with portfolio margining with over 100 accounts benefiting from this solution
  • Total risk reductions accounting for $4.0 billion in initial margin savings across customer and house accounts

View Overview

Portfolio Margining Savings Analysis

Margin Optimization with CME CORE

CME CORE now supports margin optimization, which allows customers to calculate the ideal allocation of futures to move into an OTC account to minimize portfolio risk, and in turn, minimize IRS margin requirements. Margin calculations occur on a nightly basis and therefore, this tool was built to facilitate a nightly rebalancing process. IRS Clearing Members can utilize this functionality to calculate IRS portfolio margins for their clients, as well as their own proprietary accounts.

Features of CME CORE’s margin optimization functionality:

  • Automates the futures selection (via CME's proprietary optimization algorithm) and transfers generation process for futures into OTC accounts
  • Creates transfer messages that are compatible with Front End Clearing to effect the transfers on the books and records of the Clearing House
  • Solves operational hurdles by automating the transfer messages sent to CME for client accounts

To access CME Optimizer, please email: ClearingMiddleOffice@cmegroup.com

Additional Resources and Tools for Portfolio Margining

Contact Us

North America
Jeff Cranston
Senior Director, OTC Products
+1 312 466 7452

Kaitlin Meyer
Manager, OTC Products 
+1 312 648 5343

Liam Smith
Dir OTC Product Solutions
+44 20 3379 3850

Phil Hermon
Dir OTC Product Solutions
+44 20 3379 3983

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.

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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.