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. Eight clearing firms are now utilizing portfolio margining, generating total risk reductions accounting for $3.4 billion. Average portfolio capital savings are over 50%, figures that remain unparalleled in the industry. Our portfolio margining offering builds on the strength of our market leading interest rate products business.
Deliverable Swap Futures provide interest-rate swap exposure with the margin efficiency and simplicity of a standardized product. Capitalize on multiple execution venues, flexibility at expiration, plus risk offsets with our liquid Interest Rate futures and options. You can also choose either US Dollar or Euro-based contracts.
For additional information on Deliverable Swap Futures and to view the DSF Liquidity Tracker Tool, visit www.cmegroup.com/dsf
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:
To access CME Optimizer, please email: ClearingMiddleOffice@cmegroup.com