Portfolio Margining of Cleared OTC Interest Rate Swaps vs. Futures

CME Group offers Cost Savings through Portfolio Margining

As of May 7, 2012, CME Group offers unparalleled capital efficiencies via portfolio margining of our Eurodollar and Treasury futures and Cleared OTC IRS products for house accounts. We plan to offer the same capital efficiencies to our customers during the second half of the year, pending regulatory approval.

This will create substantial cost savings for all market participants, reinforcing CME Group's position as an innovator and leader in the marketplace. IRS portfolio margining builds on the strength of our market leading interest rate products business, which had an average daily volume of $3.6 trillion in 2011, and over $28 trillion of notional outstanding.

Our preliminary analysis shows significant savings for margin offsets for house and customer accounts – savings of up to 85%.

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