Optimize your portfolio

Optimize your Interest Rate exposure with the most liquid capital and operationally efficient solutions on the market.

Discover what centralized clearing, portfolio margining and flexible execution can mean for your portfolio.

Portfolio Margining

Savings up to 90% – Cleared OTC IRS and Interest Rate Futures

Three examples of initial margin savings achievable for swap spreads

Each scenario has a short position of 1000 10-Year CBOT Treasury Futures and a DV01 equivalent receive fixed swap position (or long Deliverable Swap Futures) position.

Separate Margining at Competing Clearing House
Treasury Futures Leg Margin $1,100,000
Swap Leg Margin $3,299,395
Combined Margin $4,399,395
IRS Portfolio Margining at CME Group
Cleared OTC IRS and Treasury Futures Margined Together $1,905,332
Total Savings from CME Group $2,494,063 (57%)
Portfolio Margining with DSF
Deliverable Swap Futures and Treasury Futures with Spread Credits $1,181,900
Total Savings from CME Group $3,217,495 (73%)

RESOURCES

TOOLS

  • CME CORE – Calculate portfolio margining savings of Cleared OTC IRS and Interest Rate Futures

Contact

Interest Rate Products

interestrate@cmegroup.com

CME Group OTC Clearing

Jeff Cranston
Jeff.Cranston@cmegroup.com

Kaitlin Meyer
Kaitlin.Meyer@cmegroup.com