Capital Efficiencies: Portfolio Margining, Coupon Blending and Compression

CME Group delivers unparalleled capital efficiencies to our customers through portfolio margining of cleared interest rate swaps, swaptions and futures, and also via notional reduction through coupon blending and multilateral compression.

Portfolio Margining

  • Portfolio margining with CME Group enables all 19 OTC IRS currencies to be margined versus swaptions, Eurodollars, MAC Swap Futures, Treasuries and Fed Funds.
  • CME Group portfolio margining is supported by 15 live clearing members and used by 11 house accounts, whilst 477 customer accounts are benefiting from the solution.
  • Total risk reductions now account for over $2.7 billion in initial margin savings.

Compression Services

As market participants evolve and respond to the new capital regime, CME Group's innovative compression offerings continue to develop and to provide efficiencies for the OTC interest rate swap market:

Coupon Blending

  • CME Group launched coupon blending in June 2014 and it is available for both members, house accounts and end user customers.
  • Since inception, we have run blending across 16 currencies and five dealers, $20.7 trillion gross notional has been reduced and over 318,000 line items have been compressed.

Multilateral Compression - TriOptima TriReduce

  • We have completed 13 compression runs across USD, EUR, MXN, GBP and JPY reducing gross notional by over $11.6 trillion USDE and removing over 357,300 line items.
  • Additional cycles and currencies are planned for 2017.
TriOptima Currency Run # Dealers Total Line Items Compressed Gross Notional Reduced Gross Notional Reduced USDE
USD Sep 2, 2015 9 51,835 $2.25T $2.25T
USD Dec 2, 2015 11 60,195 $1.94T $1.94T
EUR Feb 17, 2016 10 26,547 €508B $566B
USD Mar 23, 2016 10 24,733 $1.134T $1.134T
USD Apr 29,2016 11 18,435 $704B $704B
USD Jun 28, 2016 11 26,921 $989B $989B
MXN Jul 27, 2016 11 33,384 MXN6.23T $331B
USD Sep 28, 2016 13 39,733 $1.7T $1.7T
EUR Oct 19, 2016 9 17,915 €342B $376B
USD Nov 30, 2016 13 20,775 $625.5B $625.5B
GBP Dec 8, 2016 10 14,748 £232B $291.4B
USD Jan 11, 2017 12 14,839 $696.7B $696.7B
JPY Jan 25, 2017 11 7,290 ¥13.5T $118.8B

CME CORE: Clearing Online Risk Engine

CME CORE is an interactive margin calculator that enables users to calculate and evaluate initial margin requirements for all CME Group products.

Enhanced OTC IRS features mean calculating your capital efficiencies is easier than ever.

OTC Analytics