triReduce Multilateral Compression Now Live for CME Clients

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 21 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 13 dealers, over $20 trillion gross notional and 279k line items have been compressed.

Multilateral Compression - TriOptima triReduce

  • We have completed 22 compression runs across USD, EUR, MXN, GBP, JPY and BRL reducing gross notional by over $14 trillion USDE and removing over 450k line items.

TriOptima Currency Run

# Dealers

Total Line Items Compressed

Gross Notional Reduced

Gross Notional Reduced USDE

USD Sep 2, 2015

9

52k

$2.25T

$2.25T

USD Dec 2, 2015

11

60k

$1.94T

$1.94T

EUR Feb 17, 2016

10

27k

€508B

$566B

USD Mar 23, 2016

10

25k

$1.134T

$1.134T

USD Apr 29,2016

11

18k

$704B

$704B

USD Jun 28, 2016

11

27k

$989B

$989B

MXN Jul 27, 2016

11

33k

MXN$6.23T

$331B

USD Sep 28, 2016

13

36k

$1.7T

$1.7T

EUR Oct 19, 2016

9

16k

€342B

$376B

USD Nov 30, 2016

13

18k

$625.5B

$625.5B

GBP Dec 8, 2016

10

14k

£232B

$291.4B

USD Jan 11, 2017

12

13k

$696.7B

$696.7B

JPY Jan 25, 2017

11

7k

¥13.5T

$118.8B

USD Mar 30, 2017

10

14k

$1.01T

$1.01T

MXN Apr 11, 2017*

13

25k

MXN$5.1T

$277B

EUR May 10, 2017

10

12k

€378B

$412B

USD Jun 29, 2017

12

16k

$795B

$795B

MXN Aug 22, 2017* 12 34k MXN$8T $456

USD, Sep 7, 2017*

13

14k

$760.9B

$760.9B

BRL, Sep 22, 2017 9 10k R$645.2B $206.1B

EUR, Oct 13, 2017

9

7k

€108B

$128B

MXN, Nov 8, 2017*

13

30k

MXN$6.96T

$364B

* Includes non-member compression

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