Portfolio Margining allows users to hold CME Group-cleared OTC swaps and Interest Rate futures and options alongside each other in a single account for the purpose of calculating an optimized initial margin requirement.

For additional details, visit our Portfolio Margining page.

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Yes. We have operated this industry-leading cross margin program for over a decade, continually adding new products as the market evolves. 

In 2025, a record number of users (nearly 85 accounts across house and client access) participated in the program, achieving a record full-year average of $8.4 billion in daily margin savings. To begin 2026, record utilization has continued, with savings exceeding $10 billion per day for the first time in the program’s history.

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Eligible products include:

• All cleared OTC swap products (includes all 24 IRS currencies supported by CME Group)
• U.S. Treasury futures and options
• SOFR futures and options
• Fed Fund futures
• Eris SOFR Swap futures

Note: We recommend checking with your FCM(s) on the above list, as certain members have adopted select products in Portfolio Margining over time. 

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• Speak with your FCM(s): We encourage clients to speak with their Futures Commission Merchant FCM to understand the requirements for enabling this program.

• Contact our team directly: Interested clients can also reach out to our team at InterestRates@cmegroup.com.

No additional legal documentation is required between clients and CME Group for the purposes of this program; however, there may be documentation required between clients and their FCM(s).

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We do not charge any fees to participate in Portfolio Margining.

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• Primary requirement: OTC and futures risk pools must be under common ownership and be held by the same underlying FCM in order to be eligible.
• Flexibility: Clients can set up Portfolio Margining for multiple accounts and with multiple FCMs.

Note: FCMs will typically require their clients to be papered (documented) with a common entity across OTC and exchange-traded products. Contact your FCM(s) to verify this structuring.

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Yes. While not limited to the following strategies, common use cases include invoice swap spreads and convexity bias (futures unchanged) package trades, such as:

In essence, any relative value strategies or exposures spanning cleared swaps and futures can benefit significantly with Portfolio Margining enabled.

Participants with large interest rate options exposures may also be inclined to activate Portfolio Margining given that net option value can be deployed to cover OTC cleared swaps margin requirements.

If interested in seeing worked examples that highlight the margin savings opportunities for some of these more common strategies, contact our team at InterestRates@cmegroup.com.

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The CME Group Optimizer software is designed and proven to solve for the lowest possible margin outcome based on the OTC and futures position inputs. Users’ overall margin requirement would never increase as a result of the Optimizer’s recommendations. 

We would encourage all clients to consider enabling Portfolio Margining given that it will unlock any possible margin savings available for the underlying accounts.

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CME CORE is our free margin calculator, available via both a user interface and an API workflow. It allows users to calculate real or hypothetical margin figures, including the benefits of Portfolio Margining.

To request access to the ‘Rates’ functionality within the calculator or to schedule a demo, reach out to PostTradeServices@cmegroup.com.

Interested clients can also reach out to our Post Trade Services team for assistance in running Portfolio Margining savings analyses.

For additional details, visit our Margin Services page.

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Identified futures and options positions are physically transferred by FCMs to the OTC account to be cross-margined with cleared swap risk.

FCMs provide a position file into the CME Group Optimizer to identify the most optimal set of positions for transfer.

Once the required account setups are in place, the operational work required for clients to see benefits from this program is placed upon their FCM(s).

Since FCMs may use varying methods to reflect the transfers for books and records (reconciliation) purposes, we recommend checking with your FCM(s) to best understand how they process Portfolio Margining.

Explore additional operational details.

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CME Clearing does not connect directly to adjacent CCPs. To move risk, end clients would need to terminate (close-out) positions at the existing CCP and re-open the risk at CME Group. In the USD swap market, this is typically conducted via a CCP basis, or switch trade, that dealers and execution venues are widely accustomed to supporting. 

Relatedly, users may opt to explore transferring positions (futures or OTC) across FCMs on a post-trade basis within CME Clearing in order to optimize the location of positions for Portfolio Margining purposes.

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Portfolio Margining is a great first step for clients looking to achieve margin savings and familiarize themselves with the associated workflows. However, in addition to swaps-futures Portfolio Margining, we are also focused on expanding the scope of these capital efficiencies to include cash Treasuries and repo collateral.

• CME-FICC Cross-Margining: Currently available for house accounts and pending regulatory approval to be available to customers in 2026, it allows for cross margin benefits across our Interest Rate futures and FICC-cleared cash Treasury and repo collateral. 

• CME Securities Clearing: once live, cash Treasuries and repo collateral cleared through CMESC will be eligible to cross-margin against Interest Rate futures and options. We also intend to include OTC cleared swaps in cross margining at a later date, which will bring all three pools of risk together under a single umbrella to generate seamless capital efficiencies.

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