OTC Clearing: What’s Next For 2019?

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2018 At A Glance

  • Over 500 global clients cleared interest rate swaps at CME in 2018, with volume growing 17% year-over-year to $105B avg. daily notional
  • Volumes in emerging markets products grew by 32% to $30B per day
  • Chilean and Colombian Peso swaps launched May 21 and was our most successful launch ever, ADV reached $2.6B in Q4 with 65 clients clearing
  • SOFR swaps launched October 1, available out to 30 years with SOFR discounting and price alignment
  • NDF clearing took off in October with clearing across 10 pairs

Coming up in 2019

  • Increasing the opportunities to voluntarily clear OTC products, helping our global client base prepare for Uncleared Margin Rules
  • Expanding portfolio margining to include listed options, significantly growing the pool for potential risk offsets
  • Launching Israeli Shekel swaps as our market-leading 25th IRS currency*
  • Enhancing CME’s coupon blending solution, configurable fixed rate blending, to enable greater notional reduction
  • Scaling out FX clearing after the successful first buy side Cash-Settled Forward cleared in January 2019

*Subject to regulatory approval


CME Group’s leading economist Erik Norland gives his thoughts on what 2019 will mean for the OTC market.

LatAm Swap Clearing Continued to See Strong Growth | Read More

  • The launch of Chilean Peso and Colombian Peso non-deliverable IRS in May met with strong uptake
    • $345B cleared since launch, supported by 11 FCMs and 21 liquidity-providing dealers
    • Participants actively backloaded both, interdealer and client exposures, to clearing
  • BRL volume exceeded $20B on 33 days compared with 11 in 2017,
  • Focused on developing CME’s Latin American offering
    • 34 participants based in LatAm
    • Increased the limit of Mbonos and Cetes to $250M USDE per FCM for initial margin, and can now be applied to requirements across all products at CME Group
    • Now supporting MXN IRS out to 31 years to fully cover the traded curve

SOFR Trading Began at CME | Read More

  • SOFR futures launched May 7, followed by SOFR swap clearing on October 1, partnered with the Alternative Reference Rate Committee (ARRC)
  • Following customer demand, CME’s SOFR swaps are discounted using SOFR.  Tenors out to 30 years are supported for OIS and basis swaps versus both Fed Funds and ICE LIBOR
  • 95 participants in SOFR futures traded over $1.3T notional*, and $35M DV01
  • Packs and Bundles for SOFR futures will launch in Q1 2019, pending regulatory review

16 institutions have issued a total of $26.1B notional in floating rate instruments tied to SOFR

*Notional shown for illustrative purposes only, computed based on the value of an equivalent money market instrument with the same dollar-value-of-basis-point (DV01)

NDF Clearing Took Off | Read More

  • Consistent NDF volume cleared at CME beginning in October, comprised both new risk and volume related to margin optimization
  • Collaboration with optimization vendors - CME is the most capital efficient means of clearing NDF along with FX futures exposures
  • CME included as node in Quantile cycles potentially delivering margin savings of 50% versus SIMM
  • Launched FX Blending in February, the first CCP to offer this service

Expanding use of Compression | Read More

  • Over $50 trillion and 1 million trades compressed to date across multilateral compression and coupon blending
  • 14 multilateral cycles across USD, MXN, BRL and EUR in 2018
  • 6 non-members actively participated in blending and multilateral cycles
  • Enhanced configurable fixed rate blending solution delivered, bringing greater compression efficiency
  • Delivering Trade Revision in partnership with triReduce in H1-2019 increase cycle efficiency

Evolving our Industry-Leading Portfolio Margining Solution | Read More

  • Used by over 700 unique accounts, created on average $2.4B in margin efficiencies - based on correlations across CME’s OTC cleared and futures franchises (24 IRS currencies, swaptions, 6 CBOT Treasury futures, Eurodollar futures, MAC Swap futures and Fed Fund futures)
  • Particularly effective with Invoice Spreads, which have seen 77% increase at CME since 2015
  • In 2019 we will be expanding our portfolio margining to include Eurodollar options

Recognized CCP in multiple jurisdictions, open 24/5 

  • Our regulatory standing in multiple jurisdictions enables you to fulfil your local clearing obligations with CME in multiple locations including: the U.S., Europe, Canada (Quebec, Ontario and Alberta), Mexico, Australia, Singapore, Hong Kong and Japan.

Source: CME Group Data

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