Portfolio Margining for Interest Rate products
Reduce the overall initial margin requirement across your portfolio of interest rate futures and options against OTC interest rate swaps.
Achieve optimized margin levels with our best-in-class Portfolio Margining service
Portfolio Margining allows participants to cross margin their cleared interest rate swap positions against listed Interest Rate futures and options, generating margin reductions of approximately $8 billion per day in 2024 for users. This program covers all 24 IRS currencies cleared at CME, as well as SOFR futures and options, Treasury futures and options, Fed Funds futures and Eris SOFR Swap futures.
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Features and benefits
Reduce your margin requirements
Offset your cleared swap and futures and options exposures through an efficient margining framework, optimizing your overall requirement.
Leverage your excess long option value
Apply excess long option value to cover up to 100% of your cleared swap margin requirement.
Maximize the returns on RV strategies
Greatly reduce the capital costs of common strategies like invoice spreads and convexity bias trades by clearing the USD swap leg.
Explore the potential margin savings
See how portfolio margining interest rate swaps with futures and options can deliver savings in various scenarios, including for convexity bias and invoice swap spread strategies. Indicative margin savings are subject to change.
| Margin w/o PM | Margin w/ PM | Margin Savings w/ PM | ||
|---|---|---|---|---|
| Swap vs SR3 |
Second Quarterly Contract Spread | 72.1 | 1.8 | 98% |
| Third Quarterly Contract Spread | 123.3 | 2.5 | 98% | |
| Fourth Quarterly Contract Spread | 130.5 | 1.2 | 99% | |
| Fifth Quarterly Contract Spread | 128.3 | 1.7 | 99% | |
| Sixth Quarterly Contract Spread | 120.0 | 1.8 | 98% | |
| Seventh Quarterly Contract Spread | 115.0 | 2.1 | 98% | |
| Eighth Quarterly Contract Spread | 110.2 | 2.6 | 98% | |
| Swap vs SOFR Strip |
1Y USD Swap + White Pack | 104.1 | 1.2 | 99% |
| 1Y x 1Y USD Swap + Red Pack | 113.6 | 1.8 | 98% | |
| 2Y x 1Y USD Swap + Green Pack | 97.0 | 3.7 | 96% | |
| 3Y x 1Y USD Swap + Blue Pack | 93.4 | 7.0 | 92% | |
| 4Y x 1Y USD Swap + Gold Pack | 88.9 | 9.7 | 89% |
| Invoice Spread Strategy | Margin if Cleared Separately | CME Portfolio Margin | Margin Savings | Savings Percentage |
|---|---|---|---|---|
| 2YR (TU) Treasury vs IRS | 65.4 | 13.6 | 51.8 | 79% |
| 5YR (FV) Treasury vs IRS | 60.2 | 11.0 | 49.2 | 82% |
| 10YR (TY) Treasury vs IRS | 61.8 | 13.1 | 48.7 | 79% |
| Ultra 10YR (UXY) Treasury vs IRS | 65.5 | 10.8 | 54.7 | 84% |
| Treasury Bond (US) vs IRS | 69.3 | 15.8 | 53.5 | 77% |
| Ultra Treasury (WN) vs IRS | 72.0 | 11.3 | 61.7 | 85% |
| Invoice Spread Strategy | Margin if Cleared Separately | CME Portfolio Margin | Margin Savings | Savings Percentage |
|---|---|---|---|---|
| 2YR MXN TIIE Swap vs 2YR UST Future | 132.7 | 116.5 | 16.2 | 12% |
| 2YR CLP ICP Swap vs 2Y UST Future | 115.1 | 104.6 | 10.5 | 9% |
| 2Y COP IBR Swap vs 2Y UST Future | 100.3 | 81.9 | 18.5 | 18% |
| 5Y BRL CDI Swaps vs 5Y UST Future | 191.0 | 182.6 | 8.4 | 4% |
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Related services
See why traders choose our portfolio margining services
Understand our portfolio margining services and the different types of efficiencies available to traders.
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