Updated June 2026

Eligibility and legal arrangements

1. How can my firm participate in the House/Proprietary Cross-Margining Arrangement?
2. How can my firm participate in the Customer Cross-Margining Arrangement?

Account setup

3. What account setup is needed for the House Cross-Margining Arrangement?
4. What account setup is needed for the Customer Cross-Margining Arrangement?

Program Operations

5. Which products are currently eligible in the program?
6. How do FICC and CME Group calculate the margin requirements applicable to positions subject to the Cross-Margining Arrangement?
7. Where is margin collateral under the Customer Cross-Margining Arrangement posted and held?
8. What positions may be held in a Cross-Margining Customer Account at FICC?
9. Are customers allowed to move UST repos from the cross-margin account into other FICC accounts if they want to?
10. What protections apply to Cross-Margining Customer Margin at FICC?
11. Must the BD-FCM collect the initial margin that FICC and CME Group calculate for each participating customer?
12. Do BD-FCMs need to combine customer initial margin requirements into a single account statement for end-users (customers)?
13. Where can I learn more about how funds and securities settlements operate for customer cross-margined activity and what is required to be segregated?
14. Are there any required changes to the CME Clearing or FICC acceptable collateral schedules to participate in the Cross-Margining Arrangement?
15. Do CME Group or FICC charge additional or separate fees for participation in the Cross-Margining Arrangement?

Timing and fallbacks

16. At what time does FICC perform its end-of-day Cross-Margining Customer Margin Requirement calculation?
17. At what time does CME Group perform its end-of-day Cross-Margining Customer Margin Requirement calculation?
18. What happens if the margin reduction factor calculated by CME Group differs from the margin factor calculated by FICC?
19. How does the CME Group margin optimization service handle activity in the Cross-Margining Arrangement? Are clients able to self-direct where offsets are applied as between FICC-cleared activity and other CME Group-cleared activity (e.g., swaps)?
20. Are the CME-FICC cross-margining efficiencies made available to firms during each clearing agency initial margin cycle?
21. Are there fallback processes in place among FICC and CME Clearing to make cross-margining efficiencies available in circumstances where there is an operational or technical disruption or delay in the cross-margining calculation process?

Testing

22. Can a firm submit a hypothetical portfolio to both FICC and CME Clearing for analysis under the enhanced cross-margining program?

• CME Group (CME) and the DTCC-Fixed Income Clearing Corporation (FICC) have had a longstanding arrangement for over 20 years to provide cross-margin benefits to clearing members that trade and clear positions in both U.S. Treasury securities and CME Group Interest Rate futures.  
• The cross-margining arrangement has historically provided for cross-margining benefits for joint clearing members at FICC and CME Group and for pairs of affiliated clearing members acting for themselves or, in the case of joint clearing members, certain non-customer affiliates (the House/Proprietary Cross-Margining Arrangement). 
• CME Group and FICC have expanded this program to end-user customers (the Customer Cross-Margining Arrangement). The Customer Cross-Margining Arrangement provides for eligible end-user clients of certain joint clearing members of CME Group and the Government Securities Division (GSD) at FICC the ability to access capital efficiencies. To participate in end-user cross-margining, the joint clearing member will need to be a dually registered futures commission merchant (FCM) and broker-dealer (BD-FCM).

• In order to participate in the House/Proprietary Cross-Margining Arrangement for purposes of cross-margining self-cleared proprietary activity, a firm must have a clearing membership at both CME Group and FICC either within the same legal entity or within a pair of affiliated entities. 
• Under the House/Proprietary Cross-Margining Arrangement, a joint clearing member of CME Group and FICC may cross-margin its proprietary positions alongside those of affiliates that are not customers for purposes of CFTC or SEC regulations or the Securities Investor Protection Act. Such positions must be maintained in the clearing member’s house account at CME Group and an unsegregated Agent Clearing Member Omnibus Account at FICC.
• House accounts interested in participating in CME-FICC Cross-Margining will be required to sign an agreement with CME Group and FICC. This program underwent significant enhancements in early 2024; any legacy participants in the previous program are required to sign new documentation in order to onboard.

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• In order for a BD-FCM to provide cross-margining access to customers, the BD-FCM must be a dually registered FCM and BD-FCM and must sign a cross-margin participant agreement between the BD-FCM, CME Group and FICC.
• Customers wishing to participate in the Customer Cross-Margining Arrangement need to enter into an agreement (Customer Agreement) with their BD-FCM. The Customer Agreement must contain certain terms prescribed by FICC and CME Group, as set out in Exhibit I to Appendix C. BD-FCMs and customers may also wish to include additional terms governing the clearing relationship in the Customer Agreement.

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• At FICC, no additional setup is required.
• At CME Group, firms will be required to set up a cross-margin account (CME XM account) for the purpose of this program. CME Clearing is available to assist in this process. The CME XM account will have a margin requirement that is separate from the main house account’s, but can be collected through existing collateral and settlement accounts.

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• At FICC, clearing members will need to establish a separate omnibus Indirect Participants Account (Cross-Margining Customer Account) specifically for participation in the Customer Cross-Margining Arrangement. This account can be established under either the Sponsored Member Program or the Agent Clearing Service.  
• At CME Group, clearing members will also need to establish a separate cross-margin position account for each customer containing the same Legal Entity Identifier (LEI) and BD-FCM indicator. After signing the cross-margin agreement, participating clearing members will receive a new sub-firm and will instruct CME Group to open a new position and margin account for each of their participating customers at CME Group. Eligible positions will need to be moved into the cross-margin account to be considered for the program during each cross-margin calculation cycle.

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• The eligible products under the House/Proprietary and Customer Cross-Margining Arrangements are consistent across programs and outlined below.  

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• FICC and CME Group apply substantially the same approach under the Customer Cross-Margining Arrangement and the House/Proprietary Cross-Margining Arrangement. 
• First, each of FICC and CME Group (a CCP), under its own margin calculation methodology, calculates the margin applicable to the positions it clears without regard to any offsets resulting from the positions at the other CCP (Standalone Requirement).
• Each CCP then, using its own margin methodology, calculates the margin it would impose on the combined portfolio of FICC and CME Group positions – known as the Combined Portfolio – and the resulting margin requirement, known as the Combined Portfolio Requirement. 
• Each CCP then compares the Combined Portfolio Requirement to the Standalone Requirement to determine the margin savings percentage that results from viewing the positions as a Combined Portfolio, if any. 
• If each CCP calculates a margin savings percentage, each CCP will reduce the margin requirement applicable to the positions it clears by the lower of the two margin savings percentages, subject to a current cap of 80%.
• Under the “do no harm principle,” if either CCP does not calculate a margin savings percentage, then the margin requirement will be no greater than the Standalone Requirement.
• In the case of the Customer Cross-Margining Arrangement, each customer’s account constitutes an independent Combined Portfolio. As a result, under the Customer Cross-Margining Arrangement, positions are margined on a gross (i.e., customer-by-customer) basis.
• By contrast, under the House/Proprietary Cross-Margining Arrangement, all positions in the relevant accounts at FICC and CME Group are treated as a Combined Portfolio.

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• The Customer Cross-Margining Arrangement is a “two pot” margin program. The BD-FCM must post initial margin for participating customers’ CME Group-cleared positions to CME Group and for such customers’ FICC-cleared positions to FICC.
• Initial margin posted to FICC (Cross-Margining Customer Margin) is held at FICC in omnibus segregation in a manner that broadly complies with the CFTC’s requirements applicable to futures customer margin.
• Initial margin posted to CME Group is held in the same manner as other initial margin collected by CME Group for customer futures positions.  
• Variation margin is exchanged with CME Group and Funds-only Settlement Amounts (FOS) are exchanged with FICC in relation to cross-margined customer positions in substantially the same manner as currently applies to FICC-cleared and CME Group-cleared positions today.  However, the component of FOS called the Invoice Amount, which incorporates certain proprietary obligations of clearing members, is not included in the FOS cycle for customer positions and instead must be satisfied through separate wire arrangements.

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• Cross-Margining Customer Accounts may only be used to hold those products that are eligible for the Customer Cross-Margining Arrangement. It is the obligation of a BD-FCM not to submit ineligible transactions to the Cross-Margining Customer Account.  
• In order to limit disruption to contracting counterparties in the event an ineligible transaction is submitted to the Cross-Margining Customer Account, FICC is considering developing a mechanism for a BD-FCM clearing member to be alerted in the event that an ineligible transaction is booked into the Cross-Margining Customer Account, as well as potential post-novation porting capabilities and associated alerting to assist BD-FCMs in the transfer of such incorrectly booked position to an appropriate FICC account of theirs.

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Yes.

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• Cross-Margining Customer Margin at FICC is segregated from FICC’s proprietary assets as well as the proprietary assets of the BD-FCM and held in a manner generally consistent with the requirements that apply to futures margin held at a derivatives clearing organization.
• FICC may only use Cross-Margining Customer Margin to satisfy the obligations of customers participating in the Customer Cross-Margining Arrangement. It may not use such margin for its proprietary purposes or to satisfy the proprietary obligations of the BD-FCM.
• Cross-Margining Customer Margin is held in a manner designed to ensure that it is bankruptcy remote from FICC and treated as “customer property” on par with futures margin in a BD-FCM’s insolvency. 

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• Yes, consistent with the rules applicable to futures margin, each BD-FCM must collect from each customer an amount of initial margin no less than the aggregate margin that FICC and CME Group calculate for such customers’ positions.

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No, there is no requirement that BD-FCMs produce a single account statement for end-user customers.  The BD-FCM is required to call the customer, at a minimum, for the required margin for the customer’s cross-margin account as determined by CME Group and FICC, respectively. This can be operationalized by a BD-FCM in whichever way is most efficient for their own purposes.

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• For more information regarding funds and securities settlements for customer cross-margined activity and the applicable segregation requirements, refer to the following materials that FICC has published:
  • CME-FICC Cross-Margining – Overview
  • Customer Cross-Margining Arrangement – Segregation Requirements with Respect to Amounts Exchanged in Connection with Cross-Margined Customer Trades

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No, the same collateral schedules apply at both clearing agencies for those firms who participate in the House/Proprietary and/or Customer Cross-Margining Program(s) as it does to those firms who do not participate at the respective clearing agency.

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• No, neither CME Group nor FICC charges any additional fees for participation in the Cross-Margining Arrangement.
• FICC and CME Group believe that the House/Proprietary and Customer Cross-Margining Arrangements encourage greater utilization of centralized clearing, thereby facilitating systemic risk reduction.

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• FICC’s end-of-day calculation of the Cross-Margining Customer Margin Requirement with respect to each Cross-Margining Customer Account occurs at 8:00 p.m. Eastern Time (ET) each business day. The Calculated Component Breakdown FICC provides through the FRX Portal sets forth such calculation and constitutes the call for such end-of-day margin amount. This end-of-day call is due by 9:30 a.m. ET on the following business day.
• FICC will issue an intraday call for margin for the Cross-Margining Customer Account on the morning of each business day between 2:00 a.m. and 3:00 a.m ET. This call will be based on FICC’s analysis of additional market data following the prior business day’s end-of-day call. That such intraday call will be due by 9:30 a.m. ET.
• For operational convenience, members are obligated to post, or entitled to receive, one sum by 9:30 a.m. ET each business day equal to the aggregate net amount of the prior business day’s end-of-day call and the same business day’s early morning intraday call. FICC may assess additional intraday calls in accordance with its standard procedures.

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• CME Group uses eligible positions allocated in the cross-margin account at 8:00 p.m. ET for margin calculation, and will publish its end-of-day margin report at approximately 10:30 p.m. ET. This amount from CME Group represents its end-of-day margin requirement. CME Group retains its existing rights to make ad hoc intraday calls as necessary in accordance with its rulebook and for risk management purposes.

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• Margin reduction factors are determined in accordance with Question 6 noted above. 
• CME Group’s end-of-day margin report upon publication, at approximately 10:30 p.m. ET, represents the CME Group end-of-day margin requirement expected from BD-FCMs. This call is not subject to change in the normal course of business. CME Group reserves the right to make additional calls as necessary in accordance with its rulebook. 

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• Firms have the option of self-directing positions, or using CME Group’s Hosted Optimizer to allocate eligible positions into the cross-margin account to be considered for the arrangement.
• For firms that intend to submit for optimization using a single, combined API request, CME Group’s Hosted Optimizer has a standardized workflow to run the Portfolio Margin and CME-FICC optimization processes sequentially, with Portfolio Margining being set as the default to run first. This standardized workflow also supports processing of all exclusion logic and portfolio position netting across all programs. 
• While it is not currently configurable to switch the order of the sequence for combined requests, CME Group does intend to make this optionality available at some point in the near future.

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• Yes, in the arrangement, to the extent applicable, the initial margin reductions are calculated during both intra-day and end of day processing cycles. 
• Please note that for purposes of FICC’s formal noon intraday initial margining process, FICC will look at all novated, unsettled positions (including newly traded positions since the last margin cycle) when determining positions eligible for cross-margining.

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• FICC and CME Clearing maintain reasonable processes to address circumstances in which there are system delays or disruptions in the cross-margining calculation process, such as those arising from position or pricing file timeliness.  
• Alternatives might include the clearing organizations applying the prior day’s margin calculation or previous cross-margin reduction percentage to the extent they confirm that the overall risk profile of the Combined Portfolio is the same or lower than the prior day’s. CME Group and FICC are available for communication with Firms in the event such procedures are enacted. 
• Depending on the circumstances, FICC and CME Group would endeavor to take steps to limit disruption to members and their customers. However, FICC and CME Clearing do not guaranty that a margin reduction will be applied in all circumstances. 

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• Yes, customers have the ability to submit hypothetical portfolios to both FICC and CME Clearing’s margin simulators to estimate the potential savings. Firms can submit identical portfolios to each calculator and gauge for themselves which margin model will be most conservative, and therefore represent the savings they could achieve.
• CME CORE
  Customers have the ability to input CME Group and FICC positions to the CME CORE margin API or user-interface to observe the hypothetical savings available for a provided portfolio. See how.
• FICC Cross-Margining VaR Calculator
  Market participants can access FICC’s publicly available cross-margining VaR calculator that enables users to estimate the potential cross-margin reduction on a sample portfolio containing FICC/GSD cash positions and futures from CME Group solely based on FICC’s cross-margining methodology.

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