Margin offsets vs. cleared swaps: Capital efficiencies and portfolio margining

Get unparalleled capital efficiencies through portfolio margining of cleared interest rate swaps, swaptions with interest rate futures.

Clients increasingly choose to clear at CME based on the unparalleled efficiencies available through portfolio margining, which allows firms to offset their cleared swap and futures exposures through an efficient margining framework. In 2019, portfolio margining delivered a record $6 billion in client savings, helping to drive growth in CME’s US dollar swap volumes.


  • Margins 24 OTC IRS currencies and USD swaptions versus Eurodollars, Treasuries, Fed Funds and MAC Swap futures
  • Margin savings as high as 97% for futures vs. swaps strategies such as invoice spreads and convexity bias
  • Supported by 15 clearing members
  • Used by 13 house accounts and 883 customer accounts
  • Accounts using portfolio margining save an average of 51% on initial margin
Dollar figures in billions 2018 2019 % Change
USD Swap Clearing Daily Volume $73 $89 22%
Futures vs. IRS Spreads Daily Volume* $35 $49 40%
Portfolio Margining Savings $2.20 $6.00 272%
Accounts using Portfolio Margining 698 896 28%

*Invoice Spreads and Convexity Bias Strategies

Recent enhancements

  • Spread model: Introduces the spread between Eurodollar futures and our 3M ICE LIBOR Swap Curve as a risk factor, further recognizing risk offsets between Eurodollar futures and ICE LIBOR Swaps
  • Optimizer enhancements: Incorporates IRS model enhancements and a next-generation optimization algorithm which optimizes risk based on true margin calculation

Use Cases

Eurodollar Convexity Bias Trades

  • Eurodollar Convexity Bias strategies have grown in popularity as volatility has returned to the short end of the curve, and clients have capitalized on CME portfolio margining of IRS and Eurodollars. 
  • Below are examples of popular Eurodollar Convexity Bias strategies with $1,000 DV01 in each strategy.  Portfolio margining IRS with CME Eurodollars results in indicative margin savings of 70%-97%.
    Swap Margin w/o PM Swap Margin w/ PM Margin Savings w/ PM
Second Quarterly Contract Spread 14.9 4.6 83.3%
Third Quarterly Contract Spread 20.0 2.5 92.4%
Fifth Quarterly Contract Spread 35.1 1.8 96.4%
Sixth Quarterly Contract Spread 37.8 3.2 93.9%
Seventh Quarterly Contract Spread 35.2 8.7 83.1%
Eighth Quarterly Contract Spread 42.9 6.4 89.2%
1Y USD Swap + White Pack 14.8 0.9 96.8%
1Y x 1Y USD Swap + Red Pack 35.3 3.6 93.0%
2Y x 1Y USD Swap + Green Pack 35.5 3.8 92.8%
3Y x 1Y USD Swap + Blue Pack 40.2 5.8 90.0%
4Y x 1Y USD Swap + Gold Pack 33.0 7.1 85.9%

Invoice Swap Spreads

  • Invoice Swap Spreads are packaged trades between swaps and Treasury futures, providing a liquid, off-balance-sheet proxy to the swap spread. Clearing both the futures and swap legs at CME can generate margin savings as high as 81%.
Invoice Spread Strategy Margin if Cleared Separately CME Portfolio Margin Margin Savings Savings Percentage
2YR (TU) Treasury vs IRS 47.9 13.8 34.2 71%
5YR (FV) Treasury vs IRS 44.7 8.3 36.4 81%
10YR (TY) Treasury vs IRS 46.6 10.4 36.2 78%
Ultra 10YR (UXY) Treasury vs IRS 44.5 10.3 34.2 77%
Treasury Bond (US) vs IRS 48.8 13.8 35.0 72%
Ultra Treasury (WN) vs IRS 47.5 15.5 32.0 67%
30 Day Fed Funds (FF) vs OIS 47.8 13.3 34.5 72%