CME Group delivers unparalleled capital efficiencies to our customers through portfolio margining of cleared interest rate swaps, swaptions and futures, and also via notional reduction through coupon blending and multilateral compression.
As market participants evolve and respond to the new capital regime, CME Group's innovative compression offerings continue to develop and to provide efficiencies for the OTC interest rate swap market:
Currency Run |
Date |
Gross Notional Reduced |
Gross Notional Reduced USDE |
|---|---|---|---|
USD |
31-Jan |
$849B |
$849B |
BRL |
13-Feb |
R$372 |
$100B |
MXN |
28-Feb |
MXN$6.1T |
$320B |
USD |
15-Mar |
$623 |
$623 |
MXN |
26-Apr |
MXN$2.5T |
$118B |
USD |
10-May |
$602B |
$602B |
EUR |
16-May |
EUR48B |
$42B |
BRL |
23-May |
R$576B |
$143B |
MXN |
5-Jun |
MXN4.8T |
$247B |
USD |
21-Jun |
$342B |
$342B |
Currency Run |
Date |
# Dealers |
Total Line Items Compressed |
Gross Notional Reduced |
Gross Notional Reduced USDE |
|---|---|---|---|---|---|
BRL |
Feb 1 |
9 |
5k |
R$365B |
$115.3B |
USD |
Mar 13* |
13 |
19k |
$834B |
$834B |
MXN |
Mar 16* |
13 |
31k |
MXN$9.14T |
$488.4B |
EUR |
Apr 24 |
11 |
7k |
€163B |
$199B |
MXN |
Jun 5* |
11 |
17k |
MXN$9.1T |
$242.6B |
USD |
Jun 15* |
13 |
23k |
$942B |
$942B |
EUR |
Jul 25 |
11 |
10k |
€82B |
$95B |
BRL |
Aug 7 |
8 |
9k |
R$883B |
$236B |
MXN |
Sep 19* |
10 |
20k |
MXN$5.9T |
$313B |
USD |
Sep 28* |
11 |
22k |
$1T |
$1T |
BRL |
Nov 28 |
10 |
14k |
R$1.468B |
$377B |
MXN |
Dec 7* |
12 |
27k |
MXN$7.9T |
$390B |
USD |
Dec 21 |
13 |
21k |
$933B |
$933B |
*Includes non-member compression
| Currency Run | Date | # Dealers | Total Line Items Compressed | Gross Notional Reduced | Gross Notional Reduced USDE |
|---|---|---|---|---|---|
| USD | Jan 11 | 12 | 13k | $696.7B | $696.7B |
| JPN | Jan 25 | 11 | 7k | ¥13.5T | $118.8B |
| USD | Mar 30 | 10 | 14k | $1.01T | $1.01T |
| MXN | Apr 11* | 13 | 25k | MXN$5.1T | $277B |
| EUR | May 10 | 10 | 12k | €378B | $412B |
| USD | Jun 29 | 12 | 16k | $795B | $795B |
| MXN | Aug 22* | 12 | 34k | MXN$8T | $456B |
| USD | Sep 7* | 13 | 14k | $760.9B | $760.9B |
| BRL | Sep 22 | 9 | 10k | R$645.2B | $206.1B |
| EUR | Oct 13 | 9 | 7k | €108B | $128B |
| MXN | Nov 8* | 13 | 30k | MXN$6.96T | $364B |
USD |
Dec 7* |
13 |
28k |
$925B |
$925B |
* Includes non-member compression
| Currency Run | Date | # Dealers | Total Line Items Compressed | Gross Notional Reduced | Gross Notional Reduced USDE |
|---|---|---|---|---|---|
| USD | Sep 2 | 9 | 52k | $2.25T | $2.25T |
| USD | Dec 2 | 11 | 60k | $1.94T | $1.94T |
| EUR | Feb 17 | 10 | 27k | €508B | $566B |
| USD | Mar 23 | 10 | 25k | $1.134T | $1.134T |
| USD | Apr 29 | 11 | 18k | $704B | $704B |
| USD | Jun 28 | 11 | 27k | $989B | $989B |
| MXN | Jul 27 | 11 | 33k | MXN$6.23T | $331B |
| USD | Sep 28 | 13 | 36k | $1.7T | $1.7T |
| EUR | Oct 19 | 9 | 16k | €342B | $376B |
| USD | Nov 30 | 13 | 18k | $625.5B | $625.5B |
| GBP | Dec 8 | 10 | 14k | £232B | $291.4B |
CME CORE is an interactive margin calculator that enables users to calculate and evaluate initial margin requirements for all CME Group products.
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