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Capital Efficiencies: Portfolio Margining, Coupon Blending and Compression

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.

Portfolio Margining

  • Portfolio margining with CME Group enables all 24 OTC IRS currencies to be margined versus swaptions, Eurodollars, MAC Swap Futures, Treasuries and Fed Funds.
  • CME Group portfolio margining is supported by 15 live clearing members and used by 10 house accounts, whilst 825 customer accounts are benefiting from the solution.
  • Record $5.1 billion in initial margin savings reached in June 2019.

Compression Services

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:

Coupon Blending

  • CME Group launched coupon blending in June 2014 and it is available for both members and non-members.
  • 29.5 trillion gross notional and 374k line items have been compressed since inception.

Multilateral Compression

  • We have completed 44 compression runs across USD, EUR, MXN, GBP, JPY and BRL reducing gross notional by over $25 trillion USDE and removing over 814k line items. Includes non-member compression.

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: Clearing Online Risk Engine

CME CORE is an interactive margin calculator that enables users to calculate and evaluate initial margin requirements for all CME Group products.

Enhanced OTC IRS features mean calculating your capital efficiencies is easier than ever.

OTC Analytics

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Who We Are

CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

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Phone: +1 312 930 1000

Toll Free (US Only): +1 866 716 7274

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