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.
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
Swap Margin w/o PM | Swap Margin w/ PM | Margin Savings w/ PM | ||
FRA vs ED |
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% | |
Swap vs ED Strip |
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 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% |