Reduce your margin requirements by offsetting cleared swaps vs. interest rate futures and options exposures.
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.
- One-pot margining of 24 OTC IRS currencies versus SOFR futures and options, Treasury futures and options, Fed Funds futures, and Eris swap futures
- Up to 100% margin savings achievable via utilization of excess long option value
- Up to 98% margin savings on convexity bias strategies
- Up to 85% margin savings on invoice spreads
- Supported by 16 clearing members
- Used by 14 house accounts and 600+ customer accounts
- Accounts using portfolio margining save an average of over 40% on initial margin
- Below are examples of popular SOFR convexity bias strategies with $1,000 DV01 in each strategy. Portfolio margining IRS with SOFR futures can result in indicative margin savings as high as 98% (subject to change).
| Margin w/o PM | Margin w/ PM | Margin Savings w/ PM | ||
| Swap vs SR3 |
Second Quarterly Contract Spread | 72.1 | 1.8 | 98% |
| Third Quarterly Contract Spread | 123.3 | 2.5 | 98% | |
| Fourth Quarterly Contract Spread | 130.5 | 1.2 | 99% | |
| Fifth Quarterly Contract Spread | 128.3 | 1.7 | 99% | |
| Sixth Quarterly Contract Spread | 120.0 | 1.8 | 98% | |
| Seventh Quarterly Contract Spread | 115.0 | 2.1 | 98% | |
| Eighth Quarterly Contract Spread | 110.2 | 2.6 | 98% | |
| Swap vs SOFR Strip |
1Y USD Swap + White Pack | 104.1 | 1.2 | 99% |
| 1Y x 1Y USD Swap + Red Pack | 113.6 | 1.8 | 98% | |
| 2Y x 1Y USD Swap + Green Pack | 97.0 | 3.7 | 96% | |
| 3Y x 1Y USD Swap + Blue Pack | 93.4 | 7.0 | 92% | |
| 4Y x 1Y USD Swap + Gold Pack | 88.9 | 9.7 | 89% |
- Invoice Swap Spreads are packaged trades between swaps and 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 of approximately 80-85% (subject to change).
| Invoice Spread Strategy | Margin if Cleared Separately | CME Portfolio Margin | Margin Savings | Savings Percentage |
| 2YR (TU) Treasury vs IRS | 65.4 | 13.6 | 51.8 | 79% |
| 5YR (FV) Treasury vs IRS | 60.2 | 11.0 | 49.2 | 82% |
| 10YR (TY) Treasury vs IRS | 61.8 | 13.1 | 48.7 | 79% |
| Ultra 10YR (UXY) Treasury vs IRS | 65.5 | 10.8 | 54.7 | 84% |
| Treasury Bond (US) vs IRS | 69.3 | 15.8 | 53.5 | 77% |
| Ultra Treasury (WN) vs IRS | 72.0 | 11.3 | 61.7 | 85% |
- Portfolio margining LatAm IRS with Treasury futures can result in indicative margin savings as high as 18% (subject to change).
| Invoice Spread Strategy | Margin if Cleared Separately | CME Portfolio Margin | Margin Savings | Savings Percentage |
| 2YR MXN TIIE Swap vs 2YR UST Future | 132.7 | 116.5 | 16.2 | 12% |
| 2YR CLP ICP Swap + 2Y UST Future | 115.1 | 104.6 | 10.5 | 9% |
| 2Y COP IBR Swap + 2Y UST Future | 100.3 | 81.9 | 18.5 | 18% |
| 5Y BRL CDI Swaps + 5Y UST Future | 191.0 | 182.6 | 8.4 | 4% |
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Learn more about Portfolio Margining
- View a more detailed presentation on the benefits and applications of portfolio margining of interest rate swaps and interest rate futures
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Calculate Margin Requirements
- CME CORE is an interactive margin calculator that allows you to calculate and evaluate initial margin requirements for all CME Group products.
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