triReduce Multilateral Compression Now Live for CME Clients

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 11 house accounts, whilst 477 customer accounts are benefiting from the solution.
Total risk reductions now account for over $2.7 billion in initial margin savings.

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.
24 trillion gross notional and 330k line items have been compressed since inception.

Multilateral Compression - TriOptima triReduce

We have completed 29 compression runs across USD, EUR, MXN, GBP, JPY and BRL reducing gross notional by over $20 trillion USDE and removing over 645k line items.

2018
2017
2015-16

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$4.9T	$242.6B
EUR	Jul 25	11	10k	€82B	$95B
BRL	Aug 7	8	9k	R$883B	$236B

*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

Resources

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

More in OTC Clearing

CME Group OTC Clearing

Send Us Feedback

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.