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.
- Margins 24 OTC IRS currencies and USD swaptions versus Eurodollars, Treasuries, Fed Funds and MAC Swap futures
- Margin savings as high as 97% for futures vs. swaps strategies such as invoice spreads and convexity bias
- Supported by 15 clearing members
- Used by 13 house accounts and 883 customer accounts
- Accounts using portfolio margining save an average of 51% on initial margin
| 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
- Spread model: Introduces the spread between Eurodollar futures and our 3M ICE LIBOR Swap Curve as a risk factor, further recognizing risk offsets between Eurodollar futures and ICE LIBOR Swaps
- Optimizer enhancements: Incorporates IRS model enhancements and a next-generation optimization algorithm which optimizes risk based on true margin calculation
- Eurodollar Convexity Bias strategies have grown in popularity as volatility has returned to the short end of the curve, and clients have capitalized on CME portfolio margining of IRS and Eurodollars.
- Below are examples of popular Eurodollar Convexity Bias strategies with $1,000 DV01 in each strategy. Portfolio margining IRS with CME Eurodollars results in indicative margin savings of 70%-97%.
| 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 Swap Spreads are packaged trades between swaps and Treasury 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 as high as 81%.
| 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% |
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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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