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Margin for cleared Swaps

CME Group offers portfolio margining of our Eurodollar and Treasury futures and Cleared OTC IRS products for both house and customer accounts. Clearing firms and market participants have been taking advantage of portfolio margining and benefitting from significant margin savings. Our portfolio margining offering builds on the strength of our market leading interest rate products business.

  • Eight clearing firms are now live with portfolio margining with over 60 accounts benefiting from this solution
  • Total risk reductions accounting for $3.4 billion in initial margin savings across customer and house accounts
  • Average portfolio capital savings are over 50%, figures that remain unparalleled in the industry

CME CORE now supports margin optimization, which allows customers to calculate the ideal allocation of futures to move into an OTC account to minimize portfolio risk, and in turn, minimize IRS margin requirements. Margin calculations occur on a nightly basis and therefore, this tool was built to facilitate a nightly rebalancing process. IRS Clearing Members can utilize this functionality to calculate IRS portfolio margins for their clients, as well as their own proprietary accounts.

Features of CME CORE’s margin optimization functionality:

  • Automates the futures selection (via CME's proprietary optimization algorithm) and transfers generation process for futures into OTC accounts
  • Creates transfer messages that are compatible with Front End Clearing to effect the transfers on the books and records of the Clearing House
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Shipping by airmail from UK: items normally reach US addresses within a few days but can take longer THE STOCK EXCHANGE: The clearing House. London, antique print c1880
Home (Shipping by airmail from UK: items normally reach US addresses within a few days but can take longer)
  • Caption below print: The clearing house
  • Condition: Good; suitable for framing. However, please note: Verso text quite apparent in margin; The image shown may have been taken from a different example of...
  • Size: 14.0 x 14.0cm, 5.5 x 5.5 inches (Small)
  • Type & Age: Year printed c1880. Antique wood engraved print
  • Verso: There are images and/or text printed on the reverse side of the picture which are likely to show through the page to some extent because the paper is quite...
Shipping by airmail from UK: items normally reach US addresses within a few days but can take longer LONDON: Clearing House, Lombard St, antique print, 1847
Home (Shipping by airmail from UK: items normally reach US addresses within a few days but can take longer)
  • Caption below print: The Clearing-House, in Lombard-Street
  • Condition: Good; suitable for framing. Please check the scan for any blemishes prior to making your purchase.
  • Size: 14.5 x 23.5cm, 5.75 x 9.25 inches (Medium)
  • Type & Age: Year printed 1847. Antique wood engraved print
  • Verso: There are images and/or text printed on the reverse side of the picture. In some cases this may be visible on the picture itself (please check the scan prior...
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