Portfolio Margining for OTC Interest Rate Swaps

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.

Overview

  • 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

Use Cases

SOFR Convexity Bias Trades

  • 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%