Slide 1: CME Clearing Q3 2021 Quantitative Disclosures Call
CME Clearing Q3 2021 Quantitative Disclosures Call January 2022
Slide 2: Disclaimer & Terms of Use
Disclaimer & Terms of Use Helping the World Advance: CME Group is comprised of four designated contract markets (“DCMs”), the Chicago Mercantile Exchange Inc. (“CME”), the Board of Trade of the City of Chicago, Inc. (“CBOT”), the New York Mercantile Exchange, Inc. (“NYMEX”), and the Commodity Exchan
Slide 3: Speakers
Speakers Lee Betsill Managing Director, Chief Risk Officer Jacob Rodriguez Senior Director, Examinations and Capital & Regulatory Compliance Sean Downey Clearing Chief Compliance Officer & Head of Policy CME GROUP PUBLIC © 2022 CME Group. All rights reserved. 3
Slide 4: Agenda
Agenda 1 Introduction 2 Q3 2021 PQD Highlights 3 Review of Key PQDs 4 Q&A CME GROUP PUBLIC © 2022 CME Group. All rights reserved.
Slide 5: Introduction
Introduction CME Clearing: Q3 2021 Quantitative Disclosures Call CME Clearing provides clearing and settlement services for a broad range of exchange-traded futures and options on futures and cleared swaps • Chicago Mercantile Exchange Inc. (“CME”) is registered with the Commodity Futures Trading Co
Slide 6: Q3 2021 Highlights
Q3 2021 Highlights* CME Clearing: Q3 2021 Quantitative Disclosures Call • 0 Actual or Theoretical Default Fund breaches over the observation period (12 months) Financial Resources • 1 Margin coverage breach occurred over the $221 Billion Total Amount of Initial Margin observation period (3 months) •
Slide 7: Review of Key PQDs
Review of Key PQDs CME GROUP PUBLIC © 2022 CME Group. All rights reserved.
Slide 8: Mutualized Default Fund Resources
Mutualized Default Fund Resources CME Clearing: Q3 2021 Quantitative Disclosures Call $18.7 billion total available mutualized resources as $5 billion total available mutualized resources as of of the end of Q3 2021 in the event of a Base Clearing the end of Q3 2021 in the event of an IRS Clearing M
Slide 9: Default Fund Stress Testing Results
Default Fund Stress Testing Results CME Clearing: Q3 2021 Quantitative Disclosures Call Cover 2 standard met at all times for Base Default Cover 2 standard met at all times for IRS Default Fund – i.e., estimated stress losses (in excess of Fund – i.e., estimated stress losses (in excess of initial m
Slide 10: Default Fund Stress Testing Results Trend
Default Fund Stress Testing Results CME Clearing: Q3 2021 Quantitative Disclosures Call Cover 2 – Stress Test Losses (in excess of initial margin) Trend 4.5 4.26 Billions 4.09 4.09 4.09 4 3.43 3.36 3.5 2.87 2.94 2.94 3 2.74 2.55 2.31 2.40 2.42 2.39 2.39 2.5 2 1.5 1 0.5 0 Base Mean Base Peak IRS Mean
Slide 11: Initial Margin Required
Initial Margin Required CME Clearing: Q3 2021 Quantitative Disclosures Call $164 billion total initial margin required as of the $32 billion total initial margin required as of the end end of Q3 2021 of Q3 2021 Base Products IRS Products Q2 2021 Q3 2021 Q2 2021 Q3 2021 House – Net $ 29,022,355,416 $
Slide 12: Initial Margin Held
Initial Margin Held CME Clearing: Q3 2021 Quantitative Disclosures Call $183 billion total initial margin held as of the end of $38 billion total initial margin held as of the end of Q3 2021 Q3 2021 Base Products IRS Products Q2 2021 Q3 2021 Q2 2021 Q3 2021 House – Net $ 31,860,642,465 34,587,510,92
Slide 13: Excess Margin Held
Excess Margin Held CME Clearing: Q3 2021 Quantitative Disclosures Call $18.4 billion excess margin held for Base products $6.4 billion excess margin held for IRS products as as of the end of Q3 2021 of the end of Q3 2021 Base Excess Margin Held IRS Excess Margin Held 200 45 Billions Billions 180 40
Slide 14: Collateral Composition of Initial Margin – Cash vs Non-Cash
Collateral Composition of Initial Margin – Cash vs Non-Cash CME Clearing: Q3 2021 Quantitative Disclosures Call Base IRS 58.2 B Cash Cash 18.5 B Non-Cash 19.9 B Non-Cash 124.4 B Note, figures provided reflect post-haircut amounts as of the end of Q3 2021. PQD References: 6.2.1 thru 6.2.14 CME GROUP
Slide 15: Collateral Composition of Initial Margin – Cash Breakdown
Collateral Composition of Initial Margin – Cash Breakdown CME Clearing: Q3 2021 Quantitative Disclosures Call Base IRS 10 B Cash deposited Cash deposited at a central bank 937 M at a central bank Unsecured cash Unsecured cash deposited at deposited at 114.4 B commercial commercial 18.9 B banks banks
Slide 16: Collateral Composition of Initial Margin – Non-Cash Breakdown
Collateral Composition of Initial Margin – Non-Cash Breakdown CME Clearing: Q3 2021 Quantitative Disclosures Call Base IRS 924.8 M 4.2 B Non-Cash Sovereign 2.4 B Non-Cash Sovereign 3.8 B Government Bonds - Government Bonds - Domestic Domestic 268.7 M 1.4 B Non-Cash Sovereign Government Bonds - Other
Slide 17: Total Cash Received from Participants – Held/Deposited/Invested
Total Cash Received from Participants – Held/Deposited/Invested CME Clearing: Q3 2021 Quantitative Disclosures Call Base IRS 5% 15% Cash Deposits at Cash Deposits at Central Banks Central Banks Cash Deposits at Cash Deposits at Commerical Banks Commerical Banks (Unsecured) 85% (Unsecured) 95% Note,
Slide 18: Margin Backtesting Results
Margin Backtesting Results CME Clearing: Q3 2021 Quantitative Disclosures Call Uncovered Exposure* 1800 Thousands 1600 1,560 1 margin breach occurred during Q3 2021 1400 1200 Backtesting Results* 1000 Base IRS 800 600 # of Margin Breaches 4 0 410 400 Achieved Coverage Level 99.98% 100% 200 0 0 *Repo
Slide 19: Settlement Variation Flows
Settlement Variation Flows CME Clearing: Q3 2021 Quantitative Disclosures Call Average variation paid to CME decreased by 3% and maximum variation paid to CME increased by 5% in Q3 2021 Variation Margin Paid to CME 10 Billions 9 8 8.62 8.23 7 6 5 4 3 3.53 3.44 2 1 0 Q2 2021 Q3 2021 Average Maximum N
Slide 20: Maximum Initial Margin Call Across All Clearing Members
Maximum Initial Margin Call Across All Clearing Members CME Clearing: Q3 2021 Quantitative Disclosures Call Maximum Total Initial Margin Call Billions 3 2.5 2 1.5 2.72 1 1.81 0.5 0 Q2 2021 Q3 2021 Note, figures include any intraday initial margin payments. Customer initial margin is collected on a g
Slide 21: Liquidity Stress Testing Results
Liquidity Stress Testing Results CME Clearing: Q3 2021 Quantitative Disclosures Call There were no theoretical or actual liquidity coverage breaches during Q3 2021 Cover 1: Estimated vs. Actual Largest Payment Obligations 14 13.15 Billions 12 10 8 6 3.86 4 1.87 2 0.41 0 Base IRS Estimated Actual Not
Slide 22: Size and Composition of Qualifying Liquidity Resources
Size and Composition of Qualifying Liquidity Resources CME Clearing: Q3 2021 Quantitative Disclosures Call Composition of Qualifying Liquidity Resources Amount – as of the end of Q3 2021 Cash Deposited at Central Bank of Issue 139,327,947,745 Cash Deposited at other Central Banks 0 Cash Deposited at
Slide 23: Operational Availability
Operational Availability CME Clearing: Q3 2021 Quantitative Disclosures Call CME Clearing had 99.9% operational availability across its core systems over the previous 12 months • There were 2 failures affecting the core systems over the previous 12 months. The first failure occurred in Q4 2020 and t
Slide 24: Number of Clearing Members
Number of Clearing Members CME Clearing: Q3 2021 Quantitative Disclosures Call Clearing membership continues to remain stable at CME Clearing 45 42 40 40 40 40 35 30 25 20 16 16 16 16 16 15 14 15 15 12 12 12 12 10 5 0 Base - General Base - Direct IRS - General IRS - Direct Q4 2020 Q1 2021 Q2 2021 Q3
Slide 25: Q&A
Q&A CME GROUP PUBLIC © 2022 CME Group. All rights reserved.
Slide 26: Thank you
Thank you For questions regarding the CME Clearing’s CPMI-IOSCO Qualitative or Quantitative Disclosures, please contact: CMEPFMIResponse@cmegroup.com CME GROUP PUBLIC © 2022 CME Group. All rights reserved.
Slide 27: CME Group
@ CME Group