Slide 1: CME Clearing Q1 2021 Quantitative Disclosures Call
CME Clearing Q1 2021 Quantitative Disclosures Call July 2021
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 Sunil Cutinho Sr MD & President CME Clearing Jacob Rodriguez Director Capital & Risk Management Policy Sean Downey Executive Director, Clearing Risk and Capital Policy CME GROUP PUBLIC © 2021 CME Group. All rights reserved. 3
Slide 4: Agenda
Agenda 1 Introduction 2 Q1 2021 PQD Highlights 3 Review of Key PQDs 4 Q&A CME GROUP PUBLIC © 2021 CME Group. All rights reserved.
Slide 5: Introduction
Introduction CME Clearing: Q1 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: Q1 2021 Highlights
Q1 2021 Highlights* CME Clearing: Q1 2021 Quantitative Disclosures Call • 0 Actual or Theoretical Default Fund breaches over the observation period (12 months) Financial Resources • 3 Margin coverage breaches occurred over the $216 Billion Total Amount of Initial Margin observation period (3 months)
Slide 7: Review of Key PQDs
Review of Key PQDs CME GROUP PUBLIC © 2021 CME Group. All rights reserved.
Slide 8: Mutualized Default Fund Resources
Mutualized Default Fund Resources CME Clearing: Q1 2021 Quantitative Disclosures Call $19.1 billion total available mutualized resources as $4.4 billion total available mutualized resources as of the end of Q1 2021 in the event of a Base Clearing of the end of Q1 2021 in the event of an IRS Clearing
Slide 9: Default Fund Stress Testing Results
Default Fund Stress Testing Results CME Clearing: Q1 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: Q1 2021 Quantitative Disclosures Call Cover 2 – Stress Test Losses (in excess of initial margin) Trend 5 Billions 4.5 4.32 4.32 4.26 4.09 4 3.46 3.43 3.43 3.5 2.94 3 2.59 2.57 2.58 2.55 2.43 2.31 2.40 2.42 2.5 2 1.5 1 0.5 0 Base Mean Base Peak IRS Me
Slide 11: Initial Margin Required
Initial Margin Required CME Clearing: Q1 2021 Quantitative Disclosures Call $161 billion total initial margin required as of the $34 billion total initial margin required as of the end end of Q1 2021 of Q1 2021 Base Products IRS Products Q4 2020 Q1 2021 Q4 2020 Q1 2021 House – Net $24,852,919,355 $
Slide 12: Initial Margin Held
Initial Margin Held CME Clearing: Q1 2021 Quantitative Disclosures Call $177 billion total initial margin held as of the end of $39 billion total initial margin held as of the end of Q1 2021 Q1 2021 Base Products IRS Products Q4 2020 Q1 2021 Q4 2020 Q1 2021 House – Net $27,225,059,627 $ 31,903,713,1
Slide 13: Excess Margin Held
Excess Margin Held CME Clearing: Q1 2021 Quantitative Disclosures Call $16 billion excess margin held for Base products as $5.3 billion excess margin held for IRS products as of the end of Q1 2021 of the end of Q1 2021 Base Excess Margin Held IRS Excess Margin Held 200 45 Billions Billions 180 40 16
Slide 14: Results of Collateral Haircut Testing
Results of Collateral Haircut Testing CME Clearing: Q1 2021 Quantitative Disclosures Call During the Q1 2021 period, CME reported 3 collateral haircut exceedances where the decrease in market value observed for three separate stocks that were posted as collateral exceeded the haircut applied for the
Slide 15: Collateral Composition of Initial Margin – Cash vs Non-Cash
Collateral Composition of Initial Margin – Cash vs Non-Cash CME Clearing: Q1 2021 Quantitative Disclosures Call Base IRS 75.2 B Cash 17.9 B Cash 101.7 B Non-Cash 21.0 B Non-Cash Note, figures provided reflect post-haircut amounts as of the end of Q1 2021. PQD References: 6.2.1 thru 6.2.14 CME GROUP
Slide 16: Collateral Composition of Initial Margin – Cash Breakdown
Collateral Composition of Initial Margin – Cash Breakdown CME Clearing: Q1 2021 Quantitative Disclosures Call Base IRS Cash deposited Cash deposited 6.8 B at a central 1.3 B at a central bank bank Unsecured cash Unsecured cash deposited at deposited at 94.9 B commercial commercial banks 16.7 B banks
Slide 17: Collateral Composition of Initial Margin – Non-Cash Breakdown
Collateral Composition of Initial Margin – Non-Cash Breakdown CME Clearing: Q1 2021 Quantitative Disclosures Call Base IRS Non-Cash Sovereign 1.6 B 3.6 B Government Bonds - 23.7 M Non-Cash Sovereign Domestic 100.2 M Government Bonds - Domestic 1.1 B Non-Cash Sovereign 4.4 B Government Bonds - Non-Ca
Slide 18: Total Cash Received from Participants – Held/Deposited/Invested
Total Cash Received from Participants – Held/Deposited/Invested CME Clearing: Q1 2021 Quantitative Disclosures Call Base IRS 8% 14% Cash Deposits at Cash Deposits at Central Banks Central Banks Cash Deposits at Cash Deposits at Commerical Banks Commerical Banks (Unsecured) (Unsecured) 92% 86% Note,
Slide 19: Margin Backtesting Results
Margin Backtesting Results CME Clearing: Q1 2021 Quantitative Disclosures Call Uncovered Exposure* 70 63 Thousands 3 margin breaches occurred during Q1 2021 60 50 Backtesting Results* 40 Base IRS 30 26 # of Margin Breaches 3 0 20 Achieved Coverage Level 99.99% 100% 10 0 0 *Reporting period captures
Slide 20: Settlement Variation Flows
Settlement Variation Flows CME Clearing: Q1 2021 Quantitative Disclosures Call Average variation paid to CME increased by 29% and maximum variation paid to CME decreased by 11% in Q1 2021 Variation Margin Paid to CME 12 10.52 Billions 10 9.40 8 6 4.26 4 3.30 2 0 Q4 2020 Q1 2021 Average Maximum Note,
Slide 21: Maximum Initial Margin Call Across All Clearing Members
Maximum Initial Margin Call Across All Clearing Members CME Clearing: Q1 2021 Quantitative Disclosures Call Maximum Total Initial Margin Call Billions 2.5 2 1.5 1 2.16 1.62 0.5 0 Q4 2020 Q1 2021 Note, figures include any intraday initial margin payments. Customer initial margin is collected on a gro
Slide 22: Liquidity Stress Testing Results
Liquidity Stress Testing Results CME Clearing: Q1 2021 Quantitative Disclosures Call There were no theoretical or actual liquidity coverage breaches during Q1 2021 Cover 1: Estimated vs. Actual Largest Payment Obligations 16 14.31 Billions 14 12 10 8 6 3.62 4 1.86 2 0.63 0 Base IRS Estimated Actual
Slide 23: Size and Composition of Qualifying Liquidity Resources
Size and Composition of Qualifying Liquidity Resources CME Clearing: Q1 2021 Quantitative Disclosures Call Composition of Qualifying Liquidity Resources Amount – as of the end of Q1 2021 Cash Deposited at Central Bank of Issue 111,571,413,228 Cash Deposited at other Central Banks 0 Cash Deposited at
Slide 24: Operational Availability
Operational Availability CME Clearing: Q1 2021 Quantitative Disclosures Call CME Clearing had 99.99% 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 2 failures are carried over from Q3 20
Slide 25: Number of Clearing Members
Number of Clearing Members CME Clearing: Q1 2021 Quantitative Disclosures Call Clearing membership continues to remain stable at CME Clearing 45 42 42 42 40 40 35 30 25 20 16 16 16 16 15 15 15 14 15 12 12 12 12 10 5 0 Base - General Base - Direct IRS - General IRS - Direct Q2 2020 Q3 2020 Q4 2020 Q1
Slide 26: Q&A
Q&A CME GROUP PUBLIC © 2021 CME Group. All rights reserved.
Slide 27: 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 © 2021 CME Group. All rights reserved.
Slide 28: CME Group
@ CME Group