Cme Group Inc. · NASDAQ:CME
Cme — Q1 2022 Earnings Presentation
26 slides from Cme's earnings presentation, June 2022
Slide 1: CME Clearing Q1 2022 Quantitative Disclosures Call
CME Clearing Q1 2022 Quantitative Disclosures Call June 2022
Slide 2: Disclaimer & Terms of Use
Disclaimer & Terms of Use The content in this communication has been compiled by CME Group for general purposes only and is not intended to provide, and should not be construed as, advice. Although every attempt has been made to ensure the accuracy of the information within this communication as of
Slide 3: Speakers
Speakers Suzanne Sprague Senior Managing Director, Global Head of Clearing and Post-Trade Services Robert Taylor Director, Capital Policy, Regulatory Reporting & Cross-Border Licensing Sean Downey Managing Director, Clearing Chief Compliance Officer & Head of Policy CME GROUP PUBLIC © 2022 CME Group
Slide 4: Agenda
Agenda 1 Introduction 2 Q1 2022 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: Q1 2022 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 2022 Highlights
Q1 2022 Highlights* CME Clearing: Q1 2022 Quantitative Disclosures Call • 0 Actual or Theoretical Default Fund breaches over the observation period (12 months) Financial Resources • 4 Margin coverage breaches occurred over the $218 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: Q1 2022 Quantitative Disclosures Call $19.4 billion total available mutualized resources as $4.7 billion total available mutualized resources as of the end of Q1 2022 in the event of a Base Clearing of the end of Q1 2022 in the event of an IRS Clearing
Slide 9: Default Fund Stress Testing Results
Default Fund Stress Testing Results CME Clearing: Q1 2022 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 2022 Quantitative Disclosures Call Cover 2 – Stress Test Losses (in excess of initial margin) Trend 6 5.52 5.55 Billions 5 4.09 4.09 4 3.52 3.47 3.36 3.36 3.36 2.87 2.94 3 2.74 2.39 2.47 2.54 2.39 2 1 0 Base Mean Base Peak IRS Mean IRS Peak Q2 202
Slide 11: Initial Margin Required
Initial Margin Required CME Clearing: Q1 2022 Quantitative Disclosures Call $185 billion total initial margin required as of the $34 billion total initial margin required as of the end end of Q1 2022 of Q1 2022 Base Products IRS Products Q4 2021 Q1 2022 Q4 2021 Q1 2022 House – Net $ 27,497,056,552 $
Slide 12: Excess Margin Held
Excess Margin Held CME Clearing: Q1 2022 Quantitative Disclosures Call $27.81 billion excess margin held for Base products $5.39 billion excess margin held for IRS products as as of the end of Q1 2022 of the end of Q1 2022 Base Excess Margin Held IRS Excess Margin Held 250 45 Billions Billions 23.47
Slide 13: Collateral Composition of Initial Margin – Cash vs Non-Cash
Collateral Composition of Initial Margin – Cash vs Non-Cash CME Clearing: Q1 2022 Quantitative Disclosures Call Base IRS 70.4 B Cash Cash 17.6 B Non-Cash 21.3 B Non-Cash 142.3 B Note, figures provided reflect post-haircut amounts as of the end of Q4 2021. PQD References: 6.2.1 thru 6.2.14 CME GROUP
Slide 14: Collateral Composition of Initial Margin – Cash Breakdown
Collateral Composition of Initial Margin – Cash Breakdown CME Clearing: Q1 2022 Quantitative Disclosures Call Base IRS 4.6 B Cash deposited at a 785.7 M Cash deposited at central bank a central bank Cash deposited at Cash deposited at other central banks other central banks 137.8 B 20.5 B Note, figu
Slide 15: Collateral Composition of Initial Margin – Non-Cash Breakdown
Collateral Composition of Initial Margin – Non-Cash Breakdown CME Clearing: Q1 2022 Quantitative Disclosures Call Base IRS Non-Cash Sovereign Government Non-Cash Sovereign Government Bonds - Domestic Bonds - Domestic 2.8 B 5.3 B 1.6 B Non-Cash Sovereign Government 2.4 B 141.8 M 1.2 B Bonds - Other N
Slide 16: Total Cash Received from Participants – Held/Deposited/Invested
Total Cash Received from Participants – Held/Deposited/Invested CME Clearing: Q1 2022 Quantitative Disclosures Call Base IRS 5% 10% Cash Deposits at Central Banks Cash Deposits at Central Banks Cash deposits at Cash Deposits at other central banks Commerical Banks 90% (Unsecured) 95 % Note, total ca
Slide 17: Margin Backtesting Results
Margin Backtesting Results CME Clearing: Q1 2022 Quantitative Disclosures Call Uncovered Exposure* 7000 Thousands 6,183 6000 4 margin breaches occurred during Q1 2022 5000 Backtesting Results* 4000 Base IRS 3000 # of Margin Breaches 8 0 2000 1,598 1000 Achieved Coverage Level 99.97% 100% 0 0 *Report
Slide 18: Settlement Variation Flows
Settlement Variation Flows CME Clearing: Q1 2022 Quantitative Disclosures Call Average variation paid to CME increased by 46% and maximum variation paid to CME increased by 13% in Q1 2022 Variation Margin Paid to CME 16 Billions 14 15.17 12 13.38 10 8 6 6.20 4 4.25 2 0 Q4 2021 Q1 2022 Average Maximu
Slide 19: Maximum Initial Margin Call Across All Clearing Members
Maximum Initial Margin Call Across All Clearing Members CME Clearing: Q1 2022 Quantitative Disclosures Call Maximum Total Initial Margin Call Billions 3.9 3.8 3.7 3.6 3.5 3.82 3.4 3.46 3.3 3.2 Q4 2021 Q1 2022 Note, figures include any intraday initial margin payments. Customer initial margin is coll
Slide 20: Liquidity Stress Testing Results
Liquidity Stress Testing Results CME Clearing: Q1 2022 Quantitative Disclosures Call There were no theoretical or actual liquidity coverage breaches during Q1 2022 Cover 1: Estimated vs. Actual Largest Payment 16 15.18 Obligations Billions 14 12 10 8 6 4 3.49 2.56 2 0.41 0 Base IRS Estimated Actual
Slide 21: Size and Composition of Qualifying Liquidity Resources
Size and Composition of Qualifying Liquidity Resources CME Clearing: Q1 2022 Quantitative Disclosures Call Composition of Qualifying Liquidity Resources Amount – as of the end of Q1 2022 Cash Deposited at Central Bank of Issue 158,263,633,109 Cash Deposited at other Central Banks 0 Cash Deposited at
Slide 22: Operational Availability
Operational Availability CME Clearing: Q1 2022 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 Q3 2021 and t
Slide 23: Number of Clearing Members
Number of Clearing Members CME Clearing: Q1 2022 Quantitative Disclosures Call Clearing membership continues to remain stable at CME Clearing 45 40 40 40 40 40 35 30 25 20 16 16 16 16 16 16 16 15 15 12 12 12 12 10 5 0 Base - General Base - Direct IRS - General IRS - Direct Q2 2021 Q3 2021 Q4 2021 Q1
Slide 24: Q&A
Q&A CME GROUP PUBLIC © 2022 CME Group. All rights reserved.
Slide 25: 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 26: CME Group
@ CME Group