Slide 1: CME Clearing Q2 2022 Quantitative Disclosures Call
CME Clearing Q2 2022 Quantitative Disclosures Call September 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 Lee Betsill Managing Director, Chief Risk Officer at CME Clearing Robert Taylor Director, Capital Policy, Regulatory Reporting & Cross-Border Licensing Emily Hendrix Senior Director, Risk Policy, Recovery & Resolution CME GROUP PUBLIC © 2022 CME Group. All rights reserved. 3
Slide 4: Agenda
Agenda 1 Introduction 2 Q2 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: Q2 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: Q2 2022 Highlights
Q2 2022 Highlights* CME Clearing: Q2 2022 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 $213 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: Q2 2022 Quantitative Disclosures Call $19.4 billion total available mutualized resources as $3.5 billion total available mutualized resources as of the end of Q2 2022 in the event of a Base Clearing of the end of Q2 2022 in the event of an IRS Clearing
Slide 9: Default Fund Stress Testing Results
Default Fund Stress Testing Results CME Clearing: Q2 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: Q2 2022 Quantitative Disclosures Call Cover 2 – Stress Test Losses (in excess of initial margin) Trend 6 5.52 5.55 5.55 Billions 5 4.09 4 3.52 3.47 3.40 3.36 3.36 3.36 3.36 2.87 3 2.54 2.53 2.39 2.47 2 1 0 Base Mean Base Peak IRS Mean IRS Peak Q3 202
Slide 11: Initial Margin Required
Initial Margin Required CME Clearing: Q2 2022 Quantitative Disclosures Call $182 billion total initial margin required as of the $31 billion total initial margin required as of the end end of Q2 2022 of Q2 2022 Base Products IRS Products Q1 2022 Q2 2022 Q1 2022 Q2 2022 House – Net $ 30,205,515,383 $
Slide 12: Excess Margin Held
Excess Margin Held CME Clearing: Q2 2022 Quantitative Disclosures Call $19.6 billion excess margin held for Base products $7.22 billion excess margin held for IRS products as as of the end of Q2 2022 of the end of Q2 2022 Base Excess Margin Held IRS Excess Margin Held 250 45 Billions Billions 14.19B
Slide 13: Collateral Composition of Initial Margin – Cash vs Non-Cash
Collateral Composition of Initial Margin – Cash vs Non-Cash CME Clearing: Q2 2022 Quantitative Disclosures Call Base IRS 85.1 B Cash Cash 17.8 B Non-Cash 20.9 B Non-Cash 116.9 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: Q2 2022 Quantitative Disclosures Call Base IRS 5.0 B Cash deposited at a 1.1 B Cash deposited at central bank a central bank Cash deposited at Cash deposited at other central banks other central banks 111.9 B 16.7 B Note, figure
Slide 15: Collateral Composition of Initial Margin – Non-Cash Breakdown
Collateral Composition of Initial Margin – Non-Cash Breakdown CME Clearing: Q2 2022 Quantitative Disclosures Call Base IRS 4.0 B 5.4 B Non-Cash Sovereign 1.2 B Non-Cash Sovereign 134.4 M Government Bonds - Domestic Government Bonds - Domestic 2.6 B 1.2 B Non-Cash Sovereign Non-Cash Sovereign 779.1 M
Slide 16: Total Cash Received from Participants – Held/Deposited/Invested
Total Cash Received from Participants – Held/Deposited/Invested CME Clearing: Q2 2022 Quantitative Disclosures Call Base IRS 6% 11% Cash Deposits at Cash Deposits at Central Banks Central Banks Cash Deposits at Cash Deposits at Commerical Commerical Banks Banks (Unsecured) 89% (Unsecured) 94 % Note,
Slide 17: Margin Backtesting Results
Margin Backtesting Results CME Clearing: Q2 2022 Quantitative Disclosures Call Uncovered Exposure* (Thousands) 25000 Thousands 21,565 3 margin breaches occurred during Q2 2022 20000 Backtesting Results* 15000 Base IRS 10000 8,313 # of Margin Breaches 8 3 6,183 5000 Achieved Coverage Level 99.97% 99.
Slide 18: Settlement Variation Flows
Settlement Variation Flows CME Clearing: Q2 2022 Quantitative Disclosures Call Average variation paid to CME decreased by 11% and maximum variation paid to CME decreased by 31% in Q2 2022 Variation Margin Paid to CME (Billions) 16 Billions 14 15.17 12 10 10.49 8 6 6.20 4 5.49 2 0 Q1 2022 Q2 2022 Ave
Slide 19: Maximum Initial Margin Call Across All Clearing Members
Maximum Initial Margin Call Across All Clearing Members CME Clearing: Q2 2022 Quantitative Disclosures Call Maximum Total Initial Margin Call (Billions) 4.5 Billions 4 3.5 3 2.5 2 3.82 3.66 1.5 1 0.5 0 Q1 2022 Q2 2022 Note, figures include any intraday initial margin payments. Customer initial margi
Slide 20: Liquidity Stress Testing Results
Liquidity Stress Testing Results CME Clearing: Q2 2022 Quantitative Disclosures Call There were no theoretical or actual liquidity coverage breaches during Q2 2022 Cover 1: Estimated vs. Actual Largest Payment 20 Obligations (Billions) Billions 15.61 15 10 5 3.29 2.56 0.41 0 Base IRS Estimated Actua
Slide 21: Size and Composition of Qualifying Liquidity Resources
Size and Composition of Qualifying Liquidity Resources CME Clearing: Q2 2022 Quantitative Disclosures Call Composition of Qualifying Liquidity Resources Amount – as of the end of Q2 2022 Cash Deposited at Central Bank of Issue 128,547,319,757 Cash Deposited at other Central Banks 0 Cash Deposited at
Slide 22: Operational Availability
Operational Availability CME Clearing: Q2 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: Q2 2022 Quantitative Disclosures Call Clearing membership continues to remain stable at CME Clearing 45 41 40 40 40 40 35 30 25 20 18 16 16 16 16 16 16 15 15 12 12 12 12 10 5 0 Base - General Base - Direct IRS - General IRS - Direct Q3 2021 Q4 2021 Q1 2022 Q2
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