Slide 1: CME Clearing Q1 2023 Quantitative Disclosures Call
CME Clearing Q1 2023 Quantitative Disclosures Call June 2023
Slide 2: Recording Disclaimer
Recording Disclaimer This event will be recorded for the purposes of archived viewing for attendees unable to attend the live session. By participating in this event, you are considered to have consented to the recording. All video and audio communications must remain professional and relevant to th
Slide 3: 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 4: Speakers
Speakers Sean Downey Managing Director, Clearing CCO, ERO and Head of Policy Christopher Buh Senior Associate, Risk Policy Robert Taylor Senior Director, Capital Policy and Market Structure CME GROUP PUBLIC © 2023 CME Group. All rights reserved. 4
Slide 5: Agenda
Agenda 1 Introduction 2 Q1 2023 PQD Highlights 3 Review of Key PQDs 4 Q&A CME GROUP PUBLIC © 2023 CME Group. All rights reserved.
Slide 6: Introduction
Introduction CME Clearing: Q1 2023 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 7: Q1 2023 Highlights
Q1 2023 Highlights* CME Clearing: Q1 2023 Quantitative Disclosures Call • 0 Actual or Theoretical Default Fund breaches over the observation period (12 months) • 5 Margin coverage breaches occurred over the observation period (3 months) • Achieved margin coverage of 99.97% in Base and 99.97% in IRS
Slide 8: Review of Key PQDs
Review of Key PQDs CME GROUP PUBLIC © 2023 CME Group. All rights reserved.
Slide 9: Mutualized Default Fund Resources
Mutualized Default Fund Resources CME Clearing: Q1 2023 Quantitative Disclosures Call PQD References: 4.1.1, 4.1.4, and 4.1.8 CME GROUP PUBLIC © 2023 CME Group. All rights reserved. 9
Slide 10: Default Fund Stress Testing Results
Default Fund Stress Testing Results CME Clearing: Q1 2023 Quantitative Disclosures Call 6 5.55 Billions 5.55 5.55 5 4.15 4 3.40 3.29 3.36 3.00 2.95 3 2.84 2.74 2.53 2.32 2.32 2.05 2 1.84 1 0 Base Mean Base Peak IRS Mean IRS Peak Q2 2022 Q3 2022 Q4 2022 Q1 2023 Note, results use a 12 month period. PQ
Slide 11: Default Fund Stress Testing Results
Default Fund Stress Testing Results CME Clearing: Q1 2023 Quantitative Disclosures Call Cover 2 standard met at all times for Base Default Fund – Cover 2 standard met at all times for IRS Default i.e., estimated stress losses (in excess of initial margin) Fund – i.e., estimated stress losses (in exc
Slide 12: Liquidity Stress Testing Results
Liquidity Stress Testing Results CME Clearing: Q1 2023 Quantitative Disclosures Call There were no theoretical or actual liquidity coverage breaches during Q1 2023 Cover 1: Estimated vs. Actual Largest Payment Obligations Billions 25 21.80 20 15 10 5 3.73 3.28 0.82 0 Base IRS Estimated Actual Note,
Slide 13: Size and Composition of Qualifying Liquidity Resources
Size and Composition of Qualifying Liquidity Resources CME Clearing: Q1 2023 Quantitative Disclosures Call Composition of Qualifying Liquidity Resources Amount – as of the end of Q1 2023 Cash Deposited at Central Bank of Issue $117,329,006,805 Cash Deposited at other Central Banks 0 Cash Deposited a
Slide 14: Margin Backtesting Results
Margin Backtesting Results CME Clearing: Q1 2023 Quantitative Disclosures Call Uncovered Exposure* 5 margin breaches occurred during Q1 2023 40 Backtesting Results* 35 Millions 35 Base IRS 30 # of Margin Breaches 7 3 25 22 Achieved Coverage Level 99.97% 99.97% 20 15 11 *Reporting period captures the
Slide 15: Initial Margin Required
Initial Margin Required CME Clearing: Q1 2023 Quantitative Disclosures Call $189 billion total initial margin required as of the end $36 billion total initial margin required as of the end of of Q1 2023 Q1 2023 Base Products IRS Products Q4 2022 Q1 2023 Q4 2022 Q1 2023 House – Net $21,178,908,536 $2
Slide 16: Collateral Composition of Initial Margin – Cash vs Non-Cash
Collateral Composition of Initial Margin – Cash vs Non-Cash CME Clearing: Q1 2023 Quantitative Disclosures Call Base IRS Note, figures provided reflect post-haircut amounts as of the end of Q1 2023. PQD References: 6.2.1 thru 6.2.14 CME GROUP PUBLIC © 2023 CME Group. All rights reserved. 16
Slide 17: Collateral Composition of Initial Margin – Non-Cash Breakdown
Collateral Composition of Initial Margin – Non-Cash Breakdown CME Clearing: Q1 2023 Quantitative Disclosures Call Base IRS Note 1: Figures provided reflect post-haircut amounts as of the end of Q1 2023. Note 2: Non-Cash Sovereign Government Bonds – Domestic are US Treasuries PQD References: 6.2.1 th
Slide 18: Excess Margin Held
Excess Margin Held CME Clearing: Q1 2023 Quantitative Disclosures Call Note, excess margin held is the margin held above the required amount. PQD References: 6.1.1 and 6.2.15 CME GROUP PUBLIC © 2023 CME Group. All rights reserved. 18
Slide 19: Settlement Variation Flows/Initial Margin Calls
Settlement Variation Flows/Initial Margin Calls CME Clearing: Q1 2023 Quantitative Disclosures Call Average variation paid to CME decreased by 1% and Maximum total initial margin call increased by 5% in Q1 2023. maximum variation paid to CME decreased 10% in Q1 2023. Variation Margin Paid to CME (Bi
Slide 20: Number of Clearing Members
Number of Clearing Members CME Clearing: Q1 2023 Quantitative Disclosures Call Clearing membership continues to remain stable at CME Clearing Note, “Direct” references Clearing Members that only clear house business and “General” references Clearing Members that can also clear for clients. PQD Refer
Slide 21: Q&A
Q&A CME GROUP PUBLIC © 2023 CME Group. All rights reserved.
Slide 22: 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 © 2023 CME Group. All rights reserved.
Slide 23: CME Group
@ CME Group