Cme Group Inc. · NASDAQ:CME
Cme — Q3 2022 Earnings Presentation
22 slides from Cme's earnings presentation, December 2022
Slide 1: CME Clearing Q3 2022 Quantitative Disclosures Call
CME Clearing Q3 2022 Quantitative Disclosures Call December 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 Udesh Jha Managing Director, Post-Trade Services, Risk Management 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 Q3 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: Q3 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: Q3 2022 Highlights
Q3 2022 Highlights* CME Clearing: Q3 2022 Quantitative Disclosures Call • 0 Actual or Theoretical Default Fund breaches over the observation period (12 months) Financial Resources • 1 Margin coverage breaches occurred over the $212 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 2022 Quantitative Disclosures Call $16.6 billion total available mutualized resources as $3.2 billion total available mutualized resources as of the end of Q3 2022 in the event of a Base Clearing of the end of Q3 2022 in the event of an IRS Clearing
Slide 9: Default Fund Stress Testing Results
Default Fund Stress Testing Results CME Clearing: Q3 2022 Quantitative Disclosures Call Cover 2 standard met at all times for the Base Default Cover 2 standard met at all times for the IRS Default Fund – i.e., estimated stress losses (in excess of Fund – i.e., estimated stress losses (in excess of i
Slide 10: Default Fund Stress Testing Results Trend
Default Fund Stress Testing Results CME Clearing: Q3 2022 Quantitative Disclosures Call Cover 2 – Stress Test Losses (in excess of initial margin) Trend Billions 6 5.52 5.55 5.55 5.55 5 4 3.52 3.47 3.40 3.36 3.36 3.36 3.29 3.00 3 2.54 2.53 2.47 2.32 2 1 0 Base Mean Base Peak IRS Mean IRS Peak Q4 202
Slide 11: Liquidity Stress Testing Results
Liquidity Stress Testing Results CME Clearing: Q3 2022 Quantitative Disclosures Call There were no theoretical or actual liquidity coverage breaches during Q3 2022 Billions Cover 1: Estimated vs. Actual Largest Payment Obligations 20 17.92 18 16 14 12 10 8 6 3.94 4 2.56 2 0.33 0 Base IRS Estimated A
Slide 12: Size and Composition of Qualifying Liquidity Resources
Size and Composition of Qualifying Liquidity Resources CME Clearing: Q3 2022 Quantitative Disclosures Call Composition of Qualifying Liquidity Resources – as of the end of Q3 2022 Amount Cash Deposited at Central Bank of Issue $128,488,389,829 Cash Deposited at other Central Banks 0 Cash Deposited a
Slide 13: Margin Backtesting Results
Margin Backtesting Results CME Clearing: Q3 2022 Quantitative Disclosures Call Uncovered Exposure* Millions 1 margin breach occurred during Q3 2022 25 22 Backtesting Results* 20 Base IRS 15 # of Margin Breaches 8 3 10 8 # of Observations 24,567 9,650 6 5 Achieved Coverage Level 99.97% 99.97% 2 *Repo
Slide 14: Initial Margin Required
Initial Margin Required CME Clearing: Q3 2022 Quantitative Disclosures Call $180 billion total initial margin required as of the $32 billion total initial margin required as of the end end of Q3 2022 of Q3 2022 Base Products IRS Products Q2 2022 Q3 2022 Q2 2022 Q3 2022 House – Net $ 25,356,262,795 $
Slide 15: Collateral Composition of Initial Margin – Cash vs Non-Cash
Collateral Composition of Initial Margin – Cash vs Non-Cash CME Clearing: Q3 2022 Quantitative Disclosures Call Base IRS 81.6 B Cash Cash 20.7 B 19.2 B 118.1B Non-Cash Non-Cash *94% of Base cash deposited at central banks or *93% of IRS cash deposited at central banks or secured through reverse repo
Slide 16: Collateral Composition of Initial Margin – Non-Cash Breakdown
Collateral Composition of Initial Margin – Non-Cash Breakdown CME Clearing: Q3 2022 Quantitative Disclosures Call Base IRS 125.1 M 3.2 B 5.2 B Non-Cash Sovereign 1.0 B Non-Cash Sovereign Government Bonds - 1.3 B Government Bonds - Domestic 1.4 B Domestic Non-Cash Sovereign 2.3 B Non-Cash Sovereign 8
Slide 17: Excess Margin Held
Excess Margin Held CME Clearing: Q3 2022 Quantitative Disclosures Call $20.01 billion excess margin held for Base products $7.50 billion excess margin held for IRS products as as of the end of Q3 2022 of the end of Q3 2022 Base Excess Margin Held IRS Excess Margin Held Billions 250 Billions 45 16.16
Slide 18: Settlement Variation Flows/Initial Margin Calls
Settlement Variation Flows/Initial Margin Calls CME Clearing: Q3 2022 Quantitative Disclosures Call Avg. variation paid to CME decreased by 2% and maximum Maximum total initial margin call increased by variation paid to CME increased by 13% in Q3 2022 4% in Q3 2022 Billions Billions Variation Margin
Slide 19: Number of Clearing Members
Number of Clearing Members CME Clearing: Q3 2022 Quantitative Disclosures Call Clearing membership continues to remain stable at CME Clearing 45 41 42 40 40 40 35 30 25 20 18 16 16 16 16 16 15 16 15 12 12 12 11 10 5 0 Base - General Base - Direct IRS - General IRS - Direct Q4 2021 Q1 2022 Q2 2022 Q3
Slide 20: Q&A
Q&A CME GROUP PUBLIC © 2022 CME Group. All rights reserved.
Slide 21: 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 22: CME Group
@ CME Group