Slide 1: CME Clearing Q4 2020 Quantitative Disclosures Call
CME Clearing Q4 2020 Quantitative Disclosures Call April 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 Y ork Mercantile Exchange, Inc. (“NYMEX”), and the Commodity Excha
Slide 3: Speakers
Speakers Suzanne Sprague MD Credit & Liquidity/Risk Policy & Banking Chelsea Gerdes Senior Risk Management Policy Associate 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 Q4 2020 PQD Highlights 3 Review of Key PQDs 4 Additional Information 5 Q&A CME GROUP PUBLIC © 2021 CME Group. All rights reserved.
Slide 5: Introduction
Introduction CME Clearing: Q4 2020 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: Q4 2020 Highlights
Q4 2020 Highlights* CME Clearing: Q4 2020 Quantitative Disclosures Call • 0 Actual or Theoretical Default Fund breaches over the observation period (12 months) Financial Resources • 0 Margin coverage breaches occurred over the $206 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: Q4 2020 Quantitative Disclosures Call $17.5 billion total available mutualized resources as $4.3 billion total available mutualized resources as of the end of Q4 2020 in the event of a Base Clearing of the end of Q4 2020 in the event of an IRS Clearing
Slide 9: Default Fund Stress Testing Results
Default Fund Stress Testing Results CME Clearing: Q4 2020 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 loss (in excess of initial Fund – i.e., estimated stress loss (in excess of initi
Slide 10: Default Fund Stress Testing Results Trend
Default Fund Stress Testing Results CME Clearing: Q4 2020 Quantitative Disclosures Call Cover 2 – Stress Test Loss (in excess of initial margin) Trend 5 Billions 4.5 4.32 4.32 4.32 4.26 4 3.46 3.46 3.43 3.43 3.5 2.88 3 2.59 2.72 2.57 2.58 2.55 2.43 2.31 2.5 2 1.5 1 0.5 0 Base Mean Base Peak IRS Mean
Slide 11: Initial Margin Required
Initial Margin Required CME Clearing: Q4 2020 Quantitative Disclosures Call $152 billion total initial margin required as of the $37.6 billion total initial margin required as of the end of Q4 2020 end of Q4 2020 Base Products IRS Products Q3 2020 Q4 2020 Q3 2020 Q4 2020 House – Net $21,672,600,612
Slide 12: Initial Margin Held
Initial Margin Held CME Clearing: Q4 2020 Quantitative Disclosures Call $164 billion total initial margin held as of the end of $41 billion total initial margin held as of the end of Q4 2020 Q4 2020 Base Products IRS Products Q3 2020 Q4 2020 Q3 2020 Q4 2020 House – Net $24,387,376,979 $27,225,059,62
Slide 13: Excess Margin Held
Excess Margin Held CME Clearing: Q4 2020 Quantitative Disclosures Call $12 billion excess margin held for Base products as $3.7 billion excess margin held for IRS products as of the end of Q4 2020 of the end of Q4 2020 Base Excess Margin Held IRS Excess Margin Held 180 45 Billions Billions 160 40 14
Slide 14: Collateral Composition of Initial Margin – Cash vs Non-Cash
Collateral Composition of Initial Margin – Cash vs Non-Cash CME Clearing: Q4 2020 Quantitative Disclosures Call Base IRS 12.3 B 71.2 B Cash Cash 93.1 B Non-Cash Non-Cash 29.1 B Note, figures provided reflect post-haircut amounts as of the end of Q4 2020. PQD References: 6.2.1 thru 6.2.14 CME GROUP P
Slide 15: Collateral Composition of Initial Margin – Cash Breakdown
Collateral Composition of Initial Margin – Cash Breakdown CME Clearing: Q4 2020 Quantitative Disclosures Call Base IRS Cash deposited at a central bank 500.0 M 5.3 B 1.4 B Cash deposited at a central bank Secured cash deposited at commercial banks Unsecured cash (including reverse deposited at repo)
Slide 16: Collateral Composition of Initial Margin – Non-Cash Breakdown
Collateral Composition of Initial Margin – Non-Cash Breakdown CME Clearing: Q4 2020 Quantitative Disclosures Call Base IRS 67.6 M 1.2 B 1.5 B 3.6 B Non-Cash Sovereign Government Bonds - 160.3 M Non-Cash Sovereign Government Bonds - Domestic Domestic Non-Cash Sovereign Non-Cash Sovereign 4.5 B Govern
Slide 17: Total Cash Received from Participants – Held/Deposited/Invested
Total Cash Received from Participants – Held/Deposited/Invested CME Clearing: Q4 2020 Quantitative Disclosures Call Base IRS Cash deposits at central banks of issue 9% of the currency deposited 1% 20% Cash Deposits at Cash deposits at Central Banks commercial banks (Secured, including through revers
Slide 18: Margin Backtesting Results
Margin Backtesting Results CME Clearing: Q4 2020 Quantitative Disclosures Call Uncovered Exposure* 90 84.56 83.49 Millions 80 No margin breaches occurred during Q4 2020 70 Backtesting Results* 60 50 Base IRS 40 30 # of Margin Breaches 24 28 20.90 20 9.00 Achieved Coverage Level 99.90% 99.72% 10 *Rep
Slide 19: Settlement Variation Flows
Settlement Variation Flows CME Clearing: Q4 2020 Quantitative Disclosures Call Average variation paid decreased by 1% and maximum variation paid increased by 41% in Q4 2020 Variation Margin Paid 12 10.52 Billions 10 8 7.46 6 4 3.34 3.30 2 0 Q3 2020 Q4 2020 Average Maximum Note, figures include any i
Slide 20: Maximum Initial Margin Call Across All Clearing Members
Maximum Initial Margin Call Across All Clearing Members CME Clearing: Q4 2020 Quantitative Disclosures Call Maximum Total Initial Margin Call Billions 1.7 1.6 1.62 1.58 1.5 Q3 2020 Q4 2020 Note, figures include any intraday initial margin payments. Customer initial margin is collected on a gross bas
Slide 21: Liquidity Stress Testing Results
Liquidity Stress Testing Results CME Clearing: Q4 2020 Quantitative Disclosures Call There were no theoretical or actual liquidity coverage breaches during Q4 2020 Cover 1: Estimated vs. Actual Largest Payment Obligations 12 10.85 Billions 10 8 6 4 3.11 3.06 2 0.63 0 Base IRS Estimated Actual Note,
Slide 22: Size and Composition of Qualifying Liquidity Resources
Size and Composition of Qualifying Liquidity Resources CME Clearing: Q4 2020 Quantitative Disclosures Call Composition of Qualifying Liquidity Resources Amount – as of the end of Q4 2020 Cash Deposited at Central Bank of Issue 76,310,286,826 Cash Deposited at other Central Banks 0 Cash Deposited at
Slide 23: Operational Availability
Operational Availability CME Clearing: Q4 2020 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 • CME Clearing’s recovery time objective is
Slide 24: Number of Clearing Members
Number of Clearing Members CME Clearing: Q4 2020 Quantitative Disclosures Call Clearing membership continues to remain stable at CME Clearing 45 42 42 42 42 40 35 30 25 20 16 16 16 16 15 15 15 15 15 12 12 12 12 10 5 0 Base - General Base - Direct IRS - General IRS - Direct Q1 2020 Q2 2020 Q3 2020 Q4
Slide 25: Additional Information
Additional Information CME GROUP PUBLIC © 2021 CME Group. All rights reserved.
Slide 26: C-Factor
C-Factor CME Clearing: Q4 2020 Quantitative Disclosures Call • As a QCCP*, CME Clearing is required to make available or calculate required data for purposes of calculating capital requirements for default fund (i.e., Guaranty Fund) exposures under the Basel III capital framework • CME Clearing comp
Slide 27: Futures & Options Margining Practices
Futures & Options Margining Practices CME Clearing: Q4 2020 Quantitative Disclosures Call Anti-procyclicality Measures and ten-years, depending on the product, with a maximum lookback of at least twelve months being included for all • CME Clearing’s margin methodology for futures and options product
Slide 28: IRS Margining Practices
IRS Margining Practices CME Clearing: Q4 2020 Quantitative Disclosures Call Anti-procyclicality Measures longer lookback periods, in addition to the rolling 5-year lookback • CME Clearing’s margin methodology for IRS products are designed to account for a variety of market conditions and to • Event
Slide 29: 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 30: CME Group
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