Cme Group Inc. · NASDAQ:CME
Cme — Q3 2020 Earnings Presentation
25 slides from Cme's earnings presentation, January 2021
Slide 1: CME Clearing Q3 2020 Quantitative Disclosures Call
CME Clearing Q3 2020 Quantitative Disclosures Call January 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 Lee Betsill MD & Chief Risk Officer CME Clearing Jacob Rodriguez Director, Capital and Risk Management Policy Sean Downey Executive Director, Clearing Risk and Capital Policy CME GROUP PUBLIC © 2020 CME Group. All rights reserved. 3
Slide 4: Agenda
Agenda 1 Introduction 2 Q3 2020 Highlights 3 Review of Key Disclosures 4 Q&A CME GROUP PUBLIC © 2020 CME Group. All rights reserved.
Slide 5: Introduction
Introduction CME Clearing: Q3 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: Q3 2020 Highlights
Q3 2020 Highlights* CME Clearing: Q3 2020 Quantitative Disclosures Call • 0 Default Fund coverage breaches since Q1 2018 • 0 Margin coverage breaches occurred during the Q3 2020 reporting period Financial Resources • Achieved margin coverage of 99.90% in Base and $214 Billion Total Amount of Initial
Slide 7: Review of Key Disclosures
Review of Key Disclosures CME GROUP PUBLIC © 2020 CME Group. All rights reserved.
Slide 8: Mutualized Default Fund Resources
Mutualized Default Fund Resources CME Clearing: Q3 2020 Quantitative Disclosures Call $14.6 billion total available mutualized resources as $5.2 billion total available mutualized resources as of of the end of Q3 2020 in the event of a Base Clearing the end of Q3 2020 in the event of an IRS Clearing
Slide 9: Default Fund Stress Testing Results
Default Fund Stress Testing Results CME Clearing: Q3 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: Q3 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 4.32 4 3.61 3.46 3.46 3.43 3.5 2.88 2.80 3 2.76 2.59 2.72 2.57 2.58 2.43 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: Q3 2020 Quantitative Disclosures Call $157 billion total initial margin required as of the $38.9 billion total initial margin required as of the end of Q3 2020 end of Q3 2020 Base Products IRS Products Q2 2020 Q3 2020 Q2 2020 Q3 2020 House – Net $19,812,252,109
Slide 12: Initial Margin Held
Initial Margin Held CME Clearing: Q3 2020 Quantitative Disclosures Call $170.9 billion total initial margin held as of the end $42.9 billion total initial margin held as of the end of of Q3 2020 Q3 2020 Base Products IRS Products Q2 2020 Q3 2020 Q2 2020 Q3 2020 House – Net $22,280,246,698 $24,387,37
Slide 13: Excess Initial Margin
Excess Initial Margin CME Clearing: Q3 2020 Quantitative Disclosures Call $13.8 billion excess initial margin for Base products $4 billion excess initial margin for IRS products as of as of the end of Q3 2020 the end of Q3 2020 Base Excess Margin IRS Excess Margin 180 50 Billions Billions 160 45 11.
Slide 14: Collateral Composition of Initial Margin
Collateral Composition of Initial Margin CME Clearing: Q3 2020 Quantitative Disclosures Call Base IRS Cash deposited at a central 1.2 B 2.9 B bank Cash deposited at a central bank 73.3 M 147.1 M 1.3 B Secured cash deposited at commercial banks (including Unsecured cash deposited at 4.3 B reverse rep
Slide 15: Total Cash Received from Participants – Held/Deposited/Invested
Total Cash Received from Participants – Held/Deposited/Invested CME Clearing: Q3 2020 Quantitative Disclosures Call Base IRS 1% Cash deposits at central 11% banks of issue of the currency deposited 20% 7% Cash deposits at commercial banks Cash Deposits at Central (Secured, including Banks through re
Slide 16: Margin Backtesting Results
Margin Backtesting Results CME Clearing: Q3 2020 Quantitative Disclosures Call Uncovered Exposure* 90 84.56 83.49 Millions 80 No margin breaches occurred during Q3 2020 70 Backtesting Results* 60 50 Base IRS 40 30 # of Margin Breaches 24 28 20.90 20 9.21 Achieved Coverage Level 99.90% 99.72% 10 *Rep
Slide 17: Settlement Variation Flows
Settlement Variation Flows CME Clearing: Q3 2020 Quantitative Disclosures Call Average and maximum variation paid decreased by 30% and 34%, respectively, in Q3 2020 Variation Margin Paid 12 11.24 Billions 10 8 7.46 6 4.79 4 3.34 2 0 Q2 2020 Q3 2020 Average Maximum Note, figures include any intraday
Slide 18: Maximum Initial Margin Call Across All Clearing Members
Maximum Initial Margin Call Across All Clearing Members CME Clearing: Q3 2020 Quantitative Disclosures Call Maximum Total Initial Margin Call Billions 3 2.5 2 1.5 2.47 1 1.58 0.5 0 Q2 2020 Q3 2020 Note, figures include any intraday initial margin payments. Customer initial margin is collected on a g
Slide 19: Liquidity Stress Testing Results
Liquidity Stress Testing Results CME Clearing: Q3 2020 Quantitative Disclosures Call There were no theoretical or actual liquidity coverage breaches during Q3 2020 Cover 1: Estimated vs. Actual Largest Payment Obligations 14 12.03 Billions 12 10 8 6 4 3.11 3.47 2 0.63 0 Base IRS Estimated Actual Not
Slide 20: Size and Composition of Qualifying Liquidity Resources
Size and Composition of Qualifying Liquidity Resources CME Clearing: Q3 2020 Quantitative Disclosures Call Composition of Qualifying Liquidity Resources Amount – as of the end of Q3 2020 Cash Deposited at Central Bank of Issue 70,662,930,824 Cash Deposited at other Central Banks 0 Cash Deposited at
Slide 21: Operational Availability
Operational Availability CME Clearing: Q3 2020 Quantitative Disclosures Call CME Clearing had 99.99% operational availability across its core systems over the previous 12 months • There was 1 failure affecting the core systems over the previous 12 months • CME Clearing’s recovery time objective is t
Slide 22: Number of Clearing Members
Number of Clearing Members CME Clearing: Q3 2020 Quantitative Disclosures Call Clearing membership continues to remain stable at CME Clearing 45 42 42 42 42 40 35 30 25 20 18 15 15 15 16 16 16 16 15 12 12 12 12 10 5 0 Base - General Base - Direct IRS - General IRS - Direct Q4 2019 Q1 2020 Q2 2020 Q3
Slide 23: Q&A
Q&A CME GROUP PUBLIC © 2020 CME Group. All rights reserved.
Slide 24: 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 © 2020 CME Group. All rights reserved.
Slide 25: CME Group
«CME Group