Slide 1: CME Group-FICC Enhanced Cross-Margining Arrangement
CME Group-FICC Enhanced Cross-Margining Arrangement CME Group & FICC September 2023 DTCC Public (White)
Slide 2: CME Group-FICC Enhanced Cross-Margining
CME Group-FICC Enhanced Cross-Margining 2 ▸ CME Group and FICC are working together to enhance their existing cross-margining arrangement for the benefit of common members (and their affiliates, where applicable) when trading U.S. Treasury Securities and CME Group interest rate futures that have off
Slide 3: Current Methodology and Structure
CME Group-FICC Enhanced Cross-Margining 3 Current Methodology Current Structure ▸ Today, the CME Group – FICC Cross-Margining Arrangement allows for cross-margining of CME Group interest rate futures with FICC cleared cash Treasuries. ▸ FICC and CME Clearing each separately hold and CME Clearing FIC
Slide 4: Enhanced Methodology
CME Group-FICC Enhanced Cross-Margining 4 Enhanced Methodology ▸ Key Enhancements: Enhanced Arrangement - Introduce active management aspect applicable to CME Group eligible positions; passive management remains for CME Clearing FICC eligible positions. FICC/GSD House - Expand the list of CME Group
Slide 5: CME Group Planned Resources & Targeted Timelines
CME Group-FICC Enhanced Cross-Margining 5 CME Group Planned Resources & Targeted Timelines Initial Offering Position Transfer Automation Margin Optimization • New report available for CME Group • Rules-based engine creates risk • CME Group to provide a multi- and FICC/GSD XM Participating reducing t
Slide 6: Program Testing Availability
CME Group-FICC Program Testing Availability 6 ▸ Testing is available in the CME Clearing New Release test environment. ▸ Firms can begin to test automated transfers with the rules-based Optimizer solution. ▸ Cross-margin savings produced in the test environment are intended to be indicative of expec
Slide 7: Examples
CME Group-FICC Enhanced Cross-Margining 7 Examples CME Group Treasury Futures FICC Treasury Securities Savings w/ Enhanced Cross-Margining Position Margin Position Margin $ % Portfolio 1: 1,000 SEP 2yr Contracts $1,050,000 ($222,000,000) in 2yr Treasury Notes $943,000 $1,594,400 ~80% Portfolio 2: 2,
Slide 8: Next Steps
CME Group-FICC Enhanced Cross-Margining 8 Next Steps ▸ Participating firms to complete the following: 1. New account setup at CME Clearing 2. Complete program legal documentation 3. Test end-to-end workflows ▸ Please note that the existing, passive arrangement at CME Clearing will no longer be avail
Slide 9: CME Group Disclaimer
CME Group Disclaimer 9 Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Swaps trading should only be undertaken by investors who are Eligible Contract Participants (ECPs) within the meaning of Section 1a(18) of the Commodity Exchange Act.
Slide 10: DTCC / FICC Disclaimer
DTCC / FICC Disclaimer 10 Copyright © 2023 CME Group Inc. and DTCC All rights reserved. DTCC and DTCC (Stylized) are registered and unregistered trademarks of The Depository Trust & Clearing Corporation. The services described above are provided under the “DTCC” brand name by certain affiliates of T
Slide 11: Thank You
Thank You DTCC Public (White)
Slide 12: DTCC Public (White)
DTCC Public (White)