Cme Group Inc. · NASDAQ:CME
Cme — Q4 2021 Earnings Presentation
26 slides from Cme's earnings presentation, April 2022
Slide 1: CME Clearing Q4 2021 Quantitative Disclosures Call
CME Clearing Q4 2021 Quantitative Disclosures Call April 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 Robert Taylor Director, Capital Policy, Regulatory Reporting & Cross-Border Licensing Emily Hendrix Senior Director, Risk Policy, Recovery & Resolution Sean Downey Clearing Chief Compliance Officer & Head of Policy CME GROUP PUBLIC © 2022 CME Group. All rights reserved. 3
Slide 4: Agenda
Agenda 1 Introduction 2 Q4 2021 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: Q4 2021 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 2021 Highlights
Q4 2021 Highlights* CME Clearing: Q4 2021 Quantitative Disclosures Call • 0 Actual or Theoretical Default Fund breaches over the observation period (12 months) Financial Resources • 3 Margin coverage breaches occurred over the $221 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: Q4 2021 Quantitative Disclosures Call $22.2 billion total available mutualized resources as $5 billion total available mutualized resources as of of the end of Q4 2021 in the event of a Base Clearing the end of Q4 2021 in the event of an IRS Clearing M
Slide 9: Default Fund Stress Testing Results
Default Fund Stress Testing Results CME Clearing: Q4 2021 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 losses (in excess of Fund – i.e., estimated stress losses (in excess of initial m
Slide 10: Default Fund Stress Testing Results Trend
Default Fund Stress Testing Results CME Clearing: Q4 2021 Quantitative Disclosures Call Cover 2 – Stress Test Losses (in excess of initial margin) Trend 6 5.52 Billions 5 4.09 4.09 4.09 4 3.47 3.36 3.36 2.87 2.94 2.94 3 2.74 2.40 2.42 2.39 2.39 2.47 2 1 0 Base Mean Base Peak IRS Mean IRS Peak Q1 202
Slide 11: Initial Margin Required
Initial Margin Required CME Clearing: Q4 2021 Quantitative Disclosures Call $159 billion total initial margin required as of the $31 billion total initial margin required as of the end end of Q4 2021 of Q4 2021 Base Products IRS Products Q3 2021 Q4 2021 Q3 2021 Q4 2021 House – Net $ 32,027,489,311 $
Slide 12: Excess Margin Held
Excess Margin Held CME Clearing: Q4 2021 Quantitative Disclosures Call $23.12 billion excess margin held for Base products $6.67 billion excess margin held for IRS products as as of the end of Q4 2021 of the end of Q4 2021 Base Excess Margin Held IRS Excess Margin Held 200 45 Billions Billions 180 4
Slide 13: Collateral Composition of Initial Margin – Cash vs Non-Cash
Collateral Composition of Initial Margin – Cash vs Non-Cash CME Clearing: Q4 2021 Quantitative Disclosures Call Base IRS 50.9 B Cash Cash 18.6 B 19.6 B Non-Cash Non-Cash 131.2 B Note, figures provided reflect post-haircut amounts as of the end of Q4 2021. PQD References: 6.2.1 thru 6.2.14 CME GROUP
Slide 14: Collateral Composition of Initial Margin – Cash Breakdown
Collateral Composition of Initial Margin – Cash Breakdown CME Clearing: Q4 2021 Quantitative Disclosures Call Base IRS 4.0 B Cash deposited at .7 B a central bank Cash deposited at a central bank Unsecured cash Unsecured cash deposited at deposited at 127.2 B commercial banks commercial banks 18.9 B
Slide 15: Collateral Composition of Initial Margin – Non-Cash Breakdown
Collateral Composition of Initial Margin – Non-Cash Breakdown CME Clearing: Q4 2021 Quantitative Disclosures Call Base IRS Non-Cash Sovereign Government Non-Cash Sovereign Government 1.8 B .2 B 4.3 B Bonds - Domestic 2.1 B Bonds - Domestic .75 B 2.8 B Non-Cash Sovereign Government 2.3 B Bonds - Othe
Slide 16: Total Cash Received from Participants – Held/Deposited/Invested
Total Cash Received from Participants – Held/Deposited/Invested CME Clearing: Q4 2021 Quantitative Disclosures Call Base IRS Cash Deposits Cash Deposits at 6% at Central Banks 17% Central Banks Cash Deposits Cash Deposits at at Commerical Commerical Banks Banks 94% 83% (Unsecured) (Unsecured) Note,
Slide 17: Margin Backtesting Results
Margin Backtesting Results CME Clearing: Q4 2021 Quantitative Disclosures Call Uncovered Exposure* 1800 Thousands 1600 1,560 3 margin breaches occurred during Q4 2021 1400 1200 Backtesting Results* 1000 Base IRS 800 600 # of Margin Breaches 7 0 414 400 Achieved Coverage Level 99.97% 100% 200 0 0 *Re
Slide 18: Settlement Variation Flows
Settlement Variation Flows CME Clearing: Q4 2021 Quantitative Disclosures Call Average variation paid to CME increased by 25% and maximum variation paid to CME increased by 55% in Q4 2021 Variation Margin Paid to CME 16 Billions 14 12 13.38 10 8 8.62 6 4 4.25 2 3.44 0 Q3 2021 Q4 2021 Average Maximum
Slide 19: Maximum Initial Margin Call Across All Clearing Members
Maximum Initial Margin Call Across All Clearing Members CME Clearing: Q4 2021 Quantitative Disclosures Call Maximum Total Initial Margin Call Billions 4 3.5 3 2.5 2 3.46 1.5 2.72 1 0.5 0 Q3 2021 Q4 2021 Note, figures include any intraday initial margin payments. Customer initial margin is collected
Slide 20: Liquidity Stress Testing Results
Liquidity Stress Testing Results CME Clearing: Q4 2021 Quantitative Disclosures Call There were no theoretical or actual liquidity coverage breaches during Q4 2021 Cover 1: Estimated vs. Actual Largest Payment Billions 15 13.98 Obligations 10 5 3.72 1.87 0.41 0 Base IRS Estimated Actual Note, larges
Slide 21: Size and Composition of Qualifying Liquidity Resources
Size and Composition of Qualifying Liquidity Resources CME Clearing: Q4 2021 Quantitative Disclosures Call Composition of Qualifying Liquidity Resources Amount – as of the end of Q4 2021 Cash Deposited at Central Bank of Issue 146,153,371,570 Cash Deposited at other Central Banks 0 Cash Deposited at
Slide 22: Operational Availability
Operational Availability CME Clearing: Q4 2021 Quantitative Disclosures Call CME Clearing had 99.9% operational availability across its core systems over the previous 12 months • There were 2 failures affecting the core systems over the previous 12 months. The first failure occurred in Q3 2021 and t
Slide 23: Number of Clearing Members
Number of Clearing Members CME Clearing: Q4 2021 Quantitative Disclosures Call Clearing membership continues to remain stable at CME Clearing 45 40 40 40 40 40 35 30 25 20 16 16 16 16 16 16 14 15 15 12 12 12 12 10 5 0 Base - General Base - Direct IRS - General IRS - Direct Q1 2021 Q2 2021 Q3 2021 Q4
Slide 24: Q&A
Q&A CME GROUP PUBLIC © 2022 CME Group. All rights reserved.
Slide 25: 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 26: CME Group
@ CME Group