Slide 1: CME Clearing Q4 2023 Quantitative Disclosures Call
CME Clearing Q4 2023 Quantitative Disclosures Call March 2024
Slide 2: Recording Disclaimer
Recording Disclaimer This event will be recorded for the purposes of archived viewing for attendees unable to attend the live session. By participating in this event, you are considered to have consented to the recording. All video and audio communications must remain professional and relevant to th
Slide 3: 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 4: Speakers
Speakers Robert Taylor Senior Director, Clearing Policy and Market Infrastructure Chris Buh Senior Risk Policy Associate CME GROUP PUBLIC © 2024 CME Group. All rights reserved. 4
Slide 5: Agenda
Agenda 1 Introduction 2 Q4 2023 PQD Highlights 3 Review of Key PQDs 4 Q&A CME GROUP PUBLIC © 2024 CME Group. All rights reserved.
Slide 6: Introduction
Introduction CME Clearing: Q4 2023 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 7: Q4 2023 Highlights
Q4 2023 Highlights* CME Clearing: Q4 2023 Quantitative Disclosures Call • 0 Theoretical Default Fund breach over the Financial Resources observation period (3 months) • 0 Margin coverage breaches occurred over the $266.0 Billion Total Amount of Initial Margin observation period (3 months) Total Valu
Slide 8: Review of Key PQDs
Review of Key PQDs CME GROUP PUBLIC © 2024 CME Group. All rights reserved.
Slide 9: Mutualized Default Fund Resources
Mutualized Default Fund Resources CME Clearing: Q4 2023 Quantitative Disclosures Call $25.05 billion total available mutualized resources $2.82 billion total available mutualized resources as of the end of Q4 2023 in the event of a Base as of the end of Q4 2023 in the event of an IRS Clearing Member
Slide 10: Default Fund Stress Testing Results
Default Fund Stress Testing Results CME Clearing: Q4 2023 Quantitative Disclosures Call Cover 2 standard met at all times for Base Default Fund – Cover 2 standard met at all times for IRS Default i.e., estimated stress losses (in excess of initial margin) Fund – i.e., estimated stress losses (in exc
Slide 11: Default Fund Stress Testing Results
Default Fund Stress Testing Results CME Clearing: Q4 2023 Quantitative Disclosures Call 7 Billions 6.45 6.04 6.04 6 5 4.13 4.15 4 3.47 2.93 3 2.74 2.32 2.32 2.32 1.84 2.01 2 1.74 1.64 1.53 1 0 Base Mean Base Peak IRS Mean IRS Peak Q1 2023 Q2 2023 Q3 2023 Q4 2023 Note, results use a 12 month period.
Slide 12: Liquidity Stress Testing Results
Liquidity Stress Testing Results CME Clearing: Q4 2023 Quantitative Disclosures Call There were no theoretical or actual liquidity coverage breaches during Q4 2023 Cover 1: Estimated vs. Actual Largest Payment Obligations Billions 25 23.60 20 15 10 5 3.73 4.13 0.82 0 Base IRS Estimated Actual Note,
Slide 13: Size and Composition of Qualifying Liquidity Resources
Size and Composition of Qualifying Liquidity Resources CME Clearing: Q4 2023 Quantitative Disclosures Call Composition of Qualifying Liquidity Resources Amount – as of the end of Q4 2023 Cash Deposited at Central Bank of Issue $ 79,093,975,435 Cash Deposited at other Central Banks $ - Cash Deposited
Slide 14: Margin Backtesting Results
Margin Backtesting Results CME Clearing: Q4 2023 Quantitative Disclosures Call Uncovered Exposure* 12 11 Millions 0 margin breaches occurred during Q4 2023 10 Backtesting Results* 8 Base IRS 6 # of Margin Breaches 5 0 4 3 Achieved Coverage Level 99.98% 100.00% 2 0 Base *Reporting period captures the
Slide 15: Initial Margin Required
Initial Margin Required CME Clearing: Q4 2023 Quantitative Disclosures Call *All client margins are required on a gross basis – i.e., client net *All client margins are required on a gross basis – i.e., client net margining is not permitted. margining is not permitted. CME GROUP PUBLIC © 2024 CME Gr
Slide 16: Collateral Composition of Initial Margin – Cash vs Non-Cash
Collateral Composition of Initial Margin – Cash vs Non-Cash CME Clearing: Q4 2023 Quantitative Disclosures Call Base IRS 69.7 B Cash Cash 17.5 B Non-Cash Non-Cash 25.6 B 153.3 B *90% of Base cash deposited at central banks *98% of IRS cash deposited at central banks Note, figures provided reflect po
Slide 17: Collateral Composition of Initial Margin – Non-Cash Breakdown
Collateral Composition of Initial Margin – Non-Cash Breakdown CME Clearing: Q4 2023 Quantitative Disclosures Call Base IRS 2.7 B 3.1 B 1.9 B 5.7 B Base 76.1 M Non-Cash Sovereign Government Bonds - 2.1 B Non-Cash Sovereign Government Bonds - Domestic Domestic 2.1 B Non-Cash Sovereign Government Bonds
Slide 18: Excess Margin Held
Excess Margin Held CME Clearing: Q4 2023 Quantitative Disclosures Call $20.3 billion excess margin held for Base products as of the end $5.59 billion excess margin held for IRS products as of the end of Q4 of Q4 2023 2023 Base Excess Margin Held IRS Excess Margin Held 250 50 Billions Billions 45 200
Slide 19: Settlement Variation Flows/Initial Margin Calls
Settlement Variation Flows/Initial Margin Calls CME Clearing: Q4 2023 Quantitative Disclosures Call Note: figures include any intraday variation payments. Settlement Note: figures include any intraday initial margin payments. Customer variation is exchanged on a net basis. initial margin is collecte
Slide 20: Number of Clearing Members
Number of Clearing Members CME Clearing: Q4 2023 Quantitative Disclosures Call Clearing membership continues to remain stable at CME Clearing 45 42 41 41 41 40 35 30 25 20 18 16 16 16 15 16 16 16 15 12 11 11 11 10 5 0 Base - General Base - Direct IRS - General IRS - Direct Q1 2023 Q2 2023 Q3 2023 Q4
Slide 21: Q&A
Q&A CME GROUP PUBLIC © 2024 CME Group. All rights reserved.
Slide 22: 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 © 2024 CME Group. All rights reserved.
Slide 23: CME Group
@ CME Group