CME Group said it will start offering “one-pot” margining of positions in interest-rate swaps and futures, beginning May 7.
The portfolio margining will cover over-the-counter interest rate swap positions and Eurodollar and Treasury Futures for house accounts.
The operator of derivatives markets said combining margin positions could save up to 85 percent on capital requirements for collateral, in some cases.
"This new portfolio margining program will allow us to maintain our rigorous risk management standards at the same time we provide greater capital efficiencies and flexibility to those transitioning to OTC clearing,’’ said Kim Taylor, President, CME Clearing.
￼CME Group operates clearing houses for interest-rate swaps and credit-default swaps, with more than $415 billion in total volume cleared.
New York Portfolio Clearing, spawned by NYSE Euronext, a Portfolio Risk Interactive Margin Estimator for fixed-income derivatives. The calculator estimates the "one-pot" margin savings clearing members can achieve for proprietary interest rate futures cleared at NYPC and certain cash positions cleared at the Fixed Income Clearing Corporation subsidiary of The Depository Trust & Clearing Corporation. The calculator, NYC Prime, is free at NYPC’s website. The calculator estimate estimates Value at Risk margin amounts on demand.
IntercontinentalExchange’s ICE Clear Credit in January said it began to offer portfolio margining for proprietary positions held by its clearing participants.
This will allow for more efficient collateralization of opposite positions in index and correlated single-name credit default swap instruments.
ICE Clear Credit said it received approval for clearing participant portfolio margining from the Securities and Exchange Commission and that it is self-certified with the Commodity Futures Trading Commission.
Tom Steinert-Threlkeld writes for Securities Technology Monitor.
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