• Enhancements to long-standing cross-margining agreement will launch in January 2024, pending regulatory approval
• Clearing members will be eligible to gain greater margin efficiencies between U.S. Treasury securities and CME Group Interest Rate futures

CME Group, the world’s leading derivatives marketplace, and The Depository Trust & Clearing Corporation (DTCC), the premier post-trade market infrastructure for the global financial services industry, announced enhancements to their existing cross-margining arrangement that will increase capital efficiencies for clearing members that trade and clear both U.S. Treasury securities and CME Group Interest Rate futures.

The proposed changes, subject to regulatory approval, are expected to launch in January 2024. Through the enhanced agreement, clearing members of CME and the Government Securities Division of DTCC’s Fixed Income Clearing Corporation (FICC) who are eligible to benefit from the program today will be able to cross-margin an expanded suite of products, including CME Group SOFR futures, Ultra 10-Year U.S. Treasury Note futures and Ultra U.S. Treasury Bond futures. FICC-cleared U.S. Treasury notes and bonds and Repo transactions that have a time to maturity greater than one year will also be eligible.

“Today’s announcement builds on 20 years of our organizations working together to create efficiencies for Treasury market participants,” said Suzanne Sprague, CME Group Global Head of Clearing and Post-Trade Services. “As evidenced in the G30 report, cross-margining has been identified as both a market benefit and a regulatory priority going forward. CME Group is extremely pleased to expand on our collaboration with DTCC to deliver greater opportunities for capital efficiencies for participants who trade across cash and futures markets.”

“FICC recognizes the importance of this joint effort, and we are pleased to be working with CME Group to improve the efficiency and resiliency of the overall Treasury market,” said Laura Klimpel, General Manager of Fixed Income Clearing Corporation (FICC) & Head of SIFMU Business Development at DTCC.

Source: CME