CME Group and DTCC go live with enhanced Treasury cross-margining

Rick Steves

“By increasing capital efficiencies for our clearing members who trade both cash and futures, this new Treasury cross-margining arrangement with DTCC builds on the benefits provided through our 20-year partnership and will contribute to an even more efficient U.S. Treasury marketplace, one of the most important, actively traded markets in the world.”

CME Group

CME Group and The Depository Trust & Clearing Corporation (DTCC) announced the launch of their enhanced Treasury cross-margining arrangement.

This development follows the approval from the Securities and Exchange Commission (SEC) and the Commodity Futures Trading Commission (CFTC) in September 2023.

SOFR, Ultra 10-Year, Ultra Bond futures, FICC-cleared Treasuries

The new arrangement allows for capital efficiencies for clearing members involved in both U.S. Treasury securities and CME Group Interest Rate futures.

The arrangement facilitates cross-margining for a broader range of products, including CME Group’s SOFR futures, Ultra 10-Year U.S. Treasury Note futures, and Ultra U.S. Treasury Bond futures, along with FICC-cleared U.S. Treasury notes and bonds.

Repo transactions with Treasury collateral having over a year to maturity are also included.

“An efficient U.S. Treasury marketplace”

Suzanne Sprague, Global Head of Clearing and Post-Trade Services at CME Group, said: “We are continually seeking to make trading more efficient and cost-effective for our clearing members. By increasing capital efficiencies for our clearing members who trade both cash and futures, this new Treasury cross-margining arrangement with DTCC builds on the benefits provided through our 20-year partnership and will contribute to an even more efficient U.S. Treasury marketplace, one of the most important, actively traded markets in the world.”

Mark Wendland, Chief Operating Officer and Partner at DRW, added: “We welcome the efforts by CME Group and FICC to improve the efficiency and resiliency of the overall Treasury market with this enhanced cross-margining arrangement.”

Laura Klimpel, General Manager of Fixed Income Clearing Corporation (FICC) & Head of SIFMU Business Development at DTCC, said: “We are pleased to continue to collaborate with CME Group to deliver enhancements to our cross-margining arrangement which will increase efficiency and enable capital savings opportunities for our members. The importance of efficient cross-margining opportunities across Treasury securities and futures activity is even more significant based on the increase in Treasury activity that will be required to be centrally cleared. We look forward to continuing to advance our offerings and capabilities to continue to deliver additional value to the industry.”

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