CME Group and DTCC to launch cross-margining of SOFR and US Treasury futures

Rick Steves

“As evidenced in the G30 report, cross-margining has been identified as both a market benefit and a regulatory priority going forward.”

CME Group

CME Group and DTCC have 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.

Cross margining is an offsetting process whereby excess margin in a trader’s margin account is moved to another one of their margin accounts to satisfy maintenance margin requirements. The process allows a company or individual to use all of their available margin across all of their accounts.

Cross-margining changes to come into effect in January 2024

The proposed changes by the world’s leading derivatives marketplace and the premier post-trade market infrastructure are subject to regulatory approval but are expected to launch in January 2024.

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 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.

Cross-margining is a market benefit and regulatory priority

Suzanne Sprague, Global Head of Clearing and Post-Trade Services at CME Group, said: “Today’s announcement builds on 20 years of our organizations working together to create efficiencies for Treasury market participants. 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.”

Laura Klimpel, General Manager of Fixed Income Clearing Corporation (FICC) & Head of SIFMU Business Development at DTCC, commented: “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.”

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