2016 CME Group. All rights reserved.
Cleared OTC
Financial Products
Security. Neutrality. Transparency.
CLEARING THE WAY FORWARD
2018 CME Group. All rights reserved.
Contents
9
16
22
27
Interest Rate Swap Clearing
OTC Foreign Exchange Clearing
Capital & Margin Efficiencies
Contacts
2
2018 CME Group. All rights reserved.
Interest Rate Swap Clearing
2018 CME Group. All rights reserved. 4
Why Customers are Choosing CME Group for OTC
Over 650 customers have chosen and used CME Group for their OTC clearing business
More than 25 liquidity providers that are both US and Non-US institutions
Broadest Product Offering
Global multi-asset class solution for IRS, FX, and
Commodities
Only clearing house to offer clearing in 24 IRS
currencies including Chilean Peso and
Colombian Peso, and Chinese Yuan
Margin Efficiencies
Capital efficiency of portfolio margining of IRS
and swaptions vs. Interest Rate Futures, including
Eurodollars, Treasuries, Mac Swap Futures, and
Ultra Bond
- 15 Clearing Members now live and over 465
accounts taking advantage of this solution, with
risk reductions now generating an average
$2.23 billion in margin efficiencies in 2017
Operational Flexibility
Ability to real-time clear trades in all time zones
with global follow-the-sun customer support
Compression via coupon blending that reduces
gross notional outstanding and line items
2018 CME Group. All rights reserved.
OTC Highlights & Trends
5
Voluntary Clearing: Clearing of non-mandated products continues to be the primary focus for clients in the OTC space, as
the impacts of uncleared margin rules spreads through the market.
Growing Our Core Offering: CME has cleared over $115B average daily notional across currencies and products in 2018
to date, representing +30% versus 2017 ADV, with over 650 participants clearing across all currencies since launch.
Broadening LatAm Presence: CMEs TIIE (MXN) and CDI (BRL) Swap offering has seen over 190 participants, including
30 regionally-based participants. $26bn ADV in Q1-2018 across both currencies is up over 26% year-over-year.
Scaling KRW & INR Swap Clearing: 34 firms and $48bn notional cleared since launching in July 2017. Backloading of
client exposures began in Q4-2017, driving a significant portion of activity in recent months.
Delivering Capital Efficiencies: Over $40T and 889k line items reduced to date via triReduce and Coupon Blending
solutions. Our compression services are utilized by both members and non-members, growing the realized efficiencies.
Product Innovation: Continuing to scale our USD Swaptions and OTC FX clearing. Launched Chilean Peso IRS,
Colombian Peso OIS, and Chinese Yuan IRS clearing on May 21st and plan to launch SOFR Swap Clearing in Q3-2018.
Across the IRS Clearing Industry, Voluntarily Cleared Products are Growing 3X Faster than Mandated Products*
$1,208$1,095
$1,271
$1,598
$2,177
$0
$500
$1,000
$1,500
$2,000
$2,500
2014 2015 2016 2017 2018 YTD
Mandated Products ADV ($bn)+80%
$77 $77
$135
$198
$262
$0
$50
$100
$150
$200
$250
$300
2014 2015 2016 2017 2018 YTD
Non-Mandated Prodcuts ADV ($bn)+238%
*Sources: Reported clearing volumes by Global CCPs
2018 CME Group. All rights reserved.
Latin America IRS Clearing
6
$27bn ADV in TIIE (MXN) and CDI (BRL) IRS in 2018, more than double our volumes from 2016.
According to Clarus SDRview*, CME clears >95% of TIIE and 85% of the Offshore CDI Swap market
TIIE volume of $17 billion ADV in 2018, a 15% increase YoY, with 64 new participants since 2017
CME was the first CCP to support triReduce compression cycles in TIIE and CDI Swaps, and has since
generated over $2T in notional reduction across both dealers and non-member clients (via FCM).
CDI Swap clearing began in Q4-2015 and has grown to $9 billion ADV in 2018, which is 23% increase
year-over-year. Open interest now exceeds $1 trillion.
Over 105 participants have now cleared CDI Swaps, 58 of which began clearing in 2017 and 2018.
MXN and BRL IRS Volume at (USDE $bn) LatAM Participant Ecosystems
TIIE
CDI
*Based on reported trade count from Clarus SDRview
Asset Manager
53
Hedge Fund87
Bank/Dealer38
Asset Manager
27
Hedge Fund63
Bank/Dealer19
$6 $7 $9 $10
$15 $17
$11
$17 $17
$0 $1
$3
$8
$6
$7
$7
$10 $9
$6 $8
$12
$19 $21
$24
$18
$27 $26
MXN BRL
2018 CME Group. All rights reserved.
APAC IRS Clearing
7
CME launched clearing for KRW IRS and INR OIS in July 2017 and CNY on May 21st, 2018 to
further extend our industry-leading offering to 24 currencies.
CME has cleared over $71 billion in notional to date with $51 billion of that being done in 2018, as
clients have continued backloading their bilateral exposures into clearing.
41 participants have cleared the currencies and 12 liquidity providers are live, including Societe
Generale EB, Bank of America EB+FCM and Goldman Sachs FCM going live this year.
Over $41 billion notional outstanding in KRW, and $14 billion in INR. We expect this to continue
growing as more participants continue to clear new and existing bilateral positions.
KRW & INR Participant EcosystemKRW & INR Total Volume and Participants
Asset Manager8
Hedge Fund21
Bank/Dealer 12
0
5
10
15
20
25
30
35
40
45
$0
$10
$20
$30
$40
$50
$60
$70
$80
Launch Sep-17 Dec-17 Mar-18
To
tal P
art
icip
an
ts
US
DE
Vo
lum
e (
$b
n)
KRW IRS INR OIS Total Participants
2018 CME Group. All rights reserved.
COP, CLP, CNY Product ScopeNow Live for Clearing
8* Tentative maturity target; dependent on liquidity of curve instruments.
Chilean Peso
Interest Rate Swap &
Zero Coupon Swap
Colombian Peso
Overnight Indexed Swap
Chinese Yuan
Interest Rate Swap
Maximum Maturity 20 years 20 years 10 years
Floating Rate IndexCLP-TNA (Indice Cmara
Promedio)COP-IBR-OIS-COMPOUND CNY-CNREPOFIX=CFXS-Reuters*
Settlement Currency &
ConventionUSD (T+1) USD (T+1) USD (T+1)
Price Alignment Rate Fed Funds Overnight Rate Fed Funds Overnight Rate Fed Funds Overnight Rate
Variation Margin USD USD USD
Coupons and Fees USD USD USD
Holiday CalendarSantiago (CLSA) and New York
(USNY)
Bogot (COBO) and New York
(USNY)Beijing (CNBE) and New York (USNY)
Business Day Convention ACT/360 ACT/360 ACT/365.FIXED
Payment Frequency
Up to 18 month tenor = Zero
Coupon (1T)
2Y+ = Semiannual (6M)
Up to 18 month tenor = Zero Coupon
(1T)
2Y+ = Quarterly (3M)
Quarterly (3M)
Payment Lag 0D 0D 0D
FX Fixing to Convert
Coupon to USD CLP.DOLAR.OBS/CLP10 COP.TRM/COP02 CNY.SAEC (CNY01)
FX Fixing Offset -2D -2D -2D
2018 CME Group. All rights reserved. 9
CME Group Swaptions ClearingClearing Swaptions Exposures Amplifies our Unparalleled Capital Efficiencies
CME has cleared over $700m notional volume in since September 2017
9 participants have cleared swaptions to date, including 4 buy-side customers and 5 liquidity providers
Voluntary clearing allows market participants the flexibility to reduce the risk of their cleared IRS
portfolios
Margin offsets of up to 91% possible by adding swaptions to CME cleared IRS portfolios
Portfolio margining with our cleared IRS and Eurodollar, Treasury, and Deliverable Swap Futures
Reduces bilateral counterparty credit risk and frees up credit lines
Improves capital ratios, lowering capital charges that could ultimately be passed onto end users
John Dabbs, Global Head of Prime
Derivatives Services at Credit Suisse
"With uncleared margin rules coming into
greater focus for our clients, Credit Suisse is
excited to facilitate voluntary swaptions
clearing at CME Group. Clearing swaptions
enables our clients to obtain the greatest
operational and capital efficiencies from
clearing, while reducing the risks in their
portfolios."
Sabri El Jailani, Global Head of Rates
Options Trading at Barclays
"Barclays is proud to collaborate with CME
Group as one of the banks to execute the first
cleared swaption trade. Clearing through CME
will allow both Barclays as well as our clients
to significantly improve the capital
consumption and risk management of our
swaptions portfolios."
*Pending regulatory approval
2018 CME Group. All rights reserved. 10
Current Product Offering
Cleared OTC IRS Swaptions Product Scope
Physical
Currency Type Years Method Years (up to) Months
USD vanilla swaptions
Includes Straddles, cleared as a single trade or separate payer/receiver
All enumerations for USD-denominated 3 month LIBOR vanilla interest rate swaps
