Cleared OTC Financial Products - CME Group .© 2016 CME Group. All rights reserved. Cleared OTC Financial

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  • 2016 CME Group. All rights reserved.

    Cleared OTC

    Financial Products

    Security. Neutrality. Transparency.


  • 2018 CME Group. All rights reserved.






    Interest Rate Swap Clearing

    OTC Foreign Exchange Clearing

    Capital & Margin Efficiencies



  • 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


    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


    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*











    2014 2015 2016 2017 2018 YTD

    Mandated Products ADV ($bn)+80%

    $77 $77











    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


    $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



    *Based on reported trade count from Clarus SDRview

    Asset Manager


    Hedge Fund87


    Asset Manager


    Hedge Fund63


    $6 $7 $9 $10

    $15 $17


    $17 $17

    $0 $1






    $10 $9

    $6 $8


    $19 $21



    $27 $26


  • 2018 CME Group. All rights reserved.

    APAC IRS Clearing


    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




















    Launch Sep-17 Dec-17 Mar-18


    tal P









    e (



    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


    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


    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


    2Y+ = Quarterly (3M)

    Quarterly (3M)

    Payment Lag 0D 0D 0D

    FX Fixing to Convert


    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


    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


    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


    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


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