350
CME PM Unlocks Swap Dealer Liquidity
With up to 97.5% margin offsets between Eris SOFR Swap Futures and the equivalent CME swap, CME Portfolio Margining (PM) dramatically increases the margin efficiency of trading Eris SOFR alongside CME Cleared Swaps. PM has resulted in a game-changing increase in liquidity of Eris SOFR, fueled by multiple swap dealers and swap-enabled futures market makers.
What is Portfolio Margining (PM)?
Eris SOFR joins the list of CME products eligible for portfolio margining with CME Cleared IRS. By margining Eris SOFR in a user’s swaps account, rather than in the separate futures account subject to the SPAN margin methodology, offsetting risk positions result in substantial reductions in Initial Margin (IM).
How does PM impact Eris markets?
PM has attracted new swap dealers to provide block liquidity for Eris SOFR, alongside multiple swap-enabled futures market markers. With the cost of carrying hedged positions now much lower for market markers, the result is a significant boost in liquidity available for end users to trade Eris SOFR.
How large are the margin savings?
CME CORE shows margin savings of 92-97.5% between Eris SOFR Swap Futures and equivalent CME Cleared IRS, including 92% savings on Eris SOFR 10y (Short YIY vs. Receive Fixed equivalent CME Cleared MAC SOFR swap).
How do I access Eris SOFR markets?
Eris SOFR markets are viewable on Bloomberg, Eris’ website, CME Direct and via all other vendor systems offering CME futures. Block trading through futures brokers is encouraged. To request a Bloomberg Launchpad to monitor Eris prices, click here.
How do participants access PM savings?
Market participants can access portfolio margin savings by requesting support from a Clearing Firm/FCM (Futures Commission Merchant) eligible to clear both CME OTC IRS and CBOT futures. Clearing Members can use the current version of CME Optimizer to perform automated margin optimization.
