CME Group and DTCC expand cross-margining opportunities for Treasury markets

New expansion will allow eligible clearing members to gain increased margin efficiencies between US Treasury securities and CME Group interest rate futures, with changes expected to launch in January 2024.

CME Group and The Depository Trust & Clearing Corporation (DTCC) have enhanced their existing cross-margining arrangement to increase capital efficiencies for clearing members which trade and clear both US treasury securities and CME Group interest rate futures.

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 now be able to cross-margin an increased suite of products through the enhanced agreement.

This will include CME Group SOFR futures, Ultra 10-year US treasury note futures and Ultra US treasury bond futures.

FICC-clear US treasury notes and bonds, and repo transactions which have a time to maturity that is more than one year, will also be eligible.

“Today’s announcement builds on 20 years of our organisations working together to create efficiencies for treasury market participants,” said Suzanne Sprague, global head of clearing and post-trade services at CME Group.

“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.”

The proposed changes are expected to launch in January next year, subject to regulatory approval.

“FICC recognises 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,” said Laura Klimpel, general manager of Fixed Income Clearing Corporation (FICC) and head of SIFMU business development at DTCC.