CME Group and DTCC’s enhanced treasury cross-margining arrangement receives SEC and CFTC approval

Arrangement will allow eligible clearing members to gain increased margin efficiencies between US treasury securities and CME Group interest rate futures, with an expected launch in January 2024.

CME Group and The Depository Trust & Clearing Corporation (DTCC) have received Securities and Exchange Commission (SEC) and Commodity Futures Trading Commission (CFTC) approvals for their enhanced cross-margining arrangement.

Expected to launch in January 2024, the development will help create capital efficiencies for clearing members that trade and clear both US treasury securities and CME Group interest rate futures.

The arrangement will enable clearing members of CME and the Government Securities Division (GSD) of DTCC’s Fixed Income Clearing Corporation (FICC) to cross-margin an increased range of products, including CME Group SOFR futures, Ultra 10-year US treasury note futures and FICC-cleared US treasury notes and bonds.

“In line with our longstanding commitment to provide capital efficiencies to market users, we are very pleased to bring this enhanced cross-margining arrangement to the treasury marketplace in January,” said Suzanne Sprague, CME Group’s global head of clearing and post-trade services.

“We appreciate the opportunity to further our collaboration with DTCC for the benefit of market participants who trade across cash and futures markets.”

In addition, repo transaction that have treasury collateral with a time to maturity that exceeds one year will also be eligible for the new cross-margining arrangement.

­­“The approval of the arrangement paves the way for increased efficiency and resiliency of the overall US treasury market, and we look forward to working with CME Group to deliver upon these important enhancements,” added Laura Klimpel, general manager of FICC and head of SIFMU business development at DTCC.

«