Groundbreaking Margin Savings of Up to 95 Percent for Interest Rate Swap Futures Clients
Eris Exchange, a US-based futures exchange, today announced the implementation of groundbreaking margin offsets with CME Group Eurodollar and Treasury futures commencing May 7. Eris Exchange Interest Rate Swap Futures clients will benefit from the dramatic capital efficiency of portfolio margining with the $37 trillion in notional outstanding of interest rate futures held at CME Clearing. End user margin savings can reach as high as 95 percent for portfolios of highly correlated positions.
“Eris Exchange Interest Rate Swap Futures will offer unprecedented initial margin savings for clients seeking to manage interest rate risk and reduce counterparty exposure,” said Neal Brady, ceo of Eris Exchange. “Whether it’s an asset manager, hedge fund, GSE, insurance company or corporate end user, interest rate swap clients are increasingly looking for ways to minimize operational and financial costs as they begin to migrate bi-lateral OTC swap activity to central counterparty clearing. With the introduction of portfolio margining with CME Group interest rate futures, we are thrilled to offer buy side swap end users the market leading, lowest cost solution to address this challenge.”
“Eris Exchange’s innovative offering provides the market with a new source of liquidity for cleared interest rate swap exposure delivered with cross product portfolio margin efficiency with CME Group futures directly at the individual client level,” said Supurna VedBrat, managing director and Co-Head of E-Trading and Market Structure at BlackRock.
Eris Exchange Interest Rate swap futures are backed by CME Clearing’s flagship futures guarantee fund and positions are held in the same account class as traditional futures, allowing for straightforward application of correlation-based margin offsets. As with traditional futures, access to the Eris Interest Rate Swap futures and the CME portfolio margining facility is open and available to futures clients of any eligible CME Clearing firm.
“As the established market leader in clearing US dollar-denominated interest rate derivatives, CME Clearing has offered customers margin relief between correlated futures products for decades. We are pleased to extend CME Group’s portfolio margining solutions to Eris Exchange futures’ end users as they seek to address the regulatory and market-driven requirements of today’s marketplace,” said Kim Taylor, president of CME Clearing.
Eris Exchange has published detailed examples of portfolio savings at http://www.erisfutures.com/marginoffsets, and welcomes market participants seeking to quantify savings to submit specific swap and futures portfolios for calculation of initial margin requirements.
Eris Exchange is a futures exchange (Designated Contract Market) regulated by the CFTC, and lists a US Dollar-denominated interest rate swap futures contract. Since launch, Eris Exchange has traded more than $35 billion in notional value of Eris Interest Rate Swap Futures. Eris Exchange contracts are cleared by CME Clearing, a leading derivatives clearing house. For more information, visit Eris Exchange online at: www.erisfutures.com
