>> HVaR and Margin Offset Guide
Initial margins for portfolios of Eris interest rate swap futures are determined by CME Clearing. The margin levels are computed by CME Clearing using a proprietary model based on historical value at risk (“HVaR”). The margin levels are currently based on a 5-day liquidation period and will be updated daily to best reflect changing market conditions.
Since Eris interest rate swap futures are held in the same guaranty fund with other CME Group futures, end-users can seamlessly achieve reduced margin levels when holding portfolios which include Eris contracts and highly correlated CME Group futures, including Eurodollars and Treasury futures. These offsets can reduce margin levels by up to 95% for portfolios with highly correlated positions. The dynamic HVaR model will capture offsets between all combinations of positions based on applied correlations and the exposures inherent in the positions in the portfolio.
CME Clearing provides users with a new margin calculator module which can be used to determine initial margins for actual or hypothetical portfolios which include Eris interest rate swap futures, Eurodollar futures, and Treasury futures.
Detailed information regarding the topics below can be found by downloading the full version of the guide.
- Historical VaR (“HVaR”) and Standard Portfolio Analysis of Risk (“SPAN”)
- Margin Offsets between Eris and CME Group Futures
- Eris Interest Rate Swap Futures Margin Process
- Initial Margins for Eris Futures vs. Initial Margins for Eurodollar and Treasury Futures
- Historical Initial Margins for Eris Exchange Benchmark Contracts
- Historical Initial Margins for Eris Curve Trades
To review the full HVaR and Margin Offset Guide >> Click Here