CME Group Clearing: CME Clearing is the exclusive clearing provider to ERIS Interest Rate Swap Futures. The CME Clearing has an $8 billion guarantee fund and is the industry standard for clearing a gamut of futures and options.
Account Class: Eris Interest Rate Swap Futures Contracts are held in the traditional 4d (futures) Account Class. Participants are permitted to experience margin offsets between Eris Interest Rate Swap Futures Contracts and selected interest rate futures products such as CME Deliverable Swap Futures, Eurodollars and Treasury Note Futures.
Margin: Initial margin is collected by CME Clearing House. Margin levels are calculated by CME based on either SPAN methodology (2 day) for Eris Standards or HVAR methodology (5 day) for Eris Flexes, based on a 5-year history. Daily variation margin is paid/collected each day in the same manner as any standard futures contract. Coupon and interest accruals typically associated with uncleared interest rate swaps are embedded in the contract price, and do not require payments/collections outside of daily variation margin.
Mark-to-Market: By marking positions to market twice each day, CME Clearing helps to limit the accumulation of losses helping each customer manage risk as well as containing risk for the market as a whole.
Fees: Exchange fees are charged to buyer and seller based on notional value and tenor of trade.
For further information about CME Clearing, visit: CME Group Clearing