Swap Futures Offer Significant Margin Savings vs OTC


The minimum margin period of risk (MPOR), the period of time used by clearing houses in determining the minimum margin requirement for a particular risk position, is 1 day for standardized listed futures, while for cleared OTC swaps, the MPOR is typically 5-7 days. The resulting impact is significantly lower margins for listed, exchange traded derivatives relative to the equivalent OTC risk position.

Initial Margin Table

Source: Bloomberg LLP, as of 12/1/20, swap margins based on the average of CME and LCH pay & rec fixed requirements