|2Y Eris IMM||2Y Eurodollar Strip||89%|
|5Y Eris IMM||5Y Eurodollar Strip||86%|
|10Y Eris IMM||10Y Eurodollar Strip||85%|
Eris Invoice Spread Leg1
10Y Treasury Futures
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 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.
1. What are margin offsets?
Margin offsets reduce margin levels for market participants holding portfolios which include Eris Interest Rate Swap Futures Contracts and highly correlated CME Group interest rate futures contracts. Market participants sometimes refer to margin offsets as “portfolio margining” or “cross margining.”
2. Who determines the margin and offsets for Eris Exchange futures?
Initial margins for portfolios of Eris Exchange futures are determined by CME Clearing using a proprietary model based on Historical Value at Risk (HVaR).
3. Who is eligible for margin offsets?
All market participants on Eris Exchange are eligible for margin offsets, including market participants with Customer and House/Proprietary accounts. These include hedge funds, asset managers, and proprietary trading firms as well as sell side.
4. What products are eligible for margin offsets with Eris Exchange positions?
The following products will be eligible for margin offsets with Eris Exchange positions: Eurodollars Futures, U.S. Treasury Bond Futures, and 2, 3, 5, 10 year Treasury Note Futures.
5. How do I get set up to have margin offsets in my futures account?
To be eligible for margin offsets, Eris Exchange and CME interest rate futures must be placed by a Clearing Firm into a common position account for each customer. CME Clearing provides multiple methods to accomplish this co-mingling of positions, including direct trading, post-trade give-ups and post-trade position transfers. CME waives post-trade surcharges for post-trade give-ups and transfers enacted for margin offset purposes. Market participants should contact their Clearing Firm for more information. Clearing Firms can get more information from the Eris Exchange Margin Process Overview document.
6. Are margin offsets dependent upon the finalization of Dodd-Frank rules or additional regulatory approvals?
No, all of the requisite regulatory approvals are in place for the margin offsets. CME Clearing holds customer collateral for Eris Exchange futures positions in Section 4d Customer Segregated accounts (or Clearing Member collateral in proprietary accounts) alongside collateral for CME Group futures positions, allowing for application of margin offsets within the existing regulatory structure.
7. Do Eris Exchange margin offsets relate to the CME Clearing’s portfolio margining of Cleared OTC Interest Rate Swaps?
No. The Eris Exchange margin offsets should not be confused with the CME Clearing’s portfolio margining program for Cleared OTC Interest Rate Swaps, which applies to house accounts only.
8. What calculation methodology does CME Clearing employ to calculate margin offsets?
CME Clearing employs Historical Value at Risk (HVaR) using a five-year look-back, five-day Value at Risk (VaR), and 99.7% confidence interval to calculate initial margins for portfolios of Eris Exchange and eligible CME Group interest rate futures products; for more information, review the HVaR and Margin Offset Guide or contact CME Clearing at 312-207-2525.
9. How do I run sample portfolios to understand the total margin offsets available?
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. Information found at: http://www.erisfutures.com/sample-portfolios.
10. Are there additional resources available about clearing, margins and clearing members involved with margin offsets?
Yes, we provide multiple resources and tools through our website www.erisfutures.com. You may also contact the Eris Exchange Client Services Group at email@example.com or 888-587-2699 (select 4) for information. Eris Exchange provides sample portfolios that illustrate the net impact of the margin offsets, a margin simulator tool and file templates to facilitate use of the tool.
11. Can I combine Eris Exchange, Eurodollars and Treasury Futures in the same portfolio for optimal margin offsets?
Yes, all participants on Eris Exchange will have the ability to dramatically reduce initial margin levels when holding portfolios of Eris Exchange futures combined with Eurodollar futures or U.S. Treasury Note futures.
Margin Offset FAQs >> Click HereMargin Simulation Tool