CME Expands Portfolio Margining Offering for IRS Products to Include Options on Eurodollar Futures

​CME Group announced on Monday that it is expanding its portfolio margining offering for IRS Products to include several Options on Eurodollar Futures in addition to existing eligible Futures products: Eurodollar Futures, Fed Funds Futures, Treasury Futures and Deliverable Swap (MAC) Futures. 

This expansion is scheduled to be enabled in the Production environment on December 7th, 2020, subject to regulatory approval. The inclusion of Listed Options has been available for testing in CME's test environment since October 28th, 2020. To recap, the expansion to Eurodollar Options will have the below key impacts:

· ​Product Scope: Options on Eurodollar Futures including Eurodollar Quarterly and Serial Options and Eurodollar 1, 2, 3, 4 and 5 Year Mid-Curve Options, but not including weekly Options nor the 3, 6, and 9 month mid-curve Options.

· No impact to Initial Margin methodology/numbers for existing set of Swaps/products cleared under IRS Guaranty Fund. The margin number will vary if any Options positions are included in portfolio margining. 

Supports for Listed Options in portfolio margining in CME Clearing system include Exercise and Assignment operations as well as Available Net Option Value settlement.