CME Group and DTCC's Enhanced Treasury Cross-Margining Arrangement Goes Live

The Depository Trust & Clearing Corporation (DTCC), the premier post-trade market infrastructure for the global financial services industry, and CME Group, the world's leading derivatives marketplace, announced on Tuesday (January 23) their enhanced cross-margining arrangement is now live. This arrangement is designed to improve capital efficiencies for their clearing members that trade and clear both U.S. Treasury securities and CME Group Interest Rate futures.

With the new arrangement, which was approved by the U.S. Securities and Exchange Commission (SEC) and Commodity Futures Trading Commission (CFTC) last September, going live, eligible clearing members of CME Group and the Government Securities Division (GSD) of DTCC's Fixed Income Clearing Corporation (FICC) can now cross-margin a wider range of products, including CME Group SOFR futures, Ultra 10-Year U.S. Treasury Note futures and Ultra U.S. Treasury Bond futures, with FICC-cleared U.S. Treasury notes and bonds. Repo transactions that have Treasury collateral with more than one year remaining to maturity will also be eligible for the enhanced cross-margining arrangement.

Suzanne Sprague, Global Head of Clearing and Post-Trade Services at CME Group, commented: "We are continually seeking to make trading more efficient and cost effective for our clearing members. By increasing capital efficiencies for our clearing members who trade both cash and futures, this new Treasury cross-margining arrangement with DTCC builds on the benefits provided through our 20-year partnership and will contribute to an even more efficient U.S. Treasury marketplace, one of the most important, actively traded markets in the world."

Laura Klimpel, General Manager of Fixed Income Clearing Corporation (FICC) & Head of SIFMU Business Development at DTCC, stated: "We are pleased to continue to collaborate with CME Group to deliver enhancements to our cross-margining arrangement which will increase efficiency and enable capital savings opportunities for our members. The importance of efficient cross-margining opportunities across Treasury securities and futures activity is even more significant based on the increase in Treasury activity that will be required to be centrally cleared. We look forward to continuing to advance our offerings and capabilities to continue to deliver additional value to the industry."

Fazzaco previously reported that DTCC had launched its OTC Direct Connect​ last November, to provide customers with seamless access to OTC derivatives transactions data that are reportable in the U.S. and Canada.