Portfolio Margining-eligible firms will have the ability to portfolio margin USD Deliverable Swap Futures and Ultra U.S. Treasury Bond Futures with OTC Interest Rate Swaps (IRS). Below is the list of newly eligible Portfolio Margin products in Production:
Name | Product Type | Exchange | CME Codes |
2-Year USD Deliverable Interest Rate Swap Futures | Deliverable Swap Future | CBOT | Open Outcry and CME Globex: T1U |
5-Year USD Deliverable Interest Rate Swap Futures | Deliverable Swap Future | CBOT | Open Outcry and CME Globex: F1U |
10-Year USD Deliverable Interest Rate Swap Futures | Deliverable Swap Future | CBOT | Open Outcry and CME Globex: N1U |
30-Year USD Deliverable Interest Rate Swap Futures | Deliverable Swap Future | CBOT | Open Outcry and CME Globex: B1U |
Ultra U.S. Treasury Bond Futures | U.S. Treasury Futures | CBOT | Open Outcry = UL
CME Globex = UB
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The new portfolio margining capabilities will be available for both house and customer accounts in Production on 9/22/14.