CME: portfolio margining available for Deliverable Swap Futures

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

 

 

The new portfolio margining capabilities will be available for both house and customer accounts in Production on 9/22/14.

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