DTCC and CME to launch enhanced cross-margining in Jan 2024, including repo

CME Group and The Depository Trust & Clearing Corporation (DTCC) announced their enhanced cross-margining arrangement has received Securities and Exchange Commission (SEC) and Commodity Futures Trading Commission (CFTC) approvals. The arrangement will enable capital efficiencies for clearing members that trade and clear both US Treasury securities and CME Group Interest Rate futures and is expected to launch in January 2024.

The new cross-margining arrangement will permit eligible clearing members of CME and the Government Securities Division (GSD) of DTCC’s Fixed Income Clearing Corporation (FICC) to cross-margin an expanded suite of products, including CME Group SOFR futures, Ultra 10-Year U.S. Treasury Note futures and Ultra U.S. Treasury Bond futures, and FICC-cleared U.S. Treasury notes and bonds. Repo transactions that have Treasury collateral with a remaining time to maturity greater than one year will also be eligible for the enhanced cross-margining arrangement.

“In line with our longstanding commitment to provide capital efficiencies to market users, we are very pleased to bring this enhanced cross-margining arrangement to the Treasury marketplace in January,” said Suzanne Sprague, CME Group global head of Clearing and Post-Trade Services, in a statement. “We appreciate the opportunity to further our collaboration with DTCC for the benefit of market participants who trade across cash and futures markets.”

“We are pleased to have received regulatory approval of our enhanced cross-margining arrangement,” said Laura Klimpel, general manager of Fixed Income Clearing Corporation (FICC) and head of SIFMU Business Development at DTCC, in a statement. “The approval of the arrangement paves the way for increased efficiency and resiliency of the overall US Treasury Market, and we look forward to working with CME Group to deliver upon these important enhancements.”


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