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CME Clearing’s Margining Practices: CoVid

Pandemic

December 2020
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CME Clearing’s Margining Practices: CoVid Pandemic

CME Clearing’s Markets During the CoVid Pandemic

• Treasuries: Treasury yields saw their largest daily percent shifts 

and lowest absolute levels ever, with the entire cash yield curve 

out to 30 years dropping below 1% for the first time in history

• Equities: The 9 largest dollar moves in history of the S&P 500, 

the 10 largest for the Dow Industrial Average, and the 7 largest 

for the Nasdaq 100 occurred in March and April 2020

- S&P 500 and Nasdaq 100 saw their second highest percentage 

down moves in price ever during this period

• Crude Oil: WTI Crude Oil saw its two largest dollar and 

percentage price moves ever and went negative for the first time
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CME Clearing’s Margining Practices: CoVid Pandemic

Despite the volatile markets, CME Clearing did not implement any new rules, policies, processes, or procedures 

in managing the CoVid pandemic

• CME Clearing made appropriate step-change increases to its initial margin requirements, giving the market at least 24-

hours’ notice before increases became effective 

• CME Clearing did not run any ad hoc settlement cycles – in line with its business-as-usual practices it ran its standard 

settlement cycles at intraday and end-of-day

- During each of its settlement cycles CME Clearing collects initial margin and collects and pays out settlement variation 

Initial Margin Model Performance

• The absolute size of the initial margin increases were relatively modest, which is particularly true relative to the 

extraordinary volatility observed, including as demonstrated by the settlement variation flows

• Asset classes observed repeated, significant price movements, which suggests that the anti-procyclical characteristics 

of CME Clearing’s margin models worked accordingly, while maintaining appropriate backtesting coverage

• CME Clearing’s portfolio coverage level for the twelve months from the end of Q1 2019 to the end of Q1 2020 stands at 

99.97% for Base (i.e., primarily futures and options) products and 99.87% for IRS products

Overview of Margining Practices
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CME Clearing’s Margining Practices: CoVid Pandemic

Day-over-Day Percent Change in Initial Margin Required*

*Data for Base & IRS products from March 1, 2020 thru April 

30, 2020.

1.02%

6.47%

0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

Avg. DoD IM Chng - CoVid Max DoD IM Chng - CoVid
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CME Clearing’s Margining Practices: CoVid Pandemic

Max Day-over-Day Initial Margin Changes vs. Max Variation Payments*

*Data for Base & IRS products from March 1, 2020 thru April 

30, 2020.

Notably, initial margin is 

called on a gross basis for 

customers (i.e., one 

customer’s exposures 

cannot offset another 

customer’s exposures for 

margining purposes which 

generally results in the 

U.S. DCO holding at least 

2X of customer net margin 

requirements), whereas 

settlement variation is 

collected on a net basis. In 

addition, changes in initial 

margin during this period 

were significantly 

impacted by market 

participants changing their 

exposures. -

 2,000,000,000.00

 4,000,000,000.00

 6,000,000,000.00

 8,000,000,000.00

 10,000,000,000.00

 12,000,000,000.00

 14,000,000,000.00

 16,000,000,000.00

 18,000,000,000.00

 20,000,000,000.00

Max MtM Pays Theoretical Max IM Chng w/Customer Net

This figure converts the actual 

max day-over-day IM change 

of about $10B during CoVid to 

a theoretical amount where 

futures and options customers 

are margined on a net basis
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CME Clearing’s Margining Practices: CoVid Pandemic

Changes in Open Interest

Futures & Options 2020Q1-End 2019Q4-End % Chng Initial Margin Required as of 

2020Q1-End

Rates 84,692,756 78,587,968 7.77% $58,577,185,512

Equities 9,779,945 7,723,067 26.63% $85,076,818,637

Metals 2,840,060 2,990,465 -5.03% $10,962,244,362

Energy 16,096,575 14,267,236 12.82% $21,543,026,448

FX 2,172,450 2,442,776 -11.07% $5,961,299,963

Ags 7,553,196 7,323,884 3.13% $8,388,589,435

Total 123,137,503 113,338,802 8.65% $190,515,873,951

Key Products 2020Q1-End 2019Q4-End % Chng Initial Margin Required as of 

2020Q1-End

E-Mini S&P 5,466,408 4,136,189 32.16% $67,986,925,948*

10-Year U.S. Treasury 6,908,146 6,740,730 2.48% $45,301,119,131

WTI 5,110,968 3,937,546 29.80% $10,468,652,250

COMEX Gold 2,071,772 2,046,097 1.25% $7,864,944,324

*Margin total includes E-Mini S&P 500 and S&P 500 Futures 

and Options.
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CME Clearing’s Margining Practices: CoVid Pandemic

Stability of CME Clearing’s Margin Requirements

1-day Max Initial Margin Increase

CME Clearing 12 month 99% Confidence Interval + 25%

S&P 17.8% 32.4%

10-Year Treasury Note 16.4% 17.3%

WTI Crude Oil 20.4% 26.3%

COMEX Gold 19.3% 23.0%

30-day Max Initial Margin Increase

CME Clearing 12 month 99% Confidence Interval + 25%

S&P 81.8% 219.0%

10-Year Treasury Note 60.9% 89.1%

WTI Crude Oil 115.1% 124.8%

COMEX Gold 67.0% 133.3%

*Data covers the time period from January 1, 2020 thru June 

8, 2020.

All of CME Clearing’s initial margin increases were issued with at least 24-hours’ advance notice 
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CME Clearing’s Margining Practices: CoVid Pandemic

Margin Increases vs. Market Moves: E-Mini S&P 500

0

50

100

150

200

250

300

1/2/2020 1/16/2020 1/30/2020 2/13/2020 2/27/2020 3/12/2020 3/26/2020 4/9/2020 4/23/2020 5/7/2020 5/21/2020 6/4/2020

Absolute Change in Index Points Margin Increase in Index Points
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CME Clearing’s Margining Practices: CoVid Pandemic

Margin Increases vs. Market Moves: 10-Year U.S. Treasury Note 

1/2/2020 1/16/2020 1/30/2020 2/13/2020 2/27/2020 3/12/2020 3/26/2020 4/9/2020 4/23/2020 5/7/2020 5/21/2020 6/4/2020

0

0.5

1

1.5

2

2.5

Absolute Change in Points Margin Increase in Points
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CME Clearing’s Margining Practices: CoVid Pandemic

Margin Increases vs. Market Moves: WTI Crude Oil 2nd Month

$0.00

$2.00

$4.00

$6.00

$8.00

$10.00

$12.00

1/2/2020 1/16/2020 1/30/2020 2/13/2020 2/27/2020 3/12/2020 3/26/2020 4/9/2020 4/23/2020 5/7/2020 5/21/2020 6/4/2020

Absolute Price Change in Dollars per Barrel Margin Increase in Dollars per Barrel
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CME Clearing’s Margining Practices: CoVid Pandemic

Margin Increases vs. Market Moves: COMEX Gold

$0.00

$10.00

$20.00

$30.00

$40.00

$50.00

$60.00

$70.00

$80.00

$90.00

$100.00

1/2/2020 1/16/2020 1/30/2020 2/13/2020 2/27/2020 3/12/2020 3/26/2020 4/9/2020 4/23/2020 5/7/2020 5/21/2020 6/4/2020

Absolute Price Change in Dollars Per Ounce Margin Increase in Dollars Per Ounce
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CME Clearing’s Margining Practices: CoVid Pandemic

Trend in Excess Initial Margin Collateral on Deposit

0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

8.00%

9.00%

 -

 2,000,000,000.00

 4,000,000,000.00

 6,000,000,000.00

 8,000,000,000.00

 10,000,000,000.00

 12,000,000,000.00

 14,000,000,000.00

 16,000,000,000.00

 18,000,000,000.00

01/02/202001/06/202001/08/202001/10/202001/14/202001/16/202001/20/202001/22/202001/24/202001/28/202001/30/202002/03/202002/05/202002/07/202002/11/202002/13/202002/17/202002/19/202002/21/202002/25/202002/27/202003/02/202003/04/202003/06/202003/10/202003/12/202003/16/202003/18/202003/20/202003/24/202003/26/202003/30/202004/01/202004/03/202004/07/202004/09/202004/13/202004/15/202004/17/202004/21/202004/23/202004/27/202004/29/2020

Excess IM Collateral as a % of IM Collateral on 

Deposit 

Excess IM Collateral on Deposit
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CME Clearing’s Margining Practices: CoVid Pandemic

Trend in U.S. Dollar Cash Deposited as Initial Margin

Base & IRS

Avg. Cash % 24.70%

Max Cash % 38.53%

 -

 10,000,000,000

 20,000,000,000

 30,000,000,000

 40,000,000,000

 50,000,000,000

 60,000,000,000

 70,000,000,000

 80,000,000,000

 90,000,000,000

 100,000,000,000

CME Clearing accepts a diverse set of collateral and does not impose any minimum U.S. Dollar cash requirements
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Thank you