Cross-Margining in US Treasury Clearing

CCPs are continuing to innovate in the U.S. Treasury clearing market - expanding access models, adding clearing capacity, and developing new ways for participants to manage margin and collateral. Customer-level cross-margining between FICC-cleared Treasury positions and CME Treasury futures, live since 30 April, is one of the clearest examples. Without it, customers running offsetting cash and futures legs under the new clearing mandate would post margin twice - once at FICC and once at CME - for what is economically a single risk. That double-posting threatens to make the basis trade uneconomic at scale, putting at risk the leveraged liquidity provision the Treasury market depends on. Cross-margining allows eligible offsetting positions to be recognised as a single risk portfolio, materially reducing the capital burden and helping keep the intermediaries the market relies on active.

The article explores how the programme is structured, who benefits most, and what changes for posted margin.