CME Has Asked the SEC to Let It Margin Treasury Trades Against Its Own Futures

A clearing house that margins two related positions separately collects more than one that margins them together. That difference is the whole subject of a notice the Securities and Exchange Commission published on Monday, and the reason CME Group has asked for permission to net its own Treasury clearing against its own futures.

What was filed

CME Securities Clearing Inc. filed the proposed rule change on August 18, 2026 under Section 19(b)(2) of the Securities Exchange Act. The Commission published notice of it on August 31 as Release No. 34-106193, File No. SR-CMESC-2026-007, at 91 FR 55940. Comments are due September 21. The Commission then has 45 days from publication, extendable to 90, to approve it, disapprove it, or institute proceedings.

The filing does two things at once. It adopts a general set of standards under which CMESC may establish cross-margin arrangements with derivatives clearing organisations registered under the Commodity Exchange Act. And it adopts the first such arrangement, a proprietary one with Chicago Mercantile Exchange Inc., which is a corporate affiliate.

What could be offset against what

On the CMESC side, eligible products are positions in cash Treasury transactions and repo transactions in or involving U.S. Treasury bills, notes and bonds. On the CME side, they are interest-rate futures cleared by CME or by the Board of Trade of the City of Chicago.

Two categories of participant qualify. A Joint Clearing Member is simultaneously a CMESC member or independent user and a CME clearing member. An Affiliated Clearing Member is a CMESC member or independent user paired with an affiliated CME clearing member. Either way the positions sit in a matched pair of accounts the filing calls X-M Accounts, one at each clearing organisation.

How the single number is calculated

CMESC would calculate one margin requirement across both legs using the SPAN 2 risk-based margin methodology. The filing states a coverage target of 99% on an ex-post basis over a margin period of risk of at least two business days.

• Eligible margin is U.S. dollar cash and U.S. Treasury securities. Where the two clearing organisations apply different haircuts or limits, the more conservative applies.
• Collateral is held in joint custody at designated X-M Clearing Banks, with both clearing organisations holding security interests.
• There are two daily clearing cycles, intraday and end-of-day.
• On a default, joint liquidation is preferred, and losses are shared pro rata based on each clearing organisation's share of the margin requirement for its own positions.
• Losses beyond the liquidation funds held for a suspended participant fall to each clearing organisation's own financial safeguards waterfall.

Why now

CMESC registered as a clearing agency under the Securities Exchange Act on December 1, 2025, to act as a covered clearing agency for transactions in or involving U.S. Treasury securities. When CME Group announced that approval, it said cash Treasury trades must comply with the central clearing mandate by December 31, 2026 and repo by June 30, 2027, and that expanded clearing capacity and capital efficiencies were, in chairman and chief executive Terry Duffy's words, critical for participants working to comply.

CME already cross-margins with DTCC's Fixed Income Clearing Corporation. In April 2026 the two firms received SEC and CFTC approvals to extend that arrangement to end-user clients from April 30, alongside a CFTC exemptive order permitting dually registered broker-dealer futures commission merchants to commingle futures customer funds at FICC. Announcing that expansion, DTCC president and chief executive Frank La Salla said the existing clearing-member proprietary programme produces an average of $1 billion across both clearing houses in risk offsets every day.

What to watch

The statutory clock runs from August 31. The substantive question in front of the Commission is not whether cross-margining is useful — the CME-FICC programme already establishes that — but whether a clearing agency computing a single margin number across its own affiliate's futures raises questions a cross-firm arrangement does not. The comment file closes September 21.