Standard Acceptable Collateral and Resources

CME Clearing manages billions of dollars each day in the process of balancing accounts and maintaining performance bonds/margins.

CME Clearing is dedicated to meeting the needs of its clearing firms and end-clients in regards to collateral acceptance while accepting a diverse portfolio of assets. CME Clearing will consider the acceptance of additional collateral types, given that it is high quality and highly liquid collateral that is appropriate for the industry. For more information, click here.

Learn more about:

  • Types of collateral that can be used
  • Ways members can earn interest on their deposit
  • Daily financial processing cycle

Navigate the tabs to view standard acceptable collateral for the different asset types.

Collateral Programs
 

Collateral Types Accepted for Futures, Options & Forwards

CME Clearing accepts a wide range of collateral for deposit into trading accounts, including U.S. dollars, select foreign currencies, U.S. Treasuries, select foreign sovereign debt, asset-backed securities, and agency bonds.

Acceptable performance bond deposits by customers of Clearing Member Firms are subject to CME Rule 930.C. The lists of acceptable collateral for both 4d and Cleared Swaps Customer Accounts both pertain exclusively to deposits made by clearing member firms to meet their obligations at CME Clearing.

View Collateral Summary

 

Category 1
Category 2*
Category 3**
 

 

Cash

Foreign Sovereign Cash
Haircuts will be applied only when performance bond cash is utilized to meet PB requirements in other currencies:
  • Australian dollar, British pound, Canadian dollar, Euro, Japanese yen, New Zealand dollar, Norwegian krone, Swedish krona, Swiss franc - 5% haircut.
  • Offshore Chinese Renminbi - 10% haircut.
  • Mexican peso - 15% haircut.
  • Turkish lira - 20% haircut.
  • US dollar - No haircuts are applied.

$250 million USDE limit across the entire firm relationship with CME on all FX cash meeting a requirement in a different currency.

 

U.S. Treasuries

U.S. Treasury Bills
  • 0.5% haircuts applied to market value.
U.S. Treasury Notes/Bonds
Time to Maturity:
  • 0-1 year: 1%
  • 1-3 years: 2%
  • 3-5 years: 3%
  • 5-10 years - 4.5%
  • 10-30 years - 6%

U.S Treasury Notes/Bonds have an additional 1.5% haircut if issue date is greater than 270 days.
U.S. Treasury Strips (Principal & Coupon)
  • 11% haircut applied to market value of security.
TIPS (Treasury Inflation-Protected Securities)
Time to Maturity:
  • 0-1 year: 1%
  • 1-3 years: 2%
  • 3-5 years: 3%
  • 5-10 years - 4.5%
  • 10-30 years - 6%

U.S Treasury Notes/Bonds have an additional 1.5% haircut if issue date is greater than 270 days.

  • Limited to firm asset of $1 billion
  • TIPS, IEF 4, Foreign Sovereign Debt, Gold, and Stock on a combined basis are eligible for 40% of core requirement or $5 billion, the lesser of the two.

 

Specialized Collateral Programs

View Description of IEF Programs

IEF2 - CME's platform of money market mutual funds.
  • Must be an IEF2 participant.
  • 3% haircut.

(List of acceptable money market mutual funds supported in its IEF2 Program.)
IEF3 - Specialized Collateral Program - utilizing Bank of New York and JP Morgan Chase.
  • Must be an IEF3 participant.
IEF4 - Specialized Collateral Program - utilizing Bank of New York and JP Morgan Chase.
  • Must be an IEF4 participant.
  • Concentration limit of $200 million per issuer.
  • Concentration limit of 5% per issue of amount outstanding.
  • Concentration limit of $200 million per family. Monitored by CME.
  • Industry diversification at 25% level per Industry, after initial $500million deposit per firm, monitored by CME.
  • 20% haircut applied to market value.
  • TIPS, IEF 4, Foreign Sovereign Debt, Gold, and Stock on a combined basis are eligible for 40% of core requirement or $5 billion, the lesser of the two.
  •  Download CUSIP List (XLS) | (CSV)
IEF5 - Specialized Cash Program - utilizing JP Morgan Chase, Fifth Third and Deutsche Bank.
  • U.S. Agencies, Mortgage Backed Securities, Letters of Credit, and IEF 5 on a combined basis are eligible for 40% of firm's core requirement

 

U.S. Government Agencies

  • U.S. Agencies, Mortgage Backed Securities, Letters of Credit, and IEF 5 on a combined basis are eligible for 40% of firm's core requirement. Subordinated debt of the agencies listed below is not acceptable performance bond.
  • Discount notes (with remaining maturity of no more than 12 months). Issued by Federal Farm Credit Banks, Federal Home Loan Bank System, Federal Home Loan Mortgage Corp. and Federal National Mortgage Assoc.
  • 3.5% haircut on market value
Callable and Non-callable Fannie Mae Benchmark Bills, Freddie Mac Reference Bills, Federal Home Loan Bank Bills, Federal Farm Credit Bank Bills
  • 3.5% haircut on market value of Agency Bills
Callable and Non-callable Fannie Mae Benchmark Notes/Bonds, Freddie Mac Reference Notes/Bonds, Federal Home Loan Bank Notes/Bonds, Federal Farm Credit Bank Notes/Bonds
Agency Bonds and Notes have a haircut on market value

Time to Maturity:
  • 0-5 years - 4%
  • 5-10 years - 5.5%
  • > 10 years - 7%
Agency Notes/Bonds have an additional 1.5% haircut if issue date is greater than 270 days.
  • Issue size must be greater than $1 billion for coupon bearing instruments.

 

Select Mortgage Backed Securities

Mortgage Backed Securities (Fannie Mae (FNMA), Freddie Mac (FHLMC) and Ginnie Mae (GNMA))
  • U.S. Agencies, Mortgage Backed Securities, Letters of Credit, and IEF 5 on a combined basis are eligible for 40% of firm's core requirement.
  • Haircut is 11% on market value

 

Foreign Sovereign Debt

Selected Sovereign debt of Canada, France, Germany, Japan, Sweden and United Kingdom:
  • Discount bills - 5%
Time to Maturity:
  • 0-5 years - 6%
  • 5-10 years - 7.5%
  • 10-30 years - 9%
  • >30 years - 10.5%

Foreign Notes/Bonds have an additional 1.5% haircut if issue date is greater than 270 days.

  • Limited to firm asset of $1 billion
  • TIPS, IEF 4, Foreign Sovereign Debt, Gold, and Stock on a combined basis are eligible for 40% of core requirement or $5 billion, the lesser of the two.

 

Letters of Credit

Issued in the Exchange's name by approved banks.
  • U.S. Agencies, Mortgage Backed Securities, Letters of Credit, and IEF 5 on a combined basis are eligible for 40% of firm's core requirement.
  • Letters of Credit can be used for 100% of Concentration requirement
  • Letters of Credit are not accepted for Forwards and 4d Swaps

See List of Approved Banks
See Requirements for Issuance of Letter of Credit (PDF)
See Requirements for Amending Letter of Credit (PDF)
See Uniform Letter of Credit Format Standby (PDF)
See Uniform Letter of Credit Format Pass Through (PDF)

 

Gold

  • Limited to a clearing member's non-segregated (NSEG) requirement
  • TIPS, IEF 4, Foreign Sovereign Debt, Gold, and Stock on a combined basis are eligible for 40% of core requirement or $5 billion, the lesser of the two.
  • Limited to firm asset of $500 million
  • 15% haircut applied to the market value
  • Utilizing JP Morgan Chase, Deutsche Bank, and HSBC

 

Stocks

  • Selected from those in the S&P 500 Index.
  • 30% haircut of market value.
  • TIPS, IEF 4, Foreign Sovereign Debt, Gold, and Stock on a combined basis are eligible for 40% of core requirement or $5 billion, the lesser of the two.

See Stock Pledge (PDF) for current quarter list of eligible stocks
See Advisory Notice (PDF) for current quarter information

 

Corporate Bonds

  • Select from CME's monthly eligible corporate bond list.
  • Pledged through IEF 4 Program.
  • List posted by 5th business day of every month.
  • 20% haircut of market value.
  • TIPS, IEF 4, Foreign Sovereign Debt, Gold, and Stock on a combined basis are eligible for 40% of core requirement or $5 billion, the lesser of the two.

At the beginning of every month, CME Clearing will publish the latest CUSIP List (XLS & CSV). Please continue to check here for the updated link. Download CUSIP List (XLS) | (CSV)

View Fact Sheet on Acceptance of Corporate Bonds (PDF)

Please contact Clearing House Financial Unit at +1 312 207 2594 for more information.

 

 

 
 
Clearing Advisory Notices | See All
 
 
Calgary Houston Chicago New York Washington São Paulo Belfast London Singapore Hong Kong Seoul Tokyo
  • © 2013 CME Group Inc. All rights reserved.
  • CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of five Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX, COMEX and KCBT.