Collateral Types Accepted for Futures, Options, Forwards, OTC FX & Commodity Swaps

Acceptable Collateral for Agencies and MBS

View Collateral Summary

CME Clearing accepts select U.S. government agencies and mortgage backed securities as collateral. See below for more information.

U.S. Government Agencies

Notes

  • Acceptable for Base, CDS, and IRS
  • Capped at $2 billion USDE across the clearing member and affiliates
  • Discount notes (maturity no more than 12 months) and coupon instruments (GSEOTH) issued by:
    • Federal Farm Credit Banks
    • Federal Home Loan Bank System
    • Federal Home Loan Mortgage Corp.
    • Federal National Mortgage Association
  • Issue size must be greater than $1 billion for coupon instruments (GSEOTH)
  • Only permissible derivative feature is floating rate

Haircut Schedule

Asset Class Time to Maturity
0 to ≤1 years >1 to ≤3 years >3 to ≤5 years >5 to ≤10 years
>10 to ≤30 years
>30 years
Discount Notes and Bills: FFCB, FHLB, FHLMC, FNMA 3.5% -- -- -- -- --
Coupon Bearing instruments: GSEOTH 4% 5.5% 7% --

Mortgage Backed Securities (MBS)

Notes

  • Acceptable for Base, CDS, and IRS
  • Capped at $1 billion USDE across the clearing member and affiliates
  • Eligible issuers include:
    • Fannie Mae
    • Freddie Mac
    • Ginnie Mae
  • MBS must be backed by 15- or 30-year fixed rate conventional loans only

Haircut Schedule

Asset Class Time to Maturity
0 to ≤1 years >1 to ≤3 years >3 to ≤5 years >5 to ≤10 years
>10 to ≤30 years
>30 years
Fannie Mae (FNMA), Freddie Mac (FHLMC), and Ginnie Mae (GNMA) 11% 11%

11%

11% 11% 11%

Additional MBS Resources

Firms with assets exceeding specified limits may incur a true up margin requirement in an amount no less than the USDE amount over the specified limit. Firms will be notified by CME Clearing of the true up requirement amount.

All assets that are utilized to meet PB requirements in different currencies will be subject to an additional cross-currency haircut. For applicable haircuts, please see the Cross-Currency Haircut Percentages file found under Forms and Instructions.

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