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

Acceptable Collateral for Canadian Provincials

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CME Clearing accepts Canadian provincials from Ontario and Quebec as collateral. See below for more information.

Notes

  • Acceptable for Base, CDS, and IRS
  • Capped at $100 million USDE across the clearing member and affiliates
  • May not exceed 5 years time to maturity

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
Select nominal discount bills from the following Canadian Provinces: Ontario and Quebec 25% -- -- --
Select fixed-rate, nominal notes and bonds from the following Canadian Provinces: Ontario and Quebec 25% -- -- --

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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