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

Acceptable Collateral for Cash

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CME Clearing accepts cash, including USD and foreign currency as collateral. See below for more information.

USD Cash

Notes

  • Acceptable for Base, CDS, IRS, Guaranty Fund, and CME's cross-margin program

Haircut Schedule

Haircuts will be applied only when U.S. dollar cash is utilized to meet PB requirements in other currencies. A haircut is applied to cash when cash is utilized to meet a requirement based in a different currency. Please see the Cross-Currency Haircut Percentages file for applicable cross-currency haircuts applied to all assets. Example: Japanese yen used for Norwegian krone requirement: 5% haircut.

The haircut is determined by the currency requirement:

Guaranty Fund Products 5% 10% 15% 20%
Base
  • Australian dollar
  • British Pound
  • Canadian dollar
  • Euro
  • Japanese yen
  • New Zealand dollar
  • Norwegian krone
  • Swedish krona
  • Swiss franc
  • Offshore Chinese renminbi
  • Mexican peso
  • South African rand
  • Turkish lira
IRS
  • Australian dollar
  • British Pound
  • Canadian dollar
  • Danish Krone
  • Euro
  • Hong Kong dollar
  • Japanese yen
  • New Zealand dollar
  • Norwegian krone
  • Singapore dollar
  • Swedish krona
  • Swiss franc
  • Czech koruna
  • Hungarian forint
  • Mexican peso
  • Polish zloty
  • South African rand
 
CDS
  • British Pound
  • Canadian dollar
  • Euro
     

Additional Cash Resources

Foreign Currency

Notes

  • Acceptable for Base, CDS, and IRS
  • $250 million USDE limit across the clearing member and affiliates on all foreign currency meeting a requirement in a different currency.

Additional Requirements

  • Offshore Chinese Renminbi is capped at $200 million USDE across the clearing member and affiliates
  • Can only be used to meet their respective currency requirements:
    • Danish krone
    • Czech koruna
    • Hong Kong dollar
    • Hungarian forint
    • Mexican peso
    • Polish zloty
    • Singapore dollar
    • South African rand
    • Turkish lira

Haircut Schedule

Haircuts will be applied only when performance bond cash is utilized to meet PB requirements in other currencies. A haircut is applied to cash when cash is utilized to meet a requirement based in a different currency. Please see the Cross-Currency Haircut Percentages file for applicable cross-currency haircuts applied to all assets.

The haircut is determined by the asset currency:

Guaranty Fund Products 5% 10% 15% 20%
Base
  • Australian dollar
  • British Pound
  • Canadian dollar
  • Euro
  • Japanese yen
  • New Zealand dollar
  • Norwegian krone
  • Swedish krona
  • Swiss franc
  • Offshore Chinese Renminbi
  • Mexican peso
  • South African rand
  • Turkish lira
IRS
  • Australian dollar
  • British Pound
  • Canadian dollar
  • Danish Krone
  • Euro
  • Hong Kong dollar
  • Japanese yen
  • New Zealand dollar
  • Norwegian krone
  • Singapore dollar
  • Swedish krona
  • Swiss franc
  • Czech koruna
  • Hungarian forint
  • Mexican peso
  • Polish zloty
  • South African rand
 
CDS
  • British Pound
  • Canadian dollar
  • Euro
     

Additional Foreign Currency 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.

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