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

Acceptable Collateral for Corporate Bonds

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CME Clearing accepts select Corporate Bonds directly or through a tri-party custodian (formerly IEF4).

Notes

  • Acceptable for Base and IRS
  • Capped at $2 billion USDE across the clearing member and affiliates
  • Accepted either directly or through a tri-party custodian: Bank of New York, Brown Brothers Harriman & Co. and JP Morgan Chase

Concentration Limits

  • Concentration limit of $50 million or 2.5% of amount outstanding per issuance, whichever is less
  • Concentration limit of $200 million per family
  • Concentration limit of $500 million per sector

Haircut Schedule

  • 20% haircut applied to the market value

Additional 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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