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

Acceptable Collateral for Foreign Sovereign Debt

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CME Clearing accepts select foreign sovereign debt from Australia, Canada, France, Germany, Japan, Mexico, Singapore, Sweden, and the United Kingdom as collateral.  See below for more information.

Notes

  • Acceptable for Base, CDS, and IRS
Foreign Sovereign Debt USDE Cap Across the Clearing Member and Affiliates
Overall FX Limit $5 billion
Australia $250 million (debt may not exceed 10 years maturity)
Canada $1 billion
France $1 billion
Germany $1 billion
Japan $1 billion
Mexico  $100 million (Can only be used to meet Mexican peso-denominated requirements)
Singapore $100 million (debt may not exceed 10 years maturity)
Sweden $100 million
United Kingdom $1 billion

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 Sovereign discount bills from Australia, Canada, France, Germany, Japan, Mexico, Singapore, Sweden, and the United Kingdom 5% -- -- --
Select fixed-rate, nominal Sovereign notes and bonds from Australia, Canada, France, Germany, Japan, Mexico, Singapore, Sweden, and the United Kingdom 6% 7.5% 9% 10.5%

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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