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

Acceptable Collateral for IEF Programs

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CME Clearing offers a variety of IEF programs for money funds, corporate bonds, and cash with interest. See below for more information.

IEF2 - Money Fund Program

Notes

  • Acceptable for Base, CDS, and IRS
  • Capped at $5 billion USDE across the clearing member and affiliates
  • Must be an IEF2 participant

Haircut Schedule

  • 3% haircut applied

Additional IEF2 Resources

IEF4 - Corporate Bonds

Notes

  • Acceptable for Base and IRS
  • Capped at $2 billion USDE across the clearing member and affiliates
  • Must be an IEF4 participant
  • Utilizing 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 - Monitored by CME
  • Industry diversification at 25% level per Industry, after initial $500 million deposit per Clearing Member Firm, monitored by CME

Haircut Schedule

  • 20% haircut applied to the market value

Additional IEF4 Resources

IEF5 - Cash With Interest

Notes

  • Acceptable for Base, CDS, and IRS

Requirements

  • Utilizing Deutsche Bank, and Wells Fargo Bank
  • Overall caps exist at the program level and at the firm level
  • Firm must sign agreements to participate
  • Bank may also institute a cap in the program

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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