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

Acceptable Collateral for Treasuries, TIPS & Strips

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CME Clearing accepts U.S. Treasuries, including bills, TFRNs, notes, and bonds, as well as Strips and TIPS. See below for more information.

U.S Treasuries

Notes

  • Acceptable for Base, CDS, IRS and Guaranty Fund
  • Acceptable for CME’s cross-margin program:
    • U.S. Treasury bills
    • U.S. Treasury notes
    • U.S. Treasury bonds
  • U.S. Treasury Bonds may not exceed 10 years time to maturity for Guaranty Fund

Haircut Schedule

Asset Class 0 to ≤1 years >1 to ≤3 years >3 to ≤5 years >5 to ≤10 years >10 to ≤30 years >30 years
U.S. Treasury Bills
0.5%
--
--
--
-- --
U.S. Treasury Floating Rate Notes
1%
2%
--
-- -- --
U.S. Treasury Notes
1%
2% 3% 4.5% 6% --
U.S. Treasury Bonds 1% 2% 3% 4.5% 6% --
--
--

U.S. Treasury Strips (Principal and Coupon) and Treasury Inflation-Protected Securities (TIPS)

Notes

  • Acceptable for Base, CDS, and IRS
  • Tstrips capped at $1 billion USDE across the clearing member and affiliates
  • TIPS capped at $1 billion USDE across the clearing member and affiliates

Haircut Schedule

Asset Class 0 to ≤1 years >1 to ≤3 years >3 to ≤5 years >5 to ≤10 years >10 to ≤30 years >30 years
Tstrip
11%
11%
11%
11%
11% 11%
TIPS
1%
2%
3%
4.5% 6% --
--
--

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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