Standard Acceptable Collateral and Resources

CME Clearing manages billions of dollars each day in the process of balancing accounts and maintaining performance bonds/margins.

CME Clearing is dedicated to meeting the needs of its clearing firms and end-clients in regards to collateral acceptance while accepting a diverse portfolio of assets. CME Clearing will consider the acceptance of additional collateral types, given that it is high quality and highly liquid collateral that is appropriate for the industry. For more information, click here.

Learn more about:

  • Types of collateral that can be used
  • Ways members can earn interest on their deposit
  • Daily financial processing cycle

Navigate the tabs to view standard acceptable collateral for the different asset types.

 

Collateral Types Accepted for CDS

CME Clearing accepts a wide range of collateral for deposit into trading accounts, including U.S. dollars, select foreign currencies, U.S. Treasuries, select foreign sovereign debt, asset-backed securities, and agency bonds. See requirements for each below.

Acceptable Performance Bond deposits by customers of Clearing Member Firms are subject to CME Rule 930.C. The following list of acceptable collateral pertains exclusively to deposits made by Clearing Member Firms to meet their obligations at CME Clearing.

View Collateral Summary

Category 1*
Category 2**
Category 3***
  • IEF 2 (Money Market Funds)
  • Gold
  • Foreign Sovereign Debt
     
    ***Capped at the lesser of 40% of core requirement per currency or $5 billion per Clearing Member Firm.  IEF 2 is not subject to the 40% cap.  Category 2 and Category 3 are capped in combination at $7 billion per Clearing Member Firm.

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.

 

Cash

Foreign Sovereign Cash
Haircuts will be applied only when performance bond cash is utilized to meet PB requirements in other currencies:
  • British pound, Canadian dollar, Euro- 5% haircut.
  • US dollar - No haircuts are applied.
  • $250 million USDE limit across the entire firm relationship with CME on all FX cash meeting a requirement in a different currency.

 

U.S. Treasuries

U.S. Treasury Bills
  • 0.5% haircuts applied to market value.
U.S. Treasury Floating Rate Notes
Time to Maturity:
  • 0 to ≤1 year: 1%
  • >1 to ≤2 years: 2%
U.S. Treasury Notes/Bonds
Time to Maturity:
  • 0 to ≤1 year: 1%
  • >1 to ≤3 years: 2%
  • >3 to ≤5 years: 3%
  • >5 to ≤10 years - 4.5%
  • >10 to ≤30 years - 6%
U.S. Treasury Strips (Principal & Coupon)
  • Capped at $1 billion per Clearing Member Firm
  • U.S. Agencies, Mortgage Backed Securities, TSTRIPS, and TIPS on a combined basis are capped at 40% of firm’s core requirement
  • U.S. Agencies, Mortgage Backed Securities, TSTRIPS, TIPS, IEF 2, Foreign Sovereign debt, IEF 4, Gold, Exchange Traded Funds, and Stock are capped at $7 billion per firm
  • 11% haircut applied to market value of security.
TIPS (Treasury Inflation-Protected Securities)
Time to Maturity:
  • 0 to ≤1 year: 1%
  • >1 to ≤3 years: 2%
  • >3 to ≤5 years: 3%
  • >5 to ≤10 years: 4.5%
  • >10 to ≤30 years: 6%
  • Capped at $1 billion per Clearing Member Firm
  • U.S. Agencies, Mortgage Backed Securities, TSTRIPS, and TIPS on a combined basis are capped at 40% of firm’s core requirement
  • U.S. Agencies, Mortgage Backed Securities, TSTRIPS, TIPS, IEF 2, Foreign Sovereign debt, IEF 4, Gold, Exchange Traded Funds, and Stock are capped at $7 billion per Clearing Member Firm

 

IEF Programs

View Description of IEF Programs

IEF2 - CME's platform of money market mutual funds.
  • Must be an IEF2 participant.
  • 3% haircut.
  • Capped at $5 billion per Clearing Member Firm
  • U.S. Agencies, Mortgage Backed Securities, TSTRIPS, TIPS, IEF 2, Foreign Sovereign debt, IEF 4, Gold, Exchange Traded Funds, and Stock are capped at $7 billion per Clearing Member Firm.

(List of acceptable money market mutual funds supported in its IEF2 Program.)

IEF5 - utilizing JPMorgan Chase Bank, Deutsche Bank, and Wells Fargo Bank.
  • Specialized Cash program - JPMorgan Chase Bank, Deutsche Bank, and Wells Fargo Bank are eligible for COTC.

 

U.S. Government Agencies

U.S. Agencies, Mortgage Backed Securities, TSTRIPS, and TIPS on a combined basis are capped at 40% of firm’s core requirement

 

U.S. Agencies, Mortgage Backed Securities, TSTRIPS, TIPS, IEF 2, Foreign Sovereign debt, IEF 4, Gold, Exchange Traded Funds, and Stock are capped at $7 billion per Clearing Member Firm

Discount notes (with remaining maturity of no more than 12 months). Issued by Federal Farm Credit Banks, Federal Home Loan Bank System, Federal Home Loan Mortgage Corp. and Federal National Mortgage Assoc.

3.5% haircut on market value
Callable and Non-callable Fannie Mae Benchmark Bills, Freddie Mac Reference Bills, Federal Home Loan Bank Bills, Federal Farm Credit Bank Bills
       
  • 3.5% haircut on market value of Agency Bills
Callable and Non-callable Fannie Mae Benchmark Notes/Bonds, Freddie Mac Reference Notes/Bonds,  Federal Home Loan Bank Notes/Bonds,  Federal Farm Credit Bank Notes/Bonds

Time to Maturity:

  • 0 to ≤5 years - 4%
  • >5 to ≤10 years - 5.5%
  • > 10 years - 7%
  • Issue size must be greater than $1 billion for coupon bearing instruments.

 

Select Mortgage Backed Securities

Mortgage Backed Securities (Fannie Mae (FNMA), Freddie Mac (FHLMC) and Ginnie Mae (GNMA))
  • U.S. Agencies, Mortgage Backed Securities, TSTRIPS, and TIPS on a combined basis are capped at 40% of firm’s core requirement
  • U.S. Agencies, Mortgage Backed Securities, TSTRIPS, TIPS, IEF 2, Foreign Sovereign debt, IEF 4, Gold, Exchange Traded Funds, and Stock are capped at $7 billion per Clearing Member Firm
  • Haircut is 11% on market value

 

Gold

  • Limited to a clearing member's non-segregated (NSEG) requirement
  • IEF 4, Foreign Sovereign Debt, IEF2, Gold, Exchange Traded Funds, and Stock on a combined basis are capped at the lesser of 40% of core requirement or $5 billion per Clearing Member Firm
  • U.S. Agencies, Mortgage Backed Securities, TSTRIPS, TIPS, IEF 2, Foreign Sovereign debt, IEF 4, Gold, Exchange Traded Funds, and Stock are capped at $7 billion per Clearing Member Firm
  • Limited to firm asset of $500 million
  • 15% haircut applied to the market value
  • Utilizing JP Morgan Chase, Deutsche Bank, and HSBC

 

Foreign Sovereign Debt

Selected fixed-rate, nominal Sovereign debt of Canada, France, Germany, Japan, Sweden and United Kingdom:
  • Discount bills - 5%
Time to Maturity:
  • 0 to ≤5 years - 6%
  • >5 to ≤10 years - 7.5%
  • >10 to ≤30 years - 9%
  • >30 years - 10.5%
  • Limited to firm asset of $1 billion
  • IEF 4, Foreign Sovereign Debt, IEF2, Gold, Exchange Traded Funds, and Stock on a combined basis are capped at the lesser of 40% of core requirement or $5 billion per Clearing Member Firm
  • U.S. Agencies, Mortgage Backed Securities, TSTRIPS, TIPS, IEF 2, Foreign Sovereign debt, IEF 4, Gold, Exchange Traded Funds, and Stock are capped at $7 billion per Clearing Member Firm