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 Programs
 

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**
  • TIPS
  • Gold
  • Foreign Sovereign Debt

    ** Capped at 40% of core requirement per currency requirement or $5 billion per Clearing Member Firm, the lesser of the two
 

 

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 Notes/Bonds
Time to Maturity:
  • 0-1 year: 1%
  • 1-3 years: 2%
  • 3-5 years: 3%
  • 5-10 years - 4.5%
  • 10-30 years - 6%

U.S Treasury Notes/Bonds have an additional 1.5% haircut if issue date is greater than 270 days.
U.S. Treasury Strips (Principal & Coupon)
  • 11% haircut applied to market value of security.
TIPS (Treasury Inflation-Protected Securities)
Time to Maturity:
  • 0-1 year: 1%
  • 1-3 years: 2%
  • 3-5 years: 3%
  • 5-10 years - 4.5%
  • 10-30 years - 6%

U.S Treasury Notes/Bonds have an additional 1.5% haircut if issue date is greater than 270 days.

  • Limited to firm asset of $1 billion
  • TIPS, Foreign Sovereign Debt, and Gold on a combined basis are eligible for 40% of core requirement or $5 billion, the lesser of the two.

 

Specialized Collateral Programs

View Description of IEF Programs

IEF2 - CME's platform of money market mutual funds.
Please view IEF 2 eligibility for a complete listing of mutual funds eligible for COTC acceptable collateral.
IEF5 - Specialized Cash Program - utilizing JP Morgan Chase and Deutsche Bank.
  • U.S. Agencies, Mortgage Backed Securities, and IEF 5 on a combined basis are eligible for 40% of firm's core requirement.
  • Specialized Cash program - JP Morgan Chase and Deutsche Bank are eligible for COTC

 

U.S. Government Agencies

U.S. Agencies, Mortgage Backed Securities, and IEF 5 on a combined basis are eligible for 40% of firm's core requirement.

Subordinated debt of the agencies listed below is not acceptable for performance bond.

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:

  • 0-5 years - 4%
  • 5-10 years - 5.5%
  • > 10 years - 7%
Agency Notes/Bonds have an additional 1.5% haircut if issue date is greater than 270 days.
  • 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, and IEF 5 on a combined basis are eligible for 40% of firm's core requirement.
  • Haircut is 11% on market value

 

Gold

  • Limited to a clearing member's non-segregated (NSEG) requirement
  • TIPS, Foreign Sovereign Debt, and Gold on a combined basis are eligible for 40% of core requirement or $5 billion, the lesser of the two.
  • 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 Sovereign debt of Canada, France, Germany, Japan, Sweden and United Kingdom:
  • Discount bills - 5%
Time to Maturity:
  • 0-5 years - 6%
  • 5-10 years - 7.5%
  • 10-30 years - 9%
  • >30 years - 10.5%

Foreign Notes/Bonds have an additional 1.5% haircut if issue date is greater than 270 days.

  • Limited to firm asset of $1 billion
  • TIPS, Foreign Sovereign Debt, and Gold on a combined basis are eligible for 40% of core requirement or $5 billion, the lesser of the two.

 

 
 
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