Financial and Collateral Management

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).

Category 1

Cash
U.S. Treasuries
Specialized Collateral Program: IEF2

Category 2

U.S. Government Agencies
Select Mortgage Backed Securities
Temporary Liquidity Guarantee Program (TLGP) Securities
Specialized Collateral Program: IEF5

Category 3

Gold
Foreign Sovereign Debt
Specialized Collateral Program: IEF4
Corporate Bonds

Cash

Foreign Sovereign Cash
Haircuts will be applied only when performance bond cash is utilized to meet PB requirements in other currencies:
Australian dollar, British pound, Canadian dollar, Euro, Japanese yen, and Swiss franc	5% haircut.
US dollar	No haircuts are applied.
Please contact clearing house for availability of foreign cash deposits.

U.S. Treasuries

U.S. Treasury Bills
0.5% haircuts applied to market value.
U.S. Treasury Notes/Bonds
Time to Maturity
0-5 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.
Please see Advisory Notice # 03-97 for more details.

Specialized Collateral Programs

IEF2
Please view IEF 2 eligibility for a complete listing of mutual funds eligible for COTC acceptable collateral.
IEF4
IEF 4, Foreign Sovereign Debt, and Gold on a combined basis are eligible for 40% of core requirement or $3 billion, the lesser of the two.
Download CUSIP List (XLS)
IEF5
U.S. Agencies, Mortgage Backed Securities, IEF 5, and TLGP 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
Description of IEF Programs

U.S. Government Agencies

U.S. Agencies, Mortgage Backed Securities, IEF 5, and TLGP 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 Callable and Non-callable Freddie Mac Reference Bills Callable and Non-callable Federal Home Loan Bank Bills Callable and Non-callable Federal Farm Credit Bank Bills
3.5% haircut on market value of Agency Bills
Callable and Non-callable Fannie Mae Benchmark Notes and Bonds Callable and Non-callable Freddie Mac Reference Notes and Bonds Callable and Non-callable Federal Home Loan Bank Notes and Bonds Callable and Non-callable Federal Farm Credit Bank Notes and 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.

Select Mortgage Backed Securities

Fannie Mae (FNMA)
Freddie Mac (FHLMC)
Ginnie Mae (GNMA)

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

Haircut is 11% on market value

Temporary Liquidity Guarantee Program (TLGP) Securities

TLGP Securities

Haircut is 10% on market value.

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

There is a limit of $200 million across all origins for the TLGP asset type.

Mandatory Criteria for the Direct Acceptance of TLGP Securities

The issuance size must be greater than $1 billion.

All securities must be denominated in U.S. dollars.

The security must be guaranteed for its entire term.

The security must have an active price as carried by Bloomberg Generic Pricing System.

Issuer must not be affiliated with the clearing member, its parent, or any its affiliates.

Gold

Limited to a clearing member's non-segregated (NSEG) requirement
IEF 4, Foreign Sovereign Debt, and Gold on a combined basis are eligible for 40% of core requirement or $3 billion, the lesser of the two.
Limited to firm asset of $500 million
15% haircut applied to the market value

Please see advisory notice #09-452 for more details.

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
IEF 4, Foreign Sovereign Debt, and Gold on a combined basis are eligible for 40% of core requirement or $3 billion, the lesser of the two.

Corporate Bonds

Corporate Bonds
Select from CME's monthly eligible corporate bond list. Pledged through IEF 4 Program. List posted by 5th business day of every month.
20% haircut of market value.	IEF 4, Foreign Sovereign Debt, and Gold on a combined basis are eligible for 40% of core requirement or $3 billion, the lesser of the two.
At the beginning of every month, CME Clearing will publish the latest CUSIP List. Please continue to check here for the updated link. Download CUSIP List (XLS) View Fact Sheet on Acceptance of Corporate Bonds (PDF) Please contact Clearing House Financial Unit at +1 312 207 2594 for more information.

Important Links