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.

Acceptable performance bond deposits by customers of Clearing Member Firms are subject to CME Rule 930.C. The lists of acceptable collateral for both 4d and Customer Sequestered accounts both pertain exclusively to deposits made by clearing member firms to meet their obligations at CME Clearing.

Cash
Gold
Foreign Sovereign Debt
U.S. Treasuries
U.S. Government Agencies
Select Mortgage Backed Securities

Specialized Collateral Programs
Letters of Credit
Stocks
Guaranty Fund
Temporary Liquidity Guarantee Program (TLGP) Securities
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, New Zealand dollar, Norwegian krone, Swedish krona, Swiss franc	5% haircut.
Mexican peso	15% haircut.
Turkish Lira	20% haircut.
US Dollar	No haircuts are applied.

Gold

Limited to 20% of clearing member’s non-segregated (NSEG) core performance bond requirement, 50% of reserve, and 50% of concentration requirement
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, 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.
The maximum performance bond credit is $500mm USDE.

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.

U.S. Government Agencies

Limited to the combination of TLGP, letters of credit, and government agencies of no more than 50% of clearing member's core performance bond requirement in excess of $5 million. This restriction does not apply to the clearing firm's reserve performance bond or concentration requirements. 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
Agency Bonds and Notes have a haircut on market value:
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)

Haircut is 11% on market value

Specialized Collateral Programs

IEF2
CME's platform of money market mutual funds.	Must be an IEF2 participant. 3% haircut
(List of acceptable money market mutual funds supported in its IEF2 Program.) Prospectuses IEF2 Diversification Policy
IEF3
Specialized Collateral Program - utilizing Bank of New York and JP Morgan Chase.	Must be an IEF3 participant. IEF3 Guidelines
IEF4
Specialized Collateral Program - utilizing Bank of New York and JP Morgan Chase.	Must be an IEF4 participant. IEF4 Guidelines
IEF5
Specialized Cash Program - utilizing JP Morgan Chase.	Please see Advisory Notice #04-121 for more details.
Description of IEF Programs

Letters of Credit

Issued in the Exchange's name by approved banks.

Limited to combination use of letters of credit, TLGP, and government agencies of no more than 50% of clearing member's core performance bond requirement in excess of $5 million.

Letters of Credit can be used for 100% of Reserve and Concentration requirements

See List of Approved Banks
See Requirements for Issuance of Letter of Credit (PDF)
See Requirements for Amending Letter of Credit (PDF)
See Uniform Letter of Credit Format Standby (PDF)
See Uniform Letter of Credit Format Pass Through (PDF)

Stocks

Selected from those in the S&P 500 Index.
30% haircut of market value.	Acceptable only for Reserve performance bond and Concentration requirements.
See Stock Pledge (PDF) for current quarter list of eligible stocks See Advisory Notice (PDF) for current quarter information

Guaranty Fund

Guaranty Fund collateral may be in the form of cash or U.S. Treasury bills, strips, notes or bonds, government agencies or certain IEF2 funds. Please note that use of agency securities to satisfy guaranty fund requirements are capped at 50% of the firm’s guaranty fund required. Please also note that there are specific limitations with respect to IEF2 investments.

All securities must be denominated in multiples of $5,000. Stripped securities and securities dated prior to January 1, 1973, are not acceptable.

The Clearing House currently does not accept letters of credit, or any other foreign currency cash as guaranty funds.

Please contact Clearing House Financial Unit at +1 312 207 2594 for more information.

Temporary Liquidity Guarantee Program (TLGP) Securities

TLGP Securities

Haircut is 10% on market value.

Limited to the combination of TLGP, letters of credit, and government agencies of no more than 50% of clearing member's core performance bond requirement in excess of $5 million. This restriction does not apply to the clearing firm's reserve performance bond or concentration requirements.

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.

Corporate Bonds

Corporate Bonds - Effective March 12, 2012
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.	Acceptable only for Core and Concentration requirements.
At the beginning of every month, CME Clearing will publish the latest CUSIP List. Please continue to check here for the updated link. See more information on IEF4 View Fact Sheet on Acceptance of Corporate Bonds (PDF) Please contact Clearing House Financial Unit at +1 312 207 2594 for more information.

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