Clearing » Financial and Collateral Management » Collateral Types Accepted
Collateral Types Accepted
Collateral Types Accepted

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.

In addition, the clearing house also provides a Moneychanger program for converting currencies related to non-U.S. dollar transactions, in conjunction with banks and other currency vendors who offer competitive exchange rates daily. All CME Clearing members can use the service, at no additional charge, for the transfer of overnight funds required to satisfy the terms of a futures contract or other related legal transactions. Moneychanger provides exchange in: Japanese yen, Canadian dollar, British pound, Swiss franc, Swedish krona and euros. If you wish to use this service, please contact CME Clearing.

Acceptable Collateral & Applicable Haircuts

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, New Zealand dollar, Norwegian krone, Swedish krona, Swiss franc 3% haircut.
Japanese yen 5% haircut
Mexican peso 15% haircut
US Dollar
No haircuts are applied.

Foreign Sovereign Debt

Selected Sovereign debt of Canada, France, Germany, Sweden and United Kingdom:
Discount bills 3%      
0-5 years 5.50%      
5-10 years 7.00%      
10-30 years 8.50%      
>30 years 10%      

U.S. Treasuries

U.S. Treasury Bills
No haircuts applied to market value.
U.S. Treasury Bonds
U.S. Treasury Notes
0-5 years 5-10 years 10-30 years If security is off the run
2% 3.5% 5% 0.5% added
U.S. Treasury Strips (Principal & Coupon)
10% 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 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.
See Clearing House Advisories - #04-82 & #03-64 for more details.

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% haircut on market value (0.5% added if security is off the run)

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% haircut on market value of Agency Bills (0.5% added if security is off the run).
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:

0-5 yrs 5-10 yrs 10+ yrs If the security is off the run
3% 4.5% 6% 0.5% added

Please see Advisory Notice #04-82 for more details...

Select Mortgage Backed Securities

Fannie Mae (FNMA)
Freddie Mac (FHLMC)
Ginnie Mae (GNMA)
Haircut is 10% on market value
See Advisory Notice # 04-82 for more details.

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
  • Advisory Notice #04-163: IEF2 Diversification Policy 
IEF3
Specialized Collateral Program - utilizing Bank of New York and JP Morgan Chase.

Must be an IEF3 participant.
Please see Advisory Notice #03-91 dated 10-31-03 and Advisory Notice #04-82 dated 05-11-04 for details.

 
IEF4
Specialized Collateral Program - utilizing Bank of New York and JP Morgan Chase. Must be an IEF4 participant.
Please see Advisory Notice #03-91 dated 10-31-03 and Advisory Notice #04-82 dated 05-11-04 for details.
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 and government agencies of no more than 50% of clearing member's core performance bond requirement in excess of $5 million.

- Reserve requirements
- no limitation on the amount of letters credit
See List of Approved Banks
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
 
 
 
 
 
 
 
 
 
 
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