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 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).
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 $200 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 |
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 Advisory #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 |
|
Select Mortgage Backed Securities
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.)
|
| 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
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 |
Security Deposit
|
Security deposit 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 security deposit requirements are capped at 50% of the firm’s security deposit 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 security deposits.
Please contact Clearing House Financial Unit at 312-207-2594 for more information.
|
