Acceptable Collateral for Prefunded Treasury Facility

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CME Clearing accepts letters of credit payable in U.S. Treasuries, defined as Prefunded Treasury Facility (PTF). See below for more information on the PTF collateral program.

Notes

  • The PTF program is a letter of credit issued by a bankruptcy-remote trust that is fully collateralized and secured by U.S. Treasury securities that are deposited into a custody account controlled by CME Inc, whereby CME Inc’s security interest is perfected by control.
  • Acceptable for Base performance bond requirements in the house origin, subject to a limit of 75% of the clearing member’s performance bond requirement on the day of acceptance of the PTF by CME Clearing as collateral on deposit.
  • CME Inc is sole beneficiary on the letter of credit.
  • The stated amount on the letter of credit is equal to the total par amount of U.S. Treasuries deposited in the custody account.
  • The performance bond value given to the clearing member is equal to market value of the U.S. Treasuries held in the custody account, less applicable haircut(s).   

Contact CreditRisk@cmegroup.com for more information.

Haircut Schedule

  • The haircut schedule for U.S. Treasuries within the PTF program is the same haircut schedule CME Clearing uses for U.S. Treasuries.
  • View the haircut schedule

All assets that are utilized to meet PB requirements in different currencies will be subject to an additional cross-currency haircut. For applicable haircuts, please see the Cross-Currency Haircut Percentages file found under Forms and Instructions.

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