Managing Collateral

Expanding Choice for Collateral Management

CME Clearing Europe began its clearing activities with an intentionally narrow range of collateral accepted to satisfy margin requirements and guarantee funds. This is being continually reviewed and now includes:

  • Cash (AUD,CAD,CHF,DKK,EUR,GBP,JPY,NOK,SEK and USD)
  • Selected sovereign debt (currently of Austria, Australia, Belgium, Canada, Denmark, Finland, France, Germany, Italy, Netherlands, Spain, Sweden, Switzerland, Norway, UK and USA)
  • Gold

Acceptable collateral will be extended on the basis of risk assessment to include a broader range of products based on Clearing Member feedback and Risk considerations.

 Tenor US UK Germany Belgium Denmark France Finland Netherlands
T <1 1.00% 1.00% 1.00% 2.00% 2.00% 1.00% 2.00% 1.00%
1 ≤ T <2 2.00% 2.00% 1.00% 3.00% 3.00% 2.00% 2.00% 1.00%
2 ≤ T <5 3.00% 3.00% 2.00% 5.00% 3.00% 3.00% 2.00% 2.00%
5 ≤ T <7 4.00% 4.00% 3.00% 6.00% 3.00% 4.00% 3.00% 4.00%
7 ≤ T <10 5.00% 6.00% 5.00% 8.00% 5.00% 6.00% 6.00% 6.00%
10 ≤ T <30 8.00% 9.00% 10.00% 10.00% 8.00% 10.00% 9.00% 12.00%
≤30+ - 12.00% - - -   - -

Tenor

Sweden Australia Canada Norway Austria Switzerland Italy* Spain*
T <1 2.00% 2.00% 2.00% 2.00% 2.00% 2.00% 3.00% 2.00%
1 ≤ T <2 2.00% 2.00% 2.00% 2.00% 2.00% 2.00% 3.00% 3.00%
2 ≤ T <5 3.00% 4.00% 4.00% 3.00% 3.00% 5.00% 5.00% 5.00%
5 ≤ T <7 3.00% 4.00% 6.00% 4.00% 4.00% 5.00% 6.00% 6.00%
7 ≤ T <10 5.00% 6.00% 9.00% 5.00% 6.00% 5.00% 10.00% 10.00%
10 ≤ T <30 - - 10.00% - - - 12.00% 12.00%
≤30+ - - - - - - - -

*To be accepted for initial margin only, not to be accepted as part of the guarantee fund contribution