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)i
  • Selected sovereign debt (currently of Austria, Australia, Belgium, Canada, Denmark, Finland, France, Germany, Italy, Netherlands, Spain, Sweden, Switzerland, Norway, UK and USA)ii
  • Goldiii

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 USiv 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

i Only USD is accepted as Eligible Cash in respect of FCM Client Accounts

ii Please refer to footnote (iv) for certain restrictions

iii Gold will not be acceptable as Eligible Collateral from FCM Clearing Members

iv Only securities in the form of US Treasuries will be accepted as Eligible Collateral in respect of FCM LSOC Accounts and FCM DCM Futures Client Accounts. All other securities in the above list are acceptable in respect of FCM House Accounts and FCM FBOT Futures Client Accounts.