In conjunction with the regular review of market volatility to ensure adequate collateral coverage, please find attached the current acceptable collateral and haircuts for CME Clearing. Please note that the changes column identified below indicates any near term changes to collateral and haircuts. All assets that are utilized to meet PB requirements in different currencies will be subject to an additional cross-currency haircut. For applicable haircuts and more details, please see the CME cross-currency haircut file and the CME Financial and Collateral Management page.
Should you have any questions, please contact the Financial Management group at 312-207-2594.
For the full text of this advisory, please click here.
CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.