CME Clearing’s performance bond requirements consist of two amounts. The core performance bond requirement and the concentration performance bond requirements. Concentration performance bond requirements are set from time to time and are equal to that portion of the total performance bond requirement, which may be met using concentration collateral.
Collateral accepted by CME Clearing will be categorized as noted below. Clearing member firms are permitted to meet a maximum of 40% core performance bond requirements with each of Category 2 and Category 3 assets. Also, Category 3 assets have a hard dollar limit of $3 billion per clearing member firm across settlement accounts. Category 1 assets have no requirement type limits. Please refer to the website link below for details on individual asset type limits and product class restrictions.
Clearing member firms that do not use assets in Category 3 should contact the Financial Unit for utilization of assets in Category 2 according to a 40% limit for U.S. Government Agencies, Mortgage Backed Securities, and TLGP, as well as a 40% limit for IEF5 and Letters of Credit.
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