As per the normal review of acceptable collateral and limits, CME Clearing is making the below changes to the diversification requirement of collateral composition used by Clearing Member Firms to meet performance bond requirements.
Please be advised that effective Thursday, February 28, U.S. Treasury Inflation Protected Securities (TIPS) will be moved from Category 1 to Category 3 per the below schedule. Additionally, TIPS will have a sub-limit of $1 billion per firm (and affiliates).
Clearing Member Firms are required to meet at least 20% of core performance bond requirements with Category 1 assets and are permitted to meet a maximum of 40% core performance bond requirements with each of Category 2 and Category 3 assets. Clearing member firms may use assets in any Category to meet concentration margin requirements.
For the full text of the advisory, click here