CME Clearing is expanding its existing collateral program to include additional Exchange Traded Funds (ETFs) that may be used as performance bond collateral for Base Guaranty Fund products effective June 23rd, 2014. Currently, CME Clearing accepts a select number of ETFs through its Stock Program. The existing haircut of 30% will be applied to ETFs. Please see CME's Financial and Collateral Management page for the updated acceptance criteria for ETFs and stocks. On the 5th business day of every month, a new list of acceptable ETFs and stocks will be posted to CME's Financial and Collateral Management page.
Both ETFs and stocks are part of category 3 assets. Therefore, ETFs and stocks in combination with other category 3 assets will be capped at the lesser of 40% of core requirement per currency or $5 billion per clearing member firm. Please see the list of category 3 assets below. ETFs and stocks combined are capped at $1 billion per clearing member firm.
In accordance with CME Rule 930.C, a clearing member cannot accept an accountholder security that has been “issued, sponsored or otherwise guaranteed by the accountholder.” In addition, any ETF that is sponsored by the clearing member or its parent or affiliate company may not be pledged for the clearing member’s house performance bond requirement. For any questions related to the ETF and Stock Programs, please contact the Risk Management department at 312-648-3888 or the Financial Management group at 312-207-2594.
Category 3 Assets
• IEF 2 (Money Market Funds)
• IEF 4 (Corporate Bonds)
• ETFs and Stocks
• Foreign Sovereign Debt
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