Collateral Types Accepted for Futures, Options, Forwards, OTC FX & Commodity Swaps

Acceptable Collateral for Corporate Bonds

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CME Clearing accepts select Corporate Bonds directly or through a tri-party custodian (formerly IEF4).

Notes

Acceptable for Base and IRS
Capped at $2 billion USDE across the clearing member and affiliates
Accepted either directly or through a tri-party custodian: Bank of New York, Brown Brothers Harriman & Co. and JP Morgan Chase

Concentration Limits

Concentration limit of $50 million or 2.5% of amount outstanding per issuance, whichever is less
Concentration limit of $200 million per family
Concentration limit of $500 million per sector

Haircut Schedule

20% haircut applied to the market value

Additional Resources

CME guidelines (PDF)
Corporate Bond List with Cusips: XLS | CSV
Corporate Bond List with ISINs: XLS | CSV

Firms with assets exceeding specified limits may incur a true up margin requirement in an amount no less than the USDE amount over the specified limit. Firms will be notified by CME Clearing of the true up requirement amount.

All assets that are utilized to meet PB requirements in different currencies will be subject to an additional cross-currency haircut. For applicable haircuts, please see the Cross-Currency Haircut Percentages file found under Forms and Instructions.

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