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

Acceptable Collateral for Supranationals

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CME Clearing accepts supranational debt from International Bank for Reconstruction and Development (IBRD) as collateral. See below for more information.

Notes

  • Acceptable for Base and IRS
  • USD-denominated securities
  • Time to maturity of less than 10 years
  • Limit of 10% the issuance size, per clearing member (and affiliates)
  • $1 billion minimum issuance size for fixed-rate coupon instruments
  • Discount notes are allowed

Supranational Debt

USDE Cap Across the Clearing Member and Affiliates

International Bank for Reconstruction and Development (IBRD)

$250 million

Haircut Schedule

Asset Class

Time to Maturity

0 to ≤1 years

>1 to ≤3 years

>3 to ≤5 years

>5 to ≤10 years

>10 to ≤30 years

>30 years

IBRD

3%

4%

5%

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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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