CME Clearing accepts letters of credit payable in U.S. Treasuries, defined as Prefunded Treasury Facility (PTF). See below for more information on the PTF collateral program.
The PTF program is a letter of credit issued by a bankruptcy-remote trust that is fully collateralized and secured by U.S. Treasury securities that are deposited into a custody account controlled by CME Inc, whereby CME Inc’s security interest is perfected by control.
Acceptable for Base performance bond requirements in the house origin, subject to a limit of 75% of the clearing member’s performance bond requirement on the day of acceptance of the PTF by CME Clearing as collateral on deposit.
CME Inc is sole beneficiary on the letter of credit, or a joint beneficiary for a pass-through letter of credit, whereby the applicant is an affiliate of the clearing member.
The stated amount on the letter of credit is equal to the total par amount of U.S. Treasuries deposited in the custody account.
The performance bond value given to the clearing member is equal to market value of the U.S. Treasuries held in the custody account, less applicable haircut(s).
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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