Summary of Acceptable Collateral

Back to Home

Performance Bond Collateral

Hard Dollar Limits

Asset Class Hard Dollar Limit
Cash None1
U.S. Treasuries None
Letters of Credit2 $500 million
U.S. Government Agencies $2 billion
Agency MBS $1.4 billion
U.S. TIPS $1 billion
U.S. Treasury STRIPS $1 billion
Gold3 $750 million
IEF2 – Money Market Funds $5 billion
Corporate Bonds $2 billion
Stocks $500 million
ETFs $500 million
Supranationals $250 million
Prefunded Treasury Facility (PTF) None4
Canadian Provincials $100 million
Foreign Sovereign Debt  
   Canada $1.4 billion
   France $1.4 billion
   Germany $1.4 billion
   Japan $1 billion
   United Kingdom $1.4 billion
   Australia $250 million
   Mexico $250 million
   Singapore $150 million
   Sweden $100 million

With respect to all foreign currencies, clearing members are subject to a $250 million USDE limit across the clearing member and affiliates for meeting requirements in a different currency. Offshore Chinese renminbi is capped at $200 million USDE across the clearing member and affiliates.

2 Letters of Credit are acceptable collateral for performance bond for Base products only and not permitted for House PB requirements, for financial-affiliated clearing members. Letters of Credit are capped at 25% of margin requirement.

3 London gold and COMEX gold warrants are acceptable collateral for performance bond for House positions only.

4 The PTF is acceptable to meet performance bond requirements in the House origin for futures and options products in the Base Guaranty Fund. The amount of PTF a clearing member can use to meet House performance bond requiremenets is limited to 75% of the clearing member's performance bond requirement on the day of acceptance of the PTF by CME as collateral on deposit.

Note: Canadian provincials, corporate bonds, ETFs, stocks, COMEX gold warrants, London gold bullion, supranational debt, and foreign sovereign debt except that issued by Canada, France, Germany, and the United Kingdom are capped at $5 billion USDE across the clearing member and affiliates. IEF2, Canadian provincials, corporate bonds, ETFs, stocks, COMEX gold warrants, London gold bullion, supranational debt, all foreign sovereign debt, U.S. government agency debt, agency MBS, TIPS, and STRIPS are capped at $7 billion USDE across the clearing member and affiliates.