CME Clearing may invest the cash it receives from its clearing members. Cash that is invested is done so in accordance with CFTC regulations and CME Clearing’s investment policy. CME Clearing employs a prudent investment policy with the goals of:
U.S. Dollar cash may be invested in U.S. Treasury securities and U.S. government agency securities, as well as reverse repurchase agreements for these securities, and U.S. government money market mutual funds. Under CME Clearing’s investment policy, the maximum maturity for any U.S. investment security cannot exceed 2 years. Additionally, Euro cash may be invested into select Euro-denominated French and German sovereign debt, as well as related reverse repurchase agreements. Generally, the weighted average maturity of CME Clearing’s overall investment portfolio is less than 30-days.
CME Clearing’s investment policy is designed to ensure that its investment portfolio has an extremely low risk of possible loss at any given time. For each quarter-end reporting period since the beginning of 2018, the investment portfolio’s daily estimate of Value-at-Risk (“VaR”) has been less than 0.06% of the value of the securities in the investment portfolio. Additionally, CME Clearing covers any market risk losses resulting from the investments.
|REPORTING DATE||99% ONE-DAY VAR, OR EQUIVALENT||PERCENTAGE OF CASH INVESTED IN SECURITIES|
Data points on CME Clearing’s investment portfolio are disclosed under Disclosure 16.2 of the CME Clearing Quantitative PFMI Disclosure document.1
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