CME Clearing’s Investment Policy

  • 16 Jul 2020
  • By CME Group
  • Topics: Clearing

Overview

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:

  • Safeguarding collateral posted by clearing members;
  • Establishing guidelines for investments that are designed to minimize the risk of loss and delay in access to collateral; and
  • Assisting CME Clearing in effectively supervising, investments where CME Clearing does not invest cash received, it is held at central and commercial banks.

Eligible investments

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.

Value at risk of investment portfolio

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
29-Mar-2018 0.051% 2.29%
29-Jun-2018 No investments 0%
28-Sep-2018 No investments 0%
31-Dec-2018 No investments 0%
29-Mar-2019 0.051% 11.91%

Data points on CME Clearing’s investment portfolio are disclosed under Disclosure 16.2 of the CME Clearing Quantitative PFMI Disclosure document.1

References

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