Acceptable Collateral

Learn more about the comprehensive CME Clearing collateral management program.

U.S. Dollars

  • Acceptable for Base, IRS, Guaranty Fund, and CME's cross-margin program

Foreign Currency

  • Acceptable for Base and IRS
  • $250 million USDE limit across the clearing member and affiliates on all foreign currency meeting a requirement in a different currency. Upon request, CMFs may deposit additional CAD, EUR, GBP, and JPY cash up to a $500 million USDE FX cash mismatch limit. Please contact ClearingHouseFinancial@cmegroup.com for more information. 
  • Offshore Chinese renminbi is capped at $200 million USDE across the clearing member and affiliates.

Haircut Schedule

  • A haircut is applied to cash when cash is used to meet a requirement based in a different currency. Please see the Cross-Currency Haircut Percentages file for applicable cross-currency haircuts applied to all assets.
  • The haircut is determined by the asset currency, except for USD assets where the haircut is determined by the requirement currency.
Current Haircut Schedule

5%

7.5%

10%

15%

  • Australian dollar
  • British pound
  • Canadian dollar
  • Danish krone
  • Euro
  • Hong Kong dollar
  • Japanese yen
  • New Zealand dollar
  • Singapore dollar
  • Swedish krona
  • Swiss franc
  • Offshore Chinese renminbi

 

  • Czech koruna
  • Hungarian forint
  • Mexican peso
  • Norwegian krone
  • Polish zloty
  • South African rand

ADDITIONAL CASH RESOURCES


CME Clearing accepts select corporate bonds directly via DTC or through a collateral custodian (BBH).

  • Acceptable for Base and IRS
  • Capped at $2 billion USDE across the clearing member and affiliates
  • Accepted either directly via DTC or through a collateral custodian: Brown Brothers Harriman & Co.

Concentration Limits

  • Concentration limit of $50 million or 2.5% of amount outstanding per issuance, whichever is less
  • Concentration limit of $200 million per family
  • Concentration limit of $500 million per industry sector
Asset Class 0 to ≤5 years >5 to ≤10 years >10 years
Corporate Bond
20%
25%
30%

ADDITIONAL RESOURCES

CME DataMine

  • CME DataMine hosts the acceptable list of Corporate Bonds. Click here to access.
  • Instructions to access the eligible collateral lists via CME DataMine can be found in the Access Guide.

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 Additional Resources.


CME Clearing accepts select foreign sovereign debt (denominated in the issuing country's local currency) from Australia, Canada, France, Germany, Japan, Mexico, Singapore, Sweden, and the United Kingdom as collateral. 

  • Acceptable for Base and IRS
ISSUING COUNTRY USDE Cap Across the Clearing Member and Affiliates
Australia $250 million (debt may not exceed 10 years maturity)
Canada $1.4 billion
France $1.4 billion
Germany $1.4 billion
Japan $1 billion
Mexico  $250 million
Singapore $150 million (debt may not exceed 10 years maturity)
Sweden $100 million
United Kingdom $1.4 billion

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
Select nominal Sovereign discount bills from Australia, Canada, France, Germany, Japan, Mexico, Singapore, Sweden, and the United Kingdom 5% -- -- --
Select fixed-rate, nominal Sovereign notes and bonds from Australia, Canada, France, Germany, Japan, Mexico, Singapore, Sweden, and the United Kingdom 6% 7.5% 9% 10.5%

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 Additional Resources.


CME Clearing accepts select U.S. government agencies and mortgage backed securities as collateral. See below for more information.

US Government Agencies

  • Acceptable for Base and IRS
  • Capped at $2 billion USDE across the clearing member and affiliates
  • Discount notes (maturity no more than 12 months) and coupon instruments (GSEOTH) issued by:
    • Federal Farm Credit Banks
    • Federal Home Loan Bank System
    • Federal Home Loan Mortgage Corp.
    • Federal National Mortgage Association
  • Issue size must be greater than $1 billion for coupon instruments (GSEOTH)
  • Only permissible derivative features are callable and floating rate

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
Discount Notes and Bills: FFCB, FHLB, FHLMC, FNMA 3.5% -- -- -- -- --
Coupon Bearing instruments: GSEOTH 4% 5.5% 9% --

Mortgage Backed Securities (MBS)

  • Acceptable for Base and IRS
  • Capped at $1.4 billion USDE across the clearing member and affiliates
  • Eligible issuers include:
    • Fannie Mae
    • Freddie Mac
    • Ginnie Mae
  • MBS must be backed by 15- or 30-year fixed rate conventional loans only

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
Fannie Mae (FNMA), Freddie Mac (FHLMC), and Ginnie Mae (GNMA) 11% 11% 11% 11% 11% 11%

ADDITIONAL RESOURCES

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 Additional Resources.


CME Clearing accepts government money market mutual funds through its IEF2 program.

  • Acceptable for Base and IRS
  • Capped at $5 billion USDE across the clearing member and affiliates
  • Select government money market mutual funds
  • Must be an IEF2 participant

Haircut Schedule

  • 2% haircut applied

For more information, see the IEF2 program page.

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 Additional Resources.


CME Clearing accepts COMEX gold warrants and London gold bullion as collateral. 

  • Acceptable for Base and IRS
  • Capped at $750 million USDE across the clearing member and affiliates
  • Limit inclusive of COMEX gold warrants & London gold bullion
  • London gold bullion is limited to a clearing member's Non-Segregated (House) requirement
  • COMEX gold warrants are accepted for USD-denominated performance bond requirements
  • CME does not accept Elemetal (ELEM) and Al Ethiad (ALET) COMEX brands as performance bond

Haircut Schedule 

  • 15% haircut applied to the market value

ADDITIONAL RESOURCES

Material related to the acceptance of COMEX gold warrants:

  • Information sheet can be found here

  • Frequently Asked Questions can be found here

Pursuant to CME Rule 817, COMEX gold warrants may become subject to a lien in favor of the Exchange’s liquidity lenders. Consistent with this rule, and in order for a clearing member to be eligible to participate in the COMEX gold warrants collateral program, a UCC-1 financing statement is filed against the clearing member’s collateral on deposit. Please contact creditrisk@cmegroup.com for questions or more information. 

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 Additional Resources.


CME Clearing accepts U.S. Treasuries, including bills, TFRNs, notes, and bonds, as well as TIPS and TSTRIPS.

Treasuries

  • Acceptable for Base, IRS and Guaranty Fund
  • Acceptable for the CME cross-margin program
    • U.S. Treasury bills
    • U.S. Treasury notes
    • U.S. Treasury bonds
  • U.S. Treasury Bonds may not exceed 10 years’ time to maturity for Guaranty Fund

Haircut Schedule

Asset Class0 to ≤1 years>1 to ≤3 years>3 to ≤5 years>5 to ≤10 years>10 to ≤30 years>30 yearsU.S. Treasury Bills

0.5%
--
--
--

----U.S. Treasury Floating Rate Notes

1%
2%
--

------U.S. Treasury Notes

1%

2%3%4.5%8%--U.S. Treasury Bonds1%2%3%4.5%8%--

Asset Class 0 to ≤1 years >1 to ≤3 years >3 to ≤5 years >5 to ≤10 years >10 to ≤30 years >30 years
U.S. Treasury Bills
0.5%
--
--
--
-- --
U.S. Treasury Floating Rate Notes
1%
2%
--
-- -- --
U.S. Treasury Notes
1%
2% 3% 4.5% 8% --
U.S. Treasury Bonds 1% 2% 3% 4.5% 8% --

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 the Collateral Forms section, in the Data Files listing, of the Financial and Collateral Management page. 

TIPS and TSTRIPS

  • Acceptable for Base and IRS
  • TSTRIPS capped at $1 billion USDE across the clearing member and affiliates
  • TIPS capped at $1 billion USDE across the clearing member and affiliates

Haircut Schedule

Asset Class 0 to ≤1 years >1 to ≤3 years >3 to ≤5 years >5 to ≤10 years >10 to ≤30 years >30 years
TSTRIPS
11%
11%
11%
11%
11% 11%
TIPS
1%
2%
3%
4.5% 8% 8%

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 the Collateral Forms section, in the Data Files listing, of the Financial and Collateral Management page.


CME Clearing accepts select stocks and ETFs.

Stocks

  • Acceptable for Base and IRS
  • Capped at $500 million USDE across the clearing member and affiliates

Stock Haircut Schedule

Asset Class0 to ≤1 years>1 to ≤3 years>3 to ≤5 years>5 to ≤10 years>10 to ≤30 years>30 yearsU.S. Treasury Bills

0.5%
--
--
--

----U.S. Treasury Floating Rate Notes

1%
2%
--

------U.S. Treasury Notes

1%

2%3%4.5%8%--U.S. Treasury Bonds1%2%3%4.5%8%--

  • 30% haircut applied to the market value

ETFs

  • Acceptable for Base and IRS
  • Capped at $500 million USDE across the clearing member and affiliates

ETF Haircut Schedule

  • 30% haircut applied to the market value

ADDITIONAL RESOURCES

Additional stock and ETF acceptable criteria:

CME DataMine

  • View the acceptable lists of stocks and ETFs in CME DataMine.
  • Instructions to access the eligible collateral lists via CME DataMine can be found in the Access Guide.

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 the Collateral Forms section, in the Data Files listing, of the Financial and Collateral Management page. 


CME Clearing accepts Canadian provincials from Ontario and Quebec as collateral. See below for more information.

  • Acceptable for Base and IRS
  • Capped at $100 million USDE across the clearing member and affiliates
  • May not exceed 5 years’ time to maturity

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
Select nominal discount bills from the following Canadian Provinces: Ontario and Quebec 25% -- -- --
Select fixed-rate, nominal notes and bonds from the following Canadian Provinces: Ontario and Quebec 25% -- -- --

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 the Collateral Forms section, in the Data Files listing, of the Financial and Collateral Management page. 


CME Clearing accepts letters of credit as collateral from a list of CME Clearing approved banks. See below for more information.

  • Acceptable for Base
  • Capped at $1 billion USDE across the clearing member and affiliates
  • Capped at 25% of margin requirement per account class
  • Issued in the Exchange's name by approved banks
  • Not accepted for Forwards and 4d Swaps
  • Not permitted to meet house performance bond requirements for financial affiliated clearing members
  • Clearing Member cannot post an LOC from an affiliated issuing bank
  • Clearing members may be eligible for a limited exemption from the standard cap up to the lesser of 50% of margin requirement per account class or $2 billion. Contact ClearingHouseFinancial@cmegroup.com

CME Clearing must receive an amended letter of credit by 3pm CST the business day prior to its expiry date in order for the letter of credit to remain eligible for performance bond credit on its expiry date. An amended letter of credit received by CME Clearing after this deadline is not eligible for performance bond credit on the original expiry date. 

Haircut Schedule

  • 0%

ADDITIONAL RESOURCES

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 Additional Resources.


CME Clearing accepts cash and letters of credit from a list of CME Group approved banks.

Standby letters of credit for deliveries

  • May be utilized to meet delivery margin requirements (e.g., full value margin, or FVM) applied to certain contracts in delivery
  • Issued in the Exchange’s name by approved banks (CME Inc. is the sole beneficiary)
  • Subject to bank issuing limits
  • Letters of credit for deliveries are directly related to specific delivery assignments
    • The customer must be the applicant
  • Financial-affiliated clearing members cannot issue letters of credit to cover house delivery margin requirements.

Cash

  • May be utilized to meet delivery margin requirements (e.g., full value margin, or FVM) applied to certain contracts in delivery
  • For contracts with a margin requirement in a foreign currency, the requirement can be met with the contract’s settlement currency or USD
  • All contracts with a margin requirement in USD must be met with letters of credit or USD cash

Haircut Schedule

  • 0%

ADDITIONAL RESOURCES

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 Additional Resources.


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).   

Contact CreditRisk@cmegroup.com for more information.

Haircut Schedule

  • The haircut schedule for U.S. Treasuries within the PTF program, provided below, is the same haircut schedule CME Clearing uses for U.S. Treasuries.
Asset Class 0 to ≤1 years >1 to ≤3 years >3 to ≤5 years >5 to ≤10 years >10 to ≤30 years >30 years
U.S. Treasury Bills
0.5%
--
--
--
-- --
U.S. Treasury Floating Rate Notes
1%
2%
--
-- -- --
U.S. Treasury Notes
1%
2% 3% 4.5% 8% --
U.S. Treasury Bonds 1% 2% 3% 4.5% 8% --

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 Additional Resources.


CME Clearing accepts select short-term UST ETFs.

  • Acceptable for Base and IRS
  • Capped at $1 billion USDE across the clearing member and affiliates

Ticker

Name

Creation/Redemption Unit Amount

BIL

SPDR Bloomberg 1-3 Month T-Bill ETF

50,000

TBLL

Invesco Short Term Treasury ETF

10,000

GBIL

Goldman Sachs Access Treasury 0-1 Year ETF

10,000

SGOV

iShares 0-3 Month Treasury Bond ETF

50,000

SHV

iShares Short Treasury Bond ETF

10,000

CME Clearing will only accept shares of Short-Term UST ETFs in multiples of a given funds creation/redemption unit amount.

Haircut Schedule

  • 3% haircut applied to the market value

ADDITIONAL RESOURCES

CME DataMine

  • View the acceptable lists of Short-Term UST ETFs in CME DataMine.
  • Instructions to access the eligible collateral lists via CME DataMine can be found in the Access Guide.

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 Additional Resources.


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

  • 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%

--

--

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 Additional Resources.

Summaries of acceptable collateral

View downloadable summaries of acceptable collateral requirements, eligible haircuts, and other important information related to collateral supported by CME Clearing.

View a summary of acceptable collateral for base products (e.g., futures and options products).

View a summary of acceptable collateral for Interest Rate swaps and swaptions cleared through CME Clearing.

View a summary of acceptable collateral for products transacted as part of the CME Clearing/OCC relationship.

View a summary of acceptable collateral for products transacted as part of CME Clearing’s relationship with the Financial and Energy Exchange Group (FEX) of Australia.

View a summary of acceptable collateral for Guaranty Fund financial safeguard commitments associated with clearing memberships.

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