Education 

Audit Advisory Notice
 | 
From Audit Department, Clearing House Division
Subject Acceptable Performance Bond Deposits
Effective Date 03/17/98
Notice Number 98-05
The Audit Department often receives questions regarding the types of margin/performance bond deposits acceptable at the account holder level under CME Rule 930.C. (Acceptable Performance Bond Deposits) pursuant to a recent change allowing readily marketable securities. To assist clearing members in determining acceptability, we have developed the attached list detailing acceptable deposits and their respective valuation.

While the attached summary is not an exhaustive list, it does contain the most commonly used and accepted collateral deposited by customers and noncustomers of FCMs.

If you have any questions, please call the Audit Department at (312) 930-3230 or e-mail us at audits@cme.com  

SUMMARY OF ACCEPTABLE MARGIN/PERFORMANCE BOND DEPOSITS 

TYPE OF COLLATERAL:

MARGIN/PERFORMANCE BOND VALUE:

Currencies of any Denomination

Full Value. Foreign currencies must be revalued daily using the spot price obtained from an accredited source, such as the Wall Street Journal.

United States Debt Obligations:

  • T-Bills
  • T-Notes
  • T-Bonds
  • Strip Notes
  • Treasury Inflation-Indexed Securities

Not to exceed market value less applicable haircuts for U.S. government securities in SEC Rule 15c3-1(c)(2)(vi)(A).1

Bank Issued Letters of Credit in CME Approved Format

Full value.

U.S. Deliverable Warehouse Receipts

Not to exceed 80% of the market value.

United States Agency Securities:

  • Federal National Mortgage Association Issues (FNMAs)
  • Government National Mortgage Association Issues (GNMAs)
  • Student Loan Marketing Association Issues (SLMAs)
  • Federal Farm Credit Bank Issues (FFCBs)
  • Federal Home Loan Mortgage Corporation Issues (FHLMCs)
  • Federal Home Loan Bank Issues (FHLBs)

Not to exceed market value less applicable haircuts for U.S. government securities in SEC Rule 15c3-1(c)(2)(vi)(A).1

Municipal Bonds

Not to exceed market value less applicable haircuts for municipal bonds in SEC Rule 15c3-1(c)(2)(vi)(B).1

Listed Stocks actively traded on the NASDAQ, New York Stock Exchange, or American Stock Exchange. The clearing member must have no restrictions on its ability to sell such stock.

Not to exceed market value less applicable haircuts for preferred stock in SEC Rule 15c3-1(c)(2)(vi)(H)1 or all other securities in SEC Rule 15c3-1(c)(2)(vi)(J).1

Canadian Debt Obligations (T-Bills/Bonds)

Not to exceed market value less applicable haircuts for U.S. government obligations in SEC Rule 15c3-1(c)(2)(vi)(A).1

Foreign Securities-Sovereign Issued Debt:

  • Japanese Debt Obligations (Government Bonds)
  • German Debt Obligations (Bund)
  • French Debt Obligations (Notional Bond)
  • United Kingdom Debt Obligations (Gilt)

Not to exceed market value less applicable haircuts for non-convertible debt securities in SEC Rule 15c3-1(c)(2)(vi)(F)1 pursuant to the June 12, 1992 Securities and Exchange Commission "no action" letter regarding the "ready market" of certain foreign and domestic debt securities.