Clearing House Advisory Notice
To | Chief Financial Officers Back Office Managers
From | CME Clearing House
Subject | Canadian Sovereign Debt as Performance Bond Collateral
Effective Date | 10/12/00
Notice Number | 00-78
Beginning Friday, October 13, 2000, the CME Clearing House will expand the acceptance of Canadian Treasury bonds to maturities of greater than three years. Acceptable Canadian bonds must be Canadian dollar denominated coupon securities, with a maximum maturity of up to thirty-two years. Listed below is the haircut schedule that will be implemented for all Canadian sovereign debt:Canadian Treasury bills � 5% of market value Canadian Treasury bonds For securities with a remaining time to maturity of three years or less: � 10% of market value, plus 5% of market value if the security was issued more that 9 months ago For securities with a remaining time to maturity of greater than three years, but less than thirty-two years: � 30% of market value* Any Canadian bills or bonds that clearing firms deliver to the CME as performance bond collateral, must remain unencumbered and free of all liens. Securities must also be maintained in par multiples of CAD 5,000.00. Harris Trust & Savings Bank is the CME�s custody agent for Canadian bills and bonds. At maturity, the CME will credit the Canadian dollar maturity value to the CME�s Canadian dollar customer segregated or house non-segregated performance bond account at Harris, for the benefit of the clearing firm that deposited the matured Canadian bill or bond. However, Canadian dollar cash will not be automatically released to firms. The firm must request a withdrawal of maturity proceeds via a C21 withdrawal. When Canadian bond is posted as performance bond collateral, firms should ensure that they coordinate with Harris to arrange for the semi-annual payment of coupon interest. Firms interested in depositing Canadian bills or bonds to the CME, as performance bond collateral, should utilize the delivery instructions listed below: Delivery of book entry securities through the Canadian Depository for Securities, Ltd.: Bank of Montreal FINS # T510 For the account of: Harris Trust & Savings Bank A/C # 10-2930-01-3 Further credit: Chicago Mercantile Exchange A/C # (8206062 house; 8206740 customer seg) Ref: CME Clearing Member Name and Number Clearing firms will receive intra-day cycle performance bond credit for Canadian bills or bonds confirmed to the CME by Harris by 10:00 a.m. Clearing firms will receive same day performance bond credit for Canadian bills or bonds confirmed to the CME by Harris by 3:30 p.m. *The Clearing House will periodically review all collateral haircuts to ensure that an appropriate haircut is utilized Questions pertaining to any of the above may be directed to: At the CME: Tim Golomb, Associate Director, Financial Management, at 312-930-3194 At Harris Bank: Tom O�Toole, Vice President, Custody Services, at 312-461-2895