Clearing House Advisory Notices
To | Clearing Member Firms, Chief Financial Officers, Treasury Managers & Back Office Personnel
From | Clearing House Department
Subject | Review of Collateral Control Limits & Performance Haircuts
Notice Date | 2005-05-12
Notice Number | 05-82
Effective Date |
As part of its financial safeguards, the CME Clearing House ensures that each clearing member maintains a diversified portfolio of collateral. As with each new collateral product offering, CME institutes policies to control the concentration of asset types in order to achieve diversification. The CME Clearing House protects itself against price fluctuations through the administration of margin haircuts applied to acceptable collateral. Haircuts are set to ensure that upon liquidation in a time of market stress, that cash received would equal the performance bond value of the security. This memo will review the existing control limits of acceptable collateral and the associated haircuts. For the full text of this advisory . . .