• IMPORTANT: Review of Collateral Haircuts Advisory

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 12-272
      • Notice Date
      • 29 June 2012
      • Effective Date
      • 29 June 2012
    • In conjunction with regular review of market volatility to ensure adequate collateral coverage, please find the current acceptable collateral and haircuts for CME Clearing below.  CME Clearing reports the addition of Japanese Government Bonds for Futures, CDS, and IRS and Offshore Chinese Renminbi for Futures to the acceptable collateral list.  Please see the table below for haircut information.  Please see CME Clearing website for more details. http://www.cmegroup.com/clearing/financial-and-collateral-management/


      Should you have any questions, please contact the Risk Management department at 312-648-3888 or Financial Management Group at 312-207-2594.




      For the full text of the advisory, click here.