• U.S. Treasury Maturity Haircut Schedule Changes

      • To
      • Clearing Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 13-205
      • Notice Date
      • 01 May 2013
      • Effective Date
      • 08 May 2013
    • As per the normal review of market volatility to ensure adequate collateral coverage, CME Clearing will implement the following change to the U.S. Treasury maturity haircut schedule effective with the close of business on Wednesday, May 8, 2013.
       
      Current Schedule:
       
      U.S. Treasuries

      U.S. Treasury Bills
      ·         0.5% haircuts applied to market value.
      U.S. Treasury Notes/Bonds
      Time to Maturity:
      ·         0-5 years - 3%
      ·         5-10 years - 4.5%
      ·         10-30 years - 6%
      U.S. Treasury Notes/Bonds have an additional 1.5% haircut if issue date is greater than 270 days

       
       
      Revised Schedule:
       
      U.S. Treasuries

      U.S. Treasury Bills
      ·         0.5% haircuts applied to market value.
      U.S. Treasury Notes/Bonds
      Time to Maturity:
      ·         0-1 years - 1%
      ·         1-3 years - 2%
      ·         3-5 years - 3%
      ·         5-10 years - 4.5%
      ·         10-30 years - 6%
      U.S. Treasury Notes/Bonds have an additional 1.5% haircut if issue date is greater than 270 days

       
       
      Should you have any questions, please contact the Risk Management department at 312-648-3888.
       
      Please refer to the website http://www.cmegroup.com/clearing/financial-and-collateral-management/ for further detail regarding acceptable collateral, haircuts, and limits. 

       

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