• Collateral Acceptance - Additional Currencies for IRS Performance Bond Requirements

      • To
      • Clearing Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 13-263
      • Notice Date
      • 04 June 2013
      • Effective Date
      • 04 June 2013
    • With the launch of the below Interest Rate Swap currency products, CME Clearing, pursuant to CME Rule 820, has decided to expand the types of cash it accepts as performance bond (margin) to include Czech Koruna, Danish Krone, Hong Kong Dollar, Hungarian Forint, Mexican Peso, Polish Zloty, Singapore Dollar and South African Rand. The currencies will only be permitted to meet performance bond requirements in the local currency for the Interest Rate Swap products. The haircuts for each of the currencies are provided below.
       
       

      Currency
      Haircut
      Czech Koruna
      10%
      Danish Krone
      5%
      Hong Kong Dollar
      5%
      Hungarian Forint
      10%
      Mexican Peso
      10%
      Polish Zloty
      10%
      Singapore Dollar
      5%
      South African Rand
      15%

       
       
       
      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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