• Floating Rate Notes - Acceptance for Performance Bond and Guaranty Fund Requirements at CME Clearing

      • To
      • Clearing Member Firms
      • From
      • CME Clearing
      • #
      • 14-020
      • Notice Date
      • 14 January 2014
      • Effective Date
      • 14 January 2014

    • CME Clearing is pleased to announce the acceptance of US Treasury Floating Rate Notes (FRNs) for Performance Bond and Guaranty Fund requirements. The US Treasury announced that starting January 2014 it will start auctioning Floating Rate Notes. FRNs will be acceptable under the CME Clearing acceptable collateral policy. FRNs will be treated like the US Treasury Note under category 1 assets.

       

       

       

      Asset Class

      Time to Maturity

      U.S Treasuries

      		  

      0 to ≤1 years

      >1 to ≤ 3 years

      >3 to ≤ 5 years

      >5 to ≤ 10 years

      >10 years
      TBILL

      0.5%

      --

      --

      --

      --
      FRN

      1.0%

      2.0%

      --

      --

      --
      TNOTE/TBOND

      1.0%

      2.0%

      3.0%

      4.5%

      6.0%
      TSTRIP

      11.0%

      11.0%

      11.0%

      11.0%

      11.0%

       

      For any questions, please contact the Risk Management department at 312-648-3888 or the Financial Management group at 312-207-2594.

      FOR A PRINTER FRIENDLY VERSION, CLICK HERE

       

      14-020

       

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2025 CME Group Inc. All rights reserved.