CME Haircut and Cross Currency Haircut files

CME Clearing is pleased to announce the availability of two new CSV-format datafiles which provide information about haircut percentages applied to assets deposited as collateral to cover initial margin (performance bond) requirements and guarantee fund requirements.  Clearing member firms may use these datafiles to automate the reading of CME Clearing’s haircut percentages into their collateral management systems.

The first file, the CME Haircut CSV file, contains haircut percentages for each asset type and currency.  The second file, the CME Cross Currency Haircuts CSV file, specifies additional cross-currency haircuts.

These datafiles will be updated (with concomitant Clearing Advisories published) whenever there are changes to haircut percentages or acceptable collateral types.

The two datafiles, plus complete documentation, are available on CME Clearing’s Collateral Forms and Instructions page at:

http://www.cmegroup.com/clearing/financial-and-collateral-management/forms-and-instructions.html.

The documentation for the two files is at:

http://www.cmegroup.com/clearing/financial-and-collateral-management/files/cme-haircut-file.pdf.

For questions regarding the new haircut datafiles or collateral haircuts, please contact the Collateral Services group at ClearingCollateralServices@cmegroup.com or (312) 930-3775.

For a printer friendly version of this advisory, please click here.