• Review of Collateral Haircuts Advisory

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 15-094
      • Notice Date
      • 31 March 2015
      • Effective Date
      • 31 March 2015
    • In conjunction with the regular review of market volatility to ensure adequate collateral coverage, please find attached the current acceptable collateral and haircuts for CME Clearing. Please note that the changes column identified below indicates any near term changes to collateral and haircuts. All assets that are utilized to meet PB requirements in different currencies will be subject to an additional cross-currency haircut. For applicable haircuts and more details, please see the CME cross-currency haircut file and the CME Financial and Collateral Management page . Should you have any questions, please contact the Risk Management department at 312-648-3888 or the Financial Management group at 312-207-2594.




      For the full text of the advisory, click here