Learn more about the comprehensive CME Clearing collateral management program.
Cash
U.S. Dollars
Acceptable for Base, IRS, Guaranty Fund, and CME's cross-margin program
Foreign Currency
Acceptable for Base and IRS
$250 million USDE limit across the clearing member and affiliates on all foreign currency meeting a requirement in a different currency. Upon request, CMFs may deposit additional CAD, EUR, GBP, and JPY cash up to a $500 million USDE FX cash mismatch limit. Please contact ClearingHouseFinancial@cmegroup.com for more information.
Offshore Chinese renminbi is capped at $200 million USDE across the clearing member and affiliates.
Haircut Schedule
A haircut is applied to cash when cash is used to meet a requirement based in a different currency. Please see the Cross-Currency Haircut Percentages file for applicable cross-currency haircuts applied to all assets.
The haircut is determined by the asset currency, except for USD assets where the haircut is determined by the requirement currency.
CME DataMine hosts the acceptable list of Corporate Bonds. Click here to access.
Instructions to access the eligible collateral lists via CME DataMine can be found in the Access Guide.
All assets that are utilized to meet PB requirements in different currencies will be subject to an additional cross-currency haircut. For applicable haircuts, please see the Cross-Currency Haircut Percentages file found under Additional Resources.
Foreign Sovereign Debt
CME Clearing accepts select foreign sovereign debt (denominated in the issuing country's local currency) from Australia, Canada, France, Germany, Japan, Mexico, Singapore, Sweden, and the United Kingdom as collateral.
Acceptable for Base and IRS
No matching records found.
Haircut Schedule
No matching records found.
All assets that are utilized to meet PB requirements in different currencies will be subject to an additional cross-currency haircut. For applicable haircuts, please see the Cross-Currency Haircut Percentages file found under Additional Resources.
Agencies & MBS
CME Clearing accepts select U.S. government agencies and mortgage backed securities as collateral. See below for more information.
US Government Agencies
Acceptable for Base and IRS
Capped at $2 billion USDE across the clearing member and affiliates
Discount notes (maturity no more than 12 months) and coupon instruments (GSEOTH) issued by:
Federal Farm Credit Banks
Federal Home Loan Bank System
Federal Home Loan Mortgage Corp.
Federal National Mortgage Association
Issue size must be greater than $1 billion for coupon instruments (GSEOTH)
Only permissible derivative features are callable and floating rate
Haircut Schedule
No matching records found.
Mortgage Backed Securities (MBS)
Acceptable for Base and IRS
Capped at $1.4 billion USDE across the clearing member and affiliates
Eligible issuers include:
Fannie Mae
Freddie Mac
Ginnie Mae
MBS must be backed by 15- or 30-year fixed rate conventional loans only
All assets that are utilized to meet PB requirements in different currencies will be subject to an additional cross-currency haircut. For applicable haircuts, please see the Cross-Currency Haircut Percentages file found under Additional Resources.
IEF2 – Money Market Funds
CME Clearing accepts government money market mutual funds through its IEF2 program.
Acceptable for Base and IRS
Capped at $5 billion USDE across the clearing member and affiliates
All assets that are utilized to meet PB requirements in different currencies will be subject to an additional cross-currency haircut. For applicable haircuts, please see the Cross-Currency Haircut Percentages file found under Additional Resources.
Gold
CME Clearing accepts COMEX gold warrants and London gold bullion as collateral.
Acceptable for Base and IRS
Capped at $1 billion USDE across the clearing member and affiliates
Limit inclusive of COMEX gold warrants & London gold bullion
London gold bullion is limited to a clearing member's Non-Segregated (House) requirement
COMEX gold warrants are accepted for USD-denominated performance bond requirements
CME does not accept Elemetal (ELEM) and Al Ethiad (ALET) COMEX brands as performance bond
Haircut Schedule
15% haircut applied to the market value
ADDITIONAL RESOURCES
Material related to the acceptance of COMEX gold warrants:
Pursuant to CME Rule 817, COMEX gold warrants may become subject to a lien in favor of the Exchange’s liquidity lenders. Consistent with this rule, and in order for a clearing member to be eligible to participate in the COMEX gold warrants collateral program, a UCC-1 financing statement is filed against the clearing member’s collateral on deposit. Please contact creditrisk@cmegroup.com for questions or more information.
All assets that are utilized to meet PB requirements in different currencies will be subject to an additional cross-currency haircut. For applicable haircuts, please see the Cross-Currency Haircut Percentages file found under Additional Resources.
Treasuries, TIPS, and TSTRIPS
CME Clearing accepts U.S. Treasuries, including bills, TFRNs, notes, and bonds, as well as TIPS and TSTRIPS.
Treasuries
Acceptable for Base, IRS and Guaranty Fund
Acceptable for the CME cross-margin program
U.S. Treasury bills
U.S. Treasury notes
U.S. Treasury bonds
U.S. Treasury Bonds may not exceed 10 years’ time to maturity for Guaranty Fund
Haircut Schedule
No matching records found.
No matching records found.
All assets that are utilized to meet PB requirements in different currencies will be subject to an additional cross-currency haircut. For applicable haircuts, please see the Cross-Currency Haircut Percentages file found under the Collateral Forms section, in the Data Files listing, of the Financial and Collateral Management page.
TIPS and TSTRIPS
Acceptable for Base and IRS
TSTRIPS capped at $1 billion USDE across the clearing member and affiliates
TIPS capped at $1 billion USDE across the clearing member and affiliates
Haircut Schedule
No matching records found.
All assets that are utilized to meet PB requirements in different currencies will be subject to an additional cross-currency haircut. For applicable haircuts, please see the Cross-Currency Haircut Percentages filefound under the Collateral Forms section, in the Data Files listing, of the Financial and Collateral Management page.
Stocks and Exchange-Traded Funds
CME Clearing accepts select stocks and ETFs.
Stocks
Acceptable for Base and IRS
Capped at $500 million USDE across the clearing member and affiliates
Stock Haircut Schedule
No matching records found.
30% haircut applied to the market value
ETFs
Acceptable for Base and IRS
Capped at $500 million USDE across the clearing member and affiliates
View the acceptable lists of stocks and ETFs in CME DataMine.
Instructions to access the eligible collateral lists via CME DataMine can be found in the Access Guide.
All assets that are utilized to meet PB requirements in different currencies will be subject to an additional cross-currency haircut. For applicable haircuts, please see the Cross-Currency Haircut Percentages file found under the Collateral Forms section, in the Data Files listing, of the Financial and Collateral Management page.
Canadian Provincials
CME Clearing accepts Canadian provincials from Ontario and Quebec as collateral. See below for more information.
Acceptable for Base and IRS
Capped at $100 million USDE across the clearing member and affiliates
May not exceed 5 years’ time to maturity
Haircut Schedule
No matching records found.
All assets that are utilized to meet PB requirements in different currencies will be subject to an additional cross-currency haircut. For applicable haircuts, please see the Cross-Currency Haircut Percentages file found under the Collateral Forms section, in the Data Files listing, of the Financial and Collateral Management page.
Letters of Credit (LOCs)
CME Clearing accepts letters of credit as collateral from a list of CME Clearing approved banks. See below for more information.
Acceptable for Base
Capped at $1 billion USDE across the clearing member and affiliates
Capped at 25% of margin requirement per account class
Issued in the Exchange's name by approved banks
Not accepted for Forwards and 4d Swaps
Not permitted to meet house performance bond requirements for financial affiliated clearing members
Clearing Member cannot post an LOC from an affiliated issuing bank
Clearing members may be eligible for a limited exemption from the standard cap up to the lesser of 50% of margin requirement per account class or $2 billion. Contact ClearingHouseFinancial@cmegroup.com
CME Clearing must receive an amended letter of credit by 3pm CST the business day prior to its expiry date in order for the letter of credit to remain eligible for performance bond credit on its expiry date. An amended letter of credit received by CME Clearing after this deadline is not eligible for performance bond credit on the original expiry date.
All assets that are utilized to meet PB requirements in different currencies will be subject to an additional cross-currency haircut. For applicable haircuts, please see the Cross-Currency Haircut Percentages file found under Additional Resources.