CME Clearing issued collateral notice 26-343 with an effective date of 15 October, directing clearing members to its accepted-collateral and haircut schedule. The current schedule, checked on 30 October, shows substantial differences in the collateral value recognised for different assets. The notice alone does not establish which individual percentages changed.[1][2]
The schedule shows how differently CME values assets for clearing purposes. US Treasury bills maturing within a year carry a published 0.5% haircut, while ordinary eligible stocks carry 30%, eligible ETFs 25%, COMEX gold warrants and eligible London bullion 15%, and selected short-term Treasury ETFs 3%. These are performance-bond valuation deductions under specified eligibility conditions, not expected investment losses.[2]
The value posted is not the value credited
A haircut reduces the recognised collateral amount. For a simple illustration using assets that meet the programme rules, $1 million of Treasury bills with a 0.5% deduction would contribute $995,000 of value before any additional adjustment, whereas $1 million of eligible stocks at a 30% haircut would contribute $700,000. The example assumes the assets are accepted and ignores other margin, currency and concentration restrictions; it does not describe a guaranteed individual clearing member’s available credit.[2]
Selected valuation deductions
| Point | Documented position | Practical interpretation |
|---|---|---|
| Short-dated US Treasury bills | 0.5% for the stated eligible maturity bracket | $1m market value gives $995,000 before other limitsSource 2Source 1 |
| Eligible equities | 30% | $1m market value gives $700,000Source 2Source 1 |
| Eligible ETFs | 25% | The relevant programme and per-issuer caps still applySource 2Source 1 |
| Eligible gold | 15% | COMEX warrants and London bullion have different conditions; London bullion is limited to house/non-segregated accounts.Source 2Source 1 |
| Cross-currency cash | Schedule varies by currency, typically 5%–15% in listed groups | Applies where cash currency differs from the currency of the requirement.Source 2Source 1 |
Cash denominated in a currency different from the requirement can attract a further currency haircut. CME lists groups of eligible currencies at 5%, 7.5%, 10% and 15%, with operational limits and conditions for cash mismatches. The distinction is particularly relevant to international brokers that receive multiple client currencies but clear derivatives against obligations denominated in dollars or another currency. Gross cash held and effective recognised collateral are not necessarily equal.[2]
Eligibility can matter as much as the deduction. London bullion is restricted to house/non-segregated accounts, while COMEX gold warrants have their own programme conditions. Eligible government money-market funds through IEF2 carry a 2% haircut; eligible short-term Treasury ETFs use a separate 3% programme with creation/redemption-unit requirements. A generic government-fund label does not make the assets interchangeable.[2]
For an international clearing firm, these rules link funding choices to recognised collateral: the asset type, account category and currency of the obligation can all affect what is credited. The figures are collateral valuation deductions, distinct from the initial margin required for a particular futures position.[2]
Sources & further reading
- Review of Collateral Haircuts — effective 15 October 2026 CME Clearing · 15 Oct 2026 · Accessed 30 Oct 2026
- Acceptable Collateral and Haircut Schedules CME Group · Accessed 30 Oct 2026