Acceptable Collateral & Haircuts
Acceptable Collateral & Haircut1
Asset Type |
Collateral Haircut |
| Cash (U.S. Dollars) | 0% |
| Common Stocks & Fund Shares (Equity Issues) | Collateral-in-Margin Treatment2 |
| Letters of Credit (U.S. Dollars)3 | 0% |
| U.S. Government Securities (Bills, Bonds, Notes, STRIPS, TIPS) | Refer to Collateral Haircut Schedule4 |
| Canadian Government Securities (Bills, Bonds, Notes) | Refer to Collateral Haircut Schedule |
Collateral Haircut Schedule
Asset Type |
Time to Maturity |
||||
< 1 Year |
> 1 & < 5 Years |
> 5 & < 10 Years |
> 10 & < 15 Years |
> 15 Years |
|
| U.S. Government Securities (Bills, Bonds, Notes)5 | 1% | 2.5% | 5% | 6.5% | 8% |
| U.S. Government Securities (TIPS) | 1% | 2.5% | 5% | 8% | 11% |
| U.S. Government Securities (STRIPS) | 5% | 5% | 18% | 18% | 18% |
| Canadian Government Securities (Bills, Bonds, Notes)6 | 3% | 4% | 5% | Not Eligible | Not Eligible |
1The information below is subject to OCC’s Rules and By-Laws. Other limitations and/or restrictions may apply.
2OCC Rule 610 provides for deposits of Equity Issues in lieu of margin. When not deposited in lieu of margin, Equity Issues deposited under Rule 604 to satisfy margin requirements are subject to “collateral in margin” treatment, whereby they are included in Monte Carlo simulations under OCC’s STANS methodology to produce a portfolio specific haircut. Equity Issues are not valid for deposit in Clearing Fund or OCC/CME cross-margin accounts.
3Letter of Credit (Standby & Pass-Through) are not acceptable in Clearing Fund accounts. Pass-Through Letters of Credit are only acceptable in certain Segregated Futures accounts.
4U.S. Government Securities deposited as Escrow Deposit Supporting Collateral have a zero haircut.
5Deposits in OCC/CME cross-margins accounts utilize the more conservative haircut of the respective organizations.
6An additional 3% haircut is applied subsequent to applying the haircut in the Collateral Haircut Schedule. Maturities greater than 10 years from date of deposit are not eligible.