Cboe Clear US holds a Derivatives Clearing Organization (“DCO”) license from the CFTC and can offer clearing services to Designated Contract Markets (DCMs) licensed by the Commodity Futures Trading Commission (CFTC).
The Cboe Clear US clearing system TCS ™ is a multi-region cloud-based real time system. TCS is capable of clearing margin futures using SPAN and fully-collateralized futures.
Cboe Clear US determines margin requirement for open futures positions using a hybrid model which is based on a combination of Filtered Historical Simulated VaR (FHS VaR) and Historical VaR. More information on the general FHS VaR model can be found here: Working Paper No. 525 Filtered Historical Simulation Value-at-Risk Models and their Competitors.
Cboe Clear US provides margin relief for portfolios which contain risk offsetting positions on the same underlying commodity. Cboe Clear US does not provide any margin offset for positions across different underlying commodities at this time. FCM Clearing Members may also be required to post additional margin to account for concentration, illiquidity or other risk factors that may expose Cboe Clear US to excessive risk as determined by Cboe Clear US Risk Management Department.
See margin rates here.
Cboe Clear US publishes risk parameter files that can be used with CME SPAN™ for portfolio margin calculation. Margin parameter files are available on https://www.cmegroup.com/ftp/span/data/ccd/.
SPAN® is a registered trademark of Chicago Mercantile Exchange Inc., used herein under license. Chicago Mercantile Exchange Inc. assumes no liability in connection with the use of SPAN® by any person or entity.
While many safeguards are put in place by Cboe Clear US to limit the risk of exposure to potential losses from default, the following Financial Resources are available to Cboe Clear US as of the date indicated in the event an FCM Clearing Member is declared in Default pursuant to the Clearinghouse’s Rulebook (“Default Financial Resources”).
| Default Financial Resource Type | Value |
|---|---|
| As of Date | October 31, 2024 |
| Guaranty Fund Deposits | $ 0 |
| Corporate Contributions | $ 25,000,000 |
| Total Initial Margin Deposits | $5,514,004 |
In the event an FCM Clearing Member is declared in Default pursuant to the Clearinghouse’s Rulebook, only the margin of the Defaulting FCM Clearing Member and, if applicable and subject to Cboe Clear US’s default waterfall, margin held in the Defaulting FCM Clearing Member’s customer account, may be used for default management. The order in which all Cboe Clear US Default Financial Resources will be used (“Default Waterfall”) is described below.
| Defaulting FCM Clearing Member’s Initial Margin |
| Defaulting FCM Clearing Member’s Guaranty Fund Contribution1 |
| Corporate Contribution |
| Non-Defaulting FCM Clearing Members’ Guaranty Fund Contributions |
| Assessment Powers on FCM Clearing Members2 |
| Recovery & Wind-Down Tools3 |
1FCM Clearing Members will not have a Guaranty Fund contribution requirement until the Corporate Contribution reaches $100,000,000.
2See Cboe Clear US Rulebook for more information.
3Includes measures such as partial or full tear-ups, and variation margin haircutting.
Cboe Clear US conducts a settlement cycle for initial and variation margin at least twice per business day: a midday settlement cycle and an end-of-day settlement cycle. The midday cycle is calculated at 12:00 PM CT, with any payments due by 2:00 PM CT same day. The end-of-day cycle is calculated after the 4:00 PM CT market close and by 9:00 PM CT same day, with payments due by 8:00 AM CT the following business day.
Cboe Clear US currently accepts US Dollars only for purposes of funding futures contracts. Below are the custodians at which the relevant collateral will be held when it is posted to Cboe Clear US:
US Dollar cash balances posted to meet futures initial margin and guaranty fund requirements, as well as in excess there of, may be eligible to earn interest. The interest earned will be based on a rate determined by Cboe Clear US less 10 basis points (annualized) and will be adjusted periodically based on market conditions. Interest is calculated on a daily basis and will be paid on a monthly basis.
Please find available member files here.
| Product | Cboe Digital Symbol | Cboe Clear US Clearing Code | CFTC Code |
|---|---|---|---|
| Financially Settled Bitcoin Futures | |||
| Financially Settled Ether Futures |
View Cboe Digital’s OCR processes here.
