Collateral
Various types of collateral may be deposited with CDCC. The following section presents the eligible forms of collateral, the related risk limits and the appropriate haircuts. More detailed information on the eligible forms of collateral can be found in the CDCC risk manual.
Forms of Collateral
| Forms of Collateral | Eligible Assets | Employed Value |
|---|---|---|
| Cash | Canadian Dollars, United States Dollars, Hong Kong Dollars, Euro, Great British Pounds | Nominal |
| Debt Securities |
Debt Securities which fulfill certain minimum criteria may be deemed as an eligible form of collateral. Acceptance of a Debt Security is conditional on the availability of a price from a source that CDCC determines to be acceptable and reliable. CDCC establishes, reviews on a regular basis and publishes the list of eligible Debt Securities on its web site. |
The haircut value is applied to the market value |
| Valued Securities |
Securities listed on the Toronto Stock Exchange or the TSX Venture Exchange, evaluated at $10 or more. No value will be given for any valued security issued by an affiliate of the Clearing Member. Valued Securities issued by the TMX Group are not eligible. |
The haircut value is applied to the market value |
CDCC may, from time to time and at its sole discretion, amend the list of eligible collateral. CDCC may additionally, on an exceptional basis and at its sole discretion, accept other forms of collateral.
Risk Limits
| Clearing Fund | |
|---|---|
| Liquidity requirements | 100% cash |
| Supplemental Liquidity Fund | |
|---|---|
| Liquidity requirements | 100% cash |
| Margin Accounts* – Collateral Limits | |
|---|---|
| Liquidity requirements | Minimum 25% cash, Canadian Treasury bills and Canadian Bonds |
| Concentration requirements | Maximum 40% U.S. |
| Maximum 50% total Provinces | |
| Maximum 30% Ontario Bonds and Treasury bills | |
| Maximum 30% Quebec Bonds and Treasury bills | |
| Maximum 20% British Columbia Bonds and Treasury bills | |
| Maximum 20% Alberta Bonds and Treasury bills | |
| Maximum 20% Manitoba Bonds and Treasury bills | |
| Maximum 15% Valued Securities | |
| Maximum 5% Foreign Currency Cash | |
| Maximum 0% Hong Kong Dollar Cash | |
* The collateral limits apply to all of the Clearing Member's Margin Deposit Accounts combined.
Limit on the Variation Margin Account
For each Clearing Member, for all of its accounts combined, 100% of the Net Variation Margin Requirement must be covered by acceptable Treasury bills and bonds issued or guaranteed by the Government of Canada, Government of Alberta, Government of British Columbia, Government of Ontario and Government of Quebec or any combination thereof after the application of Haircuts. CDCC shall, on an exceptional basis, acting reasonably, accept cash or other securities as collateral to cover the Net Variation Margin Requirement
Haircuts
| Tenors | Haircuts* | |||
|---|---|---|---|---|
| CAD | CAD Real Return | U.S. | U.S. Real Return | |
| 3 months or less | 0.25% | 0.25% | 5.00% | 5.00% |
| 3 months - 1 year | 0.50% | 0.50% | 5.25% | 5.25% |
| 1 - 3 years | 1.00% | 1.00% | 5.75% | 5.75% |
| 3 - 5 years | 1.50% | 1.50% | 6.25% | 6.25% |
| 5 - 10 years | 2.00% | 2.00% | 7.50% | 7.50% |
| 10 - 20 years | 3.50% | 3.50% | 10.00% | 10.00% |
| 20 - 35 years | 6.00% | 6.00% | 13.00% | 13.00% |
| 35 years and more | 6.50% | 6.50% | - | - |
* Applied at the market value.
| Tenors | Haircuts* | ||||
|---|---|---|---|---|---|
| Ontario | Quebec | British Columbia | Alberta | Manitoba | |
| 3 months or less | 1.50% | 1.50% | 1.50% | 1.50% | 1.50% |
| 3 months - 1 year | 1.75% | 1.75% | 1.75% | 1.75% | 1.75% |
| 1 - 3 years | 2.50% | 2.50% | 2.50% | 2.50% | 2.50% |
| 3 - 5 years | 3.00% | 3.00% | 3.00% | 3.00% | 3.00% |
| 5 - 10 years | 3.50% | 3.50% | 3.50% | 3.50% | 3.50% |
| 10 - 20 years | 5.00% | 5.00% | 5.00% | 5.00% | 5.00% |
| 20 - 35 years | 8.50% | 8.50% | 8.50% | 8.50% | 8.50% |
| 35 years and more | 9.00% | 9.00% | 9.00% | 9.00% | 9.00% |
* Applied at the market value.
| Form of Collateral | Employed Value | Haircuts | |
|---|---|---|---|
| CAD | U.S. | ||
| Valued Securities | Market | 50% | N/A |
| Haircuts* 3.25% |
|---|
| US Dollar Euro British Pound Hong Kong Dollar |
* Applied at the market value.
