fbpx

Clearing

Cboe Digital 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 Digital clearing system TCS ™ is a multi-region cloud-based real time system. TCS is capable of clearing margin futures using SPAN and fully-collateralized bounded futures.

Margin Methodology

Cboe Clear Digital 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 Digital provides margin relief for portfolios which contain risk offsetting positions on the same underlying commodity. Cboe Clear Digital 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 Digital to excessive risk as determined by Cboe Clear Digital Risk Management Department.

Margin Rates

See margin rates here.

CME SPAN™ RISK PARAMETER FILES

Cboe Clear Digital 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/.

Financial Safeguards

Default Management Rules and Procedures

While many safeguards are put in place by Cboe Clear Digital to limit the risk of exposure to potential losses from default, the following Financial Resources are available to Cboe Clear Digital 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 August 30, 2024
Guaranty Fund Deposits $ 0
Corporate Contributions $ 25,000,000
Total Initial Margin Deposits $ 4,115,536

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 Digital’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 Digital 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 Digital Rulebook for more information.
3Includes measures such as partial or full tear-ups, and variation margin haircutting.

Settlement Cycles

Cboe Clear Digital 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 1:00 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.

Collateral Custodians

Cboe Digital 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 Digital:

  • BMO Bank, N.A.
  • Brown Brothers Harriman & Co.

Deposits & Withdrawals

Futures

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 Digital 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.

SFTP Member Files

Please find available member files here.

Codes

Product Cboe Digital Symbol Cboe Digital Clearing Code CFTC Code
Financially Settled Bitcoin Futures
FBT
FBT
FBT
Financially Settled Ether Futures
FET
FET
FET

Futures - Ownership Control Reporting

View Cboe Digital’s OCR processes here.