IEF2 Diversification Policy

 
 

Investment Requirements and Limits

The combined investment of Cleared Swaps Customer, customer segregated, and house non-segregated Performance Bond cash for each clearing member will be subject to the following:

  • With total investments of less than $100 million, there are no diversification requirements.
  • With total investments of greater than $100 million, but less than $200 million, there is a maximum investment limit of $100 million in any one fund.
  • For investments greater than or equal to $200 million, there is a 50% maximum investment in any one fund.

 


 

Additional Requirements

CME Clearing will continue to require firms to adhere to the following:

  • The maximum investment in any single fund shall be the lesser of 5% of the specific fund’s total assets, or $1.5 billion. The percentage limit is calculated on a routine basis and is based on the fund’s reported asset balances. The fund’s asset balances used in the calculation can be found on the CME web site under the IEF2 hyperlink.
  • The aggregate limit, of any one fund, of IEF2 deposits as held by CME will not exceed 15% of a fund’s total assets. If CME hits this threshold, it will reduce or reject the investment of the last firm's deposits.


The diversification rule is not applicable to the CME’s security deposit or guarantee fund.

 

 
 
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As the world's leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. CME Group exchanges offer the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, energy, agricultural commodities, metals, weather and real estate. CME Group brings buyers and sellers together through the CME Globex electronic trading platform and trading facilities in New York and Chicago. CME Group also operates CME Clearing, one of the largest central counterparty clearing services in the world, which provides clearing and settlement services for exchange-traded contracts, as well as for over-the-counter derivatives transactions through CME ClearPort.

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CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX, and COMEX.