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 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.
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.