Summary of Acceptable Collateral

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Performance Bond Collateral

Hard Dollar Limits

Asset Class Hard Dollar Limit
Cash None1
U.S. Treasuries None
Letters of Credit2 $500 million
U.S. Government Agencies $2 billion
Select MBS $1 billion
TIPS $1 billion
TSTRIPS $1 billion
Gold3 $250 million
IEF2 – Money Market Funds $5 billion
Corporate Bonds $2 billion
Foreign Sovereign Debt $5 billion4
Canadian Provincials $100 million
Stocks $500 million
ETFs $500 million
Prefunded Treasury Facility (PTF) None5

With respect to all foreign currencies, clearing members are subject to a $250 million USDE limit across the clearing member and affiliates for meeting requirements in a different currency. Offshore Chinese renminbi is capped at $200 million USDE across the clearing member and affiliates.

2 Letters of Credit are acceptable collateral for performance bond for Base products only and not permitted for house PB requirements, for financial-affiliated clearing members. Letters of Credit are capped at 25% of margin requirement.

3 Gold is acceptable collateral for performance bond for House positions only.

4 Individual sub-limits: U.K., Germany, Canada, France, and Japan $1 billion USDE each; Australia and Mexico $250 million USDE each; Singapore, and Sweden $100 million USDE each.

5 The PTF is acceptable to meet performance bond requirements in the House origin for futures and options products in the Base Guaranty Fund. The amount of PTF a clearing member can use to meet House performance bond requirements is limited to 75% of the clearing member’s performance bond requirement on the day of acceptance of the PTF by CME as collateral on deposit.

Note: Gold, IEF2, Corporate Bonds, Canadian Provincials, Stocks, ETFs, and Foreign Sovereign Debt except that issued by Canada, France, Germany and the United Kingdom are capped at $5 billion USDE across the clearing member and affiliates. Gold, IEF2, Corporate Bonds, Canadian Provincials, Stocks, ETFs, all Foreign Sovereign Debt, U.S. Government Agencies, Agency MBS, TIPS, and STRIPS are capped at $7 billion USDE across the clearing member and affiliates.