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, Foreign Sovereign Debt, Canadian Provincials, Stocks, and ETFs are capped at $5 billion USDE across the clearing member and affiliates and are capped at $7 billion USDE across the clearing member and affiliates in combination with U.S. Government Agencies, Agency MBS, TIPS, and STRIPS.