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CME Group Acceptable Performance Bond …

CME Group Acceptable Performance bond collateral for Base Guaranty Fund Products Asset Class Requirement Type Eligibility (Core, Concentration or Guaranty Fund) Description Haircut Schedule Eligible for Cleared Swaps Customer Requirements Eligible for Customer Segregated Requirements Eligible for House (Proprietary) Requirements Notes Cash Core 100% Concentration 100% Guaranty Fund 0% Australiandollar British pound Canadian dollar Euro Japanese yen New Zealanddollar Norwegiankrone Swedish krona Swiss franc OffshoreChineseRenminbi Mexican peso South Africanrand Turkish liraSee Notes Yes Yes Yes A haircut is applied to cash whencash is utilized to meet arequirement based in a differentcurrency. Please see the Cross-Currency Haircut Percentages filefor applicable cross-currencyhaircuts applied to all : Japanese yen used forNorwegian krone requirement: 5%haircut. $250 million USDE limit across theclearing member and affiliates onall foreign currency meeting arequirement in a differentcurrency.

CME Group Acceptable Performance Bond Collateral for Base Guaranty Fund Products Asset Class Requirement Type Eligibility (Core, Concentration or

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Transcription of CME Group Acceptable Performance Bond …

1 CME Group Acceptable Performance bond collateral for Base Guaranty Fund Products Asset Class Requirement Type Eligibility (Core, Concentration or Guaranty Fund) Description Haircut Schedule Eligible for Cleared Swaps Customer Requirements Eligible for Customer Segregated Requirements Eligible for House (Proprietary) Requirements Notes Cash Core 100% Concentration 100% Guaranty Fund 0% Australiandollar British pound Canadian dollar Euro Japanese yen New Zealanddollar Norwegiankrone Swedish krona Swiss franc OffshoreChineseRenminbi Mexican peso South Africanrand Turkish liraSee Notes Yes Yes Yes A haircut is applied to cash whencash is utilized to meet arequirement based in a differentcurrency. Please see the Cross-Currency Haircut Percentages filefor applicable cross-currencyhaircuts applied to all : Japanese yen used forNorwegian krone requirement: 5%haircut. $250 million USDE limit across theclearing member and affiliates onall foreign currency meeting arequirement in a differentcurrency.

2 $200 million USDE cap onOffshore Chinese Renminbiacross the clearing member andaffiliates. Mexican peso, South African rand,and Turkish lira can only be usedto meet their respective 100% Concentration 100% Guaranty Fund100% dollarSee Notes Yes Yes Yes Letters of Credit Core 25% Concentration 25% Guaranty Fund 0% Letters of CreditforPerformanceBond0% No Yes Yes Letters of Credit are not acceptedfor Forwards and CommoditySwaps. Letters of Credit are not permittedto meet house Performance bondrequirements for financial affiliatedclearing members. Capped at 25% of marginrequirement. $500 million USDE cap across theclearing member and affiliates. ## Clearing members that wish to post additional LOCs on behalf of qualifying commercial end users may be eligible for a limited exemption from this cap. Please contact the clearing house at if you would like to learn more about this exemption.

3 Asset Class Requirement Type Eligibility (Core, Concentration or Guaranty Fund) Description Haircut Schedule Eligible for Cleared Swaps Customer Requirements Eligible for Customer Segregated Requirements Eligible for House (Proprietary) Requirements Notes Gold Core 100% Concentration 100% Guaranty Fund 0% Physical Gold15% No No Yes $250 million USDE cap across theclearing member and affiliates. Agreements are required. Note 1 IEF2 (Money Fund Program) Core 100% Concentration 100% Guaranty Fund 0% Money MarketMutual FundProgram3% Yes Yes Yes $5 billion USDE cap across theclearing member and affiliates. Note 1 Corporate Bonds Core 100% Concentration 100% Guaranty Fund 0% CorporateBonds can bepledged directlyor through Yes Yes Yes $2 billion USDE cap across theclearing member and affiliates. List is updated monthly. Note 1 Asset Class Requirement Type Eligibility (Core, Concentration or Guaranty Fund) Description Haircut Schedule Eligible for Cleared Swaps Customer Requirements Eligible for Customer Segregated Requirements Eligible for House (Proprietary) Requirements Notes Time to Maturity 0 to 1 yrs >1 to 3yrs>3 to 5yrs>5 to 10yrs>10to 30yrs> Treasuries Core 100% Concentration 100% Guaranty Fund100% -- -- -- -- --- Yes Yes Yes T-Bonds that exceed 10 years timeto maturity are not Acceptable forGuaranty Fund.

4 TFRNs1% 2% -- -- -- -- T-Notes1% 2% 3% 6% -- T-Bonds1% 2% 3% 6% -- Core 100% Concentration 100% Guaranty Fund 0% TIPS1% 2% 3% 6% -- $1 billion USDE cap on TIPS across the clearing member andaffiliates. $1 billion USDE cap on TSTRIPS across the clearing member andaffiliates. Note 2 TSTRIPS11% 11% 11% 11% 11% 11% Agencies & Mortgage Backed Securities Core 100% Concentration 100% Guaranty Fund 0% Discount Notes and Bills: FFCB FHLB FHLMC -- -- -- Yes Yes Yes Eligible issuers include FannieMae, Freddie Mac, Federal FarmCredit Bank, Federal Home LoanBank, and also include Ginnie Maefor MBS securities. Issue size must be greater than $1billion for coupon bearinginstruments (GSEOTH) and theonly permissible derivative featureis floating rate. $2 billion USDE cap on across the clearingmember and affiliates. Mortgage backed securities mustbe backed by 15 or 30 yearconventional loans only.

5 Fixed rateonly. $1 billion USDE cap on mortgagebacked securities across theclearing member and affiliates. Note 2 Coupon bearing instruments: GSEOTH4% 7% -- Mortgage backed securities: GSEMB11% 11% 11% 11% Asset Class Requirement Type Eligibility (Core, Concentration or Guaranty Fund) Description Haircut Schedule Eligible for Cleared Swaps Customer Requirements Eligible for Customer Segregated Requirements Eligible for House (Proprietary) Requirements Notes Time to Maturity 0 to 5 yrs >5 to 10yrs>10to 30yrs>30 yrsForeign Sovereign Debt Core 100% Concentration 100% Guaranty Fund 0% Discount Bills from the following countries: Australia Canada France Germany Japan Mexico Singapore Sweden UnitedKingdom5% -- -- -- Yes Yes Yes $5 billion USDE cap on all FX debt across the clearing member and affiliates. $250 million USDE cap on Australian debt across the clearing member and affiliates.

6 $1 billion USDE cap on Canadian debt across the clearing member and affiliates. $1 billion USDE cap on French debt across the clearing member and affiliates. $1 billion USDE cap on German debt across the clearing member and affiliates. $1 billion USDE cap on Japanese debt across the clearing member and affiliates. 250 million USDE cap on Mexican debt across the clearing member and affiliates. $100 million USDE cap on Singapore debt across the clearing member and affiliates. $100 million USDE cap on Swedish debt across the clearing member and affiliates. $1 billion USDE cap on debt across the clearing member and affiliates. Australian and Singapore debt may not exceed 10 years time to maturity. Mexican debt can only be used to meet Mexican peso-denominated requirements. Note 1 Notes and Bonds from the following countries: Australia Canada France Germany Japan Mexico Singapore Sweden UnitedKingdom6% 9% Yes Yes Yes Asset Class Requirement Type Eligibility (Core, Concentration or Guaranty Fund) Description Haircut Schedule Eligible for Cleared Swaps Customer Requirements Eligible for Customer Segregated Requirements Eligible for House (Proprietary) Requirements Notes Time to Maturity 0 to 5 yrs >5 to 10 yrs >10 to 30 yrs >30 yrs Canadian Provincials Core 100% Concentration 100% Guaranty Fund 0% Discount Bills from the following provinces: Ontario Quebec 25% -- -- -- Yes Yes Yes $100 million USDE cap on Canadian Provincial debt across the clearing member and affiliates.

7 Canadian Provincials may not exceed 5 years time to maturity. Note 1 Notes and Bonds from the following provinces: Ontario Quebec 25% -- -- -- Yes Yes Yes Equities Core 100% Concentration 100% Guaranty Fund 0% Select Stocks from S&P 500 Index 30% Yes Yes Yes Website is updated monthly. $500 million USDE cap on stocks across the clearing member and affiliates. Note 1 Exchange-Traded Funds Core 100% Concentration 100% Guaranty Fund 0% Select ETFs 30% Yes Yes Yes Website is updated monthly. $500 million USDE cap on ETFs across the clearing member and affiliates. Note 1 Notes: All assets that are utilized to meet PB requirements in different currencies will be subject to an additional cross-currency haircut. For applicable haircuts, please see the Cross-Currency Haircut Percentages file found under Forms and Instructions. CME may manage specific collateral concentrations in all circumstances.

8 CME may contact members directly to request collateral substitution. Note 1: Gold, IEF2, IEF4, 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 Government Agencies, Agency MBS, TIPS, and STRIPS. Note 2: Government Agencies, Agency MBS, TIPS, STRIPS, Gold, IEF2, IEF4, Foreign Sovereign Debt, Canadian Provincials, Stocks, and ETFs are capped at $7 billion USDE across the clearing member and affiliates.


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