CHAPTER 8
CLEARING HOUSE AND PERFORMANCE BONDS
GENERAL800.

CLEARING HOUSE

801.

MANAGEMENT802.

PROTECTION OF CLEARING HOUSE
802.A. Default by Clearing Member or Other Participating Exchanges
802.B. Satisfaction of Clearing House Obligations
802.C. Application of Funds to Avoid Clearing House Insolvency
802.D. Utilization of Remaining Base Collateral of Defaulted Clearing
Member; Restoration of Funds Following Final Determination of Losses
802.E. Rights of Exchange for Recovery of Loss
802.F. Guaranty Fund Contributions to be Restored
802.G. Default Management Across Account Classes
802.H. Base Cooling Off Period and Multiple Defaults

803.

LIMITATION OF LIABILITY

804.

SUBSTITUTION

805.

OPEN POSITIONS

806.

OFFSET PROCESS

807.

OPEN POSITIONS DURING DELIVERY MONTH

808.

PROCEDURES FOR TRADE SUBMISSION ON CME CLEARPORT
808.A. Scope of Rule
808.B. Compliance with Regulatory Exemptions and Exclusions
808.C. Block Trades or Exchange for Related Position Transactions
808.D. OTC Derivatives Transactions Submitted for Clearing
808.E. Trade Submission Procedures
808.F. CME ClearPort Registration Requirements
808.G. Establishment of Authorized Commodities and Account Risk Limit(s)808.H. Trade Deletion Procedures for Transactions Submitted via CME
ClearPort
808.I.

Entry of Transactions

808.J. Use of Credit Check System
808.K. Trade Submission Deadlines
808.L. Clearance by Both Sides of the Transactions of Credit Check
809.

TRADE DATA PROCESSING SYSTEM

810.

FALSE ENTRIES ON CLEARING MEMORANDA

811.

POSITION CHANGE DATA

812.

FINAL SETTLEMENT PRICE

813.

DAILY SETTLEMENT PRICE

814.

SETTLEMENTS, SETTLEMENT VARIATION PAYMENTS, AND OPTION VALUE

815.

THIRD PARTY EXECUTION PLATFORMS FOR SWAPS
815.A. Exclusivity of Clearing House Rules
815.B. Clearing House Authority
815.C. Voids and Price Adjustments
815.D. Submission to Clearing House Rules and Access to Execution
Platforms
815.E. Compliance with Regulatory Standards
815.F. Transfer of Swap Positions
815.G. Applicability to Security-Based Swaps

816.

GUARANTY FUND DEPOSIT

817.

LIQUIDITY FACILITY

818.

CLOSE-OUT NETTING

819.

LIEN ON COLLATERAL

820.

PERFORMANCE BONDS

821.

[RESERVED]

822.

LIQUIDITY RISK MANAGEMENT

823.

[RESERVED]

824.

ADDITIONAL PERFORMANCE BOND

825.

SEGREGATION OF PERFORMANCE BOND

826.

PROPRIETARY ACCOUNT MINIMUM LIQUIDATION PERIOD

827.

SECURITIES LENDING PROGRAM

828.

BASE FINANCIAL RESOURCES

829.

MEASURES TO MITIGATE PROCYCLICALITY

830.

CROSS-MARGINING
830.A. Definitions
830.B. Cross-Margining Programs
830.C. [RESERVED]
830.D. Performance Bonds for Cross-Margining Program
830.E. Close-Out of Cross-Margin Positions

831.

COMMINGLING OF ELIGIBLE BASE FUTURES AND SWAPS POSITIONS

832.

FOREIGN CURRENCY MARKET DISRUPTION

833.-849.

[RESERVED]MISCELLANEOUS

850.

FEES

851.

[RESERVED]

852.

SURCHARGES FOR ERRORS, DELAYS AND OMISSIONS

853.

TRANSFERS OF TRADES AND CUSTOMER ACCOUNTS
853.A. Transfers of Trades
853.B. Transfers of Customer Accounts

854.

CONCURRENT LONG AND SHORT POSITIONS

855.

OFFSETTING POSITIONS

856.

[RESERVED]

857.

POST-TRADE MULTILATERAL COMPRESSION

Chapter 8
Clearing House and Performance Bonds
800.

CLEARING HOUSEThe Exchange shall utilize the services of the CME Clearing House in order to protect market
participants and to maintain the integrity of the contracts traded on or processed through the
Exchange. Membership in the Clearing House shall be a right and privilege granted by the Board of
Directors which may, from time to time, establish such classes of membership in the Clearing
House, together with the duties, rights and privileges thereof, as it deems necessary.

801.

MANAGEMENT
The Board of Directors of CME has governance and oversight responsibility of the safety andefficiency of the Clearing House. With respect to the governance and oversight of the Clearing
House, the responsibilities of the Board of Directors of CME include approving the appointments of
the Global Head of Clearing & Post-Trade Services and Chief Risk Officer of the Clearing House.
The Board of Directors of CME also has created the Clearing House Oversight Committee, which
also has governance and oversight responsibility relating to the Clearing House as set forth in its
written Charter. The Global Head of Clearing & Post-Trade Services shall be responsible for the
daily operation of the Clearing House and the implementation of the rules applicable to the Clearing
House. The Chief Risk Officer shall be responsible for implementing the risk management
framework and its procedures, policies and controls and for making appropriate recommendations
to the Board of Directors of CME of Directors of CME, the Clearing House Oversight Committee or
relevant risk committees, as applicable, regarding the Clearing House's risk management functions.
The Global Head of Clearing & Post-Trade Services and the Chief Risk Officer of the Clearing
House may also delegate authority for certain aspects of their responsibilities to staff of the
Clearing House. Clearing House staff shall adopt, establish, publish and amend from time to time a
Clearing House Manual of Operations ("Manual"). This Manual shall contain, among other things,
information and directions for preparing trade data, completing prescribed memoranda and meetingother Clearing House requirements. The Manual and amendments thereto shall constitute part of
the rules of the Exchange.

802.

PROTECTION OF CLEARING HOUSE

802.A. Default by Clearing Member or Other Participating Exchanges
The Clearing House shall establish a guaranty fund (the “Base Guaranty Fund”) for products other than CDS
Products, IRS Products and any positions commingled with IRS Contracts pursuant to Rule 8G831 (suchproducts, the “Base Guaranty Fund Products” and each product, a “Base Guaranty Fund Product Class”).
Each clearing member shall contribute to the Base Guaranty Fund in accordance with the requirements ofRule 816. A clearing member’s Base Guaranty Fund contribution may be applied by the Clearing House inaccordance with this Rule 802 to mitigate a Loss (as defined below) to the Clearing House attributable toany cleared Base Guaranty Fund Product Class regardless of the Base Guaranty Fund Product Classes aclearing member clears. However, in order to accommodate differences in time frames and processes
associated with the liquidation of certain Base Guaranty Fund Product Classes, Losses will be allocatedamong a set of Base Guaranty Fund tranches established to reflect the relative contributions of different
product classes to the total Base Guaranty Fund. Notwithstanding this prioritization of the Clearing House’s
recourse, ultimately the entire Base Guaranty Fund will be available if necessary to satisfy all losses
regardless of Base Guaranty Fund Product Class.
1. Default by Clearing Member
If a clearing member of CME, CBOT, NYMEX, COMEX, or an OTC Clearing Member, (i) fails promptly todischarge any obligation to the Clearing House or (ii) becomes subject to any bankruptcy, reorganization,
arrangement, insolvency, moratorium, or liquidation proceedings, or other similar proceedings under U.S.
federal or state bankruptcy laws, any comparable non-U.S. laws, or other applicable law, the Clearing House
may declare such clearing member to be in default. The Clearing House will post notice of a default
declaration on CME Group Inc.’s public website. For purposes of this Rule 802, each default by a clearing
member will be considered a separate default event, provided that if a clearing member has been declaredin default, subsequent failures to pay by such defaulting clearing member shall not be considered separate
default events unless and until the original default has been fully resolved and such clearing member has
been restored to good standing.
2. Defaulting Clearing Member’s Collateral
Upon the default of a Base Clearing Member, Base Collateral shall be applied by the Clearing House todischarge any loss to the Clearing House associated with such default (a "Loss"). A Loss shall include, butshall not be limited to, costs associated with the liquidation, transfer and managing of Base Contracts of thedefaulted clearing member, hedging costs and other costs incurred by the Clearing House related to
managing the risk surrounding the default of the clearing member. The defaulting clearing member shalltake no action, including but not limited to, attempting to obtain a court order that would interfere with theability of the Clearing House to so apply such assets and proceeds.
If the Base Guaranty Fund contribution, performance bond relating to Base Guaranty Fund Products andother assets of a defaulted clearing member available to the Clearing House are insufficient to satisfy all of
its obligations to the Clearing House, including all claims against the Clearing House by reason of its
substitution for that clearing member pursuant to Rule 804 or Rule 8F05, the Clearing House shall
nonetheless pay all such claims, which payments by the Clearing House shall be deemed a Loss to it andwhich shall be a liability of the defaulting clearing member to the Clearing House, which the Clearing House
may collect from any other assets of such clearing member or by process of law.
A Loss arising in the defaulted Base Clearing Member's proprietary account class shall be satisfied from theBase Collateral. A Loss resulting from any cleared swaps customer's cleared swap position in a Base
Product held in a cleared swaps account shall be satisfied by application of performance bond, excess
performance bond, other collateral and settlement variation gains held for the respective cleared swaps
customer consistent with Part 22 of the CFTC’s regulations (collectively, "Base Swap Customer Collateral").
A Loss resulting from any customer's position in any futures held in a futures segregated account, or any
swap position in a Base Product or foreign futures position that is commingled with such futures positions insuch segregated account, shall be satisfied by application of performance bond, excess performance bond,other collateral and settlement variation gains held in the Base Clearing Member's customer account in amanner consistent with section 4d(a) of the CEA and CFTC Regulation 1.20 (collectively, "Base Futures
Customer Collateral").
A loss resulting from any customer’s position in any foreign futures held in a secured account shall besatisfied by application of performance bond, excess performance bond, other collateral and settlement
variation gains held in the Base Clearing Member’s customer account in a manner consistent with
Commission Regulation 30.7 (collectively, “Base Futures 30.7 Customer Collateral”)
For purposes of this Rule, the positions in the cross-margin account of a Participating Clearing Member or
its Cross-Margining Affiliate at a Cross-Margining Clearing Organization, and the performance bond thereon,
shall be considered assets of the Participating Clearing Member available to the Clearing House to theextent provided in the Cross-Margining Agreement between the Clearing House and such Cross-Margining
Clearing Organization. A clearing member in default shall immediately make up any deficiencies in its Base
Guaranty Fund contribution resulting from such default and in any event no later than the close of businesson the banking day following demand by the Clearing House.
3. Default by Other Participating Exchanges or Partner Clearinghouses
If a Participating Exchange or Partner Clearinghouse fails to promptly discharge any obligation to theClearing House arising out of its obligations to the Exchange, such Participating Exchange's or Partner
Clearinghouse’s letters of credit, performance bonds and other assets available to the Clearing House shallbe applied by the Clearing House to discharge the obligation, pursuant to the procedures set forth below inRule 802.A.5 with respect to a defaulting clearing member. If such resources are insufficient to satisfy theParticipating Exchange’s or Partner Clearinghouse’s obligations to the Clearing House, the deficiency shallbe considered a Loss that is subject to satisfaction pursuant to Rule 802.B.
4. Allocation of Base Guaranty Fund into Tranches
The Base Guaranty Fund shall be composed of the required Base Guaranty Fund contributions of clearing
members pursuant to Rule 816, or any comparable security deposit contributions from a Participating
Exchange or Partner Clearinghouse. The Clearing House shall allocate the Base Guaranty Fund into
tranches as follows:i.
Base Tranche. Base Guaranty Fund Product Classes that are not associated with an Alternate Tranche
as described below shall comprise the Base Product Class. The first 80% of Base Guaranty Fund amounts
contributed with respect to the Base Product Class shall be the “Base Tranche”.
ii. [Reserved]
iii. Alternate Product Class Tranches. Any other product class approved by the Clearing House Risk
Committee to support a product-specific Base Guaranty Fund tranche hereunder shall comprise an Alternate
Product Class. The first 80% of Base Guaranty Fund amounts contributed with respect to each such an
Alternate Product Class shall be an “Alternate Tranche”.
iv. Commingled Tranche. The remaining 20% of Base Guaranty Fund amounts contributed with respect toall of the foregoing Product Classes shall be the “Commingled Tranche”.

As set forth below in 802.B, if the collateral of the defaulting clearing member, as described in Rule 802.A.2,
Participating Exchange or Partner Clearinghouse is insufficient to satisfy its obligation to the Clearing House,
the Tranche associated with a particular Base Guaranty Fund Product Class will be the Tranche first applied
to reimburse the Clearing House for Losses attributable to that Base Guaranty Fund Product Class, as
determined in accordance with Rule 802.A.5, (i.e., the Base Tranche will first be applied to Losses attributed
to the Base Product Class, and the Alternate Tranche will first be applied to Losses attributed to an Alternate
Product Class). The Base Guaranty Fund requirements of clearing members for purposes of allocation ofsuch amounts into the Tranches shall be the required amounts in effect for each clearing member at thetime of the default.
5. Apportionment Among Base Guaranty Fund Product Classes; Application of Defaulting Clearing
Member’s Collateral
Upon a default, the Clearing House shall apply the defaulting clearing member’s collateral to the deficiency
in accordance with the following procedures:i.
Initial Allocation of Assets to Base Guaranty Fund Product Classes. Subject to the provisions of
802.G, as of the cycle in which the default occurs, the Clearing House shall allocate assets of the defaulting
clearing member to the different Base Guaranty Fund Product Classes in which the clearing member has
open positions as follows: (a) the defaulting clearing member’s Base Guaranty Fund requirement associatedwith each Base Guaranty Fund Product Class shall be attributed to such Class, (b) the defaulting clearing
member’s required performance bond amounts for each Base Guaranty Fund Product Class as of the priorclearing cycle shall be allocated to such Class, (c) any CME shares (whether common shares or class B
shares) or any cash posted in lieu of such shares, and (d) any of the defaulting clearing member’s otherassets held by, pledged to or otherwise available to the Clearing House shall be divided among the Base
Guaranty Fund Product Classes in proportion to the defaulting clearing member’s Base Guaranty Fundrequirement.
ii.
Management of Obligations for Cycle of Default. As of the cycle in which the default occurs, theClearing House shall aggregate the following assets: any excess Base Guaranty Funds, any excess
performance bond from the prior clearing cycle for Base Guaranty Fund Product Classes, any partial
payment by the clearing member for the default cycle, and any other available assets of the clearing
member that are not specific to a Base Guaranty Fund Product Class. Such unassigned assets shall beallocated first to any net settlement variation payment obligation of the defaulting clearing member to theClearing House relating to Base Guaranty Fund Product Classes, pro rata across the customer andproprietary classes relative to the net settlement variation payment obligation for each account class. If theunassigned funds so allocated are sufficient to satisfy the clearing member’s immediate settlement variation
payment obligations for Base Guaranty Fund Product Classes, any remaining unassigned funds shall be
divided among the Base Guaranty Fund Product Classes, pro rata in proportion to the size of theperformance bond requirements for each Base Guaranty Fund Product Class for the clearing cycle
immediately prior to the default. If the unassigned funds are not sufficient to satisfy the clearing member’s
settlement variation payment obligations for Base Guaranty Fund Product Classes for the default cycle, then(i) the Clearing House shall apply the unassigned funds to such obligations, pro rata relative to the size ofsuch obligations on a per-Base Guaranty Fund Product Class basis, and within each Base Guaranty Fund
Product Class, pro rata across the customer and proprietary classes, and (ii) the remaining settlement
variation payment obligations for such clearing cycle shall be satisfied on a per-Base Guaranty Fund
Product Class basis only from the assets allocated to the relevant Base Guaranty Fund Product Class
pursuant to 802.A.5.i. If the Clearing House is unable to satisfy a settlement variation payment obligation
attributable to any Base Guaranty Fund Product Class from such assets, the deficiency shall be a Loss that
the Clearing House shall satisfy pursuant to the procedures in Rule 802.B. For the avoidance of doubt, as
set forth in 802.G, the Clearing House shall not use performance bond amounts or other collateral in any
customer account class of the defaulting clearing member to satisfy a payment obligation to the Clearing
House in respect of the defaulting clearing member’s proprietary account.
iii.
Payment Obligations as Losses are Finalized. During any subsequent clearing cycles in which theClearing House is managing and/or liquidating open positions in respect of the defaulting clearing member,the Clearing House shall satisfy any settlement variation payment obligations owed by the defaulting
Clearing member to the Clearing House, or other realized losses of or expenses to the Clearing House withrespect to the default, on a per-Base Guaranty Fund Product Class basis, only from the assets allocated to
the relevant Base Guaranty Fund Product Class pursuant to 802.A.5.i. Any settlement variation gain to thedefaulting clearing member in any Base Guaranty Fund Product Class during such subsequent clearing
cycles shall be added to collateral allocated to such Product Class pursuant to 802.A.5.i. Any additional
assets of the defaulting clearing member obtained by the Clearing House during subsequent clearing cycles(including amounts from CDS Products and IRS Products made available to Base Guaranty Fund Product
Classes) shall be divided among the Base Guaranty Fund Product Classes pro rata in proportion to the sizeof the performance bond requirements for each Base Guaranty Fund Product Class for the clearing cycleimmediately prior to the default. The Clearing House shall apply such collateral to such payment obligations
for all account classes, giving priority to customer account classes (i.e., customer accounts over proprietaryaccounts). If the Clearing House is unable to satisfy a settlement variation payment obligation to theClearing House, or other realized loss or expense to the Clearing House, from the defaulting clearing
member’s collateral as set forth in this paragraph, the deficiency shall be a Loss that the Clearing House
shall satisfy pursuant to the procedures in Rule 802.B. For the avoidance of doubt, as set forth in 802.G, theClearing House shall not use performance bond amounts or other collateral in any customer account classof the defaulting clearing member to satisfy a payment obligation to the Clearing House in respect of thedefaulting clearing member’s proprietary account, and shall not use performance bond amounts or othercollateral held in one account class for customers of the defaulting clearing member to satisfy a payment
obligation to the Clearing House in respect of another account class for customers of the defaulting clearing
member.
iv.
Final determination of gain or deficiency for each Product Class. When the Clearing House
determines the final net deficiency for a Base Guaranty Fund Product Class, it shall apply any remaining
collateral of the defaulting clearing member with respect to such Base Guaranty Fund Product Class tosatisfy the deficiency. If the Clearing House achieves a final gain, or if any excess collateral remains
following satisfaction of a deficiency, the Clearing House shall allocate such excess funds to the defaulting
clearing member’s collateral for Base Guaranty Fund Product Classes within the same account class as towhich a final gain or deficiency is yet to be determined, pro rata in proportion to the size of the performancebond requirements for such Base Guaranty Fund Product Classes for the clearing cycle immediately prior to
the default. For the avoidance of doubt, as set forth in 802.G, the Clearing House shall not use performancebond amounts or other collateral in any customer account class of the defaulting clearing member to satisfy
a payment obligation to the Clearing House in respect of the defaulting clearing member’s proprietaryaccount. Any gains or excess collateral within a segregated customer account class following final
determination of the defaulting clearing member’s losses shall remain segregated to the relevant customer
account class, where it may be used to satisfy payment obligations arising from such account class in other
Product Classes, but shall not be added to the clearing member’s collateral generally.
Any remaining unsatisfied obligations of the defaulting clearing member shall become Losses to theClearing House that shall be satisfied as set forth below.
802.B. Satisfaction of Clearing House Obligations
If the Clearing House is unable, using the defaulting clearing member’s collateral as set forth in Rule 802.A,
to satisfy all of the clearing member’s obligations to the Clearing House then such obligations shall be met
and made good promptly by the Clearing House pursuant to this Rule 802.B. Such obligations include, butshall not be limited to, costs associated with the liquidation, transfer and managing of positions, arising out
of: 1) its substitution (pursuant to Rule 804 or Rule 8F05) for a defaulting clearing member a defaulting
Participating Exchange, or a defaulting Partner Clearinghouse; 2) a shortfall in a cross-margining program;
3) the failure of a depository, exchange or market apart from the Exchange but whose transactions arecleared pursuant to the provisions of Chapters 8B, 8C, 8D, 8E or 8F; or 4) any other cause. All of theforegoing shall be deemed Losses to the Clearing House, which shall be apportioned by the Clearing House
to Loss categories associated with the Base Guaranty Fund Product Class producing the Loss. Losses thatcannot readily be attributed to a specific Base Guaranty Fund Product Class shall be apportioned by the
Clearing House across all Base Guaranty Fund Product Classes in proportion to relative size of theTranches (excluding the Commingled Tranche). Losses shall be satisfied by the Clearing House in the orderof priority hereafter listed. Non-defaulting clearing members shall take no actions, including but not limited toattempting to obtain a court order,that would interfere with the ability of the Clearing House to collect andapply assets and proceeds in accordance with this Rule 802.B. For purposes of this Rule 802.B, a default by
a Participating Exchange or a Partner Clearinghouse shall be managed in the same manner as a default bya clearing member.
1. If Losses Are Limited to the Base Product Class:i. The corporate contribution of CME, which shall equal $100,000,000 (the “CME Contribution”).
ii. The Base Tranche.
iii. The Commingled Tranche.
iv. The Alternate Tranche.
v. The balance of any Losses remaining after the application of the above funds shall be assessed against
all clearing members (excluding any insolvent or defaulting clearing members). Each clearing member(excluding any insolvent or defaulting clearing member) shall be subject to an assessment up to an amountthat does not exceed (A) a total of 275 per cent of such clearing member’s Base Guaranty Fundrequirements attributable to all Base Guaranty Fund Product Classes at the time of the default with respect
to Losses attributed to a single defaulted clearing member and (B) a total of 550 per cent of such clearing
member’s Base Guaranty Fund requirements attributable to all Base Guaranty Fund Product Classes at the

iv.

time of the default with respect to Losses attributed to all defaulted clearing members during a Base Cooling
Off Period. Assessed amounts shall be divided among clearing members pro rata in proportion to the size of
the Clearing House’s assessment authority with respect to each clearing member.
2. [Reserved]
3. If Losses Are Limited to an Alternate Product Class:i. The CME Contribution.
ii. The Alternate Tranche.
iii. The Commingled Tranche.
iv. The Base Tranche and any other Alternate Tranche, pro rata in accordance with the relative size of such
Tranches.
v. The balance of any Losses remaining after the application of the above funds shall be assessed against
all clearing members (excluding any insolvent or defaulting clearing members). Each clearing member(excluding any insolvent or defaulting clearing member) shall be subject to an assessment up to an amountthat does not exceed (A) a total of 275 per cent of such clearing member’s Base Guaranty Fundrequirements attributable to all Base Guaranty Fund Product Classes at the time of the default with respect
to Losses attributed to a single defaulted clearing member and (B) a total of 550 per cent of such clearing
member’s Base Guaranty Fund requirements attributable to all Base Guaranty Fund Product Classes at thetime of the default with respect to Losses attributed to all defaulted clearing members during a Base Cooling
Off Period. Assessed amounts shall be divided among clearing members pro rata in proportion to the size of
the Clearing House’s assessment authority with respect to each clearing member.
4. If Losses Are Apportioned Among Multiple Product Classes:
Because of differences in the timeframes and processes associated with the liquidation of certain producttypes, the Clearing House may finalize Loss amounts associated with different Base Guaranty Fund Product
Classes at different points in time. Notwithstanding this, the Clearing House will act with all possible speed
to satisfy the Losses as they are finalized, in the order of priority and per the schedule set forth below.
i.
The CME Contribution shall be applied. The CME Contribution shall be divided by the Clearing House
into separate segments in proportion to the size of each Tranche except for the Commingled Tranche. Eachsegment of the CME Contribution shall be applied first to Losses associated with the applicable Base
Guaranty Fund Product Class for such segment, and only at such time as one or more Losses associatedwith such Tranche are finalized. Subject to paragraph 802.C if any of the CME Contribution remains after
such initial application, such funds shall be reserved to be later applied to Losses associated with other
Product Classes as set forth in paragraph 802.B.4.v.
ii. The Base Tranche shall be applied to Losses associated with the Base Product Class and any Alternate
Tranche shall be applied to Losses associated with the applicable Alternate Product Class, in each casewhen one or more Losses associated with such Tranche are finalized. Subject to paragraph 802.C, if theTranche is not exhausted, any remaining funds shall be held in such Tranche and may later be applied toother Losses as set forth in paragraph 802.B.4.v.
iii. The Commingled Tranche funds shall be applied to remaining Losses associated with any Base
Guaranty Fund Product Class immediately as such Losses are finally determined by the Clearing House, inthe order that the amounts of such Losses are finalized. Consequently, the application of Commingled
Tranche funds to Losses associated with one Base Guaranty Fund Product Class may occur prior to thefinalization of Losses associated with other Base Guaranty Fund Product Classes (i.e., prior to thecompletion of the processes set forth in paragraphs 802.B.4.i and 802.B.4.ii with respect to Losses
associated with another Base Guaranty Fund Product Class). If Losses associated with more than one Base
Guaranty Fund Product Class are to be finalized pursuant to auction processes being conductedconcurrently, then any remaining Commingled Tranche funds shall be divided and allocated to such auctions
during the auction process, pro rata in proportion to the relative sizes of the mark-to-market losses for such
Base Guaranty Fund Product Classes.
iv. Any Losses remaining after the application of the processes set forth above shall be assessed against
all clearing members (excluding any insolvent or defaulting clearing members) up to an amount that does
not exceed (A) a total of 275 per cent of the aggregate guaranty fund requirements across all clearing
members (excluding any insolvent or defaulting clearing members) at the time of the default with respect tothe Base Guaranty Fund Product Class with which the Loss is associated with respect to Losses attributed
to a single defaulted clearing member and (B) a total of 550 per cent of the aggregate guaranty fundrequirements across all clearing members (excluding any insolvent or defaulting clearing members) at thetime of the default with respect to the Base Guaranty Fund Product Class with which the Loss is associatedand all defaulted clearing members during a Base Cooling Off Period. Such assessments shall occur on aper- Base Guaranty Fund Product Class basis as Losses associated with each Base Guaranty Fund ProductClass are finalized by the Clearing House. Consequently, the application of an assessment against clearing
members with respect to Losses associated with one Base Guaranty Fund Product Class may occur prior to
the finalization of Losses associated with other Base Guaranty Fund Product Classes. Assessed amounts
shall be divided among clearing members pro rata in proportion to the size of the Clearing House’s
assessment authority with respect to each clearing member, without regard to the Base Guaranty Fund
Product Classes cleared by such clearing member or the proportion to which such Base Guaranty Fund
Product Classes contribute to such clearing member’s maximum assessment exposure. (For example, aclearing member that clears only Alternate Tranche products and that is subject to a maximum $1 billion
assessment because of that clearing activity will be subject to assessment of up to $500 million for a Lossassociated with the Base Product Class if 50% of the Clearing House’s aggregate assessment powers are
generated by Base Guaranty Fund requirements with respect to the Base Product Class.) Any remaining
unused assessment authority associated with Base Guaranty Fund Product Classes as to which Losses are
fully satisfied shall be reserved and later may be applied to Losses associated with other Product Classes as
set forth in paragraph 802.B.4.v below.
v. (a) Collateral of the defaulting clearing member, (b) the CME Contribution, (c) Base Tranche funds or
Alternate Tranche funds, and (d) assessment powers shall be applied to remaining Losses as they are
finalized with respect to each Base Guaranty Fund Product Class and in such order, provided that if at thetime of any such application, Losses associated with another Base Guaranty Fund Product Class remain to
be finalized, the Clearing House shall continue to reserve a portion of such remaining funds or assessment
powers, pro rata in proportion to the size of the Tranches originally supporting such Base Guaranty Fund
Product Classes, until such remaining Losses are finalized. When all Losses have been finalized by the
Clearing House, any remaining reserved funds and assessment powers of any kind may be applied tosatisfy such Losses, pro rata relative to the size of the remaining losses for the Base Guaranty Fund Product
Classes.
5. Fedwire and Satisfaction of Assessment
All amounts assessed by the Clearing House against a clearing member pursuant to this Rule, during thehours in which the Federal Reserve's wire transfer system (Fedwire) is in operation, shall be paid to the
Exchange by such clearing member prior to the close of Fedwire on such day (regardless of any local
business hours or local holidays in a jurisdiction where a clearing member is located; provided, however,that all amounts assessed within one (1) hour prior to the close of Fedwire shall be paid to the Exchange
within one (1) hour after Fedwire next opens.
Any clearing member that does not satisfy an assessment, made pursuant to this paragraph 802.B.5 orparagraphs 802.B.1.v, 802.B.2.v, 802.B.3.v, 802.B.4.iv or 802.B.4.v above, shall be in default. Any Loss that
occurs as a result of such default shall itself be assessed by the Clearing House to non-defaulting clearing
members pursuant to the applicable paragraph.
If a clearing member (i) has made payment of all amounts assessed against it pursuant to this Rule 802.B inconnection with any single default and any related default by any other clearing member with respect to its
own assessment, (ii) has replenished any deficiency in its Base Guaranty Fund contribution in accordancewith Rule 802.D, and (iii) within five (5) business days after making such payments, has satisfied the otherconditions for withdrawal set forth in Rule 913.A, it may provide written notice of its application to withdraw
from clearing membership pursuant to Rule 913. Upon receipt of such notice, provided that the foregoingconditions have been satisfied, the withdrawing clearing member shall not be subject to any residual
assessment to cover Losses for defaults occurring after the related Base Cooling Off Period. Further, theBase Guaranty Fund contribution that it has restored shall not be used or applied towards meeting any claim
or obligation of the Clearing House pursuant to Rule 802.B that arises with respect to defaults occurring after
the related Base Cooling Off Period, and the withdrawing clearing member’s Base Guaranty Fundcontribution shall be released in accordance with Rule 913.
After payment of an assessment pursuant to Rule 802.B, a clearing member shall charge other clearing
members for whom it clears contracts or carries positions on its books to recover their proportional share of
the assessment. Such other clearing members shall promptly pay the charge.
6. Details of Implementation
While adherence to the provisions of this Rule 802.B shall be mandatory, the detailed implementation of theprocess of finalizing Losses with respect to a default, including the liquidation, auction or sale of positions orassets of the defaulting clearing member, shall be conducted by the Clearing House in consultation with theClearing House Risk Committee, with the approval of the Board, and/or such other committee as the Board
may designate.
In order to ensure that the process for liquidating open commodity contracts results in competitive pricing, tothe extent feasible under market conditions at the time of liquidation, liquidation of open commodity
contracts held for a house account or customer account of a defaulting clearing member may occur by one
or more of the following methods: (a) book entry that offsets open commodity contracts on the books of thedefaulting clearing member; (b) liquidation in the open market; and/or (c) one or more private auctions
amongst qualified market participants invited by the Clearing House to submit confidential bids. The Clearing
House shall have discretion to select the best bid submitted for any portfolio in an auction, based on the
totality of the circumstances. All information received by a Clearing Member, its affiliate or customer inconnection with the Clearing House’s liquidation and default management processes shall be treated asconfidential,
In the event that identical customer commodity contracts are liquidated in the open market on the same datebut cannot be liquidated at the same price, unless the Clearing House determines that it would beinappropriate, a weighted average of the liquidation prices for such contracts shall be used in determining
the value of the liquidated commodity contracts for each such customer. In the event that open commodity
contracts of multiple customers are liquidated in a bulk auction, the net proceeds of such auction shall beallocated on a pro rata basis amongst the affected customers based upon their applicable performance bondrequirements for the clearing cycle immediately prior to the default.
7. Modification of Clearing House’s Obligations for Base Contracts(a) If at any time following a default of a Base Clearing Member, the assets available to cover the default
under the preceding sections of Rule 802 are insufficient to satisfy the Loss and obligations of the Clearing
House to Base Clearing Members as a result of such default, then the Clearing House shall, in a manner thatis consistent with the requirements of the Commodity Exchange Act and the regulations adopted thereunder,
conduct its next settlement cycle as described in Rule 802.B.7(b).
(b) The Clearing House shall issue a Clearing Advisory Notice and conduct a settlement cycle to determine
settlement prices for all Base Contracts and the net portfolio gain or loss for each Base Clearing Member
and its customers, in accordance with the following:(i) The net portfolio gain of a Base Clearing Member (a “collect”), or the net portfolio loss of a Base Clearing
Member to the Clearing House (a “pay”) shall be determined separately:(A) For the Base Clearing Member’s proprietary positions in Base Contracts (the net portfolio gain or net
portfolio loss for such positions, “Proprietary Base Collects” or “Proprietary Base Pays”),(B) For a Base Clearing Member that is an FCM, for (i) the futures positions of the Base Clearing Member’s
customers in Base Contracts held in a futures segregated account and (ii) any swap positions or foreign
futures positions of such customers that are commingled with such futures positions in such account (thenet portfolio gain or net portfolio loss for such positions described in (i) and (ii) collectively, “Customer Futures
Collects” or “Customer Futures Pays,”(C) For a Base Clearing Member that is an FCM, for (i) the swap positions in Base Contracts of eachcustomer of the Base Clearing Member held in a cleared swaps customer account for such customer and (ii)any Commingled Futures Positions (as such term is defined in Rule 8G831) for each customer (the net
portfolio gain or net portfolio loss for such swap positions and Commingled Futures Positions described in (i)and (ii) collectively, “Individual Customer Swap Collects” or “Individual Customer Swap Pays”).
(D) For a Base Clearing Member that is an FCM, for the foreign futures positions of the Base Clearing
Member’s customers held in a secured account (the net portfolio gain or net portfolio loss for such positions,also the “Customer Futures Collects” or “Customer Futures Pay, “ provided, however, that the Clearing
House will determine the Customer Futures Collects and Customer Futures Pays separately for a Clearing
Member’s futures account class and foreign futures account class.
(ii) The Clearing House Oversight Committee (after considering any recommendation of the Emergency
Financial Committee) may determine a maximum amount of position liquidation payments that may be
included in the Aggregate Base Collects, based upon then existing facts and circumstances, that it deems
appropriate to mitigate further disruptions to the markets.
(iii) The Clearing House shall notify each Base Clearing Member of the amount of its remaining Base
Assessments, Proprietary Base Pays, Customer Futures Pays and Individual Customer Swap Pays andeach Base Clearing Member shall pay all such amounts no later than the time required for the relevant
settlement cycle. If a Base Clearing Member does not pay all such amounts to the Clearing House, theClearing House shall determine such Base Clearing Member to be in default and may take any of the actions
specified in Rule 802.A with respect to such Base Clearing Member and its customers.
(iv) If the amount of Aggregate Base Available Funds received by the Clearing House exceeds theAggregate Base Collects, the Clearing House shall calculate reimbursements of, and distribute, the excess
funds, in reverse order of the utilization of Base Priority of Payments.
(v) If the amount of the Aggregate Base Collects exceeds the amount of Aggregate Base Available Funds
received:(A) the Clearing House shall notify Base Clearing Members and provide an opportunity for Base Clearing
Members and their customers to make voluntary contributions to the Clearing House;(B) If the amount of the Aggregate Base Collects continues to exceed the amount of Aggregate Base
Available Funds after the Clearing House adds any voluntary contributions from Rule 802.B.7(b)(v)(A) to theAggregate Base Available Funds, then the Clearing House shall apply Base Gains Haircuts (as defined
below) to the Proprietary Base Collects, Customer Futures Collects and Individual Customer Swap Collects
for the current settlement cycle and each successor settlement cycle on the current Business Day and,
unless a Bankruptcy Event has occurred, each of the next two Business Days, in accordance with thefollowing:
Proprietary Base Collects, Customer Futures Collects and Individual Customer Swap Collects each shall be
reduced on a pro rata basis according to the amount of such collects, to equal the amount of Aggregate
Base Available Funds received relative to Proprietary Base Collects, Customer Futures Collects, andIndividual Customer Swap Collects (such process, a “Base Gains Haircut”).
Customer Futures Collects shall be haircut by the Clearing House at the customer account class level ofeach Base Clearing Member. Each Base Clearing Member shall allocate the haircut of its Customer Futures
Collects pro rata among its customers with net portfolio gains for the relevant settlement cycle;(C) The Clearing House Oversight Committee may instruct the Clearing House to extend or reduce thenumber of days during which Base Gains Haircuts are applied by one or two Business Days, provided that in
no circumstance may the Clearing House conduct settlement cycles in which Base Gains Haircuts areapplied for longer than five Business Days. Before providing such instruction, the Clearing House OversightCommittee must consider any recommendation of the Emergency Financial Committee.
Anyrecommendation of the Emergency Financial Committee and the decision of the Clearing House OversightCommittee, each regarding adjusting the duration of settlement cycles with Base Gains Haircuts, must be
based upon then existing facts and circumstances, be in furtherance of the integrity of the Clearing Houseand the stability of the financial system, and take into consideration the legitimate interests of clearing
members and market participants;(D) For each settlement cycle conducted in accordance with this subparagraph (v), absent a Bankruptcy
Event, the Clearing House shall pay the haircut Proprietary Base Collects, Customer Futures Collects, andIndividual Customer Swap Collects to Base Clearing Members as soon as practicable after receipt of theAggregate Base Available Funds. Subject to applicable law, the Clearing House will make arrangements to
pay the customers of a defaulted Base Clearing Member; and(E) If a Bankruptcy Event occurs following a default of a Base Clearing Member on a day during which Base
Gains Haircuts are applied to settlement cycles, on the day of the Bankruptcy Event, the Clearing House
shall conduct a final settlement cycle which shall be subject to a Base Gains Haircut. The price determinedin accordance with such settlement cycle shall be used as the price for a Base Contract when netting andclosing out pursuant to Rule 818.
8. Base Partial Tear-Ups and Base Full Tear-Ups(a) The Clearing House may, at any time following a default of a Base Clearing Member, notify Base
Clearing Members and provide an opportunity for Base Clearing Members to voluntarily agree to have theirproprietary positions or, with a customer’s consent, to agree to have each such customer’s positions,extinguished by the Clearing House.
(b) If proprietary or customer positions in Base Contracts of a defaulted Base Clearing Member remain open(the “Remaining Open Base Positions”) following the last settlement cycle conducted pursuant to Rule
802.B.7(b)(v), the Clearing House shall extinguish the Remaining Open Base Positions through a partial
tear-up process (“Base Partial Tear-Up”) or a full tear-up process (“Base Full Tear-Up”) of proprietary andcustomer positions of non-defaulted Base Clearing Members and non-defaulted customers of the defaulted
Base Clearing Member in accordance with the following:(i) The Clearing House Oversight Committee shall determine the appropriate scope of each Base Partial
Tear-Up or shall determine that a Base Full Tear-Up is appropriate. Before making such determination, theClearing House Oversight Committee must consider any recommendation of the Emergency Financial
Committee. Any recommendation of the Emergency Financial Committee and each determination of the
Clearing House Oversight Committee made for purposes of this Rule 802.B.8 must:(A) be based upon then existing facts and circumstances;(B) be in furtherance of the integrity of the Clearing House and the stability of the financial system;(C) take into consideration the legitimate interests of clearing members and market participants; and(D) aim to extinguish Remaining Open Base Positions and any additional positions in Base Contracts
deemed necessary to mitigate further disruptions to the markets affected by the Remaining Open Base
Positions.
(ii) A Base Partial Tear-Up may include, but need not be limited to, the following methods:(A) Line-by-Line Tear-Up Against The Remaining Open Base Positions. Proportionately extinguish BaseContracts held by non-defaulted Base Clearing Members, their non-defaulted customers and the nondefaulted customers of the defaulted Base Clearing Member that are opposite to the Remaining Open Base
Positions and relative to the size of the Remaining Open Base Positions; and(B) Tear-Up of All Positions in Base Contracts within a Product or Combination of Products. Extinguish allopen positions in Base Contracts for a product or combination of products.
(iii) A Base Full Tear-Up would involve the extinguishment of all open positions in Base Contracts.
(c) In connection with any settlement cycle with Base Gains Haircuts, the Clearing House OversightCommittee may instruct the Clearing House to extinguish a portion of the Remaining Open Base Positions
through a Base Partial Tear-Up of proprietary and customer positions of non-defaulted Base Clearing
Members and non-defaulted customers of the defaulted Base Clearing Member. The Clearing House
Oversight Committee would determine the appropriate scope of each such Base Partial Tear-Up inaccordance with the procedures set forth in Rule 802.B.8(b)(i) and (ii), except that each reference to"Remaining Open Base Positions" shall mean the relevant portion of Remaining Open Base Positions.
9. Limited Recourse for Base Guaranty Fund Products
If a default occurs, Base Collateral, Base Customer Collateral and the Base Priority of Payments shall be thesole source of payments to cover the Loss until the default is fully and finally resolved, as applicable. In theevent the Base Collateral, Base Customer Collateral and the Base Priority of Payments are insufficient tocover the Loss, regardless of whether the CME is able to require a Base Clearing Member to cure a
deficiency in the Base Guaranty Fund because of the occurrence of a Bankruptcy Event (as such term isdefined in CME Rule 818.A.), Base Clearing Members and the holders of Base Contracts shall have norecourse to any other funds or any other entity, including without limitation the guaranty funds that support
clearing of other products, CME, the Exchange, CME Group Inc. or any of its affiliates, other than any
amounts recovered as described in Rule 802.E.
10. No Claims Against the Exchange or Clearing House(a) Base Clearing Members, their affiliates and their customers shall have no claim against the Clearing
House, the Exchange, CME Group Inc. or any affiliates of the Exchange or CME Group Inc., or any
directors, officers or employees of any of the foregoing, including but not limited to claims against any otherguaranty fund established by the Clearing House, the Exchange, CME Group Inc. or any of its affiliates withrespect to losses suffered as a result of the application of any provision in this Rule 802.B. No beneficial
holder of a Base Contract shall have any claim against its non-defaulted Base Clearing Member as a resultof the application of this Rule 802.B other than any amounts recovered as described in Rule 802.E.
(b) Notwithstanding anything in subparagraph (a), Base Clearing Members, for both their proprietary
positions in Base Contracts and their customers' positions in Base Contracts, and non-defaulted customersof defaulted Base Clearing Members will have a claim on any recovery from the defaulted Base Clearing
Member or the estate of the defaulted Base Clearing Member in the amount of the Base Gains Haircuts, inthe aggregate, applied to such positions (such amount with respect to all non-defaulted Base Clearing
Members and their customers and the non-defaulted customers of the defaulted Base Clearing Member,“Aggregate Base Gains Haircuts”), as set forth more fully in Rule 802.E. If the recovery from the defaulted
Base Clearing Member is less than the Aggregate Base Gains Haircuts, non-defaulted Base Clearing
Members and their customers and the non-defaulted customers of defaulted Base Clearing Members will
share pro rata in the recovery.
11. Non-Petition
No Clearing Member and no customer of a Clearing Member shall institute against, or join any other person in
instituting against, the Clearing House or the Exchange any bankruptcy, reorganization, arrangement,
insolvency, moratorium, liquidation or examinership proceedings, or other similar proceedings under U.S.
federal or state bankruptcy laws or other applicable law arising out of any claimed default by the Clearing
House on a Base Contract as a result of the extinguishment of such Base Contract and related payments inaccordance with these Rules.
802.C. Application of Funds to Avoid Clearing House Insolvency
Notwithstanding any requirements to reserve funds set forth in Rule 802.A or Rule 802.B, if at any point
following a default, the Clearing House will be unable to timely fulfill its obligations following application of
the funds described above in the priority described above, such that the Clearing House is in imminent
danger of defaulting on its obligations or being declared insolvent, then the Clearing House shall be entitledto apply to such obligation any available funds reserved from the defaulting clearing member’s collateral, the
CME Contribution or any Tranche (other than the Commingled Tranche, which shall have been exhausted
pursuant to paragraph 802.B.4.iii), in the foregoing order of priority, if necessary to avoid a default by the
Clearing House or a declaration of its insolvency. Such use of reserved funds may only be made (i) if the
Clearing House reasonably concludes that there is a reasonable expectation that (A) the use of such funds
will satisfy the immediate obligation and avoid a default or insolvency and (B) that the remaining funds in theoverall financial safeguards package (including assessment powers) will be sufficient to satisfy the finalized
Losses with respect to all Base Guaranty Fund Product Classes, and (ii) the Clearing House reaches suchconclusion in consultation with the Clearing House’s primary regulator as to the specific facts, circumstancesand estimates of Losses supporting such conclusion. In such case, the Clearing House shall restore thefunds so employed to the reserved collateral segments, the CME Contribution segments or Tranches fromwhich they were drawn promptly following receipt by the Clearing House of assessment payments or any
other amounts that become available to it in respect of obligations arising out of the defaulted clearing
member’s default.
802.D. Utilization of Remaining Base Collateral of Defaulted Clearing Member; Restoration ofFunds Following Final Determination of Losses
1. After the default of a Base Clearing Member is finally resolved, excess Base Collateral of the clearing
member may be used by the Clearing House for losses to the Clearing House of such clearing member for
IRS Products and CDS Products on a pro rata basis based on the amount of any unresolved losses for suchproduct classes.
2. If after the default of a clearing member is finally resolved, the Clearing House determines that collateralof the defaulting clearing member, the CME Contribution, Tranche funds other than the Commingled
Tranche, or assessment powers were employed in a manner different from what would have occurred had
all assets been secured and liquidated immediately and all Losses finalized simultaneously, then the
Clearing House shall make appropriate (i) distributions to the non-defaulting firms whose Base Guaranty
Funds were applied or who were assessed and/or (ii) rebalancing allocations among Base Guaranty Fund
tranches.
802.E. Rights of Exchange for Recovery of Loss
Losses caused by the default of a Base Clearing Member, Participating Exchange or Partner Clearinghouse
are amounts due to the Clearing House from such Base Clearing Member, Participating Exchange orPartner Clearinghouse and shall remain legal obligations thereof notwithstanding the Clearing House’s
recourse to the loss-mutualization provisions of this Rule 802, and the Clearing House shall takecommercially reasonable steps to recover (including claims submitted in an insolvency or resolution
proceeding) such amounts. If any portion of these amounts is subsequently recovered by the Clearing
House, the net amount of such recovery shall be credited to non-defaulted Base Clearing Members (whether
or not they are still clearing members at the time of recovery) in the following order on a pro rata basis basedon (1) the amount of their (and their customers’, if applicable) voluntary contributions with respect to suchdefault, (2) the amount of their (and their customers’, if applicable) Aggregate Base Gains Haircuts withrespect to such default, (3) the amount of their Base Assessments utilized by the Clearing House withrespect to such default, and (4) the amount of their guaranty fund contribution utilized by the Clearing House
with respect to such default, each in the order listed, and then to the Clearing House for the amount of the
CME Contribution utilized by the Clearing House with respect to such default.
802.F. Guaranty Fund Contributions to be Restored
In the event it shall become necessary to apply all or part of the Base Guaranty Fund contributions to meet
obligations to the Clearing House pursuant to this Rule 802, clearing members shall restore theircontribution to the Base Guaranty Fund to previously required level prior to the close of business on the nextbanking day.
802.G. Default Management Across Account Classes
The procedures set forth in 802.A and 802.B shall be conducted separately by the Clearing House withrespect to open positions and associated performance bond contributions for different account classes(futures, foreign futures and cleared swaps). Upon a default, the Clearing House may, in accordance withapplicable law, act immediately to attempt to transfer to alternate clearing members part or all customer
positions and associated collateral with respect to any customer account class in which there is no default
on payment obligations or shortfall in required collateral, and in such cases the Clearing House shall not
apply segregated customer collateral to any payment obligations or Losses arising from a default in any
proprietary account or a different customer account class.
1. If a default occurs in a customer futures account, the Clearing House has the right to liquidate and apply
toward the default all open positions and customer performance bond deposits in the futures account classof the defaulting clearing member. Accordingly, positions and performance bonds deposited by customers
not causing the default are at risk if there is a default in the futures account class of their clearing member. If
the Clearing House liquidates positions and/or collateral in the futures account class, any collateralremaining after application to Losses in respect of such account class shall be reserved to the futures
account class in order to satisfy the claims of non-defaulting customers in accordance with applicable law. If
the Clearing House liquidates positions and/or collateral in the foreign futures account class, any collateralremaining after application to Losses in respect of such account class shall be reserved to the foreignfutures account class in order to satisfy the claims of non-defaulting customers in accordance withapplicable law.
2. In order to minimize disruptions and loss to its public customers if a clearing member defaults, eachclearing member shall cause its cleared swaps customers to establish arrangements to directly make all
required performance bond and settlement variation payments directly to the Clearing House and to keep
current and on file with the Clearing House any direction to transfer its open positions and collateral toanother clearing member.
3. The Clearing House shall treat positions and collateral of the cleared swaps customers of a clearing
member, which has been declared to be in default, in accordance with Part 22 of the CFTC’s regulations.
Immediately after the default of a clearing Member, the Clearing House shall cease netting settlement
variation among the cleared swaps customers of the defaulted clearing member.
4. If the Clearing House ceases to net settlement variation margin of the customers of a defaulted clearing
member, the Clearing House will calculate the settlement variation margin obligation owed to each clearedswaps customer (“collects”), and also calculate the settlement variation margin obligation owed to theClearing House by each cleared swaps customer (“pays”). The Clearing House will establish a holding
account for settlement variation margin collects owed to each cleared swaps customer or, subject tonecessary approvals, pay such settlement variation margin collects directly to each cleared swaps customer.
The Clearing House will collect cleared swaps customer settlement variation margin pays from the following
sources:(i)
Directly from the obligated cleared swaps customer in accordance with the arrangements
established pursuant to 802.G.2 or by attaching any excess collateral attributable to that customer;(ii)
By means of liquidating the collateral supporting the cleared swaps customer’s position attributed toa cleared swaps customer that fails to make a required settlement variation payment when due.
The proceeds of such liquidation shall be used to meet the cleared swaps customer's settlement
variation pay obligation to the clearing house. (If the collateral is liquidated, the positions supportedby the collateral shall be promptly liquidated.);Any unmet cleared swaps customer obligation to the Clearing House will be a “Loss,” per 802.A.2, and will
be cured in accordance with the provisions of 802.B.
5. The Clearing House shall rely on its own books and records to identify the portfolio of rights andobligations arising from the positions of each cleared swaps customer. To the extent the Clearing House’sbooks and records are not available or the Clearing House determines that its books and records are notaccurate, the Clearing House shall rely on the information provided by the defaulted clearing member to
identify the portfolio of rights and obligations arising from the positions for each of its cleared swaps
customers.
6. Upon liquidating the defaulting clearing member’s proprietary account, any remaining collateral may be
applied by the Clearing House to Losses remaining in the defaulting clearing member’s customer accountclasses, provided that such collateral shall be divided among the Product Classes as described above. If
the defaulting clearing member has more than one customer account class that has been declared to havedefaulted, proceeds from the defaulting clearing member’s proprietary account for each relevant Product
Class shall be divided by the Clearing House pro rata among such customer account classes, based on theirapplicable performance bond requirements for the clearing cycle immediately prior to the default.
802.H. Base Cooling Off Period and Multiple Defaults
The provisions set forth in Rule 802.A and 802.B shall apply with respect to each default by a clearing
member. If more than one clearing member default occurs at a time or in close sequence, including a default
that occurs by reason of a clearing member’s failure to satisfy an assessment demand, the Clearing House
shall manage the defaults separately. Upon any default, non-defaulted clearing members shall be subject toa maximum obligation during the relevant Base Cooling Off Period to contribute to the Base Guaranty Fundand to fund assessments as set forth in Rule 802.B. This maximum shall apply from the date of the original
default until the later of (i) the 5th Business Day thereafter and (ii) if another clearing member defaults during
the 5 Business Days following the initial or any subsequent default, the 5th Business Day following the lastsuch default (such period, the “Base Cooling Off Period”), regardless of the number of defaults that occur
during such Base Cooling Off Period.
The aggregate maximum contribution for the Base Cooling Off Period shall be based upon each clearing
member’s Base Guaranty Fund requirement and assessment exposure in effect at the commencement of
the Base Cooling Off Period. The maximum does not limit clearing members’ obligations to restore their
Guaranty Fund contributions as set forth in Rule 802.F, except that if the clearing member’s required
Guaranty Fund contribution would exceed such maximum, the clearing member’s Base Guaranty Fundrequirement shall be reduced accordingly for the remainder of the Base Cooling Off Period. Following a
Base Cooling Off Period, the Clearing House shall notify each clearing member of its Base Guaranty Fund

deposit obligation and its assessment exposure.
The CME Contribution to the Base Guaranty Fund shall be limited to an aggregate maximum of$100,000,000 during the Base Cooling Off Period. The Board may, at its discretion, authorize additional
funds be added to the CME Contribution during the Base Cooling Off Period.

803.

LIMITATION OF LIABILITY
The liability of the Clearing House shall be limited to losses resulting from the substitution of the
Clearing House upon contracts between clearing members and to losses in connection with
substitution of another Participating Exchange for clearing members (i.e., the Mutual Offset
System), and to losses in connection with amounts due and owing from a Partner Clearing House.
The Clearing House shall not be liable for any other obligations, including but not limited to,
obligations of a non-clearing member, obligations of a clearing member to a non-member,
obligations of a clearing member to another member of the Clearing House who is acting for him as
broker, or obligations to a customer by a clearing member; nor shall the Clearing House become
liable to make deliveries to or accept deliveries from a customer of its clearing members.

804.

SUBSTITUTION
Except with respect to trades made pursuant to Rules 526, 538 and 853, the Clearing House shall,through the process of novation, be substituted as, and assume the position of, seller to the buyer
and buyer to the seller of the relevant number of Exchange or Marketplace contracts upon the
successful matching of trade data submitted to the Clearing House by the clearing members on thelong and short sides of a trade. With respect to contracts that are traded on and matched byanother exchange or market, the Clearing House shall be substituted as, and assume the positionof, seller to buyer and buyer to seller of the relevant number of such contracts upon matching oftrade data submitted to and accepted by the Clearing House.
Upon such substitution, each clearing member shall be deemed to have bought the contracts fromor sold the contracts to the Clearing House, as the case may be, and the Clearing House shallhave all the rights and be subject to all the liabilities of such member with respect to suchtransaction. Such substitution shall be effective in law for all purposes.
With regard to trades made pursuant to Rules 526, 538 and 853, the Clearing House shall be
substituted at the time payment of the first settlement variation and performance bond due for suchtrades pursuant to Rule 814 is confirmed by the appropriate settlement bank for both members.

805.

OPEN POSITIONSAll contracts for the purchase or sale of any product for future delivery shall remain open and inforce, and shall continue to be binding upon the original parties until liquidated by offset as provided
in Rule 806 or by delivery or failure to perform as provided in the applicable product chapters.

806.

OFFSET PROCESS
When a member buys and sells the same commodity for the same delivery month or a put or call
option with the same strike price and expiration month and such contracts are cleared through theClearing House, the purchases and sales are not automatically offset one against the other.
Transactions can only be offset against one another by complying with Rule 811, and, once offset(closed-out), may not subsequently be re-opened at the Exchange.

807.

OPEN POSITIONS DURING DELIVERY MONTH
At such times and in such manner as shall be prescribed by the Manual, clearing members shallsubmit a complete and accurate record of all open purchases and sales for use in deliveries.
Clearing members shall be fully responsible for inventories submitted to the Clearing House. This
rule shall not apply to trading in options contracts.

808.

PROCEDURES FOR TRADE SUBMISSION ON CME CLEARPORT
808.A. Scope of Rule
This Rule governs transactions not competitively executed on the Exchange ("Transactions") thatare submitted via CME ClearPort for clearing in connection with a contract that is listed on the
Exchange for clearing only or listed for trading and clearing on the Exchange. For purposes of thisRule, the two parties to the Transaction shall be referenced as the "Parties to the Transaction."
808.B. Compliance with Regulatory Exemptions and Exclusions

Each of the Parties to the Transaction shall be responsible for ensuring that, where applicable, theTransaction complies with CFTC regulatory requirements or, in the case of foreign futures, withregulatory requirements in the jurisdiction in which the exchange listing the contracts is located.
808.C. Block Trades or Exchange for Related Position Transactions
The process of submission of a block trade or an exchange for related position Transaction(“EFRP”) executed pursuant to Rules 526 or 538, as applicable, shall not be deemed to have been
completed unless and until the Parties to the Transaction have successfully concluded thesubmission of the Transaction to the Clearing House as a block trade or an Exchange of Futures
for Physical ("EFP"), an Exchange of Futures for Risk ("EFR") or an Exchange of Options for
Options ("EOO"), as applicable, pursuant to the provisions of this Rule and the requirements ofRule 804.
808.D. OTC Derivatives Transactions Submitted for Clearing
CME ClearPort allows for the submission of off-Exchange OTC derivatives Transactions that the
Exchange has designated as eligible for clearing only. Such Transactions are subject to the Rulesof the Exchange applicable to such cleared-only products.
808.E. Trade Submission Procedures
All Transactions submitted to the Exchange pursuant to this Rule must be submitted in accordancewith the procedures established by the Exchange and the Clearing House for this purpose, as
amended from time to time. The Parties to the Transaction and any Party authorized under Section
F. of this Rule with brokering capability ("Broker" or "Brokers") to submit executed transactions onbehalf of Parties to the Transaction to the Exchange shall be responsible, both individually andjointly, for accurately confirming the details of the Transaction to the Exchange. Additionally,
Brokers submitting Transactions on behalf of Parties to the Transaction remain responsible for
ensuring that such Transactions are accurately and timely submitted in accordance with therequirements of applicable Exchange Rules and requirements of the Clearing House. Oncesubmitted, such transactions may not be modified except in accordance with Section H. of thisRule. The Exchange has no responsibility with respect to the confirmation of trade terms for theTransactions, and the Clearing Members carrying the account of the Parties to the Transaction
shall only be responsible for the confirmation required pursuant to Rule 957.
808.F. CME ClearPort Registration Requirements
Each Clearing Member must register with the Exchange in the manner required for any customer
authorized by the Clearing Member to submit transactions to the Exchange pursuant to this Rule,and must also register with the Exchange the applicable account numbers for each such customer.
For each such account, the Clearing Member carrying that account must also submit to the
Exchange the name of any Broker(s) who has registered with the Exchange for services provided
by the Exchange, and who is authorized by the customer to act on its behalf in the submission of
executed Transactions to the Exchange. For any such Brokers authorized by the customer andsubmitted to the Exchange by the Clearing Member, such submission by the Clearing Member will
not constitute an endorsement or ratification of the customer's authorization of the Broker.
Moreover, submission of Brokers authorized by the customer will not mean that the Clearing
Member is in privity with, has a relationship with and/or is otherwise standing behind any of thecustomer's authorized Brokers, and the Clearing Member will have no responsibility for any suchBrokers selected by the customer and no duty or obligation to supervise the activities of any suchBrokers.
808.G. Establishment of Authorized Commodities and Account Risk Limit(s)With the exception of Credit Default Swap (“CDS”) and Interest Rate Swap (“IRS”) Transactions, foreach account number that has been registered with the Exchange pursuant to Section F. of thisRule, a Clearing Member must also input into the CME Account Manager system an authorization
identifying the specific commodities for which a Transaction may be submitted to the Exchange
pursuant to this Rule and the account risk limit(s) assigned by the Clearing Member forTransactions for that account. Requirements for CDS and IRS Transactions are set forth in theapplicable sections of the Clearing House Manual of Operations for those products.
808.H. Trade Deletion Procedures for Transactions Submitted via CME ClearPort
Following submission of the trade details by Broker (or by Exchange staff as mutually agreed by
the Parties to the Transaction), an e-mail will be transmitted to the Parties to the Transaction
notifying them that they have been listed as counterparties in a Transaction that has been
submitted to the Exchange. Following such submission, a buyer or seller may not unilaterally reject
the trade terms previously submitted to the Exchange. However, in order to correct an error
resulting from the good faith actions of the Broker or Exchange staff, as applicable, and upon

mutual consent of the Parties to the Transaction, Broker or Exchange staff, as applicable, may void
the transaction provided, however, that this void response is received by the Exchange within three
Business Days of the time of the initial submission of the Transaction to the Exchange.
Notwithstanding the provisions of this Section, the Parties to the Transaction and any Broker
authorized by the Parties to the Transaction pursuant to Section E. of this Rule may be subject tosanctions pursuant to Rule 512 for the inaccurate, incomplete or untimely submission of theTransactions to the Clearing House.
808.I. Entry of Transactions
For a Transaction submitted to the Exchange pursuant to this rule, such Transaction will first be
routed to the Exchange's credit check system. The time of entry of a Transaction into the
Exchange's system will be recorded by the system and will be used by the Exchange as the timethat a credit check was conducted pursuant to Section J. below.
808.J. Use of Credit Check System
The Exchange will conduct a credit check for each Transaction. The credit check will confirm
whether the Clearing Member carrying that account has authorized that account for Transactions
submitted pursuant to this Rule in the commodity involved in the Transaction, and confirm whether
the entry of the Transaction into clearing would fall within the account risk limit(s) established by the
Clearing Member. At all times until both sides (Buy and Sell) of the Transaction have successfully
cleared the credit check and the Clearing House has been substituted as the counterparty to theTransaction pursuant to Rule 804, a Transaction submitted to the Exchange pursuant to this rule
shall remain as an uncleared Transaction. In the event that either side of the Transaction isrejected as a result of the credit check test, the Parties to the Transaction and their respective
Clearing Members will be informed accordingly.
Thereafter, any determination as to further action with respect to the Transaction will be the sole
responsibility of the Parties to the Transaction.
808.K. Trade Submission Deadlines
With the exception of CDS, IRS and FX Spot, Forward and Swaps Transactions, all otherTransactions that are submitted, confirmed and accepted for clearing, as further provided by
Section L. of this rule, prior to 5:15 p.m. New York time on an Exchange Business Day will be
included by the Exchange for clearing for that Business Day. The Exchange reserves the right tomodify these business hours without notice at any time. The CME ClearPort Facilitation Desk will
generally be available to assist users 24 hours a day on all Exchange Business Days. Tradesubmission deadlines for CDS, IRS and FX Spot, Forward and Swaps Transactions are set forth in
the applicable sections of the Clearing House Manual of Operations for those products.
808.L. Clearance by Both Sides of the Transactions of Credit Check
Upon clearance by both sides of the Transaction of the credit check, the Transaction shall bedeemed to have been accepted for clearing and will be routed automatically to the Exchange's
clearing system. Notwithstanding the above, a Clearing Member shall also be responsible for
accepting and clearing a position for a Transaction entered into the Exchange's clearing system forclearing following any non-operation of the Exchange's credit check functionality for the applicableaccount carried by the Clearing Member.

809.

TRADE DATA PROCESSING SYSTEM
From the trade data cleared during each day's reconciliation, the Clearing House will produce a
trade register for each clearing member which will itemize by commodity and contract: the opening
long and short position, the contracts bought and/or sold during the day, the prices at which
executed, and the settlement amounts.
The Clearing House will also produce a recap ledger for each clearing member that will itemize
various position and financial information that includes but is not limited to, commodity positions,settlement amounts and performance bond information.

810.

FALSE ENTRIES ON CLEARING MEMORANDA
No member shall place any false or inaccurate entries on any clearing memoranda, including, withrespect to a Participating Clearing Member, the clearing memoranda of a Cross-Margining Clearing
Organization.

811.

POSITION CHANGE DATA
Position change data must be submitted to the Clearing House each trading day not later than the

time specified by the Clearing House. Position change data will be in such form and contain suchinformation as prescribed by the Clearing House. When requested, the identification of accounts
will be made available to the Financial and Regulatory Surveillance Department.

812.

FINAL SETTLEMENT PRICE
Certain products, as described in the applicable product chapters, have procedures for establishinga final settlement price that are distinct from the procedures for establishing the daily settlement
price for the product on the last day of trading. For such products, if a final settlement price isunable to be determined or if the applicable procedures result in a clearly aberrant final settlement
price inconsistent with market value and alternative settlement procedures are not otherwise
specified in the relevant product chapter, then the Chief Executive Officer or Chief Operating
Officer, or their delegate, may establish a final settlement price that reflects the true market value atthe time of final settlement.
A payment in settlement of a delivery obligation (physical or cash settled) shall not be adjusted
after ten business days for any reason, including, without limitation, a calculation error or
erroneous and/or incomplete input.
16B

813.

DAILY SETTLEMENT PRICE
Daily settlement prices shall be determined each business day for each product pursuant to one ormore of the procedures set forth below. The settlement price shall be a price consistent with theminimum tick increment for the product; if the calculated settlement price is not a standard tickincrement, the calculated settlement price will be rounded either to the nearest tick or to the tickcloser to the previous day’s settlement price. The procedure used to determine the settlement priceof a product will depend on the product group, level of activity and liquidity during the defined
settlement period, and the trading venue(s) used to derive the settlement. To the extent that any
members participate in the creation of settlement prices, they agree to assign and transfer to the
Exchange any and all right, title and interest in and to the settlement prices, including, but notlimited to, all copyright in the settlement prices.
1. [Reserved]
2. Volume-Weighted Average Price (VWAP) of the Settlement Period: In products that use thisprocedure, all outright trades that occur during the defined settlement period are utilized to
calculate the VWAP for specified contract months and the VWAP will be the settlement price. The
calculated or estimated VWAP of relevant spread trades that occur during the settlement period
may be used to determine the settlement price of deferred or less actively traded contract months
in products that use this procedure.
3. Bid/Ask Midpoint at the Settlement or during the Settlement Period: In products that use thisprocedure, the midpoint of the bid/ask at the defined settlement time or during the defined
settlement period will be the settlement price.
4. Option Settlements: Option settlements are derived from available market information including,but not limited to, outright trades, bids or offers during the settlement period, relevant spreadtrades, bids or offers during the settlement period, the settlement price of the underlying future andrelevant relationships based on option pricing theory using option pricing models employed by the
Exchange.
5. For all contract months not determined by one of the methods set forth above or pursuant to
Section 6 below, relevant spread relationships between contract months will be used to derive thesettlement.
6. In the event the Exchange determines that the settlement price derived by one of the methods
set forth above is not an accurate representation of the relevant market, the Exchange may
determine the settlement price based on other market prices, including settlement prices for similar
contracts trading on other exchanges.
7. For all products that are settled with the delivery of, or by reference to, the same underlying
instrument but which are offered in alternative contract sizes (mini or micro), a single settlement
price will be applicable to all such contracts, with necessary adjustments made to round to thenearest tradable price increment eligible in all such contracts.
8. For contracts cleared through ClearPort Clearing that are not otherwise settled by one of themethods set forth above, staff shall determine settlement prices for such contracts based upon aconsideration of relevant market data, including, but not limited to, trading activity in relevant OTC
products, pricing data obtained from OTC market participants, the settlement prices of related
products and any other pricing data from sources deemed reliable by Staff. With respect to CDS

products, in addition to the foregoing, the Exchange may use a price quality auction in which bids
and offers submitted by Members may be “crossed” to effect trades and to establish settlement
prices for particular contracts.
9. Notwithstanding the above, if a settlement price in any product, as derived by the normal
methodology used for that product, is inconsistent with trades, bids or offers in other months/strikes
during the settlement period, or other relevant market information, or if there is no relevant market
activity, an Exchange official may establish a settlement price that best reflects the true market
valuation at the settlement time or during the defined settlement period.
10. For products cleared by the Clearing House on behalf of another entity, the settlement priceshall be determined according to the rules of such entity.
11. Notwithstanding the above, in the case of inaccuracy or unavailability of a settlement price, or if
a settlement price creates risk management concerns for the Clearing House, the Clearing House
reserves the right to calculate settlement variation using an alternate price determined by the
Clearing House.

814.

SETTLEMENTS, SETTLEMENT VARIATION PAYMENTS, AND OPTION VALUE
When a clearing member or its customer is long or short any amount of any Commodity for asettlement cycle, as indicated by Clearing House records, settlement for any outstanding exposure
shall be made with the Clearing House. A settlement cycle shall be conducted at least once eachBusiness Day at such times as the Clearing House shall determine. The Clearing House may
establish different settlement cycles for different contracts. For purposes of this Rule 814,
"outstanding exposure" shall mean the obligations to pay, as applicable, any settlement variation
payment and any other payments due in respect of a Commodity (including price alignment
amount, coupon payments, option premiums and upfront fees and, for the avoidance of doubt,
excluding any posting of performance bond).
Each clearing member for its proprietary and customer positions shall pay to, or collect from, theClearing House any loss or profit for non-option Commodities as a settlement variation payment, as
the case may be, represented by the difference between (x) the settlement price of the Commodity
for such settlement cycle and (y) the settlement price of the Commodity for the prior settlement
cycle (or, for the first settlement cycle after the purchase/sale of such Commodity, the price atwhich the Commodity was purchased or sold).
Except as otherwise specifically provided for in the contract chapters, for Commodities that are
options, the Clearing House will determine option value for each option and the net option value ofeach portfolio. For a settlement cycle, (i) if the net option value of the portfolio is positive, suchamount may be used to satisfy performance bond requirements for the portfolio, (ii) if the net option
value of a portfolio is negative, such amount will increase the performance bond requirements forthe portfolio.
All payments in satisfaction of outstanding exposures must be paid in cash or any other form of
payment approved by the Clearing House Risk Committee; shall be settlement (within the meaningof CFTC Rule 39.14); and shall be final, irrevocable and unconditional no later than when thecorrect Clearing House bank account at the relevant settlement bank is debited or credited with thepayment. Payments in satisfaction of outstanding exposures shall not constitute "property, cash,
securities or collateral deposited with the Clearing House" for purposes of Rules 819, 8F008 and
8H08 but, where such payments are retained by the Clearing House at the instruction of the
Clearing Member, such payments shall be deemed to be property held by the Clearing House
within the meaning of Section 761(10) of the US Bankruptcy Code.
For each of the Clearing House's classes of clearing (i.e., Base Guaranty Fund Products, CDS
Products and IRS Products), once all payments in satisfaction of outstanding exposure between aclearing member and the Clearing House for a settlement cycle are final for any of the clearing
member's house account, its customer segregated account, its customer secured account or its
cleared swaps customer account, the outstanding exposure between the clearing member and theClearing House for all Commodities in such class of clearing in the respective account subject tothat settlement cycle shall be settled, and the fair value of each such Commodity shall then bereset to zero.
Notwithstanding the foregoing, the Clearing House shall not be required to pay any profit to a
Participating Clearing Member in the event that such member or its Cross-Margining Affiliate fails to
make any required settlement for that settlement cycle with a Cross-Margining Clearing
Organization.
If the market conditions or price fluctuations are such that the Clearing House deems it necessary,it may call upon the clearing members, which in its opinion are affected, to pay funds to theClearing House by such time and in such amount as specified by the Clearing House to meet such
settlements as the Clearing House estimates may be necessary. The Clearing House may pay out
funds to those clearing members that, in the opinion of the Clearing House, will have credit
balances as a result of those same market conditions or price fluctuations; except that in no
instance may the Clearing House pay out funds to a clearing member, other than at the regularsettlement, in excess of the total original performance bond deposits it holds for such clearing
member. All payments made under this Rule shall be subject to the procedures prescribed by the
Clearing House and set forth in the Manual.

815.

THIRD PARTY EXECUTION PLATFORMS FOR SWAPS
1815.A.
Exclusivity of Clearing House Rules
The Clearing House Rules shall exclusively apply, and prevail to the extent there is any conflict withany third party rules, to all swap trades, and resulting positions, from the time that a swap trade,including a swap trade executed on a Swap Execution Facility (“SEF”) or other third party execution
platform for swaps (collectively, “Third Party Execution Platforms”), is submitted for clearing.
Notwithstanding the foregoing, if the Clearing House rejects a swap trade for clearing, the Clearing
House Rules shall cease to apply to that swap trade until such swap trade is resubmitted forclearing.
815.B.
Clearing House Authority
The Clearing House will have the sole authority to:
1. determine whether any trade submitted for clearing will be accepted or rejected. For the
avoidance of doubt, Third Party Execution Platforms may not make a determination on clearing
acceptance or rejection and may only communicate the Clearing House’s determination of whether
a trade has been accepted or rejected for clearing.
2. block or cancel any trades submitted for clearing by, or on behalf of, any Third Party Execution
Platforms if it determines that such trades were executed or submitted to the Clearing House inerror.
3. deny or terminate the connection of Third Party Execution Platforms to the Clearing House due
to technical, operational or risk management issues at the Third Party Execution Platforms.
4. determine whether it will accept any trade transaction counterparty risk.
5. determine whether contracts cleared by the Clearing House are economically equivalent andshould be offset within the Clearing House pursuant to the Act.
815.C.
Voids and Price Adjustments
A void or price adjustment for any swap trade that has been accepted for clearing is not valid
without the consent of the Clearing House.
815.D.
Submission to Clearing House Rules and Access to Execution Platforms
All Third Party Execution Platforms that submit, or have submitted on their behalf, swap trades forclearing to the Clearing House shall be bound by Clearing House Rules, including, but notnecessarily limited to, the disciplinary Rules and the emergency Rules contained in Chapters 2, 4,
8, 8G and 8H and shall, at all times, provide the Clearing House with access to its execution
platform for risk management purposes.
815.E.
Compliance with Regulatory Standards
No Third Party Execution Platform may submit swap trades for clearing to the Clearing House
unless it has complied with all applicable CFTC regulations, standards and requirements including,but not limited to, technological, operational and risk management standards.
815.F.
Transfer of Swap Positions
No swap positions may be transferred, including those resulting from an execution on Third Party
Execution Platforms, unless such transfer is made in accordance with the Clearing House Rules.
815.G.
Applicability to Security-Based Swaps
Rule 815 does not apply to security-based swaps.

816.

GUARANTY FUND DEPOSIT
Each clearing member shall make a Base Guaranty Fund deposit with the Exchange as security for
its obligations to the Clearing House. The minimum Base Guaranty Fund deposit of a clearing
member shall equal the greater of (a) $500,000 if clearing CME, CBOT, NYMEX or COMEX futuresand options on futures only, (b) $2,500,000 if clearing OTC spot, forward or swaps contracts or (c)the clearing member's proportionate share of the "Aggregate Guaranty Fund Deposit." Thisrequirement is separate and distinct from the guaranty fund deposit requirement for IRS Products
as set forth in Chapter 8G of the CME Rulebook. The Aggregate Guaranty Fund Deposit shall bean amount determined by the Clearing House.
Each clearing member's proportionate share of the Aggregate Guaranty Fund Deposit shall consistof:(i) a specified percentage of the Aggregate Guaranty Fund Deposit multiplied by the clearing
member's proportionate share (including the total risk performance bond requirement in respect ofpositions in its cross-margin accounts and any applicable short option value) of the average
aggregate risk performance bond requirement (including the risk performance bond requirement inrespect of positions in all cross-margin accounts and any applicable short option value) for thepreceding three months; plus(ii) a specified percentage of the Aggregate Guaranty Fund Deposit multiplied by the clearing
member's proportionate share of the total number of contracts executed on the Exchange and any
applicable exchange or market during the preceding three months; plus(iii) a specified percentage of the Aggregate Guaranty Fund Deposit multiplied by the clearing
member’s proportionate share of foreign currency settlements for the preceding three months.
The percentages in (i) through (iii) above shall be determined and modified by the Clearing House
Risk Committee as appropriate. Some contracts may be weighted more heavily than others in orderto reflect the greater risk associated with those contracts. The average aggregate risk performancebond requirement, the total number of contracts executed, the gross notional amount of open
interest cleared and each clearing member's proportionate share of each will be calculated by the
Clearing House, and a report setting forth such information and the clearing member's required
Base Guaranty Fund deposit will be given to the clearing member each month, and the Clearing
House may provide such reports on an interim basis at any time during the month as the Clearing
House staff shall determine. If at any time, such report indicates that the clearing member's current
Base Guaranty Fund deposit with the Clearing House is smaller than the amount required, theclearing member shall increase its amount within two business days. If such report indicates thatthe clearing member's current Base Guaranty Fund deposit with the Exchange is larger than theamount required, the clearing member may withdraw the excess amount. If, prior to the issuance ofthe monthly report, the Clearing House determines that an increase in the Base Guaranty Funddeposit is necessary to protect the financial integrity of the Clearing House, the clearing member,upon demand of the Clearing House, shall increase its Base Guaranty Fund deposit amount within
two business days. In the event that an interim report is issued within five business days prior to
the regularly scheduled monthly report, the Clearing House may opt to forego the issuance of anadditional month-end report, provided that the amount of resources required has not changed
substantially during this period.
A clearing member's Base Guaranty Fund deposit may be in a form as set forth in the Manual.
Such Base Guaranty Fund deposit forms and amounts shall be subject to the terms and conditions
as approved by Exchange staff.

817.

LIQUIDITY FACILITY
The Exchange may enter into liquidity facilities (each a “Liquidity Facility”) to convert collateral tocash in any case where the Clearing House can use the collateral, pursuant to Chapters 8, 8F, 8G,
8H, and 9 of the Rules of the Exchange, and use the cash proceeds to meet an obligation to theClearing House.
If a clearing member of CME, CBOT, NYMEX, COMEX or OTC Clearing Member (a) is unable topromptly discharge any obligation to the Clearing House or (b) is suspended or becomes subject toany bankruptcy, reorganization, arrangement, insolvency, moratorium, liquidation or other similar
proceedings under U.S. federal or state bankruptcy laws or other applicable law, collateraldeposited by the clearing member in satisfaction of its performance bond and guaranty fundrequirements may be used to obtain liquidity to satisfy the clearing member's obligations to theClearing House as follows: (1) performance bond collateral relating to a clearing member’s
proprietary account may be used to obtain liquidity to meet obligations relating to the clearing
member’s proprietary account, customer segregated account, secured account or cleared swaps
customer account; (2) performance bond collateral relating to a clearing member’s customer
segregated account may only be used to obtain liquidity with respect to obligations of such account;(3) performance bond collateral relating to a clearing member’s secured account may only be used
to obtain liquidity with respect to obligations of such account; (4) performance bond deposits

relating to a clearing member’s cleared swaps customer account may only be used to obtainliquidity with respect to such account; and (5) guaranty fund collateral may be used in the orderprescribed by Rules 802.B, 8G802.B and 8H802.B.
In any case where the Rules of the Exchange permit the Clearing House to use guaranty fundcollateral deposited by clearing members who have not failed to meet an obligation to the Clearing
House, the Clearing House may convert collateral held in that Guaranty Fund to cash by means of a
Liquidity Facility.
By delivering assets to the Exchange in satisfaction of guaranty fund deposit and performance bondrequirements, each clearing member is hereby deemed: (i) to agree that its assets (or its customers’
assets, as provided above) may be transferred by the Exchange to obtain liquidity from the
Exchange's liquidity lenders and that its assets may become subject to a lien in favor of the
Exchange's liquidity lenders or otherwise guarantee the Exchange's obligations and; (ii) to authorize
the Exchange, and appoint the Exchange (such appointment being coupled) with an interest as suchclearing member's attorney-in-fact, to enter into agreements on its behalf in connection with its
assets (or its customers’ assets, as provided above) being transferred to the Exchange's liquidity
lenders: and (iii) to acknowledge that the obligations of the Exchange to the Exchange’s liquidity
lenders may be greater, and extend for periods of time longer, than the obligations, if any, ofsuch clearing member to the Exchange.
The Exchange, as each clearing member's attorney-in-fact, will have authority to enter into
agreements on behalf of each clearing member and in each clearing member's name for the
purpose of causing the clearing member's assets (or its customers’ assets, as provided above) to betransferred to the Exchange's liquidity lenders. Any agreement entered into by the Exchange on
behalf of clearing members pursuant to this Rule 817 shall bind each clearing member and willcontain provisions, including representations, warranties and covenants, required by lenders under
any liquidity facility.
If there is a default under any such liquidity facility, the assets of clearing members transferred to the
Exchange’s liquidity lenders may be foreclosed upon by such lenders and applied against the
obligations of the Exchange under the related liquidity facility. Clearing members shall take noaction, including but not limited to attempting to obtain a court order, that would interfere with theability of such liquidity lenders to receive the benefit of their contractual remedies in connection withany such foreclosure or that would controvert or assert the invalidity of any provision of these rules.
Each clearing member agrees to sign any document or agreement requested by the Exchange tofurther document the power of attorney set forth and established by these rules.
The foregoing provisions shall apply without regard to whether a clearing member has been
declared to be in default under the Rules.

818.

CLOSE-OUT NETTING
If at any time, Chicago Mercantile Exchange Inc. (“CME”) is subject to a Bankruptcy Event (asdefined in CME’s Close-Out Netting Rule (Rule 818), then all open positions in the CME Clearing
House shall be closed in accordance with CME Rule 818. If at any time, CME is in default (asdefined in CME’s Close-Out netting Rule (Rule 818), a Clearing Member’s open proprietary andcustomer positions at the CME Clearing House shall, at the election of the Clearing member, be
promptly closed in accordance with CME Rule 818. The procedures for netting, offsetting andvaluing Clearing member positions in a Bankruptcy Event or a default involving CME are set forth in
CME’s Close-Out Netting Rule (Rule 818).

819.

LIEN ON COLLATERAL
Each Clearing Member hereby grants to the Clearing House to secure obligations of such Clearing
Member to the Clearing House a first priority and unencumbered security interest and lien against
any property, cash, securities or collateral deposited with, transferred or pledged to, or otherwise
where control is given to the Clearing House by such Clearing Member. Clearing Members shalltake any action that may be required by the Clearing House to create, preserve, perfect, validate orenforce any such security interest.

820.

PERFORMANCE BONDS
Performance bond requirements will be as determined by Clearing House staff from time to time.
Clearing Members must post performance bond to the Clearing House on a gross basis for each of
its omnibus customer accounts.
Subject to the terms and conditions as approved by Clearing House staff, the Clearing House will

accept as performance bond, cash, equity securities, shares of mutual funds, United States
Treasury and agency Securities, Letters of Credit, shares in CME's Interest Earning Facility 2
Program, permitted investments allowable under CFTC Regulation 1.25, “readily marketablesecurities” as defined by Securities and Exchange Commission Rules, as applicable, gold warrantsthat are registered as deliverable for gold futures contracts traded on Commodity Exchange, Inc.,and “London Good Delivery” gold, as defined by the London Bullion Market Association (as used inthis Rule 820, such assets and any proceeds thereof are collectively referred to as “Assets”), all ofwhich must be and remain unencumbered. The Clearing House may include other forms ofcollateral within the definition of “Assets” upon the approval of the Clearing House Risk Committee
and notice to clearing members.
All performance bond collateral, as herein described, shall be placed to the credit of the member
paying the same for its customers' trades or its own (so-called "house") trades as designated by theclearing member. The Clearing House shall value performance bond collateral as it deems
appropriate. The clearing member shall transfer the performance bond collateral to the Clearing
House or to an approved depository for safekeeping in a Clearing House account and the Clearing
House shall retain control over such performance bond collateral. Neither the Exchange nor the
Clearing House shall have any obligation or responsibility to preserve, protect, collect or realize
upon, and under no circumstances shall the Exchange or Clearing House be liable for, any loss ordiminution in value or depreciation in the performance bond collateral maintained pursuant to thisrule. A clearing member who maintains performance bond collateral for its benefit pursuant to thisrule shall hold the Exchange and Clearing House harmless from all liability, losses and damages
which may result from or arise with respect to the care and sale of such performance bondcollateral. All initial and additional performance bonds shall be retained by the Clearing House inwhole or in part, as Clearing House staff may deem necessary, until the trades for which such
performance bond collateral has been deposited, have been offset, cash settled, delivered orotherwise closed out as determined by Clearing House staff.
Each clearing member shall reimburse the Clearing House for all fees, expenses, charges andcosts assessed by a depository against the Clearing House with respect to all performance bondcollateral maintained in its account, and shall make deposits as may be required by the Clearing
House by reason of any depreciation in the market value of such performance bond collateral. If aclearing member defaults to the Clearing House with respect to performance bonds, theperformance bond collateral maintained in its account pursuant to this rule shall be taken over by
the Clearing House and sold without notice and the proceeds of the performance bond collateraldeposited for customers' trades shall be applied against the performance bond requirements for theclearing members' customers' accounts, and the proceeds of performance bond collateraldeposited for the house trades shall be applied against the requirements for the clearing member'sown (so-called "house") account.

821.

[RESERVED]

822.

LIQUIDITY RISK MANAGEMENT
822.A.
Liquidity Rules
In the event the Clearing House needs liquidity for non-cash collateral of a clearing member or its
customers for same day settlement, the Clearing House will first attempt to obtain liquidity for suchcollateral through asset sale, any uncommitted funding arrangements, its committed lines of credit
and any committed repurchase agreements. In the event the Clearing House is unable to obtainsame day settlement through such means, the Clearing House may declare the occurrence of a
Liquidity Event and in its sole discretion may take the following actions in the following order tosecure same day liquidity for such assets as follows:
1. Substitution of Guaranty Fund Casha. The Clearing House may substitute any cash deposited by clearing members in a guaranty fundwith U.S. Treasuries deposited as performance bond or guaranty fund by a clearing member that is
the subject of such Liquidity Event and that participates in such guaranty fund in an amount ofassets with haircutted market value (determined by the Clearing House as of the prior day’s closeof business utilizing a recognized third party pricing source) equal to the amount of cash
substituted. Any assets transferred by this rule shall be applied as guaranty fund deposit(s) of any
such clearing member whose cash was substituted and will be allocated pro rata among any
clearing members with cash deposits. The substitution of U.S. Treasuries for the clearing
member’s guaranty fund deposit(s) will be limited to the size of the clearing member’s guaranty
fund deposit(s) at the time of the Liquidity Event. For any substitution of U.S. Treasuries for cash ina guaranty fund, the impacted clearing member may, within 24 hours of substitution, request that
the Clearing House replace the cash for the substituted U.S. Treasuries, to the extent still on
deposit, within 29 days of the date of substitution. Any clearing member requesting cash
replacement will receive the exact value in cash received by the Clearing House upon liquidation
the U.S. Treasuries.
b. In order to ensure the Clearing House can obtain sufficient cash from a guaranty fund pursuant
1.a. above, the Clearing House may notify any clearing member that is a U.S. Government
Securities Broker-Dealer or has a U.S. Government Securities Broker-Dealer affiliate to replace its
non-cash guaranty fund assets with cash within 60 minutes from the time of notification. To theextent that a clearing member(s) fails to provide cash within 60 minutes or the request occurs after
3 PM Central time, the Clearing House may debit cash from that clearing member’s settlementbank account in the amount of the clearing member’s non-cash guaranty fund assets.
2. U.S. Treasury Sale to Meet Clearing House Settlement Variation Obligations
The Clearing House may offset its US dollar settlement variation obligations to any clearing
member that is a U.S. Government Securities Broker-Dealer or has a U.S. Government Securities
Broker-Dealer affiliate, up to the amount of that clearing member’s guaranty fund contribution(s), by
selling U.S. Treasuries valued based on the prior day’s closing prices with prevailing CME haircuts
applied in exchange for US dollar cash from the clearing member. The US dollar cash received by
CME from the clearing member shall be in the form of the variation margin obligation owed by CME
and CME shall deliver the purchased U.S. Treasury securities to the U.S. Government Securities
Broker-Dealer.
822.B.
Transfer or Disbursement of Collateral as Compensation for Portfolio Auction,
Sale or Transfer with Notice in AdvanceTo the extent permitted by the terms of any auction, sale or transfer of a defaulted or suspended
clearing member’s or customer portfolio for which a payment is owed by the Clearing House to an
auction winner, purchaser or transferee, in lieu of satisfying such payment with cash, the Clearing
House may satisfy any payment owed to such persons by transferring Federal Reserve discountwindow eligible securities with a market value (determined by the Clearing House as of the prior
day’s close of business utilizing a recognized third party pricing source) equal to the amount ofsuch obligation.

823.

[RESERVED]

824.

ADDITIONAL PERFORMANCE BOND
Whenever, in the opinion of the Clearing House Risk Committee, the President of Global
Operations, Technology & Risk or the Global Head of Clearing & Post-Trade Services or, in theirabsence, their delegate, unstable conditions relating to one or more products exist, they may fromtime to time, call for additional performance bond collateral from clearing members. Suchadditional performance bond calls may be as much as or more than the original performance bondcollateral. The performance bond collateral thus called for may be for one or more contract(s) fromone or more clearing member(s) and on long positions, short positions or both.
In the event market conditions and price fluctuations at any time shall cause the Clearing House
Risk Committee, the President of Global Operations, Technology & Risk or the Global Head ofClearing & Post-Trade Services or, in their absence, their delegate, to conclude that additional
performance bond collateral is required to maintain an orderly market in contracts traded on theexchange or to preserve fiscal integrity the Clearing House Risk Committee, the President of
Global Operations, Technology & Risk or the Global Head of Clearing & Post-Trade Services ortheir delegate may call for additional performance bond collateral to be deposited with the Clearing
House during the next banking hour after demand therefor, or at such times as may be specified.
Such additional performance bond collateral may be called from the longs or the shorts or from
both.
When the Clearing House Risk Committee, the President of Global Operations, Technology & Riskor the Global Head of Clearing & Post-Trade Services or, in their absence, their delegate, shall beof the opinion that any clearing member is carrying commitments or incurring risk in its proprietary,customer and/or cross-margin accounts, that are larger than is justified by the financial condition ofthat clearing member, then the Clearing House Risk Committee, the President of Global
Operations, Technology & Risk or the Global Head of Clearing & Post-Trade Services or, in theirabsence, their delegate, may require additional performance bond collateral of such clearing
member which shall be deposited with the Clearing House during the next banking hour after
demand therefor, or at such time as may be specified, or a portion of the open positions of saidclearing member may be required to be transferred to the books of another clearing member.

825.

SEGREGATION OF PERFORMANCE BOND
The performance bond assets resulting from any rehypothecation, investment, pledge or
disposition of the original performance bond assets deposited by a clearing member that is not adefaulting or suspended clearing member, to the extent the Exchange is not required to transfer or
pay out to third parties such resulting performance bond assets to meet the Exchange’s obligations
with respect to the clearing member pursuant to the Rules, shall be held by the Exchange in thesame manner in which the Exchange holds performance bond assets of the same form as theresulting performance bond assets.

826.

PROPRIETARY ACCOUNT MINIMUM LIQUIDATION PERIOD(a) With respect to clearing member proprietary positions, the Clearing House shall ensure
performance bond requirements are calculated and collected using a liquidation period of not lessthan two (2) days calculated on a net basis.
(b) Paragraph (a) of this Rule does not apply to positions in (i) agricultural commodity derivatives
contracts that meet the exclusion criteria established in Article 2 of the European Commission’s
equivalence determination dated February 24, 2016; or (ii) cleared-only OTC products accepted forclearing by the Clearing House.

827.

SECURITIES LENDING PROGRAM
United States Treasury Bills, Treasury Notes, Treasury Bonds, Treasury Bond Principal Strips,
Agency Securities, and other financial instruments approved by Exchange staff, (collectively,"Securities") that are deposited with the Clearing House by clearing members in satisfaction of
Guaranty Fund requirements or as performance bond for their own (i.e., "house") trades may beloaned out by the Exchange pursuant to the Securities Lending Program. Clearing members
depositing Securities with the Exchange in satisfaction of guaranty fund requirements or as
performance bond for house trades that are loaned out pursuant to the Securities Lending Program
are deemed to agree that the lending of Securities under arrangements having safeguards
consistent with generally accepted market practices will constitute reasonable care of the Securities
in the possession of the Exchange or its securities lending custodian.

828.

BASE FINANCIAL RESOURCES
The Clearing House shall maintain funded financial resources sufficient to enable the Clearing
House to meet its financial obligations to CME, CBOT, NYMEX and COMEX clearing members
notwithstanding a default by the two clearing members creating the largest combined loss to theClearing House in extreme but plausible market conditions. If a clearing member controls anotherclearing member or is under common control with another clearing member, the affiliated clearing
members shall be deemed to be a single clearing member for financial resources calculations
under this rule.

829.

MEASURES TO MITIGATE PROCYCLICALITY(a) With respect to exchange traded derivatives contracts it clears, the Clearing House shallestablish performance bond requirements designed to limit the likelihood of procyclical changes in
performance bond requirements and mitigate costly and disruptive adjustments to performancebond requirements in periods of high market volatility. The Clearing House shall maintain specificrisk management procedures ensuring that performance bond is calculated and collected on abasis that includes measures designed to limit procyclicality that are equivalent to at least one ofthe options listed in Article 28 (Procyclicality) of Delegated Regulation (EU) No. 153/2013. Suchanti-procyclicality measures shall include tools such as extended lookback periods, seasonalvolatility metrics, volatility floors, stress volatility metrics and implied volatility.
The Clearing House shall regularly review the measures it utilizes to address procyclicality toensure they are appropriate in light of market conditions.
Further, the Clearing House’s anti-procyclicality measures shall be designed to ensure that its
policy for setting performance bond requirements delivers forward looking, stable, conservative,
and prudent performance bond requirements that limit procyclicality to the extent that thesoundness and financial security of the CCP is not negatively affected.

(b) Paragraph (a) does not apply to positions in agricultural commodity derivatives contracts thatmeet the exclusion criteria established in the Article 2 of the European Commission’s equivalence
determination dated February 24, 2016.

830.

CROSS MARGINING
830.A. Definitions
1. Cross-Margining Affiliate: An affiliate of a Participating Clearing Member with which such clearing
member is cross-margining its positions at the Clearing House and a Cross-Margining Clearing
Organization.
2. Participating Clearing Member: A clearing member that is cross-margining its positions at the
Clearing House with its own or a Cross-Margining Affiliate's positions at a Cross- Margining
Clearing Organization.
3. Cross-Margining Clearing Organization: A clearing organization that has entered into a CrossMargining Agreement with the Clearing House.
4. Joint Cross-Margining Program: A cross-margining program in which the Clearing House andone or more Cross-Margining Clearing Organizations each hold a joint security interest in positions,margin and other property of Participating Clearing Members and, if applicable, their CrossMargining Affiliates.
5. Guaranteed Cross-Margining Program: A cross-margining program in which a guaranty isprovided by and between the Clearing House and one or more Cross-Margining Clearing
Organizations and each entity holds an individual security interest in positions, margin and otherproperty of Participating Clearing Members and, if applicable, their Cross-Margining Affiliate.
830.B. Cross-Margining Programs
1. The Clearing House may establish cross-margining programs as approved by the Clearing
House Risk Committee and the Board. A clearing member may become a Participating Clearing
Member to participate in a Joint Cross-Margining Program by establishing with the Clearing House
one or more cross-margin accounts for cross-margining positions with either its own positions or
those of a cross-margining affiliate at a Cross-Margining Clearing Organization. In order toestablish a cross-margin account, a clearing member shall enter into the agreements required by
the Clearing House, including a Cross-Margined Account Agreement and Security Agreement with
the Clearing House, the Cross-Margining Clearing Organization, and, if applicable, the member's
Cross-Margining Affiliate. That Agreement shall provide, among other things, that the Clearing
House and the Cross-Margining Clearing Organization shall jointly have a first lien on and security
interest in all positions held in the cross-margin account, all related performance bond, and allproceeds of the foregoing, as security for the obligations of the clearing member and, if applicable,
its Cross-Margining Affiliate, to the Clearing House and the Cross-Margining Clearing Organization.
Failure to comply with the terms of such Agreements may constitute an act detrimental to theinterest or welfare of the Exchange.
2. A clearing member may become a Participating Clearing Member in a Guaranteed CrossMargining Program by entering into a Cross-Margining Participant Agreement with the Clearing
House, the Cross-Margining Clearing Organization, and, if applicable, the clearing member's
Cross-Margining Affiliate. That Agreement shall provide, among other things, that a Participating
Clearing Member shall immediately be obligated to reimburse the Clearing House("Reimbursement Obligation") in the event the Participating Clearing Member or its CrossMargining Affiliate defaults in the payment of any obligation to a Cross-Margining Clearing
Organization and the Clearing House is required to make a guaranty payment to such CrossMargining Clearing Organization. In addition, the Agreement shall provide that the Clearing House
shall have a first lien and security interest in all positions held, all related performance bond, and allproceeds of the foregoing, as security for the obligations of the clearing member and, if applicable,
its Cross-Margining Affiliate, to the Clearing House. Failure to comply with the terms of such
Agreement may constitute an act detrimental to the interest or welfare of the Exchange.
The provisions of this Rule 830 and the corresponding sections of the Clearing House Manual shallapply to all CME-cleared positions held pursuant to a cross-margining program and shallsupersede all other provisions of the Rules to the extent inconsistent therewith. In addition, theClearing House shall determine what positions will be eligible for cross-margining.
830.C. [Reserved]

830.D. Performance Bonds for Cross-Margining Program
Performance bond requirements for a Joint and Guaranteed Cross-Margining Program shall be
determined as set forth in the Cross-Margining Agreement, and that Agreement shall also govern
what forms of performance bond will be permitted and how such performance bond will be held.
830.E. Close-Out of Cross-Margin Positions
A Participating Clearing Member may be suspended if it or its Cross-Margining Affiliate, if any, is indefault in payment of any obligation, including a Reimbursement Obligation, with respect to a Joint
or Guaranteed Cross-Margining Program.
The cross-margin account of a clearing member participating in a Joint Cross-Margining Program
may be liquidated by the Clearing House at the request of a Cross-Margining Clearing Organization
whether or not the Exchange or the Clearing House suspends, or is permitted under the Rules tosuspend, such clearing member. Upon the suspension of a Participating Clearing Member, or uponreceiving notice from a Cross-Margining Clearing Organization of its suspension of a Participating
Clearing Member or its Cross-Margining Affiliate, the Clearing House shall have the right toliquidate the positions in the cross-margin account, convert to cash the performance bond therefor,and dispose of the proceeds thereof, all in accordance with the terms of the Cross-Margining
Agreement.
The positions of a clearing member participating in a Guaranteed Cross-Margining Program may
be liquidated by the Clearing House in the event that the Participating Clearing Member or its
Cross-Margining Affiliate defaults in the payment of any obligation to the Clearing House or a
Cross-Margining Clearing Organization. Upon the suspension of a Participating Clearing Member,or upon receiving notice from a Cross-Margining Clearing Organization of its suspension of a
Participating Clearing Member or its Cross-Margining Affiliate, the Clearing House may liquidate:
the positions of the Participating Clearing Member; all related performance bond; and all proceedsof the foregoing. The Clearing House may then apply all such liquidated proceeds to satisfy theParticipating Clearing Member's obligations to the Clearing House, all in accordance with the termsof the Cross-Margining Agreement.

831.

COMMINGLING OF ELIGIBLE BASE FUTURES AND SWAPS POSITIONSThe Clearing House may identify non-swap Base Guaranty Fund Products that may becommingled with positions in swap Base Guaranty Fund Products in order to provide risk offsets forcustomer positions if and only if the price risks with respect to such products are significantly andreliably correlated (such products, “Base Eligible Products”). The price risks of different positions
will only be considered to be significantly and reliably correlated if there is a theoretical basis for thecorrelation in addition to an exhibited statistical correlation. Upon such identification, Base Clearing
Members may elect that a customer’s positions in Base Eligible Products be commingled in acleared swaps account. If the Clearing House determines at any time that any Base Eligible
Products are non-risk reducing when commingled, the Clearing House may either restrict thecommingling of additional Base Eligible Product positions or require moving or liquidating such
positions.
List of eligible swaps:
View table here (XLS)

832.

FOREIGN CURRENCY MARKET DISRUPTIONIn the event a Foreign Currency Market Disruption impacts the ability of the Clearing House and its
Clearing Members to meet settlement variation or final settlement obligations in any non-U.S. dollar
currency for any product cleared by the Clearing House (each, an “Impacted Currency”), theClearing House and its Clearing Members may transact settlement obligations for each Impacted
Currency in U.S. dollars.
The requirement to settle an Impacted Currency obligation in U.S. dollars shall be effective upon
notice from the Clearing House. Completion of settlement for an Impacted Currency under the rulesof this Chapter will fully discharge each of the Clearing Member’s and Clearing House’s settlement
obligations for that Impacted Currency and settlement cycle. The U.S. dollar rate of exchange shallbe based on exchange rates as determined by the Clearing House with reference to exchange

rates in the relevant market. The Clearing House will publish the applicable exchange rate on CMEGroup’s website.
A Foreign Currency Market Disruption exists when (i) events not within the Clearing House’scontrol make it illegal or impossible to transact in a foreign currency, (ii) authoritative action such as
the adoption of capital controls, asset freezes, imposition of sanctions, nationalization or any othersimilar action by any governmental entity impedes or is likely to impede the Clearing House’s ability
to effect settlement transactions in any foreign currency, or (iii) any event with similar effect to theforegoing occurs.
Nothing in this Rule 832 shall in any way limit the authority of the Board, other committees, or otherappropriate officials to act in an emergency situation as defined by these Rules.

833.-849.

[RESERVED]

850.

FEES
Exchange fees and/or any transaction surcharges shall be assessed against a clearing member foreach side of a transaction traded on, cleared by or processed through the Exchange or the
Clearing House as the Board or Exchange staff, as appropriate, may from time to time prescribe.
Detailed information concerning these fees is set forth in the Exchange Fee Schedule andapplicable Fee Policy Bulletins available on the CME Group website.

851.

[RESERVED]

852.

SURCHARGES FOR ERRORS, DELAYS AND OMISSIONS
Exchange staff may establish, and from time to time revise, schedules of surcharges to be imposed
upon clearing members for errors, delays and omissions with respect to trade data and certain
other information required to be provided to the Clearing House. These surcharges are to becollected by the Clearing House and are in addition to any disciplinary sanctions that may be
imposed by Market Regulation, the BCC or CHRC for the violation of Exchange rules.

853.

TRANSFERS OF TRADES AND CUSTOMER ACCOUNTS
853.A. Transfers of Trades
1. Subject to the limitations of Rule 854, existing trades may be transferred either on the books ofa clearing member or from one clearing member to another clearing member provided:
i. The transfer results in the transfer of a trade(s) from one account to another account withidentical beneficial ownership; orii. An error has been made in the clearing of a trade(s) and the error is corrected via transfer
within three Business Days after the date on which the error occurred; oriii. The transfer trade is made to reconcile an error, omission or outtrade in accordance with therequirements of Rule 770.
Notwithstanding the foregoing, a transfer may be approved by the Global Head of Clearing & PostTrade Services or the Chief Compliance Officer of the Clearing House, or their respective
designees, in circumstances where it is determined that a transfer trade is the most appropriate
means to remedy an error that results from the good faith acts or omissions of any party and theclearing member(s) consent to such transfer, provided that such approval does not result in animpermissible transfer for offset pursuant to the requirements of Rule 854.B. Any request for
approval pursuant to this paragraph requires the clearing member(s) to fully document thecircumstances of the error and provide that documentation to the Clearing House.
2. Subject to the limitations of Rule 854, the Chief Regulatory Officer or his designee may, (and,with respect to cleared-only products, the Global Head of Clearing & Post-Trade Services or theirdesignee also may), upon request by the clearing member(s), approve a transfer of existing trades
either on the books of the same clearing member, or from the books of one clearing member to thebooks of another clearing member if the transfer is in connection with, or as a result of, a merger,
asset purchase, consolidation or similar non-recurring transaction between two or more entities.
3. Subject to the limitations of Rule 854, the Chief Regulatory Officer or his designee may, (and,with respect to cleared-only products, the Global Head of Clearing & Post-Trade Services or theirdesignee also may), upon request by the clearing member(s), approve a transfer of existing trades
either on the books of a clearing member or from one
clearing member to another member if
the transfer involves a partnership, investment fund or commodity pool and the purpose of thetransfer is to facilitate a restructuring or consolidation of such partnership, fund or pool, provided

that i) the managing partner or pool operator remains the same; ii) the transfer does not result inthe liquidation of open positions; and iii) the pro rata allocation of positions to the new account does
not result in more than a de minimis change in the value of the interest of any party.
4. Notwithstanding the foregoing, the Chief Regulatory Officer or his designee may, (and, withrespect to cleared-only products, the Global Head of Clearing & Post-Trade Services or theirdesignee also may), with the consent of the clearing member(s) involved, permit the transfer and/or
offset of existing trades if, in his designees opinion, the situation so requires and such transfer is in
the best interests of the Exchange, which may include, but is not limited to, the remedying of anerror resulting from the good faith acts or omissions by a party as a means of avoiding a market
disruption. The foregoing does not relieve a clearing member of its responsibility under the Rulesfor circumstances leading to such transfer and/or offset, and the clearing member may be
responsible for demonstrated claims of realized losses incurred by other parties as a result of such
errors or omissions in accordance with the provisions of Chapter 6. Additionally, notwithstanding
permission for the transfer being granted by the Chief Regulatory Officer or his designee, parties
involved in the transfer remain responsible for any violation of Exchange rules resulting from thetransfer and may either be summarily sanctioned in accordance with the provisions of Rule 512 or
the matter may be referred to the Chief Regulatory Officer for the consideration of charges.
5. Provided that the transfer is permitted pursuant to Sections 1., 2., 3., or 4. above:i. Futures and futures-style option transactions may be recorded and carried at:(1) the original trade date or the date the transfer is submitted to the Clearing House, witheither the original trade price, the current Business Day’s settlement price or the priorBusiness Day’s settlement price; or(2) the Business Day prior to the date the transfer is submitted to the Clearing House,
with either the original trade price or the prior Business Day’s settlement price.
ii. Premium-style options transactions may be recorded and carried at the original trade date,the date the transfer is submitted to the Clearing House, or the Business Day prior to thedate the transfer is submitted to the Clearing House, with either the original trade price,
the current Business Day’s settlement price, the prior Business Day’s settlement price or a
trade price of zero.
Trades that have been confirmed at an average price pursuant to the provisions of Rule 553
may alternatively be transferred at the average price.
6. All transfers shall be reported to the Clearing House in a form acceptable to the Exchange forthe type of transactions involved. The proper indicator must be included in the transfer such thatthe transactions, including the transaction(s) to reverse an error, clear as transfers. The clearing
member(s) involved shall maintain a full and complete record of all transactions together with all
pertinent memoranda.
7. Any authority granted to the Global Head of Clearing & Post-Trade Services or the Chief
Compliance Officer of the Clearing House, or their respective designees, set forth in Section A. will
not extend to security-based swap products cleared by the Clearing House.
853.B. Transfers of Customer Accounts
Subject to the limitations of Rule 853.A, after receipt of a signed instruction from a Clearing
Member (the “Carrying Clearing Member”) to transfer all or a portion of a customer account toanother Clearing Member (the “Receiving Clearing Member”), and provided that such instruction
contains the customer’s name and account number (and, if the transfer is not of the entire account,a description of which portion is to be transferred), and provided that the Receiving Clearing
Member agrees to accept the account, the Exchange shall promptly transfer the account (or the
relevant portion thereof), without requiring any close-out or rebooking of positions in connection
with the transfer, provided that:
1. The transferred positions will satisfy Exchange performance bond requirements at theReceiving Clearing Member; and2. Any remaining positions in the customer account at the Carrying Clearing Member will satisfy
Exchange performance bond requirements.

854.

CONCURRENT LONG AND SHORT POSITIONS
Set forth below are the procedures that must be followed for concurrent long and short positions
and hold-open accounts.
A. Concurrent long and short positions in the same commodity and month may be held by aclearing member at the direction of a customer or on behalf of an omnibus account; however it shallbe the duty of the clearing member to ascertain whether such positions are intended for offset or tobe held open prior to final transmission of position data to the Clearing House.
B. Concurrent long and short positions in physically delivered contracts subject to spot monthposition limits that are held by the same owner during the time that spot month position limits are ineffect must be offset by transactions executed in the market, by allowable privately negotiatedtransactions, or fulfilled through the normal delivery process, provided however that trades may beoffset via netting, transfer or position adjustment to correct a bona fide clerical or operational error
on the day the error is identified and the quantity of the offset does not represent more than two
percent of the reported open interest in the affected futures contract month.
Permissible Exceptions
Notwithstanding the foregoing:
1. Trades may be transferred for offset if the trade date of the position being transferred is thesame as the transfer date;
2. An account that becomes concurrently long and short as a result of a futures position that
results from an option assignment will be allowed one business day to net such positions; or,
3. Where the Chief Regulatory Officer or his designee determines, in their respective sole
discretion, that permitting an offset via netting, transfer or position adjustment in excess of two
percent of the reported open interest will not adversely impact either the affected market or any
persons holding open positions in the affected market.
C. Clearing members which, pursuant to this rule, carry concurrent long and short positions, must
report to the Exchange both sides as open positions. When either side or both sides are reduced,
the open positions as reported to the Exchange must be reduced accordingly, and, pursuant toRule 806, may not subsequently be re-opened at the Exchange.
D. The Exchange takes no position regarding the internal bookkeeping procedures of its clearing
members which, for the convenience of a customer, may "hold open" a position only on their books.
However, the clearing member must accurately report to the Exchange and the Clearing House, as
appropriate, large trader positions, long positions eligible for delivery and open interest.
E. Violations of this Rule may result in summary sanctions in accordance with the provisions ofRule 512 or the matter may be referred to the Chief Regulatory Officer for the consideration of
charges.

855.

OFFSETTING POSITIONS
A. Different-Sized Futures Contracts
With the consent of the account controller, a clearing member may offset long futures positions
against short futures positions, or short futures positions against long futures positions, held in thesame account in the ratios set forth in the Contracts Eligible for Offset Table (“Table”) at the end ofChapter 8.
B. Futures Spread Contracts and Underlying Futures Contract Legs
With the consent of the account controller, a clearing member may offset an open position in alisted futures spread contract against opposite open positions in the outright futures products of the
spread contract’s underlying legs held in the same account in the ratios set forth in the Table.
For purposes of Sections A. and B., the clearing member shall notify the Clearing House ofoffsetting positions by submitting reports to the Clearing House in such form and manner as the
Clearing House shall specify. The positions shall be offset at the previous day's settlement price.
The positions being offset shall be transferred to a holding account at the Clearing House.
Offsetting positions in the same contract and contract month held in the holding account shall be
netted, thus reducing the number of open positions in such contracts.

856.
857.

[RESERVED]
POST-TRADE MULTILATERAL COMPRESSION
The Clearing House may from time to time and in its absolute and sole discretion provide a
multilateral compression service under which eligible Exchange futures and options contracts
cleared through the Clearing House may be offset (closed-out) and, where relevant, replaced with
new Exchange futures and options contracts cleared through the Clearing House.
With the consent of the account controller, a Clearing Member, account controller or person duly
authorized by the Clearing Member or account controller may submit a list of positions in eligible
contracts which remain open at the Clearing House pursuant to Rule 805 and that the accountcontroller wishes to offset (close-out) and replace with new contracts via the multilateralcompression service in accordance with this Rule.

The specific products and contract months eligible for inclusion in the multilateral compression
service and the frequency and timing of providing such service will be determined by the Clearing
House in its absolute and sole discretion.
All contracts submitted to the Clearing House pursuant to this Rule must be submitted inaccordance with the procedures established by the Clearing House for this purpose as amended
from time to time.
Clearing Members participating in the multilateral compression service agree and acknowledge thatthe multilateral compression service may operate to offset (close-out) certain existing open
positions and establish new open positions for the benefit of the relevant account holder. Any
termination of or entry into replacement Exchange cleared futures and options contracts will takeplace in accordance with and subject to the terms of this Rule and such procedures and conditions
established by the Clearing House from time to time.
The Clearing House may utilize a third party approved by the Clearing House for the facilitation of
the multilateral compression service provided in accordance with this Rule, which may be anaffiliate of the Clearing House or CME Group Inc. or such other entity appointed by the Clearing
House from time to time and duly notified to participants (an “Authorized Compression Service
Provider”).
The Clearing House may in its absolute and sole discretion determine to suspend or terminate themultilateral compression service and any compression cycle at any time.
Positions in a customer account of a Clearing Member shall not be compressed pursuant to thisRule with positions in the proprietary account of the Clearing Member.

CONTRACTS ELIGIBLE FOR OFFSET TABLE
View table here (XLS)
End of Chapter 8