Federal Register / Vol. 79, No. 203 / Tuesday, October 21, 2014 / Notices 62995 

36See Notice, supra, note 3 at 52783. 

37 15 U.S.C. 78f(b)(5). 

38 15 U.S.C. 78s(b)(2). 

39 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

prevent the execution or display of a 

short sale order at a price at or below 

the current NBB under certain 

circumstances. The Exchange represents 

that its short sale price sliding will 

continue to operate the same for Users 

that select Price Adjust as it does for 

Users that select the display-price 

sliding process currently offered by the 

Exchange.36

For the reasons noted above, the 

Commission finds that the proposed 

rule change is consistent with the Act, 

including Section 6(b)(5) of the Act,37

which requires, among other things, that 

the rules of an exchange be designed to 

promote just and equitable principles of 

trade, remove impediments to, and 

perfect the mechanism of, a free and 

open market and a national market 

system, and, in general, protect 

investors and the public. 

V. Conclusion 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,38 that the 

proposed rule change, SR–BYX–2014– 

019, be, and hereby is, approved. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.39

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2014–24952 Filed 10–20–14; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–73355; File No. SR–CBOE– 

2014–073] 

Self-Regulatory Organizations; 

Chicago Board Options Exchange, 

Incorporated; Notice of Filing and 

Immediate Effectiveness of a Proposed 

Rule Change Relating to Margin 

Treatment of Over-the-Counter Options 

Contracts Cleared by The Options 

Clearing Corporation 

October 15, 2014. 

Pursuant to Section 19(b)(1) of the 

Securities Exchange Act of 1934 (the 

‘‘Act’’),1 and Rule 19b–4 thereunder,2

notice is hereby given that on October 

1, 2014, Chicago Board Options 

Exchange, Incorporated (the ‘‘Exchange’’ 

or ‘‘CBOE’’) filed with the Securities 

and Exchange Commission (the 

‘‘Commission’’) the proposed rule 

change as described in Items I, and II, 

below, which Items have been prepared 

by the Exchange. The Commission is 

publishing this notice to solicit 

comments on the proposed rule change 

from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to amend its 

rules regarding the margin treatment of 

over-the-counter (‘‘OTC’’) options 

cleared by The Options Clearing 

Corporation (‘‘OCC’’). The text of the 

proposed rule change is provided 

below. (additions are italicized; 

deletions are [bracketed]) 

* * * * * 

Chicago Board Options Exchange, 

Incorporated Rules 

* * * * * 

Rule 1.1. When used in these Rules, 

unless the context otherwise requires: 

(a)–(l) No change. 

Option Contract 

(m) Except as otherwise provided, 

[T]the term ‘‘option contract’’ means a 

put or call issued, or subject to issuance, 

by the Clearing Corporation pursuant to 

the Rules of the Clearing Corporation. 

(n)–(ooo) No change. 

OCC Cleared OTC Option Contract 

(ppp) The term ‘‘OCC cleared OTC 

option contract’’ means an over-thecounter option contract that is issued 

and guaranteed by the Clearing 

Corporation. Except as otherwise 

provided, an OCC cleared OTC option 

contract is not an ‘‘options contract’’ as 

defined in the Rules. 

. . . Interpretations and Policies: 

.01–.05 No change. 

* * * * * 

Rule 12.3. Margin Requirements 

(a) Definitions. For purposes of this 

Rule, the following terms shall have the 

meanings specified below. 

(1)–(8) No change. 

(9) The term ‘‘listed’’ for purposes of 

this Chapter 12 means a security traded 

on a registered national securities 

exchange or automated facility of a 

registered national securities association 

or issued and guaranteed by the 

Clearing Corporation and shall include 

OCC cleared OTC options contracts. 

(10)–(13) No change. 

(14) The term ‘‘OTC option’’ as used 

with reference to a call or a put option 

contract in this Chapter 12 means an 

over-the-counter option contract that is 

issued and guaranteed by the carrying 

broker-dealer and not traded on a 

national securities exchange or issued 

and guaranteed by the Clearing 

Corporation [and is issued and 

guaranteed by the carrying brokerdealer]. 

(b)–(n) No change. 

* * * * * 

Rule 12.4—Portfolio Margin 

Rule 12.4. As an alternative to the 

transaction/position specific margin 

requirements set forth in Rule 12.3 of 

this Chapter 12, a TPH organization may 

require margin for all margin equity 

securities (as defined in Section 220.2 of 

Regulation T), listed options, unlisted 

derivatives, security futures products, 

and index warrants in accordance with 

the portfolio margin requirements 

contained in this Rule 12.4. 

In addition, a TPH organization, 

provided it is a Futures Commission 

Merchant (‘‘FCM’’) and is either a 

clearing member of a futures clearing 

organization or has an affiliate that is a 

clearing member of a futures clearing 

organization, is permitted under this 

Rule 12.4 to combine a customer’s 

related instruments (as defined below), 

listed index options, unlisted 

derivatives, options on exchange traded 

funds, index warrants, and underlying 

instruments and compute a margin 

requirement for such combined 

products on a portfolio margin basis. 

Application of the portfolio margin 

provisions of this Rule 12.4 to IRA 

accounts is prohibited. 

(a) Definitions. 

(1) The term ‘‘listed option’’ for 

purposes of this Rule shall mean any 

equity (or equity index-based) option 

traded on a registered national securities 

exchange or automated facility of a 

registered national securities association 

or issued and guaranteed by the 

Clearing Corporation and shall include 

OCC cleared OTC options contracts. 

(2)–(3) No change. 

(4) The term ‘‘unlisted derivative’’ for 

purposes of this Rule means any equitybased (or equity index-based) unlisted 

option, forward contract or swap that 

can be valued by a theoretical pricing 

model approved by the Securities and 

Exchange Commission and does not 

include OCC cleared OTC options 

contracts. 

(5)–(11) No change. 

(b)–(j) No change. 

* * * * * 

The text of the proposed rule change 

is also available on the Exchange’s Web 

site (http://www.cboe.com/AboutCBOE/

CBOELegalRegulatoryHome.aspx), at 

the Exchange’s Office of the Secretary, 

and at the Commission’s Public 

Reference Room. 

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62996 Federal Register / Vol. 79, No. 203 / Tuesday, October 21, 2014 / Notices 

3See FINRA Rule 4210(f)(2)(A)(xxiv); see also 

FINRA Rules 2360(a)(9), (19), (32), (33) and 

4210(g)(2)(A). 

4See Securities Exchange Act Release No. 70619 

(October 7, 2013), 78 FR 62722 (October 22, 2013) 

(Order Granting Approval of Proposed Rule Change 

Relating to Amendments to FINRA Rules 2360 and 

4210 in Connection with OCC Cleared Over-theCounter Options) (SR–FINRA–2013–027) (‘‘Order’’). 

5See generally CBOE Rule 12.3 (Margin 

Requirements). 

6The Exchange is also proposing to add the word 

‘‘option’’ to its definition of ‘‘OTC’’ in Rule 

12.3(a)(14) to make clear that OTC as used in 

Chapter 12 would refer to an options contract. Since 

the current definition already states that that ‘‘OTC’’ 

‘‘as used with reference to a call or a put option 

contract means an over-the-counter option contract 

. . .’’, the Exchange believes that the addition of the 

word ‘‘option’’ would simply clarify the language 

in the Rule without any substantive change to the 

Rule. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

Exchange included statements 

concerning the purpose of and basis for 

the proposed rule change and discussed 

any comments it received on the 

proposed rule change. The text of these 

statements may be examined at the 

places specified in Item IV below. The 

Exchange has prepared summaries, set 

forth in sections A, B, and C below, of 

the most significant aspects of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to amend its 

margin requirements rules to treat OTC 

options contracts that are issued and 

guaranteed by the OCC (‘‘OCC cleared 

OTC option contracts’’) consistent with 

FINRA Rule 4210 (Margin 

Requirements).3 Specifically, the 

Exchange proposes a definition of OCC 

cleared OTC option contract in Rule 

1.1(ppp) and, for margin purposes, 

proposes to amend the definitions of the 

terms ‘‘listed’’ in Rule 12.3(a)(9) and 

‘‘listed option’’ in Rule 12.4(a)(1) to 

include OCC cleared OTC option 

contracts. The Exchange also proposes, 

for margin purposes, to amend the 

definitions of the terms ‘‘OTC’’ in Rule 

12.3(a)(14) and ‘‘unlisted derivative’’ in 

Rule 12.4(a)(4) to exclude OCC cleared 

OTC option contracts. The Exchange’s 

proposal is materially based on, and 

substantially similar to, changes made 

by FINRA to its margin requirements 

rules under FINRA Rule 4210.4 The 

Exchange believes that a consistent 

margin treatment regime with respect to 

OCC cleared OTC option contracts will 

make margin requirements rules easier 

for market participants to understand 

and that the proposal is in the best 

interest of investors. 

On April 25, 2014, the OCC launched 

central clearing services for bilaterally 

negotiated OTC equity index options 

contracts on the S&P 500 Index. Under 

OCC By-laws, the OCC may, under 

limited circumstances, clear OTC 

options on the S&P 500 Index. Such 

contracts must be of a term between four 

months and five years and have 

minimum notional values of either 

500,000 or 100,000 times the value of 

the S&P 500 Index. In clearing these 

options, the OCC becomes both the 

issuer and guarantor of the OTC 

contract. 

In response to rules adopted by the 

OCC permitting the OCC to issue and 

guarantee these particular OTC option 

contracts and responsive rules adopted 

by FINRA regarding OCC cleared OTC 

option contracts, the Exchange proposes 

to adopt a definition of OCC cleared 

OTC option contract and make certain 

changes to its margin rules. The 

Exchange proposes to define the term 

OCC cleared OTC option contract to 

carve-out OCC cleared OTC option 

contracts from the definition of ‘‘option 

contract’’ reflecting the fact that the 

Rules are intended to control 

transactions in options contracts traded 

at the Exchange. Specifically, the 

Exchange proposes changes to Rule 

1.1(m) defining ‘‘option contract’’ and 

the adoption of Rule 1.1(ppp) to define 

the term ‘‘OCC cleared OTC option 

contract’’ in the Rules. 

Under Rule 1.1(m), an ‘‘option 

contract’’ is defined as ‘‘a put or a call 

issued, or subject to issuance, by the 

[Options] Clearing Corporation pursuant 

to the rules of the [Options] Clearing 

Corporation.’’ OCC cleared OTC option 

contracts are option contracts that are 

subject to issuance by the OCC. 

Accordingly, the Exchange proposes to 

amend Rule 1.1(m) to exclude OCC 

cleared OTC option contracts. Proposed 

Rule 1.1(ppp) would define OCC cleared 

OTC option contracts as over-thecounter option contracts that are issued 

and guaranteed by the Clearing 

Corporation. The proposed definition 

would also provide that except as 

otherwise indicated in the Rules, OCC 

cleared OTC option contracts are not 

‘‘options contracts’’ under the Rules. 

Thus, consistent with the proposed 

changes to Rule 1.1(m), proposed Rule 

1.1(ppp) would make clear that OCC 

cleared OTC option contracts are not 

Exchange-traded products and that the 

Rules, unless otherwise indicated, are 

not intended to extend to OCC cleared 

OTC options contracts. 

The Exchange also proposes changes 

to its margin treatment rules with 

respect to OCC cleared OTC options 

contracts. In general, the margin 

requirements for options listed on an 

exchange (and cleared and guaranteed 

by the OCC) are lower than the margin 

requirement for OTC options (not 

cleared or guaranteed by the OCC). This 

is because the clearing and guaranteeing 

functions performed by the OCC greatly 

reduce the counterparty risk present on 

exchange-traded option contracts. Thus, 

for margin requirements and securities 

setoff purposes, the Exchange requires 

less initial and maintenance margin for 

listed options positions than for OTC 

options positions.5 The reasons 

underlying the more favorable margin 

treatment for listed (and OCC cleared 

and guaranteed) options, however, 

apply with equal force to OCC cleared 

OTC options contracts. The clearing and 

guaranteeing functions performed by the 

OCC reduce the counterparty credit risk 

associated with these contracts to levels 

more commonly associated with listed 

options contacts. In light of the clearing 

and guaranteeing functions performed 

by the OCC, the Exchange proposes to 

treat OCC cleared OTC options as it 

treats other cleared and guaranteed 

options by defining OCC cleared OTC 

option contracts as ‘‘listed’’ option 

contracts for margin purposes only. 

Notably, the Exchange proposes to treat 

OCC cleared OTC options as listed 

options only after such contracts have 

been accepted for clearing and 

guaranteed by the OCC. 

Exchange Rules 12.3 (Margin 

Requirements) and 12.4 (Portfolio 

Margin) describe minimum transaction 

or position-specific and portfolio margin 

requirements that Trading Permit 

Holders (‘‘TPHs’’) must require and 

securities offsets that may be applied for 

margin requirements purposes. For 

margin purposes only, the Exchange 

proposes to modify the definition of the 

term ‘‘listed’’ in Rule 12.3(a)(9) to 

include OCC cleared OTC options. 

Similarly, the Exchange proposes 

changes to Rule 12.4(a)(1) to define the 

term ‘‘listed option’’ to include OCC 

cleared OTC option contracts for 

portfolio margin purposes only. These 

rule changes would allow the Exchange 

to treat OCC cleared OTC options in the 

same manner as Exchange-listed options 

for margin purposes, but make clear that 

the Rules are not intended to extend to 

or control transactions involving 

unlisted option contracts or OTC 

options contracts. The Exchange also 

proposes to change the definitions of the 

terms ‘‘OTC’’ in Rule 12.3(a)(14) 6 and 

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Federal Register / Vol. 79, No. 203 / Tuesday, October 21, 2014 / Notices 62997 

7See Order, supra note 4. 8See 15 U.S.C. 78c(a)(65) which states that an 

‘‘eligible contract participant has the same meaning 

as in section 1a of the Commodity Exchange Act.’’ 

The Commodity Exchange Act details the 

requirements for eligibility as an ‘‘eligible contract 

participant’’ which generally require a sufficient 

regulated status or a specified minimum amount of 

assets; see also 7 U.S.C. 1(a)(18). 9 15 U.S.C. 78f(b). 

10 15 U.S.C. 78f(b)(5). 11 Id. 

12 15 U.S.C. 78s(b)(3)(A). 

13 17 CFR 240.19b–4(f)(6). 

‘‘unlisted derivative’’ in Rule 12.4(a)(4) 

to exclude OCC cleared OTC option 

contracts for margin purposes. These 

proposed changes are substantially 

similar in all material respects to FINRA 

Rule 4210(f)(2)(A)(xxiv), which the 

Commission recently approved.7

Notably, the Exchange is not 

proposing changes to Chapter IX of the 

Rules, particularly Rules 9.7 (Opening 

of Accounts) or 9.15 (Delivery of 

Current Options Disclosure Documents) 

therein. Under Rule 9.7, TPHs are 

required to furnish the options 

disclosure documents described in Rule 

9.15 to customers at or prior to 

approving a customer’s account for 

options trading. Because Rules 9.7 and 

9.15 relate to disclosures that must be 

made before a customer’s account may 

be approved for trading in options at the 

Exchange, no rule changes are needed to 

accommodate OCC cleared OTC option 

contracts, which are not Exchangetraded products. In addition, the 

Exchange echoes FINRA’s comments 

that such delivery requirements are 

unnecessary because the counterparties 

to OCC cleared OTC options must be 

‘‘eligible contract participants’’ as 

defined in the Act,8 and thus, are more 

sophisticated investors who are likely to 

be aware of the risks associated with 

trading OTC options. 

2. Statutory Basis 

The Exchange believes the proposed 

rule change is consistent with the Act 

and the rules and regulations 

thereunder applicable to the Exchange 

and, in particular, the requirements of 

Section 6(b) of the Act.9 Specifically, 

the Exchange believes the proposed rule 

change is consistent with the Section 

6(b)(5) 10 requirements that the rules of 

an exchange be designed to prevent 

fraudulent and manipulative acts and 

practices, to promote just and equitable 

principles of trade, to foster cooperation 

and coordination with persons engaged 

in regulating, clearing, settling, 

processing information with respect to, 

and facilitating transactions in 

securities, to remove impediments to 

and perfect the mechanism of a free and 

open market and a national market 

system, and, in general, to protect 

investors and the public interest. 

Additionally, the Exchange believes the 

proposed rule change is consistent with 

the Section 6(b)(5) 11 requirement that 

the rules of an exchange not be designed 

to permit unfair discrimination between 

customers, issuers, brokers, or dealers. 

In particular, the Exchange believes 

that the proposed rule change will add 

consistency to the margin treatment 

rules and make them easier for investors 

to understand. For purposes of margin 

treatment, the Exchange believes that 

the clearing and guaranteeing functions 

performed by the OCC support a 

determination to treat OCC cleared OTC 

option contracts in the same manner as 

other option contracts that are cleared 

and guaranteed by the OCC. The 

Exchange believes that treating OCC 

cleared OTC option contracts as ‘‘listed’’ 

options for margin purposes is 

consistent with FINRA rules and the 

treatment of option contracts cleared 

and guaranteed by the OCC generally. 

The Exchange believes that treating OCC 

cleared OTC option contracts in this 

manner would protect investors’ 

interests and support a rational 

regulatory framework, which is in the 

best interest of investors. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will impose 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act. The 

Exchange believes that the proposed 

margin requirements rule changes are 

consistent with substantially similar 

rule changes made by FINRA. The 

Exchange believes that consistency 

across markets with respect to margin 

requirements will make it easier for 

investors to trade options and is in the 

interests of all investors. Moreover, the 

Exchange believes that the proposed 

rule changes are necessary in order to 

not disadvantage its TPHs who would 

otherwise be required to maintain 

additional margin in their accounts, 

placing TPHs at the Exchange at a 

competitive disadvantage in the market. 

Furthermore, because the proposed 

margin rules would be applied equally 

to all TPHs, no TPH would be placed at 

a competitive disadvantage at the 

Exchange. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

The Exchange neither solicited nor 

received comments on the proposed 

rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Because the foregoing proposed rule 

change does not: 

A. significantly affect the protection 

of investors or the public interest; 

B. impose any significant burden on 

competition; and 

C. become operative for 30 days from 

the date on which it was filed, or such 

shorter time as the Commission may 

designate, it has become effective 

pursuant to Section 19(b)(3)(A) of the 

Act 12 and Rule 19b–4(f)(6) 13

thereunder. At any time within 60 days 

of the filing of the proposed rule change, 

the Commission summarily may 

temporarily suspend such rule change if 

it appears to the Commission that such 

action is necessary or appropriate in the 

public interest, for the protection of 

investors, or otherwise in furtherance of 

the purposes of the Act. If the 

Commission takes such action, the 

Commission will institute proceedings 

to determine whether the proposed rule 

change should be approved or 

disapproved. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s Internet 

comment form (http://www.sec.gov/

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include File Number SR– 

CBOE–2014–073 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE., 

Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–CBOE-2014–073. This file 

number should be included on the 

subject line if email is used. To help the 

Commission process and review your 

comments more efficiently, please use 

only one method. The Commission will 

post all comments on the Commission’s 

Internet Web site (http://www.sec.gov/

rules/sro.shtml). Copies of the 

submission, all subsequent 

amendments, all written statements 

with respect to the proposed rule 

change that are filed with the 

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62998 Federal Register / Vol. 79, No. 203 / Tuesday, October 21, 2014 / Notices 

14 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3 15 U.S.C. 78s(b)(3)(A). 

4 17 CFR 240.19b–4(f)(4)(ii). 

Commission, and all written 

communications relating to the 

proposed rule change between the 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

provisions of 5 U.S.C. 552, will be 

available for Web site viewing and 

printing in the Commission’s Public 

Reference Room, 100 F Street NE., 

Washington, DC 20549 on official 

business days between the hours of 10 

a.m. and 3 p.m. Copies of the filing also 

will be available for inspection and 

copying at the principal office of the 

Exchange. All comments received will 

be posted without change; the 

Commission does not edit personal 

identifying information from 

submissions. You should submit only 

information that you wish to make 

available publicly. All submissions 

should refer to File Number SR–CBOE– 

2014–073 and should be submitted on 

or before November 12, 2014. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.14

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2014–24957 Filed 10–20–14; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–73365; File No. SR–CME– 

2014–40] 

Self-Regulatory Organizations; 

Chicago Mercantile Exchange Inc.; 

Notice of Filing and Immediate 

Effectiveness of Proposed Rule 

Change Regarding Its Collateral 

Acceptance Practices for Its Base 

Guaranty Fund 

October 15, 2014. 

Pursuant to Section 19(b)(1) of the 

Securities Exchange Act of 1934 

(‘‘Act’’) 1 and Rule 19b–4 thereunder 2

notice is hereby given that, on October 

3, 2014, Chicago Mercantile Exchange 

Inc. (‘‘CME’’) filed with the Securities 

and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change as described in Items I, II and III 

below, which Items have been prepared 

primarily by CME. CME filed the 

proposal pursuant to Section 19(b)(3)(A) 

of the Act,3 and Rule 19b–4(f)(4)(ii)4

thereunder, so that the proposal was 

effective upon filing with the 

Commission. The Commission is 

publishing this notice to solicit 

comments on the proposed rule change 

from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

CME proposes to make certain 

changes to its collateral acceptance 

practices. The proposed changes would 

not impact CME’s collateral acceptance 

practices relating to its CDS Guaranty 

Fund; the changes would only affect 

CME’s Base Fund. More specifically, 

CME is introducing a new and limited 

exemption from CME limits on the 

value of letters of credit clearing 

members are eligible to deposit on 

behalf of qualifying customers in 

satisfaction of the clearing members’ 

core performance bond requirements 

with respect to CME’s Base Fund (the 

‘‘Exemption’’). The text of the proposed 

rule change is immediately below. 

Italicized text indicates additions; 

bracketed text indicates deletions. 

* * * * * 

Collateral Types Accepted for Futures, 

Options, Forwards, OTC FX & 

Commodity Swaps (available at http://

www.cmegroup.com/clearing/financialand-collateral-management/) 

* * * * * 

New Category 3 & 4 Capped at $7bn Per Firm 

Category 1 Category 2 Category 3* Category 4** 

Cash U.S. Treasuries IEF5 (Interest Bearing Cash) Letters 

of Credit.* 

U.S. Government Agencies Strips 

TIPS (capped at $1bn per firm). 

Select MBS. 

IEF2† (Money Market Mutual Funds). 

Gold (capped at $500mm per firm). 

Stocks (capped at $1bn per firm). 

IEF4 (corporate bonds). 

Foreign Sovereign Debt (capped at 

$1bn per firm). 

* LOCs are capped at the lesser of 

25% of core requirement per currency requirement or $500M per 

firm. Clearing members that wish to 

post additional LOCs on behalf of 

qualifying commercial end users 

may be eligible for a limited exemption from this cap.# LOCs are not 

permitted to meet house performance bond requirements for financial affiliated clearing members.

* Capped at 40% of core requirement 

per currency requirement per firm.

** Capped at 40% of core requirement 

per currency requirement per firm or 

$5 billion per firm, the lesser of the 

two. 

†Not included in the 40% requirement. 

* * * * * 

# Please contact the clearing house at 

CreditRisk@cmegroup.com if you would 

like to learn more about this exemption. 

* * * * * 

CME Group Acceptable Performance 

Bond Collateral for Futures, Options, 

Forwards, OTC FX, and Commodity 

Swaps (available at http://

www.cmegroup.com/clearing/files/

acceptable-collateral-futures-optionsselect-forwards.pdf) 

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