Such a move would be "unwise" and the CME has a "fiduciary responsibility" to its shareholders, he said at a National Grain and Feed Association conference on Monday.

CME in late November expanded the size of a fund to help return cash to former MF Global clients to $550 million from $250 million. The brokerage collapsed Oct. 31 after making bad bets on European debt.

Hundreds of millions of dollars were missing from clients' accounts at the firm.

A trustee overseeing the bankruptcy has said an increased payout to former clients should restore at least two thirds of U.S.-based property for the broker-dealer unit.

CME will not guarantee the remainder, Durkin said.

"We really feel we cannot expose ourselves to that level of responsibility or risk," Durkin told the NGFA Country Elevator Conference. "It's not covered as part of our rules. All of that being said we have taken some very unprecedented steps.

Durkin also said CME was still holding MF Global funds more than a month after the brokerage went bankrupt, adding that the money was "in the context of the remaining collateral that we had on deposit that has not been fully distributed."

He did not elaborate or say how much MF Global money the exchange was holding.

CME and MF Global's bankruptcy trustee have been fielding complaints from former customers of the brokerage who want their money back. Regulators are searching for the money but do not agree on how much is missing.

The trustee has said as much as $1.2 billion is unaccounted for. Durkin confirmed that CME believes the total to be lower than that.

Donald Ludwig, manager of Elkhart Grain Company in central Illinois, attended the grain conference and said he was frustrated his money had not been returned. He said his company was missing money from an MF Global account but declined to say how much.

"It's got to be somewhere," he said. "I hope they get it back."