Divide the powdered sugar between 3 large plastic bags. Add 2 teaspoons of red food coloring to one back and 2 teaspoons of blue food coloring to another. Leave the last one white.
Knead the powdered sugar with the food coloring until it is uniformly mixed. You can roll it with a rolling pin to break up clumps. This takes a while to get it to mix, so be patient. Alternately, place the mixture in a food processor and pulse until mixed.
Measure the cereal and place in a very large mixing bowl. Set aside.
Over medium heat, melt and combine the butter, chocolate chips and peanut butter, stirring constantly.
When fully melted, stir in vanilla.
Pour the chocolate mixture over Chex cereal in 3 stages, folding as you go.
Divide the coated mixture between the three bags of powdered sugar. Toss gently to coat all pieces.
Remove to a wax paper lined rimmed baking sheet. Spread in a single layer and chill for an hour to set.
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