[Federal Register Volume 77, Number 92 (Friday, May 11, 2012)]
[Notices]
[Pages 27827-27828]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2012-11364]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-66931; File No. SR-CME-2012-15]


Self-Regulatory Organizations; Chicago Mercantile Exchange Inc.; 
Notice of Filing and Immediate Effectiveness of Proposed Rule Change 
Relating to Adoption of Interest Rate Futures Contracts Portfolio 
Margining Program With Eris Exchange, LLC

May 7, 2012.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act''),\1\ notice is hereby given that on April 25, 2012, Chicago 
Mercantile Exchange Inc. (``CME'') filed with the Securities and 
Exchange Commission (``Commission'') the proposed rule change described 
in Items I, II and III below, which Items have been prepared 
substantially by CME. CME filed the proposal pursuant to Section 
19(b)(3)(A) of the Act, and Rule 19b-4(f)(4)(ii) \2\ thereunder so that 
the proposal was effective upon filing with the Commission. The 
Commission is publishing this notice to solicit comments on the rule 
change from interested parties.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4(f)(4)(ii).
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    CME proposes to adopt an interest rate futures contracts portfolio 
margining program with Eris Exchange, LLC (``Eris''). CME currently 
clears interest rate swap futures contracts listed by Eris. Separately, 
the CME clearinghouse settles and clears Eurodollar futures listed by 
CME. CME is proposing to adopt a program that would allow it to offer 
portfolio margining of CME Eurodollar futures together with Eris 
Exchange Interest Rate Swap futures. The portfolio margining program 
will allow accounts with offsetting positions in CME Eurodollar futures 
and Eris Exchange contracts to obtain risk offsets and, hence, lower 
performance bond (i.e., initial margin) requirements. The proposed 
change will immediately become effective on filing but will not become 
operational until April 30, 2012.

II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, CME 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. CME has prepared summaries, set forth in sections (A), 
(B), and (C) below, of the most significant aspects of these 
statements.

(A) Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    CME currently clears interest rate swap futures contracts listed by 
Eris. Separately, the CME clearinghouse settles and clears Eurodollar 
futures listed by CME. CME is proposing to adopt a program that would 
allow it to offer portfolio margining of CME Eurodollar futures 
together with Eris Exchange Interest Rate Swap futures. The proposed 
rule change will immediately become effective on filing but will not 
become operational until April 30, 2012.
    The portfolio margining program will allow accounts with offsetting 
positions in CME Eurodollar futures and Eris Exchange contracts to 
obtain risk offsets and, hence, lower performance bond (i.e., initial 
margin) requirements. Actual risk offsets will vary by portfolio, and 
will be higher for more highly correlated positions. The reduced margin 
requirements will be reflected in datafiles provided by CME Clearing to 
clearing members. Firms will also be able to use CME's margin software 
to verify margin calculations for these portfolios and perform ``what 
if'' analyses.
    The portfolio margining program would be available for house 
accounts and customer accounts. With regard to customer accounts, all 
products in the proposed program are futures governed by Section 
4d(a)(2) of the Commodity Exchange Act and CFTC Regulations promulgated 
thereunder. CME notes that the proposed portfolio margining program 
comports with the CFTC's DCO Core Principle G (Risk Management), and 
with new CFTC Regulation 39.13(g)(4) (Spread and Portfolio Margins), 
which provides, in pertinent part, that a DCO ``may allow reductions in 
initial margin requirements for related positions if the price risks 
with respect to such positions are significantly and reliably 
correlated.''
    CME also certified the proposed changes that are the subject of 
this filing to its primary regulator, the CFTC, in CME Submission 12-
114.
    The proposed change is limited to CME's activities as a derivatives 
clearing organization clearing futures

[[Page 27828]]

transactions. As such, the proposed change does not significantly 
affect the security-based swap clearing operations of CME or any 
related rights or obligations of CME security-based swap clearing 
participants. The proposed change is therefore properly filed under 
Section 19(b)(3)(A) and Rule 19b-4(f)(4)(ii) thereunder because it 
effects a change in an existing service of a registered clearing agency 
that primarily affects the futures clearing operations of the clearing 
agency with respect to futures that are not security futures and does 
not significantly affect any securities clearing operations of the 
clearing agency or any related rights or obligations of the clearing 
agency or persons using such service.

(B) Self-Regulatory Organization's Statement on Burden on Competition

    CME does not believe that the proposed rule change will have any 
impact or impose any burden on competition.

(C) Self-Regulatory Organization's Statement on Comments on the 
Proposed Rule Change Received From Members, Participants, or Others

    CME has not solicited, and does not intend to solicit, comments 
regarding this proposed change. CME has not received any unsolicited 
written comments from interested parties.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    The foregoing proposed rule change has become effective upon filing 
pursuant to Section 19(b)(3)(A) \3\ of the Act and Rule 19b-4(f)(4)(ii) 
\4\ thereunder because it effects a change in an existing service of 
CME that primarily affects the futures clearing operations of CME with 
respect to futures that are not security futures and does not 
significantly affect any securities clearing operations of CME or any 
related rights or obligations of the clearing agency or persons using 
such service. 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.
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    \3\ 15 U.S.C. 78s(b)(3)(A).
    \4\ 17 CFR 240.19b-4(f)(4)(ii).
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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 [email protected]. Please include 
File Number SR-CME-2012-15 on the subject line.

Paper Comments

     Send paper comments in triplicate to Elizabeth M. Murphy, 
Secretary, Securities and Exchange Commission, 100 F Street NE., 
Washington, DC 20549-1090.

All submissions should refer to File Number SR-CME-2012-15. 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 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 
10:00 a.m. and 3:00 p.m. Copies of such filings also will be available 
for inspection and copying at the principal office of CME and on CME's 
Web site at http://www.cmegroup.com.
    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-CME-2012-15 
and should be submitted on or before June 1, 2012.
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    \5\ 17 CFR 200.30-3(a)(12).

    For the Commission by the Division of Trading and Markets, 
pursuant to delegated authority.\5\
Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2012-11364 Filed 5-10-12; 8:45 am]
BILLING CODE 8011-01-P