Self-Regulatory Organizations; Chicago Mercantile Exchange Inc.; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Amend the Fee Schedule Applicable to its OTC Credit Default Swap Clearing Offering, 76314-76315 [2012-31122]

Download as PDF tkelley on DSK3SPTVN1PROD with 76314 Federal Register / Vol. 77, No. 248 / Thursday, December 27, 2012 / Notices unreliable and increases the risk that MBSD is not collecting sufficient margin given market conditions. Moving to the FICC Model that can be updated as the economic environment changes promotes robust risk management and reduces systemic risk because these changes can be more accurately reflected in margin calculations. The Commission is conditioning its notice of no objection on FICC implementing policies and procedures reasonably designed to ensure that FICC timely analyzes and monitors the performance and appropriateness of the FICC Model. As discussed above, the OTS model directly incorporates the concept of seasonality, while the FICC model does not. In addition, the FICC model relies on market-observed data to capture the prepayment risk of the mortgage pools underlying the TBAs. The Commission understands that the OTS and many industry models use historical data on actual prepayments to determine the level of prepayment risk. The Commission believes it is important for both FICC and the Commission to observe how the FICC model compares to actual seasonality and prepayment history, two parameters that had previously informed the OTS model. As a result, the Commission would expect such policies and procedures to assess the performance of the FICC Model as compared to other published or calculated prepayment rate forecasts and to analyze the VaR coverage resulting from the use of the FICC Model as compared to the coverage that would be obtained after applying alternate VaR methodologies, such as the index-based haircut methodology already utilized by FICC. The Commission expects that this analysis would be disseminated to the Commission on a monthly basis. The Commission believes that the replacement of the OTS Model with the FICC Model, subject to the conditions described above, meets the objectives and principles for the risk management standards prescribed under Section 805(a). The ability for FICC to update the FICC Model in response to changing economic conditions allows FICC to more appropriately calculate and collect margin, which better enables FICC to respond in the event that a member defaults. This in turn promotes robust risk management and safety and soundness, reduces systemic risk and supports the stability of the broader financial system. Conclusion By the Commission. Kevin O’Neill, Deputy Secretary. [FR Doc. 2012–31129 Filed 12–26–12; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–68490; File No. SR–CME– 2012–46] Self-Regulatory Organizations; Chicago Mercantile Exchange Inc.; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Amend the Fee Schedule Applicable to its OTC Credit Default Swap Clearing Offering December 20, 2012. 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 December 18, 2012, the Chicago Mercantile Exchange Inc. (‘‘CME’’ or ‘‘Exchange’’) 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 proposed rule change pursuant to Section 19(b)(3)(A)(ii) 3 of the Act and Rule 19b–4(f)(2) 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. Clearing Agency’s Statement of the Terms of Substance of the Proposed Rule Change CME is proposing to amend the fee schedule that currently applies to its OTC Credit Default Swap clearing offering. The text of the proposed rule change is available at the Exchange’s Web site at https://www.cmegroup.com, 17 12 U.S.C. 5465(e)(1)(I). U.S.C. 78s(b)(1). 2 17 CFR 240.19b–4. 3 15 U.S.C. 78s(b)(3)(A)(ii). 4 17 CFR 240.19b–4(f)(2). 1 15 It is therefore noticed, pursuant to Section 806(e)(1)(I) of the Clearing VerDate Mar<15>2010 Supervision Act,17 that, the Commission does not object to the Prepayment Model Change (File No. AN–FICC– 2012–09) and that FICC be and hereby is authorized to implement the Prepayment Model Change (File No. AN–FICC–2012–09) subject to FICC implementing policies and procedures reasonably designed to ensure that FICC timely analyzes and monitors the performance and appropriateness of the FICC Model. 16:53 Dec 26, 2012 Jkt 229001 PO 00000 Frm 00027 Fmt 4703 Sfmt 4703 at the principal office of the Exchange, and at the Commission’s Public Reference Room. II. Clearing Agency’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, the clearing agency 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 clearing agency has prepared summaries, set forth in sections (A), (B) and (C) below, of the most significant aspects of such statements. (A) Clearing Agency’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change This filing proposes to make minor amendments to the current fee schedule that applies to CDX North American Index Credit Default Swaps cleared at CME. The only modification that is proposed is to extend the current twenty five percent (25%) discount of base clearing fees for all market participants that clear OTC North American Index CDS products at CME for another year. This discount was scheduled to expire as of December 31, 2012. The proposed changes are related to fees and therefore will become effective immediately. However, the proposed fee changes will become operative as of January 2, 2013. CME has also certified the proposed rule changes that are the subject of this filing to the Commodity Futures Trading Commission (‘‘CFTC’’), in CFTC Submission 12–464. The proposed CME rule amendments establish or change a member due, fee, or other charge imposed by CME under Section 19(b)(3)(A)(ii) of the Securities Exchange Act of 1934 and Rule 19b– 4(f)(2) thereunder. CME believes that the proposed rule change is consistent with the requirements of the Securities Exchange Act of 1934 and the rules and regulations thereunder and, in particular, to 17A(b)(3)(D), in that it provides for the equitable allocation of reasonable dues, fees, and other charges among participants. The proposed changes apply to all market participants clearing trades at CME. CME believes the modifications should encourage firms to submit additional volume into the system which should help ensure readiness and also help build open interest ahead of a regulatory mandate. CME notes that it operates in a highly competitive market in which market participants can readily direct business to competing venues. E:\FR\FM\27DEN1.SGM 27DEN1 Federal Register / Vol. 77, No. 248 / Thursday, December 27, 2012 / Notices (B) Clearing Agency’s Statement on Burden on Competition The proposed rule change does not impose any burden on competition. (C) Clearing Agency’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 rule 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 rule change has been filed pursuant to Section 19(b)(3)(A)(ii) 5 of the Act and paragraph (f)(2) of Rule 19b–4 6 thereunder and became effective on filing. 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. 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: tkelley on DSK3SPTVN1PROD with Electronic Comments • Use the Commission’s Internet comment form (https://www.sec.gov/ rules/sro.shtml) or • Send an email to rule-comments@ sec.gov. Please include File Number SR– CME–2012–46 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–2012–46. 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 (https://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 will also be available for inspection and copying at the principal office of CME and on CME’s Web site (https://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–2012–46 and should be submitted on or before January 17, 2013. Section 19(b)(3)(A)(iii) 3 of the Act, 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. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.7 Kevin M. O’Neill, Deputy Secretary. In its filing with the Commission, ICE Clear Europe 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. ICE Clear Europe has prepared summaries, set forth in sections (A), (B) and (C) below, of the most significant aspects of such statements.5 [FR Doc. 2012–31122 Filed 12–26–12; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–68503; File No. SR–ICEEU– 2012–15] Self-Regulatory Organizations; ICE Clear Europe Limited; Notice of Filing and Immediate Effectiveness of Proposed Rule Change to Delivery Procedures To Reflect the Clearing Relationship for ICE Futures U.S. Inc. December 20, 2012. 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 December 19, 2012, ICE Clear Europe Limited (‘‘ICE Clear Europe’’) 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 ICE Clear Europe. ICE Clear Europe filed the proposal pursuant to 6 17 VerDate Mar<15>2010 16:53 Dec 26, 2012 Jkt 229001 The principal purpose of the rule amendments is to permit ICE Clear Europe to act as the clearing organization for certain futures and options contracts listed on ICE Futures U.S. Inc. (‘‘ICE Futures US’’), a designated contract market with the Commodity Futures Trading Commission. The rule amendments consist of various conforming and technical changes to existing ICE Clear Europe rules and delivery procedures to reflect the clearing relationship for ICE Futures US. All capitalized terms not defined herein are defined in the ICE Clear Europe Delivery Procedures. II. Clearing Agency’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change (A) Clearing Agency’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change ICE Clear Europe will act as the clearing organization for certain futures and options contracts listed on ICE Futures US, a designated contract market with the Commodity Futures Trading Commission. The rule amendments consist of various conforming and technical changes to existing ICE Clear Europe delivery procedures to reflect the clearing relationship for ICE Futures US. Specifically, Section H of the ICE Clear Europe Delivery Procedures has been updated to apply to all ICE Futures US Contracts for which physical delivery is specified as being ‘Applicable’ in the relevant Contract U.S.C. 78s(b)(3)(A)(iii). CFR 240.19b–4(f)(4)(ii). 5 The Commission has modified the text of the summaries prepared by ICE Clear Europe. CFR 200.30–3(a)(12). 1 15 U.S.C. 78s(b)(1). 2 17 CFR 240.19b–4. U.S.C. 78s(b)(3)(A)(ii). CFR 240.19b–4(f)(2). I. Clearing Agency’s Statement of the Terms of Substance of the Proposed Rule Change 3 15 7 17 5 15 76315 PO 00000 Frm 00028 Fmt 4703 4 17 Sfmt 4703 E:\FR\FM\27DEN1.SGM 27DEN1

Agencies

SECURITIES AND EXCHANGE COMMISSION

[Federal Register Volume 77, Number 248 (Thursday, December 27, 2012)]
[Notices]
[Pages 76314-76315]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2012-31122]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-68490; File No. SR-CME-2012-46]


Self-Regulatory Organizations; Chicago Mercantile Exchange Inc.; 
Notice of Filing and Immediate Effectiveness of Proposed Rule Change To 
Amend the Fee Schedule Applicable to its OTC Credit Default Swap 
Clearing Offering

December 20, 2012.
    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 December 18, 2012, the Chicago Mercantile Exchange Inc. (``CME'' or 
``Exchange'') 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 proposed rule change pursuant to Section 19(b)(3)(A)(ii) \3\ 
of the Act and Rule 19b-4(f)(2) \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.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ 15 U.S.C. 78s(b)(3)(A)(ii).
    \4\ 17 CFR 240.19b-4(f)(2).
---------------------------------------------------------------------------

I. Clearing Agency's Statement of the Terms of Substance of the 
Proposed Rule Change

    CME is proposing to amend the fee schedule that currently applies 
to its OTC Credit Default Swap clearing offering. The text of the 
proposed rule change is available at the Exchange's Web site at https://www.cmegroup.com, at the principal office of the Exchange, and at the 
Commission's Public Reference Room.

II. Clearing Agency's Statement of the Purpose of, and Statutory Basis 
for, the Proposed Rule Change

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

(A) Clearing Agency's Statement of the Purpose of, and Statutory Basis 
for, the Proposed Rule Change

    This filing proposes to make minor amendments to the current fee 
schedule that applies to CDX North American Index Credit Default Swaps 
cleared at CME. The only modification that is proposed is to extend the 
current twenty five percent (25%) discount of base clearing fees for 
all market participants that clear OTC North American Index CDS 
products at CME for another year. This discount was scheduled to expire 
as of December 31, 2012.
    The proposed changes are related to fees and therefore will become 
effective immediately. However, the proposed fee changes will become 
operative as of January 2, 2013. CME has also certified the proposed 
rule changes that are the subject of this filing to the Commodity 
Futures Trading Commission (``CFTC''), in CFTC Submission 12-464.
    The proposed CME rule amendments establish or change a member due, 
fee, or other charge imposed by CME under Section 19(b)(3)(A)(ii) of 
the Securities Exchange Act of 1934 and Rule 19b-4(f)(2) thereunder. 
CME believes that the proposed rule change is consistent with the 
requirements of the Securities Exchange Act of 1934 and the rules and 
regulations thereunder and, in particular, to 17A(b)(3)(D), in that it 
provides for the equitable allocation of reasonable dues, fees, and 
other charges among participants. The proposed changes apply to all 
market participants clearing trades at CME. CME believes the 
modifications should encourage firms to submit additional volume into 
the system which should help ensure readiness and also help build open 
interest ahead of a regulatory mandate. CME notes that it operates in a 
highly competitive market in which market participants can readily 
direct business to competing venues.

[[Page 76315]]

(B) Clearing Agency's Statement on Burden on Competition

    The proposed rule change does not impose any burden on competition.

(C) Clearing Agency'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 rule 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 rule change has been filed pursuant to Section 
19(b)(3)(A)(ii) \5\ of the Act and paragraph (f)(2) of Rule 19b-4 \6\ 
thereunder and became effective on filing. 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.
---------------------------------------------------------------------------

    \5\ 15 U.S.C. 78s(b)(3)(A)(ii).
    \6\ 17 CFR 240.19b-4(f)(2).
---------------------------------------------------------------------------

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 (https://www.sec.gov/rules/sro.shtml) or
     Send an email to rule-comments@sec.gov. Please include 
File Number SR-CME-2012-46 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-2012-46. 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 (https://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 will also be available 
for inspection and copying at the principal office of CME and on CME's 
Web site (https://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-2012-46 
and should be submitted on or before January 17, 2013.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\7\
---------------------------------------------------------------------------

    \7\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2012-31122 Filed 12-26-12; 8:45 am]
BILLING CODE 8011-01-P

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