13668 Federal Register / Vol. 77, No. 45 / Wednesday, March 7, 2012 / Notices 

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

2 17 CFR 240.19b–4. 

3Securities Exchange Act Release No. 34–66250 

(January 26, 2012), 77 FR 5070 (February 1, 2012). 

In its filing with the Commission, CME included 

statements concerning the purpose of and basis for 

the proposed rule change. The text of these 

statements is incorporated into the discussion of the 

proposed rule change in Section II below. 

4 15 U.S.C. 78s(b)(2)(B). 

5 15 U.S.C. 78q–1(b)(3)(F). 

6 15 U.S.C. 78s(b)(2). 

7 In approving the proposed rule change, the 

Commission considered the proposal’s impact on 

efficiency, competition and capital formation. 15 

U.S.C. 78c(f). 

8 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

BILLING CODE 8011–01–C 

[FR Doc. 2012–5453 Filed 3–6–12; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–66506; File No. SR–CME– 

2012–01] 

Self-Regulatory Organizations; 

Chicago Mercantile Exchange, Inc.; 

Order Approving Proposed Rule 

Change To Amend Rules Relating to 

Credit Default Swap Guaranty Fund 

March 2, 2012 

I. Introduction 

On January 23, 2012, Chicago 

Mercantile Exchange Inc. (‘‘CME’’) filed 

with the Securities and Exchange 

Commission (‘‘Commission’’) the 

proposed rule change SR–CME–2012–01 

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

Securities Exchange Act of 1934 

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

The proposed rule change was 

published for comment in the Federal 

Register on February 1, 2012.3 The 

Commission received no comment 

letters regarding the proposal. For the 

reasons discussed below, the 

Commission is granting approval of the 

proposed rule change. 

II. Description 

The rule change would replace CME’s 

‘‘aggregate performance bond 

requirement’’ standard, which 

determines how CME calculates each 

CDS Clearing Member’s allocation to the 

CDS Guaranty Fund, with a new 

standard that CME believes better 

allocates tail risk. Currently CME rules 

provide that each CDS Clearing 

Member’s allocation to the CDS 

Guaranty Fund will be the greater of (i) 

$50,000,000 and (ii) its proportionate 

share of the 90-day trailing average of its 

aggregate performance bond 

requirements and average gross notional 

open interest outstanding at the Clearing 

House. The proposal would change the 

CDS Guaranty Fund so that the 

allocation will be made on the basis of 

each CDS Clearing Member’s potential 

residual loss (‘‘PRL’’). PRL is a stress 

test of the tail risk CDS Clearing 

Member portfolios bring to the market. 

CME is also proposing to make 

conforming changes to its CDS Manual 

of Operations. 

III. Discussion 

Section 19(b)(2)(B) of the Act directs 

the Commission to approve a proposed 

rule change of a self-regulatory 

organization if it finds that such 

proposed rule change is consistent with 

the requirements of the Act and the 

rules and regulations thereunder 

applicable to such organization.4 In 

particular, Section 17A(b)(3)(F) 5 of the 

Act requires, among other things, that 

the rules of a clearing agency be 

designed to assure the safeguarding of 

securities and funds which are in the 

custody or control of the clearing agency 

or for which it is responsible. 

The proposed rule change would 

allow CME to change the method used 

for calculating individual CDS Clearing 

Member contributions to the CDS 

Guaranty Fund and is designed to more 

accurately align the allocation of its CDS 

Guaranty Fund requirement to CDS 

Clearing Members based on the risk 

presented by each such member. Thus, 

the proposed rule change to change 

CME’s CDS Guaranty Fund allocation is 

consistent with the requirement in 

Section 17A(b)(3)(F) that CME safeguard 

the securities and funds which are in 

the custody or control of CME or for 

which it is responsible. 

IV. Conclusion 

On the basis of the foregoing, the 

Commission finds that the proposal is 

consistent with the requirements of the 

Act and in particular with the 

requirements of Section 17A of the Act 

and the rules and regulations 

thereunder. 

It Is Therefore Ordered, pursuant to 

Section 19(b)(2) 6 of the Act, that the 

proposed rule change (File No. SR– 

CME–2012–01) be, and hereby is, 

approved.7

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.8

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2012–5513 Filed 3–6–12; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–66497; File No. SR–Phlx– 

2012–23] 

Self-Regulatory Organizations; 

NASDAQ OMX PHLX LLC; Notice of 

Filing of Proposed Rule Change To 

Amend Registration and Qualification 

Requirements 

March 1, 2012. 

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

Securities Exchange Act of 1934 

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

notice is hereby given that on February 

16, 2012, NASDAQ OMX PHLX LLC 

(‘‘Phlx’’ or ‘‘Exchange’’) filed with the 

Securities and Exchange Commission 

(‘‘SEC’’ or ‘‘Commission’’) the proposed 

rule change as described in Items I, II, 

and III below, which Items have been 

prepared by the Exchange. The 


srobinson on DSK4SPTVN1PROD with NOTICESEN07MR12.020</GPH>