18288 Federal Register / Vol. 77, No. 59 / Tuesday, March 27, 2012 / Notices 

7 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

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: 

Electronic Comments 

• Use the Commission’s Internet 

comment form (http://www.sec.gov/ 

rules/sro.shtml); or 

• Send an email to rulecomments@sec.gov. Please include File 

Number SR–C2–2012–009 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–C2–2012–009. 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 a.m. and 3 p.m. Copies of such filing 

will also be available for inspection and 

copying at the principal office of the 

Exchange. 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 No. SR–C2–2012– 

009 and should be submitted on or 

before April 17, 2012. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.7

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2012–7281 Filed 3–26–12; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–66641; File No. SR–CME– 

2012–05] 

Self-Regulatory Organizations; 

Chicago Mercantile Exchange Inc.; 

Notice of Filing and Order Granting 

Accelerated Approval of Proposed 

Rule Change To Amend Its Rules 

Relating to Interest Rate Swaps 

Clearing 

March 21, 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 March 8, 

2012, the Chicago Mercantile Exchange 

Inc. (‘‘CME’’) filed with the Securities 

and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change described in Items I and II 

below, which items have been prepared 

primarily by CME. The Commission is 

publishing this Notice and Order to 

solicit comments on the proposed rule 

change from interested persons and to 

approve the proposed rule change on an 

accelerated basis. 

I. Self-Regulatory Organization’s 

Statement of Terms of Substance of the 

Proposed Rule Change 

CME proposes to amend rules related 

to its interest rate swaps and interest 

rate futures currency businesses by 

establishing a portfolio margining 

program for proprietary portfolios 

containing interest rate swaps and 

futures positions. The text of the 

proposed rule change is available at 

CME’s Web site at http:// 

www.cmegroup.com/market-regulation/ 

rule-filings.html. 

II. Self-Regulatory Organization’s 

Statement of Purpose of, and Statutory 

Basis for, the Proposed Rule Change 

In its filing with the Commission, 

CME included statements concerning 

the purpose 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 III below. CME has prepared 

summaries, set forth in sections A, B, 

and C below, of the most significant 

aspects of such statements. 

A. Self-Regulatory Organization’s 

Statement of Purpose of, and Statutory 

Basis for, the Proposed Rule Change 

CME is registered as a derivatives 

clearing organization (‘‘DCO’’) with the 

Commodity Futures Trading 

Commission (‘‘CFTC’’) and currently 

operates a substantial business clearing 

both interest rate swaps (‘‘IRS’’) and 

interest rate futures contracts. The 

changes that are the subject of this filing 

are proposed rules that would establish 

a portfolio margining program for 

proprietary portfolios containing IRS 

and interest rate futures positions. More 

specifically, the proposed changes 

include: new rules regarding portfolio 

margining; amendments to existing CME 

rules relating to its IRS Guaranty Fund 

Allocation rules; IRS Guaranty Fund 

Application rule amendments; and 

amendments to rules dealing with 

outsourcing to third parties. CME will 

also make corresponding changes to its 

Manual of Operations for CME Cleared 

Interest Rate Swaps. The specific rule 

amendments are discussed in more 

detail below. 

CME notes that it has also submitted 

the proposed changes that are the 

subject of this filing to its primary 

regulator, the CFTC. CME expects that 

the proposed changes will be effective 

with the CFTC as of March 14, 2012. As 

described more below, CME believes 

there is good cause for the Commission 

to grant approval for the proposed rule 

changes on an accelerated basis so that 

they become effective with the 

Commission as of March 30, 2012. 

1. Portfolio Margining Among Eligible 

Futures Products and IRS; Comingling 

of Related Positions 

The proposed CME rule amendments 

would establish a portfolio margining 

program (‘‘Program’’) for portfolios 

containing IRS and Interest Rate Futures 

positions in order for eligible clearing 

members to receive risk offsets across 

CME’s listed interest rate futures and 

cleared interest rate swap product suite. 

These amendments will appear in CME 

Rule 8G831 and certain related changes 

to existing CME Rule 802. 

To participate in the Program a 

Clearing Member must under the 

proposed rules be both an IRS Clearing 

Member and a CME Clearing Member. 

The listed interest rate products that 

will be eligible for this program will be 

those with price risks that are 

mstockstill on DSK4VPTVN1PROD with NOTICES

Federal Register / Vol. 77, No. 59 / Tuesday, March 27, 2012 / Notices 18289 

significantly and reliably correlated and 

initially will be Eurodollar and Treasury 

futures. Additionally, under the 

proposed rules, the CME Clearing House 

has the right to ask a participant to 

move futures positions in eligible 

products back to the participant’s 

futures account if it is not risk reducing. 

The 99% 5-day Historical VaR margin 

model with EWMA weighting that is 

currently used for IRS products will be 

extended to include the same level of 

coverage for commingled portfolios, and 

the existing default management process 

for interest rate swaps will be extended 

to portfolios which have commingled 

positions. Any losses for commingled 

portfolios exceeding the margin on hand 

of a defaulted member will be backed by 

CME’s financial safeguards package for 

Interest Rate Swaps. 

2. CME Rule 8G07.1—Changes to IRS 

Guaranty Fund Allocation 

CME is also proposing to implement 

certain amendments to CME Rule 

8G07.1 that would include changes to 

the allocation of the IRS Guaranty Fund 

among IRS Clearing Members. Currently 

the IRS Guaranty Fund is calculated 

monthly and is proportionally allocated 

to each IRS Clearing Member on the 

basis of its 90-day trailing average of its 

potential residual loss and 90-day 

trailing average of its gross notional 

open interest outstanding at the Clearing 

House. CME Clearing is proposing to 

change the measurement period from 90 

days to 30 days in order for the IRS 

Guaranty Fund to more quickly react to 

an IRS Clearing Member’s current 

activity and to align the measurement 

period with the frequency of Guaranty 

Fund calculations. 

Additionally, each IRS Clearing 

Member’s contribution to the IRS 

Guaranty Fund is currently the greater 

of its proportional share of the IRS 

Guaranty Fund as described above or a 

$50 million minimum contribution. The 

minimum was established to ensure that 

each IRS Clearing Member has an 

appropriate stake in proper default 

management regardless of the firm’s 

position and incentivize a better default 

auction process. The result of the 

minimum requirement is that the IRS 

Guaranty fund is over-collateralized 

above the conservative estimates of our 

IRS Guaranty Fund methodology. The 

proposed amendments would size the 

IRS Guaranty Fund to the shortfall 

brought by the two largest net debtors 

and adjust each firm’s contribution on 

that basis. 

3. Rule 8G802.B—Seniorization and 

Subordination of IRS Guaranty Fund 

In order to provide appropriate 

incentive for IRS Clearing Members to 

submit aggressive bids during an 

auction for a defaulted IRS Clearing 

Member’s portfolio, CME is proposing to 

make amendments to Rule 8G802.B to 

modify the application of the IRS 

Guaranty Fund on the basis of each IRS 

Clearing Member’s bidding during the 

auction process. Where a defaulted IRS 

Clearing Member has a portfolio of IRS 

denominated in multiple currencies, 

CME will split such portfolio by 

currency and separately hedge and 

auction the resulting split portfolios. 

IRS Clearing Members with open 

interest in a currency being auctioned 

are required to provide a bid for the 

auctioned portfolio. Each bid will be 

assessed for quality within the 

respective auction and a portion (or all) 

of such IRS Clearing Member’s deposit 

to the IRS Guaranty Fund will be subject 

to seniorization (if such IRS Clearing 

Member provides the winning bid) and 

subordination (if such IRS Clearing 

Member provided an off market price). 

The amount subject to such 

seniorization/subordination for an 

auction will be based on a percentage 

determined for such IRS Clearing 

Member at the time of the related 

auction in accordance with our IRS 

default management procedures. Any 

IRS Guaranty Fund deposits that are 

subordinated will be allocated pro rata 

to IRS Losses after the CME corporate 

contribution and prior to any nonsubordinated/seniorized deposits. Any 

contributions that are not seniorized or 

subordinated in accordance with above 

formula will be allocated pro rata to IRS 

losses after all subordinated amounts 

and prior to any seniorized amounts. 

4. New Rule 8G04.3—Outsourcing to 

Third Parties 

In connection with the CFTC’s final 

rules for Derivatives Clearing 

Organization General Provisions and 

Core Principles relating to Core 

Principle G (Default Rules and 

Procedures) the CFTC implemented 

CFTC Regulation 39.16 which includes 

a requirement that DCOs permit clearing 

members to outsource certain 

obligations to qualified third parties. To 

codify CME’s practice of permitting 

eligible arrangements for IRS, CME is 

adopting new CME Rule 8G04.3. 

CME believes the proposed rule 

change is consistent with the 

requirements of the Act and particularly 

with Section 17A of the Act because it 

involves clearing of swaps and futures 

contracts and thus relate solely to CME’s 

swaps and futures clearing activities 

pursuant to its registration as a 

derivatives clearing organization under 

the Commodity Exchange Act (‘‘CEA’’) 

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. CME further 

notes that the policies of the CEA with 

respect to clearing are comparable to a 

number of the policies underlying the 

Exchange Act, such as promoting 

market transparency for over-thecounter derivatives and futures markets, 

promoting the prompt and accurate 

clearance of transactions, and protecting 

investors and the public interest. The 

proposed rule changes accomplish those 

objectives by facilitating portfolio 

margining of interest rate swaps and 

interest rate futures at CME. 

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 rule change. CME has not 

received any unsolicited written 

comments from interested parties. 

III. 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 may be 

submitted by using the Commission’s 

Internet comment form (http:// 

www.sec.gov/rules/sro.shtml ), or send 

an email to rule-comments@sec.gov. 

Please include File No. SR–CME–2012– 

05 on the subject line. 

• Paper comments should be sent 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–2012–05. 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/ 

mstockstill on DSK4VPTVN1PROD with NOTICES

18290 Federal Register / Vol. 77, No. 59 / Tuesday, March 27, 2012 / Notices 

3 15 U.S.C. 78s(b). 

4 15 U.S.C. 78q–1. In approving this proposed 

rule change, the Commission has considered the 

proposed rule’s impact on efficiency, competition, 

and capital formation. 15 U.S.C. 78c(f). 

5 15 U.S.C. 78q–1(b)(3)(F). 

6 17 CFR 200.30–3(a)(12). 

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 

a.m. and 3 p.m. Copies of such filing 

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/market-regulation/ 

rule-filings.html. 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– 

2012–05 and should be submitted on or 

before April 17, 2012. 

IV. Commission’s Findings and Order 

Granting Accelerated Approval of 

Proposed Rule Change 

Section 19(b) of the Act 3 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. The Commission 

finds that the proposed rule change is 

consistent with the requirements of the 

Act, in particular with the requirements 

of Section 17A of the Act,4 and the rules 

and regulations thereunder applicable to 

CME. Specifically, the Commission 

finds that the proposed rule change is 

consistent with Section 17A(b)(3)(F) of 

the Act which requires, among other 

things, that the rules of a clearing 

agency be designed to promote the 

prompt and accurate clearance and 

settlement of derivative agreements, 

contracts, and transactions because it 

should allow CME to enhance its 

services in clearing IRS and Interest 

Rate Futures products, thereby 

promoting the prompt and accurate 

clearance and settlement of derivative 

agreements, contracts, and 

transactions.5

In its filing, CME requested that the 

Commission approve this proposed rule 

change on an accelerated basis. CME has 

articulated three reasons for granting 

approval on an accelerated basis. One, 

the products covered by this filing and 

CME’s operations as a derivatives 

clearing organization for such products, 

are regulated by the CFTC under the 

CEA. Two, the proposed rule change 

relates solely to IRS and Interest Rate 

Futures products and therefore relate 

solely to CME’s swaps clearing activities 

and do not significantly relate to CME’s 

functions as a clearing agency for 

security-based swaps. Three, not 

approving this request on an accelerated 

basis will have a significant impact on 

the swap clearing business of CME as a 

designated clearing organization. 

The Commission finds good cause for 

granting approval of the proposed rule 

change before the thirtieth day after 

publication of the notice of its filing 

because: (i) The proposed rule change 

does not significantly affect any 

securities clearing operations of the 

clearing agency (whether in existence or 

contemplated by its rules) or any related 

rights or obligations of the clearing 

agency or persons using such service; 

(ii) the clearing agency has indicated 

that not providing accelerated approval 

would have a significant impact on its 

IRS clearing business as a designated 

clearing organization; and (iii) the 

activity relating to the non-security 

clearing operations of the clearing 

agency for which the clearing agency is 

seeking approval is subject to regulation 

by another federal regulator. 

V. Conclusion 

It is therefore ordered, pursuant to 

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

proposed rule change (SR–CME–2012– 

05) is approved on an accelerated basis. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.6

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2012–7279 Filed 3–26–12; 8:45 am] 

BILLING CODE 8011–01–P 

SOCIAL SECURITY ADMINISTRATION 

[Docket No. SSA–2012–0018] 

Reinstate Index to Chapter III in 20 CFR 

AGENCY: Social Security Administration. 

ACTION: Notice. 

SUMMARY: At the request of the Office of 

the Federal Register, we are reinstating 

the finding aid ‘‘Index to Chapter III’’ in 

Title 20 of the Code of Federal 

Regulations (CFR). The finding aid 

contains a list of all Acquiescence 

Rulings published in the Federal 

Register from January 11, 1990 through 

April 1, 2012. 

DATES: The notice is effective March 27, 

2012. The Office of the Federal Register 

will include the Index in the April 2012 

edition of Title 20, chapter III of the 

CFR. 

FOR FURTHER INFORMATION CONTACT: 

Martin Sussman, Social Security 

Administration, Office of Regulations, 

6401 Security Boulevard, Baltimore, MD 

21235–6401, (410) 965–1767. For 

information on eligibility or filing for 

benefits, call our national toll-free 

number, 1–800–772–1213 or TTY 1– 

800–325–0778, or visit our Internet site, 

Social Security Online, at http:// 

www.socialsecurity.gov. 

SUPPLEMENTARY INFORMATION: 

We are reinstating the ‘‘Index to 

Chapter III’’ as a finding aid in our 

chapter of Title 20 of the CFR. The 

Index lists the Acquiescence Rulings we 

published in the Federal Register from 

January 11, 1990, through April 1, 2012. 

The Index last appeared as a finding aid 

in the April 1, 2008 edition of our 

chapter of the CFR. 

You may also find a listing of 

Acquiescence Rulings on our Web site 

at http://mwww.socialsecurity.gov/ 

OP_Home/rulings/rulfind1.html. 

The Office of the Federal Register 

requested that we publish this notice, 

including the text of the Index, which 

follows. The Office of the Federal 

Register will include the Index in the 

April 2012 edition of Title 20, chapter 

III of the CFR. 

Index to Chapter III 

INDEX TO CHAPTER III—SOCIAL 

SECURITY ACQUIESCENCE RULINGS 

EDITORIAL NOTE: This listing is 

provided for information purposes only. 

It is compiled and kept up-to-date by 

the Social Security Administration. 

This listing contains all Acquiescence 

Rulings (ARs) published in the Federal 

Register under the requirements of 20 

CFR 402.35(b)(2) during the period from 

January 11, 1990, through April 1, 2012. 

The listing includes the AR number, 

title, publication date and the Federal 

Register reference number. (The 

parenthetical number that follows each 

AR number refers to the United States 

judicial circuit involved.) This notice 

also lists ARs that were rescinded 

during this period. In addition, SSA has 

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