Federal Register / Vol. 77, No. 61 / Thursday, March 29, 2012 / Notices 19045 

3 15 U.S.C. 78f. 

4 15 U.S.C. 78f(b)(5). 

5 15 U.S.C. 78s(b)(3)(A). 

6 17 CFR 240.19b–4(f)(6). 

7 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(2). 

2 17 CFR 240.19b–4. 

back to the entering participant unless 

they are designated for holding. 

2. Statutory Basis 

NASDAQ believes that the proposed 

rule change is consistent with the 

provisions of Section 6 of the Act,3 in 

general, and with Section 6(b)(5) of the 

Act,4 in particular, in that the proposal 

is designed to prevent fraudulent and 

manipulative acts and practices, to 

promote just and equitable principles of 

trade, to foster cooperation and 

coordination with persons engaged in 

regulating, clearing, settling, processing 

information with respect to, and 

facilitating transactions in securities, to 

remove impediments to and perfect the 

mechanism of a free and open market 

and a national market system, and, in 

general, to protect investors and the 

public interest. Specifically, NASDAQ 

believes that the proposed rule change 

will result in a greater number of orders 

being entered prior to commencement of 

trading of IPO securities, resulting in a 

higher level of order interaction at the 

open. Thus, NASDAQ believes that the 

change will remove impediments to and 

perfect the mechanism of a free and 

open market. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

NASDAQ does not believe that the 

proposed rule change will result in any 

burden on competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act, as amended. 

NASDAQ believes that the proposed 

rule change will result in a greater 

number of orders being entered prior to 

commencement of trading of IPO 

securities, resulting in a higher level of 

order interaction at the open. NASDAQ 

believes that this change will enhance 

competition by increasing its 

attractiveness as a venue for trading IPO 

securities. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

Written comments were neither 

solicited nor received. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The proposed rule change is effective 

upon filing pursuant to Section 

19(b)(3)(A) of the Act 5 and paragraph 

(f)(6) of Rule 19b–4 thereunder,6 in that 

the proposed rule change: (i) Does not 

significantly affect the protection of 

investors or the public interest; (ii) does 

not impose any significant burden on 

competition; and (iii) does not become 

operative for 30 days after the date of 

the filing, or such shorter time as the 

Commission may designate if consistent 

with the protection of investors and the 

public interest; provided the selfregulatory organization has given the 

Commission written notice of its intent 

to file the proposed rule change, along 

with a brief description and text of the 

proposed rule change, at least five 

business days prior to the date of filing 

of the proposed rule change, or such 

shorter time as designated by the 

Commission. 

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. If the 

Commission takes such action, the 

Commission shall institute proceedings 

to determine whether the proposed rule 

should be approved or disapproved. 

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 rule-comments@

sec.gov. Please include File No. SR– 

NASDAQ–2012–038 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 No. 

SR–NASDAQ–2012–038. 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 

also will 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–NASDAQ– 

2012–038 and should be submitted on 

or before April 19, 2012. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.7

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2012–7526 Filed 3–28–12; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–66646; File No. SR–CME– 

2012–06] 

Self-Regulatory Organizations; 

Chicago Mercantile Exchange Inc.; 

Notice of Filing of Proposed Rule 

Change To Amend Certain Credit 

Default Swap Clearing Rules 

Regarding Guaranty Fund Allocations, 

Amendments to Daily Submission 

Deadline, Holiday Accrual Processing 

and PAI Payment Timeline 

March 22, 2012. 

Pursuant to Section 19(b)(2) of the 

Securities Exchange Act of 1934 

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

notice is hereby given that on March 9, 

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 primarily by CME. 

The Commission is publishing this 

notice to solicit comments on the 

proposed rule change from interested 

persons. 

mstockstill on DSK4VPTVN1PROD with NOTICES

19046 Federal Register / Vol. 77, No. 61 / Thursday, March 29, 2012 / Notices 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

CME proposes to amend rules related 

to its Credit Default Swap clearing rules 

regarding guaranty fund allocations, 

daily submission deadlines, and holiday 

accrual processing and PAI payment 

timeline. The text of the proposed rule 

change is available at CME’s Web site at 

http://www.cmegroup.com/marketregulation/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, the 

self-regulatory organization 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 IV below. 

The self-regulatory organization 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 currently offers clearing services 

for certain credit default swap (‘‘CDS’’) 

index products. CME proposes to amend 

certain rules in its rulebook that would 

generally affect its CDS clearing offering 

and also make corresponding 

amendments to certain sections of its 

Manual of Operations for CME Cleared 

Credit Default Swaps (‘‘CDS Manual’’). 

The proposed changes to text in the 

CME rulebook would amend current 

requirements found in CME Rule 

8H07.1 applying to the allocation of the 

CDS guaranty fund among CDS clearing 

members. Currently the CDS Guaranty 

Fund is calculated monthly and is 

proportionally allocated to each CDS 

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 CME. CME is proposing 

to change the measurement period from 

90 days to 30 days in order for the CDS 

Guaranty Fund to more quickly react to 

a CDS Clearing Member’s current 

activity and to align the measurement 

period with the frequency of CDS 

Guaranty Fund calculations. 

The proposed changes also include a 

number of purely operational changes 

that would be reflected in the CDS 

Manual (and would not be reflected in 

CME’s rulebook). The proposed 

operational amendments to the CDS 

Manual include: Changes to CME’s daily 

submission deadlines for CDS; 

amendments to current CDS holiday 

accrual processing; adoption of changes 

to relating to price alignment interest 

(‘‘PAI’’) payments; and changes that 

relate to end of day valuation issues. 

These proposed changes are 

summarized below: 

1. Operations Timeline and Reports. 

CME would move up the trade 

submission deadline for current day 

trades from 7:59 p.m. ET to 6:59 p.m. 

ET. 

2. Position Management, Money 

Calculations, and Collateral. No accrual 

processing would occur on bank 

holidays in the country in which the 

swap is denominated (Independence 

Day for U.S. Dollar denominated CDS 

contracts) and would be included in the 

processing for the next business day. 

CME would calculate and pay price 

alignment interest for CDS contracts on 

a daily basis as opposed to monthly. 

3. End of Day Valuations. The price 

quality auction used to arrive at the 

settlement price for CDS contracts 

would be amended to require bid prices 

for contracts only where the CDS 

Clearing Member maintains open 

interest and to limit the price quality 

cross mechanism to contracts where the 

CDS Clearing Member has open interest. 

CME notes that it has also submitted 

the proposed rule changes that are the 

subject of this filing to its primary 

regulator, the Commodity Futures 

Trading Commission (‘‘CFTC’’). 

CME believes the proposed rule 

changes are consistent with the 

requirements of the Act, particularly 

Section 17A of the Act. Currently, the 

only swaps CME clears are CFTCregulated swaps and therefore the 

proposed rule changes will only directly 

affect CME’s swaps clearing activities 

pursuant to its registration as a 

derivatives clearing organization under 

the Commodity Exchange Act (‘‘CEA’’) 

at this point in time. CME notes that the 

policies of the CEA with respect to 

clearing are comparable to a number of 

the policies underlying the Act, such as 

promoting market transparency for overthe-counter derivatives markets, 

promoting the prompt and accurate 

clearance of transactions, and protecting 

investors and the public interest. CME 

believes the proposed rule changes 

accomplish these objectives by more 

accurately aligning the allocation of its 

CDS Guaranty Fund to each CDS 

Clearing Member’s current activity. 

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. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Within 45 days of the date of 

publication of this notice in the Federal 

Register or within such longer period 

up to 90 days (i) as the Commission may 

designate if it finds such longer period 

to be appropriate and publishes its 

reasons for so finding or (ii) as to which 

the self- regulatory organization 

consents, the Commission will: 

(A) By order approve or disapprove 

the proposed rule change or 

(B) Institute proceedings to determine 

whether the proposed rule change 

should be disapproved. 

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 may be 

submitted by using the Commission’s 

Internet comment form (http:// 

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

an email to rule-comment@sec.gov. 

Please include File No. SR–CME–2012– 

06 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–2012–06. 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 

mstockstill on DSK4VPTVN1PROD with NOTICES

Federal Register / Vol. 77, No. 61 / Thursday, March 29, 2012 / Notices 19047 

3 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3 17 CFR 240.19b–4(f)(6). 

4See Securities Exchange Act Release No. 64107 

(March 22, 2011), 76 FR 17178 (March 28, 2011) 

(SR–NYSEAmex–2011–15). 

5 Id. 

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/rulefilings.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–2012–06 and should 

be submitted on or before April 19, 

2012. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.3

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2012–7515 Filed 3–28–12; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–66649; File No. SR– 

NYSEAMEX–2012–18] 

Self-Regulatory Organizations; NYSE 

Amex LLC; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change Amending Its Option 

Trading Rules To Extend the Operation 

of Its Pilot Program Regarding 

Minimum Value Sizes for Flexible 

Exchange Options Until March 29, 2013 

March 23, 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 12, 

2012, NYSE Amex LLC (the ‘‘Exchange’’ 

or ‘‘NYSE Amex’’) filed with the 

Securities and Exchange Commission 

(the ‘‘Commission’’) the proposed rule 

change as described in Items I and II 

below, which Items have been prepared 

by the Exchange. The Exchange has 

designated the proposed rule change as 

constituting a rule change under Rule 

19b–4(f)(6) under the Act,3 which 

renders the proposal effective upon 

filing with the Commission. The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

change from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to amend its 

option trading rules to extend the 

operation of its pilot program (‘‘Pilot 

Program’’) regarding minimum value 

sizes for flexible exchange options 

(‘‘FLEX Options’’), currently scheduled 

to expire on March 30, 2012, until 

March 29, 2013. The text of the 

proposed rule change is available at the 

Exchange, the Commission’s Public 

Reference Room, and www.nyse.com. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

self-regulatory organization 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 those statements may be examined at 

the places specified in Item IV below. 

The Exchange has prepared summaries, 

set forth in sections A, B, and C below, 

of the most significant parts of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange hereby proposes to 

amend its option trading rules to extend 

the operation of its Pilot Program 

regarding minimum value sizes for 

FLEX Options, currently scheduled to 

expire on March 30, 2012,4 until March 

29, 2013. This filing does not propose 

any substantive changes to the Pilot 

Program and contemplates that all other 

terms of FLEX Options will remain the 

same. The Exchange believes that 

extending the Pilot Program will benefit 

public customers and other market 

participants who will be able to use 

FLEX Options to manage risk for smaller 

portfolios. 

In support of the proposed extension 

of the Pilot Program, and as required by 

the terms of the Pilot Program’s 

implementation,5 the Exchange has 

submitted to the Securities and 

Exchange Commission (‘‘SEC’’ or 

‘‘Commission’’) a Pilot Program Report 

that provides an analysis of the Pilot 

Program covering the period during 

which the Pilot Program has been in 

effect. This Pilot Program Report 

includes (i) data and analysis on the 

open interest and trading volume in (a) 

FLEX Equity Options that have opening 

transactions with a minimum size of 0 

to 249 contracts and less than $1 million 

in underlying value; (b) FLEX Index 

Options that have opening transactions 

with a minimum opening size of less 

than $10 million in underlying 

equivalent value; and (ii) analysis on the 

types of investors that initiated opening 

FLEX Equity and Index Options 

transactions (i.e., institutional, high net 

worth, or retail). The report has been 

submitted to the Commission on a 

confidential basis. 

The Exchange believes that there is 

sufficient investor interest and demand 

in the Pilot Program to warrant 

extension for an additional year. The 

Exchange believes that the Pilot 

Program has provided investors with 

additional means of managing their risk 

exposures and carrying out their 

investment objectives. The Exchange 

has not experienced any adverse market 

effects with respect to the Pilot Program. 

If, in the future, the Exchange 

proposes an additional extension of the 

Pilot Program, or should the Exchange 

propose to make the Pilot Program 

permanent, the Exchange will submit, 

along with any filing proposing such 

amendments to the Pilot Program, an 

additional Pilot Program Report 

covering the period during which the 

Pilot Program was in effect and 

including the details referenced above, 

along with the nominal dollar value of 

the underlying security of each trade. 

The Pilot Program Report would be 

submitted to the Commission at least 

two months prior to the expiration date 

of the Pilot Program and would be 

provided on a confidential basis. 

The Exchange notes that any positions 

established under this Pilot Program 

would not be impacted by the 

expiration of the Pilot Program. For 

example, a 10-contract FLEX Equity 

Option opening position that overlies 

less than $1 million in the underlying 

security and expires in January 2015 

could be established during the Pilot 

Program. If the Pilot Program were not 

extended, the position would continue 

to exist and any further trading in the 

series would be subject to the minimum 

value size requirements for continued 

trading in that series. 

2. Statutory Basis 

The proposed rule change is 

consistent with Section 6(b) of the 

Securities Exchange Act of 1934 (the 

mstockstill on DSK4VPTVN1PROD with NOTICES