73124 Federal Register / Vol. 79, No. 236 / Tuesday, December 9, 2014 / Notices 

11 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3 15 U.S.C. 78q–1(b)(3)(A). 

4 17 CFR 240.19b–4(f)(4)(ii). 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.11

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2014–28770 Filed 12–8–14; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–73727; File No. SR–CME– 

2014–15] 

Self-Regulatory Organizations; 

Chicago Mercantile Exchange Inc.; 

Notice of Filing and Immediate 

Effectiveness of Proposed Rule 

Change Aligning Performance Bond 

and Guaranty Fund Collateral 

Acceptance With CFTC Regulation 

39.33 Requirements 

December 3, 2014. 

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

Securities Exchange Act of 1934 

(‘‘Exchange Act’’ or ‘‘Act’’),1 and Rule 

19b–4 thereunder,2 notice is hereby 

given that on November 26, 2014, 

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. 

CME filed the proposal pursuant to 

Section 19(b)(3)(A) of the Act 3 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. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

CME is proposing to announce via 

advisory notice certain changes to its 

collateral acceptance practices. More 

specifically, CME is proposing to issue 

two advisories to clearing member firms 

announcing that it will narrow the range 

of acceptable collateral types for 

guaranty fund deposits to cash and U.S. 

Treasury Bills, Notes and Bonds with 

time to maturity of ten years or less. 

II. Self-Regulatory Organizations 

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 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 such statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

CME is registered as a derivatives 

clearing organization with the 

Commodity Futures Trading 

Commission (‘‘CFTC’’) and operates a 

substantial business clearing futures and 

swaps contracts subject to the 

jurisdiction of the CFTC. CME is 

proposing to announce via advisory 

notice certain changes to its collateral 

acceptance practices. More specifically, 

CME is narrowing the range of 

acceptable collateral types for guaranty 

fund deposits to cash and U.S. Treasury 

Bills, Notes and Bonds with time to 

maturity of ten years or less. The 

changes that are the subject of these 

filings are designed to better position 

the utilization of clearing members’ 

guaranty fund deposits as qualifying 

liquidity resources under CFTC 

Regulation 39.33. 

The removal of IEF2, U.S. Agencies, 

and U.S. Treasury STRIPs and securities 

with time to maturity exceeding ten 

years does not materially impact the 

nature or level of risks presented by 

CME as the post-haircut risk profile of 

guaranty fund collateral deposits will be 

unchanged. Further, the impact to CME 

and its clearing firms is minimal as 

fewer than 22% of guaranty fund assets 

currently on deposit will have to be 

substituted in order to conform to the 

amended eligibility criteria. 

CME is also re-categorizing its eligible 

performance bond collateral types so 

that the assets in each category meet the 

definition of qualifying liquidity 

resources under CFTC Regulation 39.33. 

Category 1 will consist only of assets 

that independently meet the criteria of 

qualifying liquidity resources. Category 

2 and Category 3 will consist of assets 

that are qualifying liquidity resources 

due to being supported by CME’s credit 

facility. Amended Category 2 and 

Category 3 limits are designed to ensure 

such assets remain covered by CME’s 

credit facility and thus continue to meet 

the definition of qualifying liquidity 

resources. The specifics are as follows: 

collateral accepted under the IEF2 

program will be moved from Category 1 

to Category 3 and will be qualifying 

liquidity resources backed by CME’s 

credit facility; letters of credit and 

collateral accepted under the IEF5 

program will be moved from Category 2 

to Category 1 since cash and committed 

lines of credit are qualifying liquidity 

resources without being supported by 

CME’s credit facility; TIPS will be 

moved from Category 3 to Category 2 

and STRIPs will be moved from 

Category 1 to Category 2 to align the 

assets and limits of Category 2 with the 

terms of CME’s credit facility; and the 

acceptance of stocks in Category 3 will 

be limited to $1 billion per clearing 

member in alignment with borrowing 

base limits in the CME credit facility. 

Additionally, CME is capping IEF2 

acceptance at $5 billion rather than a 

percentage cap in order to mitigate the 

impact of re-categorization on its 

clearing membership. The recategorization and limits do not 

materially impact the nature or level of 

risks presented by CME as the posthaircut risk profile of deposited 

performance bond collateral deposits 

will be unchanged and no performance 

bond currently on deposit would have 

to be substituted to align with limits 

upon the re-categorization. 

A summary of the changes described 

in the Advisory Notices is set forth 

below: 

GUARANTY FUND ACCEPTABLE COLLATERAL

Current New 

• Cash • Cash 

• U.S. Treasury Bills/Notes/Bonds/Strips • U.S. Treasury Bills/Notes/Bonds * 

• U.S. Agencies (capped at 50% of total) 


rljohnson on DSK3VPTVN1PROD with NOTICES
Federal Register / Vol. 79, No. 236 / Tuesday, December 9, 2014 / Notices 73125 

5 15 U.S.C. 78q–1. 6 15 U.S.C. 78q–1(b)(3)(F). 

GUARANTY FUND ACCEPTABLE COLLATERAL—Continued 

Current New 

• IEF2 (Money Market Mutual Funds) 

* Time to maturity not to exceed 10 years. 

PERFORMANCE BOND ACCEPTABLE COLLATERAL CATEGORIES AND LIMITS

Current 

Category 1 Category 2 * Category 3 ** 

Cash 

U.S. Treasuries 

IEF2 (Money Market Mutual Funds) 

U.S. Government Agencies 

Select MBS 

Letters of Credit 

IEF5 (Interest Bearing Cash) 

TIPS (capped at $1bn per firm) 

Gold (capped at $500mm per firm) 

Stocks 

IEF4 (corporate bonds) 

Foreign Sovereign Debt (capped at $1bn per 

firm) 

* Capped at 40% of core requirement per currency requirement per firm. 

** Capped at 40% of core requirement per currency requirement per firm or $5 billion per firm, the lesser of the two. 

New 

Category 1 Category 2 * Category 3 ** 

Category 2 & 3 Capped at $7bn Per Firm 

Cash 

U.S. Treasuries 

IEF5 (Interest Bearing Cash) 

Letters of Credit * 

U.S. Government Agencies 

Strips 

TIPS (capped at $1bn per firm) 

Select MBS 

IEF2 † (Money Market Mutual Funds) 

Gold (capped at $500mm per firm) 

Stocks (capped at $1bn per firm) 

IEF4 (corporate bonds) 

Foreign Sovereign Debt (capped at $1bn per 

firm) 

* Capped at 40% of core requirement per currency requirement per firm. 

* Capped at 40% of core requirement per currency requirement per firm. 

** Capped at 40% of core requirement per currency requirement per firm or $5 billion per firm, the lesser of the two. † Not included in the 40% requirement. 

Note: The changes described in this filing 

and above do not impact the current 

limitations on collateral acceptance that 

separately apply to CME’s swap clearing 

offering, namely, that letters of credit are not 

acceptable collateral for all swaps, stocks are 

not eligible collateral for either IRS or CDS, 

and corporate bonds are not eligible 

collateral for CDS. 

CME, a derivatives clearing 

organization, notes that it is 

implementing the proposed changes as 

part of an effort to discharge its 

regulatory obligations under the 

Commodity Exchange Act more 

effectively. CFTC Regulation 39.33(c)(1) 

requires a systemically important DCO 

(‘‘SIDCO’’) like CME to maintain eligible 

liquidity resources that, at a minimum, 

will enable it to meet its intraday, sameday and multiday obligations to perform 

settlements with a high degree of 

confidence under a wide range of stress 

scenarios, including a default by the 

clearing member creating the largest 

aggregate liquidity obligation in extreme 

but plausible market conditions. 

Further, CFTC Regulation 39.35 requires 

each SIDCO to adopt rules and 

procedures to address losses exceeding 

available financial resources. Finally, 

CFTC Regulation 39.13(g)(10) requires 

each derivatives clearing organization to 

limit the assets it accepts as initial 

margin to those that have minimal 

liquidity risk. 

CME believes the proposed rule 

change is also entirely consistent with 

the requirements of the Exchange Act 

and the rules and regulations 

thereunder, including Section 17A of 

the Exchange Act.5 Although the 

proposed changes to CME’s current 

performance bond categorization and 

limits may impact the makeup of the 

collateral used by a CME clearing 

member to meet its margin 

requirements, the changes will have no 

impact on the level of margin collected. 

The proposed changes actually would 

increase the qualifying liquidity 

resources available to CME in the event 

of a clearing member default. In 

addition, narrowing the scope of 

acceptable guaranty fund collateral, in 

conjunction with other CME rules, is 

designed to facilitate the ready 

availability of guaranty fund deposits to 

meet CME’s settlement obligations in 

the event of a clearing member default. 

The proposed changes to guaranty fund 

collateral eligibility, in conjunction with 

other CME rules, are also designed to 

address liquidity shortfall scenarios. 

CME believes all of these purposes are 

in accordance with the requirements of 

the Exchange Act and will strengthen 

CME’s existing default rules and 

procedures and will therefore promote 

the prompt and accurate clearance and 

settlement of securities transactions 

and, to the extent applicable, derivatives 

agreements, contracts, and transactions, 

to assure the safeguarding of securities 

and funds which are in the custody or 

control of CME or for which it is 

responsible, and, in general, to protect 

investors and the public interest in a 

way that is consistent with Section 

17A(b)(3)(F) of the Exchange Act.6

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. The proposed changes 

involve a narrowing of the range of 

acceptable collateral types for guaranty 


rljohnson on DSK3VPTVN1PROD with NOTICES
73126 Federal Register / Vol. 79, No. 236 / Tuesday, December 9, 2014 / Notices 

7 15 U.S.C. 78s(b)(3)(A). 

8 17 CFR 240.19b–4(f)(4)(ii). 

9See Securities Exchange Act Release No. 34– 

73615 (Nov. 17, 2014), 79 FR 69545 (Nov. 21, 2014) 

(SR–CME–2014–49). The only exception is with 

regards to Restructuring European Single Name 

CDS Contracts created following the occurrence of 

a Restructuring Credit Event in respect of an iTraxx 

Component Transaction. The clearing of 

Restructuring European Single Name CDS Contracts 

will be a necessary byproduct after such time that 

CME begins clearing iTraxx Europe index CDS. 10 15 U.S.C. 78s(b)(2)(B). 

11 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

fund deposits to cash and U.S. Treasury 

Bills, Notes and Bonds with time to 

maturity of ten years or less. These 

measures will strengthen CME’s existing 

default rules and procedures. 

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 

CME Inc. has filed the proposed rule 

change pursuant to Section 19(b)(3)(A) 7

of the Act and Rule 19b–4(f)(4)(ii) 8

thereunder. 

CME asserts that this proposal 

constitutes a change in an existing 

service of CME that (a) primarily affects 

the clearing operations of CME with 

respect to products that are not 

securities, including futures that are not 

security futures, and swaps that are not 

security-based swaps or mixed swaps, 

and forwards that are not security 

forwards; and (b) does not significantly 

affect any securities clearing operations 

of CME or any rights or obligations of 

CME with respect to securities clearing 

or persons using such securities-clearing 

service, which renders the proposed 

change effective upon filing. CME 

believes that the proposal does not 

significantly affect any securities 

clearing operations of CME because 

CME recently filed a proposed rule 

change that clarified that CME has 

decided not to clear security-based 

swaps, except in a very limited set of 

circumstances.9 The rule filing 

reflecting CME’s decision not to clear 

security-based swaps removed any 

ambiguity concerning CME’s ability or 

intent to perform the functions of a 

clearing agency with respect to securitybased swaps. Therefore, this proposal 

will have no effect on any securities 

clearing operations of CME. 

At any time within 60 days of the 

filing of the proposed 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 

under Section 19(b)(2)(B) 10 of the Act to 

determine whether the proposed rule 

change 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– 

CME–2014–15 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE., 

Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–CME–2014–15. 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 

filing also will be available for 

inspection and copying at the principal 

office of CME and of CME’s Web site at 

http://www.cmegroup.com/marketregulation/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–2014–15 and should 

be submitted on or before December 30, 

2014. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.11

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2014–28768 Filed 12–8–14; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–73731; File No. SR–ICEEU– 

2014–20] 

Self-Regulatory Organizations; ICE 

Clear Europe Limited; Notice of Filing 

of Proposed Rule Change Relating to 

CDS Pricing Policy 

December 3, 2014. 

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 November 

24, 2014, ICE Clear Europe Limited 

(‘‘ICE Clear Europe’’ or ‘‘Clearing 

House’’) 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. 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 principal purpose of the change 

is to revise ICE Clear Europe’s CDS Endof-Day Price Discovery Policy (the ‘‘CDS 

Pricing Policy’’) to incorporate 

enhancements to the price discovery 

process. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

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 


rljohnson on DSK3VPTVN1PROD with NOTICES