Document ID: SEC-2012-1035-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; Proposed Rule Changes: Chicago Mercantile Exchange, Inc.
Posted Date: 2012-07-02T04:00Z

[Federal Register Volume 77, Number 127 (Monday, July 2, 2012)]
[Notices]
[Pages 39287-39288]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2012-16090]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-67259; File No. SR-CME-2012-25]

Self-Regulatory Organizations; Chicago Mercantile Exchange, Inc.; 
Notice of Filing and Immediate Effectiveness of Proposed Rule Change To 
Adopt Changes That Would Affect Its Standard Portfolio Analysis of Risk 
Methodology for Certain Energy Futures Contracts

June 26, 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 June 14, 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. CME filed the proposed rule 
change pursuant to Section 19(b)(3)(A) \3\ of the Act and Rule 19b-
4(f)(4)(ii) \4\ thereunder, so that the proposed rule change was 
effective upon filing with the Commission. The Commission is publishing 
this notice to solicit comments on the proposed rule change from 
interested parties.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ 15 U.S.C. 78s(b)(3)(A).
    \4\ 17 CFR 240.19b-4(f)(4)(ii).
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I. Self-Regulatory Organization's Statement of Terms of Substance of 
the Proposed Rule Change

    CME proposes to adopt certain changes that would affect its 
Standard Portfolio Analysis of Risk (``SPAN'') methodology for certain 
energy futures contracts. The text of the proposed rule change is 
available at the 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 IV below. CME has prepared summaries, set forth in sections A, B, 
and C below, of the most significant aspects of such statements.\5\
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    \5\ The Commission has modified the text of the summaries 
prepared by CME.
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A. Self-Regulatory Organization's Statement of Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    CME proposes to adopt certain changes that would affect its SPAN 
methodology for certain energy futures contracts. The change would be 
to adopt the Modified Split Allocation feature of SPAN. The Modified 
Split Allocation feature calibrates the risk of portfolios, consisting 
of positions in highly similar and correlated futures and options, 
including instruments which themselves represent the offset or basis 
between two sets of products. The feature represents an incremental 
enhancement to the split allocation methodology already in use to allow 
for the ``splitting'' of certain futures contracts into their true 
underlying components to enable more accurate margining, while 
maintaining proper assessments of second order volatility risk.
    With the Modified Split Allocation feature, futures products, which 
are made up of components of other futures products will no longer have 
to be margined separately and managed with inter-commodity credit 
amounts allowing for more optimal spread offsets. The Modified Split 
Allocation will allow automatic, consistent and accurate portfolio 
margining of these types of futures contracts, beginning with the WTI 
Calendar Swap Futures (CS) and the Brent Calendar Swap Futures (CY).
    The text of a CME Clearing Advisory Notice constitutes CME's 
proposed change. CME also made a filing, CME Submission 12-189, with 
the CFTC with respect to the proposed changes. The changes were 
scheduled to become operational on June 25, 2012.
    The proposed CME changes are limited to CME's activities as a 
derivatives clearing organization clearing futures transactions. As 
such, CME believes the proposed CME changes do not significantly affect 
the security-based swap clearing operations of CME or any related 
rights or obligations of CME security-based swap clearing participants. 
CME believes the proposed change is therefore properly filed under 
Section 19(b)(3)(A) and Rule 19b-4(f)(4)(ii) thereunder because it 
effects a change in an existing service of a registered clearing agency 
that primarily affects the futures clearing operations of the clearing 
agency with respect to futures that are not security futures 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.

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

    The foregoing rule change was filed pursuant to Section 19(b)(3)(A) 
\6\ of the Act and Rule 19b-4(f)(4)(ii) \7\ thereunder and thus became 
effective upon filing because it effects a change in an existing 
service of a registered clearing agency that primarily affects the 
futures clearing operations of the clearing agency with respect to 
futures that are not security futures 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. At any time within sixty days of the filing of such 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.
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    \6\ 15 U.S.C. 78s(b)(3)(A).
    \7\ 17 CFR 240.19b-4(f)(4)(ii).
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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

[[Page 39288]]

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-2012-25 
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-2012-25. 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 CME. 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-2012-25 and 
should be submitted on or before July 23, 2012.
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    \8\ 17 CFR 200.30-3(a)(12).

    For the Commission by the Division of Trading and Markets, 
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pursuant to delegated authority.\8\

 Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2012-16090 Filed 6-29-12; 8:45 am]
BILLING CODE 8011-01-P