[Federal Register Volume 78, Number 136 (Tuesday, July 16, 2013)]
[Notices]
[Pages 42579-42580]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2013-16934]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-69957; File No. SR-CME-2013-10]
Self-Regulatory Organizations; Chicago Mercantile Exchange Inc.;
Notice of Filing and Immediate Effectiveness of Proposed Rule Change
Regarding a Change to Interest Rate Swap Margin Calculation Parameters
July 10, 2013.
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 28, 2013, 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) 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.
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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 the Terms of Substance
of the Proposed Rule Change
The text of the proposed change is below. Italicized text indicates
additions; bracketed text indicates deletions.
* * * * *
TO: Clearing Member Firms; Back Office Managers
FROM: CME Clearing
DATE: July----, 2013
ADVISORY : 13-XXX
SUBJECT: Update to Interest Rate Swap Margin Parameters
Please be advised that beginning 7/15/2013, CME Clearing will
utilize a revised set of parameters for the margining of CME cleared
Interest Rate Swap Products.
The current margin model utilizes 1,260 business days (scenarios).
The IRS margin model will change parameters through an extended
look back of margins beyond 1,260 scenarios. The change, pending
regulatory review, will preserve key historical dates from the 2008
financial crisis.
If you have questions, please email the Risk Research team at
[email protected] or call 312-338-2069.
* * * * *
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 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 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 and currently offers clearing
services for interest rate swaps
[[Page 42580]]
(``IRS''). With this filing, CME proposes to issue a Clearing Advisory
Notice announcing a change to CME's current Interest Rate Swap margin
calculation parameters effective July 15, 2013.
The proposed CME Clearing Advisory Notice would inform clearing
members and market participants that CME Clearing would, beginning on
July 15, 2013, make a change in CME's Interest Rate Swap Margin
Calculation Parameters. The change would peg the current look-back
period to September 1, 2008. The current look-back period employs a
five year methodology. By pegging the look back methodology to
September 1, 2008, rather than maintaining the current five year look
back, a number of scenarios stemming from the 2008 financial crisis
will be maintained. These scenarios would have otherwise rolled off
under the current five year methodology. Thus, after the changes are
employed, the look back methodology would now include each new business
day as a new scenario on a rolling basis.
The changes that are described in this filing are limited to CME's
IRS clearing offering and do not materially impact CME's credit default
swap clearing business in any way. 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''),
in CME Submission 13-263.
CME believes the proposed rule changes are consistent with the
requirements of the Exchange Act including Section 17A of the Exchange
Act. The proposed rule changes involve enhancements to CME's interest
rate swap product offering for investors, and as such are designed to
promote the prompt and accurate clearance and settlement of securities
transactions and derivatives agreements, contracts and transactions,
and to assure the safeguarding of securities and funds which are in the
custody or control of the clearing agency and, in general, help to
protect investors and the public interest. Furthermore, the proposed
changes are limited in their effect to CME's existing IRS clearing
offering. IRS is under the exclusive jurisdiction of the CFTC. As such,
the proposed CME changes are limited to CME's activities as a
derivatives clearing organization clearing swaps that are not security-
based swaps; CME notes that the policies of the CFTC with respect to
administering the Commodity Exchange Act are comparable to a number of
the policies underlying the Exchange Act, such as promoting market
transparency for over-the-counter derivatives markets, promoting the
prompt and accurate clearance of transactions and protecting investors
and the public interest. In summary, 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. The changes are therefore consistent with the
requirements of Section 17A of the Exchange and are properly filed
under Section 19(b)(3)(A) and Rule 19b-4(f)(4)(ii) thereunder.
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 rule changes simply
announce one technical enhancement to CME's current IRS clearing
offering, that is, a change to CME's current IRS margin calculation
parameters.
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 has been filed pursuant to Section
19(b)(3)(A) \5\ of the Act and paragraph (f)(4)(ii) of Rule 19b-4 \6\
thereunder and will become effective on filing. 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.
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\5\ Supra note 3.
\6\ Supra note 4.
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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
Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml) or
Send an email to [email protected]. Please include
File Number SR-CME-2013-10 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-CME-2013-10. 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 on CME's
Web site (http://www.cmegroup.com/market-regulation/files/sec_19b-4_13-10.pdf).
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-2013-10
and should be submitted on or before August 6, 2013.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\7\
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\7\ 17 CFR 200.30-3(a)(12).
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Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2013-16934 Filed 7-15-13; 8:45 am]
BILLING CODE 8011-01-P