Daily Rules, Proposed Rules, and Notices of the Federal Government
CME is proposing to make certain changes to the way CME values securities on deposit. The text of the proposed changes is available on the CME's Web site at
In its filing with the Commission, CME 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 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.
CME is proposing to issue an Advisory Notice that announces certain changes to the way CME will value securities on deposit. Under the proposed changes, CME will begin using the current market value, plus accrued interest, to value securities on deposit. CME currently excludes accrued interest from the value of securities on deposit. Therefore, with this adjustment, accrued interest will now be included in the market value of the security. The purpose of the adjustment is to harmonize valuations with existing industry conventions. CME intends to implement these changes beginning on December 3, 2012, subject to securing required regulatory approvals.
The proposed changes that will take effect are described in the CME Advisory Notice, available on the CME's Web site at
CME believes the proposed changes are consistent with the requirements of the Exchange Act. The proposed rules are designed to promote the prompt and accurate clearance and settlement of derivative agreements, contracts, and transactions, and to assure the safeguarding of securities and funds which are in the custody or control of the clearing agency. These changes would use the current market value, plus accrued interest, for securities on deposit at CME, which will better align CME's practices with the marketplace and expectations of its participants. The changes will therefore enhance CME's ability to manage the risks associated with discharging its responsibilities as a derivatives clearing organization and clearing agency. Because these changes will enhance CME's ability to manage its risks they are also designed to protect investors and the public interest and will help further safeguard customer funds held at the FCM level.
CME does not believe that the proposed rule change will have any impact, or impose any burden, on competition.
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.
Within 45 days of the date of publication of this notice in the
(A) by order approve or disapprove the proposed rule change or
(B) institute proceedings to determine whether the proposed rule change should be disapproved.
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:
* Use the Commission's Internet comment form (
* Send an email to
* Send paper comments in triplicate to Elizabeth M. Murphy, Secretary, Securities and Exchange Commission, 100 F Street NE., Washington, DC 20549-1090.
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-2012-42 and should be submitted on or before November 20, 2012.