SEC Division of Investment Management staff letter: Chicago Mercantile Exchange

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Investment Company Act of 1940 — Section 17(f); Rule 17f-6 Chicago Mercantile Exchange

December 29, 2015

RESPONSE OF THE OFFICE OF CHIEF COUNSEL DIVISION OF INVESTMENT MANAGEMENT

Our Ref. No. 201512291256 File No. 132-3

In a letter to you dated December 19, 2014, the staff of the Division of Investment Management indicated that we would not recommend enforcement action to the Commission under Section 17(f) of the Investment Company Act of 1940 (“1940 Act”) against any registered investment company (a “Fund”) if the Fund or its custodian places and maintains cash and/or certain securities (“assets”) in the custody of the Chicago Mercantile Exchange (“CME”), a derivatives clearing organization registered with the Commodity Futures Trading Commission (“CFTC”) or a CME or Board of Trade of the City of Chicago (“CBOT”) clearing member (a “CME Clearing Member”) that is a futures commission merchant registered with the CFTC (“FCM”), for purposes of meeting CME’s or the CME Clearing Member’s margin requirements for certain interest rate swaps (“IRS”), credit default swaps (“CDS”), cash-settled commodity index swap contracts (“CIS”) and foreign currency swap contracts (“FXS”) that are cleared by CME (“Letters”). [1] We extended these temporary no-action assurances and now extend them until December 31, 2017.