Investment Company Act of 1940 — Section 17(f) and Rule 17f-6
CME Group, Inc.

December 3, 2010

RESPONSE OF THE OFFICE OF CHIEF COUNSEL DIVISION OF INVESTMENT MANAGEMENT

Our Ref. No. 20103121347

Your letter dated November 29, 2010 requests our assurance that we would not recommend enforcement action to the Securities and Exchange Commission (the “Commission”) under Section 17(f) of the Investment Company Act of 1940 (the “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”) or a CME clearing member (a “CME Clearing Member”) that is a futures commission merchant registered with the Commodity Futures Trading Commission for purposes of meeting CME’s or a CME Clearing Member’s margin requirements for certain credit default swap contracts (“CDS”) that are cleared by CME.

You state that CME and CME Clearing Members received from the Commission temporary conditional exemptions until November 30, 2010 that exempt temporarily (i) CME Clearing Members from certain requirements under the Securities Exchange Act of 1934 (“Exchange Act”) with respect to certain CDS transactions and (ii) CME from clearing agency registration under Section 17A of the Exchange Act to perform the functions of a clearing agency for certain CDS transactions (the “Commission Order”).¹ You state that we previously provided no-action assurances to CME and CME Clearing Members under Section 17(f) of the 1940 Act (the “CME Letter”), but that these assurances expired when the Commission Order expired.² However, you note that the Commission Order was extended until July 16, 2011 (“New Commission Order”),³ and request that our no-action assurances be similarly extended. You represent that CME and the CME Clearing Members will continue to comply with all of the representations and conditions in the New Commission Order and the CME Letter.

Based on the facts and representations in your letter, and in particular, your representations that CME and the CME Clearing Members will continue to comply with all of the representations and conditions in the CME Letter and the New Commission Order, we would not recommend enforcement action to the Commission under Section 17(f) of the 1940 Act against a Fund if the Fund or its custodian places and maintains assets in the custody of CME or a CME Clearing Member for purposes of meeting CME’s or a CME Clearing Member’s margin requirements for CDS that are cleared by CME.⁴

Our position herein is temporary, and will expire when the New Commission Order is no longer effective or it is rescinded, whichever is earlier. Because our position is based on the facts and representations made in your letter, you should note that any different facts or circumstances might require a different conclusion. This letter represents only the Division’s position on enforcement action and does not purport to express any legal conclusion on the questions presented.

¹ Securities Exchange Act Release No. 61803 (Mar. 30, 2010). See also Securities Exchange Act Release Nos. 61164 (Dec. 14, 2009) and 59578 (Mar. 13, 2009) (issuing temporary exemptions in connection with CDS clearing by CME that were extended in the Commission Order).

² See CME Group, Inc., SEC Staff No-Action Letter (July 16, 2010).

³ Securities Exchange Act Release No. 63388 (Nov. 29, 2010).

⁴ This letter confirms the position taken regarding CME and the CME Clearing Members under Section 17(f) of the 1940 Act that the staff provided orally on November 30, 2010 to Christopher K. Bowen of CME Group, Inc.

Incoming Letter

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The Incoming Letter is in Acrobat format.