[Federal Register Volume 77, Number 248 (Thursday, December 27, 2012)]
[Notices]
[Pages 76318-76319]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2012-31126]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-68495; File No. SR-ICEEU-2012-16]
Self-Regulatory Organizations; ICE Clear Europe Limited; Notice
of Filing and Immediate Effectiveness of Proposed Rule Change To
Position Allocation Methodology for SPAN Margin Calculation Extended to
Three Additional Calendar Spread Options
December 20, 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 December 19, 2012, ICE Clear Europe Limited (``ICE Clear Europe'')
filed with the Securities and Exchange Commission (``Commission'') the
proposed rule change as described in Items I, II and III below, which
Items have been prepared primarily by ICE Clear Europe. ICE Clear
Europe filed the proposal pursuant to Section 19(b)(3)(A)(iii) \3\ of
the Act, 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)(iii).
\4\ 17 CFR 240.19b-4(f)(4)(ii).
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I. Clearing Agency's Statement of the Terms of Substance of the
Proposed Rule Change
The purpose of the change is to extend the Position Allocation
Methodology to margin calculations for three additional calendar spread
options. Position Allocation Methodology is an enhancement to the SPAN
for the ICE Margining algorithm employed to calculate Original Margin.
All capitalized terms not defined herein are defined in the ICE Clear
Europe Rules.
II. Clearing Agency's Statement of the Purpose of, and Statutory Basis
for, the Proposed Rule Change
In its filing with the Commission, ICE Clear Europe 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. ICE Clear Europe 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 ICE Clear Europe.
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(A) Clearing Agency's Statement of the Purpose of, and Statutory Basis
for, the Proposed Rule Change
In addition to providing clearing services for credit default
swaps, ICE Clear Europe also provides clearing services for non-
securities contracts in energy and emissions markets (``Energy Futures
Products''). ICE Clear Europe extended the Position Allocation
Methodology to margin calculations for three additional calendar spread
options. Position Allocation Methodology is an enhancement to the
SPAN[supreg] \6\ for the ICE Margining algorithm employed to calculate
Original Margin and was designed to optimize and improve margin
calculation in the London SPAN 4. This feature is applied for certain
products where the position in such a product can be better represented
as one or more positions in alternate products for the purposes of
calculating Initial Margin. At the time of this implementation, this
enhancement was already in place for the following spread options: TIA,
BRM, TIB, HHM, and HMT.
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\6\ SPAN is a registered trademark of Chicago Mercantile
Exchange Inc., used herein under license. Chicago Mercantile
Exchange Inc. assumes no responsibility in connection with the use
of SPAN by any person or entity. SPAN is a risk evaluation and
margin framework algorithm.
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The enhancement will be additionally applied to:
GOA: Gas Oil 1-Month CSO;
BRZ: Brent Oil 12-Month CSO; and
TIZ: WTI Crude Oil 12-Month CSO.
All other SPAN[supreg] margin parameters remain unchanged. All
updated SPAN[supreg] margin parameters can be found at: https://www.theice.com/clear_europe_span_parameters.jhtml.
Section 17A(b)(3)(F) of the Act \7\ requires, among other things,
that the rules of a clearing agency be designed to promote the prompt
and accurate clearance and settlement of securities transactions and,
to the extent applicable, derivative agreements, contracts, and
transactions. ICE Clear Europe believes that the proposed change with
respect to Energy Futures Products is consistent with the requirements
of the Act and the rules and regulations thereunder applicable to ICE
Clear Europe, in particular, with Section 17A(b)(3)(F),\8\ because
improved margining of calendar spread options protects investors and
the public interest.
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\7\ 15 U.S.C. 78q-1(b)(3)(F).
\8\ 15 U.S.C. 78q-1(b)(3)(F).
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(B) Clearing Agency's Statement on Burden on Competition
ICE Clear Europe does not believe the proposed change would have
any impact, or impose any burden, on competition.
(C) Clearing Agency's Statement on Comments on the Proposed Rule Change
Received From Members, Participants or Others
Written comments relating to the proposed change have not been
solicited or received. ICE Clear Europe will notify the Commission of
any written comments received by ICE Clear Europe.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
The foregoing rule change has become effective upon filing pursuant
to Section 19(b)(3)(A)(iii) \9\ of the Act and Rule 19b-4(f)(4)(ii)
\10\ thereunder because it primarily affects the futures clearing
operations of the clearing agency with respect to futures that are not
security futures, and does not significantly affect the 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 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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\9\ 15 U.S.C. 78s(b)(3)(A)(iii).
\10\ 17 CFR 240.19b-4(f)(4)(ii).
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[[Page 76319]]
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-ICEEU-2012-16 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-ICEEU-2012-16. 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 filings will also be available
for inspection and copying at the principal office of ICE Clear Europe
and on ICE Clear Europe's Web site (https://www.theice.com/publicdocs/regulatory_filings/ICEU_SEC_121912_2012-16.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-ICEEU-2012-16
and should be submitted on or before January 17, 2013.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\11\
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\11\ 17 CFR 200.30-3(a)(12).
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Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2012-31126 Filed 12-26-12; 8:45 am]
BILLING CODE 8011-01-P