[Federal Register Volume 77, Number 45 (Wednesday, March 7, 2012)]
[Notices]
[Pages 13678-13680]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2012-5472]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-66500; File No. SR-ICC-2012-01]


 Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of 
Filing of Proposed Rule To Provide That One Hundred Percent (100%) of 
the Initial Margin Requirement for Client-related Positions Cleared in 
a Clearing Participant's Customer Account Origin May Be Satisfied by a 
Clearing Participant Utilizing US Treasuries

March 1, 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 February 17, 2012, ICE Clear Credit LLC (``ICC'') filed with the 
Securities and Exchange Commission (``Commission'') the proposed rule 
changes described in Items I, II, and III below, which Items have been 
prepared primarily by ICC. 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.

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[[Page 13679]]

I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    ICC proposes rule amendments that will allow clearing participants 
to satisfy the initial margin-related liquidity requirements for 
client-related positions cleared in a clearing participant's customer 
account origin by posting US Treasuries.

II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, ICC 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. ICC has prepared summaries, set forth in sections (A), 
(B), and (C) below, of the most significant aspects of these 
statements.\3\
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    \3\ The Commission has modified the text of the summaries 
prepared by ICC.
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(A) Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    The proposed rule changes provide that one hundred percent (100%) 
of the initial margin requirement for client-related positions cleared 
in a clearing participant's customer account origin may be satisfied by 
the clearing participant utilizing US Treasuries.\4\
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    \4\ ICC applies haircuts to US Treasuries to mitigate liquidity 
risk. The current haircuts are: 1.25% for US Treasuries maturing in 
less than one year, 2.5% for US Treasuries maturing in one to five 
years, 5.0% for US Treasuries maturing in five to ten years, and 
10.0% for US Treasuries maturing in more than ten years (available 
at: https://www.theice.com/publicdocs/clear_credit/ICE_Clear_Credit_Collateral_Management.pdf).
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    The ICC rules currently provide that for all accounts at least 
forty-five percent (45%) of initial margin must be posted in US dollar 
cash. The next twenty percent (20%) must be posted in US dollar cash or 
US Treasuries. The remaining thirty-five percent (35%) must be posted 
in US dollar cash or US Treasuries or G7 cash.
    The proposed rules provide that at least sixty-five percent (65%) 
of the initial margin requirement for client-related positions cleared 
in a clearing participant's customer account origin must be posted in 
US dollar denominated assets (US dollar cash and/or US Treasuries) and 
the remaining thirty-five percent (35%) must be posted in US dollar 
cash or US Treasuries or G7 cash. Again, the proposed changes will 
apply only to the initial margin liquidity requirements associated with 
the initial margin requirement for client-related positions cleared in 
a clearing participant's customer account origin. The proposed changes 
will not apply to the ICC liquidity requirements for house initial 
margin and the guaranty fund.
    The proposed rule changes are intended to facilitate client-related 
clearing. Customers of ICC's clearing participants have indicated that 
the current US dollar cash liquidity requirement is too restrictive and 
serves as a barrier to clearing. The proposed rule changes are 
consistent with the recently promulgated CFTC regulation 39.11(e)(1) 
that provides that the CFTC's ``cash'' liquidity requirement includes 
US Treasury obligations. ICC routinely monitors its potential liquidity 
needs and reevaluates its liquidity requirements to ensure that it has 
sufficient intraday liquidity to manage cash payments in the event of a 
member default.\5\
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    \5\ Currently at least 45% of house initial margin and the 
guaranty fund requirements must be posted in US dollar cash and the 
ICC contribution to the guaranty fund is in US dollar cash. 
Additionally, ICC requires all members to meet and maintain their 
minimum guaranty fund requirement deposit of $20 million in US 
dollar cash regardless of the amount of each member's total guaranty 
fund requirement. In addition, in the event of immediate liquidity 
needs in the event of a member's default, ICC may borrow (through 
IntercontinentalExchange, Inc.) up to an aggregate principal amount 
of $100 million against IntercontinentalExchange, Inc.'s senior 
unsecured revolving credit facility.
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(B) Self-Regulatory Organization's Statement on Burden on Competition

    ICC does not believe the proposed rule change would have any 
impact, or impose any burden, on competition.

(C) Self-Regulatory Organization's Statement on Comments on the 
Proposed Rule Change Received From Members, Participants or Others

    Written comments relating to the proposed rule change have not been 
solicited or received. ICC will notify the Commission of any written 
comments received by ICC.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Within 45 days of the date of publication of this notice in the 
Federal Register or within such longer period up to 90 days (i) as the 
Commission may designate if it finds such longer period to be 
appropriate and publishes its reasons for so finding or (ii) as to 
which the self-regulatory organization consents, the Commission will: 
(A) By order approve or disapprove the proposed rule change or (B) 
institute proceedings to determine whether the proposed rule change 
should be disapproved.

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-ICC-2012-01 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-ICC-2012-01. 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 Section, 100 F Street 
NE., Washington, DC 20549, on official business days between the hours 
of 10 a.m. and 3 p.m. Copies of such filings will also be available for 
inspection and copying at the principal office of ICC and on ICC's Web 
site at https://www.theice.com/publicdocs/regulatory_filings/ICEClearCredit_021712.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-ICC-2012-01 
and should

[[Page 13680]]

be submitted on or before March 28, 2012.

    For the Commission by the Division of Trading and Markets, 
pursuant to delegated authority.\6\
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    \6\ 17 CFR 200.30-3(a)(12).
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Kevin O'Neill,
Deputy Secretary.
[FR Doc. 2012-5472 Filed 3-6-12; 8:45 am]
BILLING CODE 8011-01-P