[Federal Register Volume 77, Number 48 (Monday, March 12, 2012)]
[Notices]
[Pages 14578-14579]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2012-5872]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-66517; File No. SR-ICC-2012-02]


Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of 
Filing of Proposed Rule Change To Provide for a T+1 Settlement of the 
Initial Payment Related to the CDS Contracts Cleared by ICE Clear 
Credit LLC

March 6, 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 March 1, 2012, the ICE Clear Credit LLC (``ICC'') 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 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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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    ICC proposes rule amendments that are intended to modify the terms 
of each of the various CDS Contracts cleared by ICC (CDX.NA Untranched 
Contracts, Standard North American Corporate (``SNAC'') Single Name 
Contracts and Standard Emerging Sovereign (``SES'') Single Name 
Contracts) to make the Initial Payment \3\ date the first business day 
immediately following the trade date, provided that with respect to CDS 
Contracts that are accepted for clearing after the trade date, the 
Initial Payment date will be the date that is the first business day 
following the date when the CDS Contract is accepted for clearing.
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    \3\ The Initial Payment is an obligation by either counterparty 
to make an upfront payment established at the time the contract is 
executed. See ICE Clear Credit Clearing Rules, Section 301(b).
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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.\4\
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    \4\ 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

    As noted above, the proposed rule changes amend the timing of 
Initial Payments on a cleared CDS Contract. The Initial Payment under a 
CDS Contract is established at the time the contract is executed and 
may be payable from either the protection buyer to the protection 
seller or vice versa. Under the current ICC Rules (by way of the 
incorporated ISDA Credit Derivatives Definitions), and consistent with 
practice in the market for uncleared credit default swaps, the Initial 
Payment is required to be made on the third business day following the 
trade date (the execution date). ICC proposes to add the definition of 
Initial Payment Date to its Clearing Rules to provide instead that the 
Initial Payment is to be made on the first business day following the 
trade date (or, if the transaction is accepted for clearing after the 
trade date, the initial payment is to be made on the first business day 
following the date of acceptance for clearing). After consultation with 
the Buy-side, ICC believes that this change from ``T+3'' settlement to 
``T+1'' settlement for the Initial Payment will facilitate customer-
related clearing. In addition, this change will improve margin 
efficiency (as margin requirements will no longer need to take into 
account the additional risk from a T+3 as opposed to a T+1 settlement 
rule).
    The other proposed changes in the ICC Rules reflect updates to 
cross-references and defined terms and similar drafting clarifications, 
and do not affect the substance of the ICC Rules or cleared products.

(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-2012-02 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-2012-02. This file 
number should be included on the

[[Page 14579]]

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_022912.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-2012-02 
and should be submitted on or before April 2, 2012.

    For the Commission by the Division of Trading and Markets, 
pursuant to delegated authority.\5\
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    \5\ 17 CFR 200.30-3(a)(12).
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Kevin O'Neill,
Deputy Secretary.
[FR Doc. 2012-5872 Filed 3-9-12; 8:45 am]
BILLING CODE 8011-01-P