[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