
[Federal Register Volume 77, Number 53 (Monday, March 19, 2012)]
[Notices]
[Pages 16105-16106]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2012-6496]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-66581; File No. SR-ICEEU-2012-04]


Self-Regulatory Organizations; ICE Clear Europe Limited; 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 
Europe Limited

March 13, 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 6, 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 and II below, which Items 
have been prepared primarily by ICE Clear Europe. 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

    ICE Clear Europe proposes rule amendments that are intended to 
modify the terms of each of the various CDS Contracts cleared by ICE 
Clear Europe (iTraxx Contracts, Standard European Corporate and 
Sovereign 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\ Initial Payment means, in relation to a CDS Contract, the 
payment, if any, specified as the ``Initial Payment Amount'' (or, in 
relation to certain CDS Contracts relating to indices, as the 
``Additional Amount'') under the Contract Terms for such CDS 
Contract and, in relation to a Bilateral CDS Transaction, the 
payment, usually described therein as the ``Initial Payment Amount'' 
or ``Additional Amount,'' payable by one party thereto to the other 
on the third business day after the trade date of such Bilateral CDS 
Transaction. See ICE Clear Europe Clearing Rules, Section 1, Rule 
101.
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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, 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 these statements.\4\
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    \4\ The Commission has modified the text of the summaries 
prepared by ICE Clear Europe.
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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 ICE Clear Europe 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). ICE Clear Europe 
proposes to amend the definition of Initial Payment in 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). ICE Clear Europe believes that this change from T+3 
settlement to T+1 settlement will reduce settlement risk for the

[[Page 16106]]

clearinghouse and clearing members and 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). ICE 
Clear Europe's CDS Risk Committee approved the proposed rule changes.
    The other proposed changes in the ICE Clear Europe Rules reflect 
updates to cross-references and defined terms and similar drafting 
clarifications, and do not affect the substance of the ICE Clear Europe 
Rules or cleared products.

(B) Self-Regulatory Organization's Statement on Burden on Competition

    ICE Clear Europe does not believe the proposed rule and procedural 
changes 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. 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

    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 rule-comments@sec.gov. Please include 
File Number SR-ICEEU-2012-04 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-2012-04. 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 ICE Clear Europe and 
on ICE Clear Europe's Web site at https://www.theice.com/publicdocs/
regulatory--filings/ICE--Clear--Europe--T+1--Settlement.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-2012-04 
and should be submitted on or before April 9, 2012.
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    \5\ 17 CFR 200.30-3(a)(12).

    For the Commission by the Division of Trading and Markets, 
pursuant to delegated authority.\5\
Kevin O'Neill,
Deputy Secretary.
[FR Doc. 2012-6496 Filed 3-16-12; 8:45 am]
BILLING CODE 8011-01-P


