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, 76318-76319 [2012-31126]
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76318
Federal Register / Vol. 77, No. 248 / Thursday, December 27, 2012 / Notices
Clear Europe’s Web site (https://
www.theice.com/publicdocs/
regulatory_filings/
ICEU_SEC_121912_2012–17.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–2012–17 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
Kevin M. O’Neill,
Deputy Secretary.
[FR Doc. 2012–31125 Filed 12–26–12; 8:45 am]
BILLING CODE 8011–01–P
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.
tkelley on DSK3SPTVN1PROD with
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
11 17
CFR 200.30–3(a)(12).
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).
1 15
VerDate Mar<15>2010
16:53 Dec 26, 2012
Jkt 229001
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
(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® 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.
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® margin parameters
remain unchanged. All updated SPAN®
margin parameters can be found at:
5 The Commission has modified the text of the
summaries prepared by ICE Clear Europe.
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.
PO 00000
Frm 00031
Fmt 4703
Sfmt 4703
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.
(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.
7 15
U.S.C. 78q–1(b)(3)(F).
U.S.C. 78q–1(b)(3)(F).
9 15 U.S.C. 78s(b)(3)(A)(iii).
10 17 CFR 240.19b–4(f)(4)(ii).
8 15
E:\FR\FM\27DEN1.SGM
27DEN1
Federal Register / Vol. 77, No. 248 / Thursday, December 27, 2012 / Notices
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 (https://www.sec.gov/
rules/sro.shtml) or
• Send an email to rulecomments@sec.gov. Please include File
Number SR–ICEEU–2012–16 on the
subject line.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.11
Kevin M. O’Neill,
Deputy Secretary.
[FR Doc. 2012–31126 Filed 12–26–12; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–68489; File No. 4–655]
Self-Regulatory Organizations; BOX
Options Exchange LLC; Order
Approving Minor Rule Violation Plan
for BOX Options Exchange LLC
tkelley on DSK3SPTVN1PROD with
Paper Comments
December 20, 2012.
• 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 (https://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.
On October 15, 2012, BOX Options
Exchange LLC (the ‘‘Exchange’’) filed
with the Securities and Exchange
Commission (the ‘‘Commission’’) a
proposed minor rule violation plan
(‘‘MRVP’’) pursuant to Section 19(d)(1)
of the Securities Exchange Act of 1934
(the ‘‘Act’’) 1 and Rule 19d–1(c)(2)
thereunder.2 The proposed MRVP was
published for public comment on
November 13, 2012.3 The Commission
received no comments on the proposal.
This order approves the Exchange’s
proposed MRVP.
The Exchange’s MRVP specifies those
uncontested minor rule violations with
sanctions not exceeding $2,500 which
would not be subject to the provisions
of Rule 19d–1(c)(1) of the Act 4 requiring
that a self-regulatory organization
(‘‘SRO’’) promptly file notice with the
Commission of any final disciplinary
action taken with respect to any person
or organization.5 In accordance with
Rule 19d–1(c)(2) under the Act, the
Exchange proposed to designate certain
specified rule violations as minor rule
violations, and requested that it be
relieved of the prompt reporting
requirements regarding such violations,
VerDate Mar<15>2010
16:53 Dec 26, 2012
Jkt 229001
11 17
CFR 200.30–3(a)(12).
U.S.C. 78s(d)(1).
2 17 CFR 240.19d–1(c)(2).
3 See Securities Exchange Act Release No. 68170
(November 6, 2012), 77 FR 67722 (‘‘Notice’’).
4 17 CFR 240.19d–1(c)(1).
5 The Commission adopted amendments to
paragraph (c) of Rule 19d–1 to allow SROs to
submit for Commission approval plans for the
abbreviated reporting of minor disciplinary
infractions. See Securities Exchange Act Release
No. 21013 (June 1, 1984), 49 FR 23828 (June 8,
1984). Any disciplinary action taken by an SRO
against any person for violation of a rule of the SRO
which has been designated as a minor rule violation
pursuant to such a plan filed with and declared
effective by the Commission shall not be considered
‘‘final’’ for purposes of Section 19(d)(1) of the Act
if the sanction imposed consists of a fine not
exceeding $2,500 and the sanctioned person has not
sought an adjudication, including a hearing, or
otherwise exhausted his administrative remedies.
1 15
PO 00000
Frm 00032
Fmt 4703
Sfmt 4703
76319
provided it gives notice of such
violations to the Commission on a
quarterly basis. The Exchange proposed
to include in its MRVP the procedures
and violations currently included in
Exchange Rule 12140 (‘‘Imposition of
Fines for Minor Rule Violations’’).6
According to the Exchange’s proposed
MRVP, under Exchange Rule 12140, the
Exchange may impose a fine (not to
exceed $2,500) on a member or an
associated person with respect to any
rule violation listed in Exchange Rule
12140(d).7 The Exchange shall serve the
person against whom a fine is imposed
with a written statement setting forth
the rule or rules violated, the act or
omission constituting each such
violation, the fine imposed for each
such violation, and the date by which
such fine shall be paid, such
determination becomes final or such
determination must be contested. If the
person against whom the fine is
imposed pays the fine, such payment
shall be deemed to be a waiver of such
person’s right to a disciplinary
proceeding and any review of the matter
under the Exchange Rules. Any person
against whom a fine is imposed may
contest the Exchange’s determination by
filing with the Exchange a written
answer, at which point the matter shall
become a disciplinary proceeding.
Upon approval of the plan, the
Exchange will provide the Commission
a quarterly report of actions taken on
minor rule violations under the plan.
The quarterly report will include,
among other things: The Exchange’s
internal file number for the case, the
name of the individual and/or
organization, the nature of the violation,
the specific rule provision violated, the
sanction imposed, the number of times
the rule violation has occurred, and the
date of disposition.8
The Commission finds that the
proposed MRVP is consistent with the
requirements of the Act and the rules
and regulations thereunder applicable to
a national securities exchange. In
particular, the Commission believes that
the proposal is consistent with Section
6 On April 27, 2012, the Exchange’s application
for registration as a national securities exchange,
including the rules governing the Exchange, was
approved. See Securities Exchange Act Release No.
66871 (April 27, 2012), 77 FR 26323 (May 3, 2012)
(File No. 10–206).
7 See Notice, supra note 3. The Commission noted
that the list of violations set forth in the Notice
corrected certain rule reference errors that are
presently in Exchange Rule 12140. The Exchange
has informed Commission staff that it will submit
a rule filing to correct such errors. Id.
8 The Exchange attached a sample form of the
quarterly report with its submission to the
Commission.
E:\FR\FM\27DEN1.SGM
27DEN1
]]>Agencies
[Federal Register Volume 77, Number 248 (Thursday, December 27, 2012)]
[Notices]
[Pages 76318-76319]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2012-31126]
-----------------------------------------------------------------------
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.
---------------------------------------------------------------------------
\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).
---------------------------------------------------------------------------
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\
---------------------------------------------------------------------------
\5\ The Commission has modified the text of the summaries
prepared by ICE Clear Europe.
---------------------------------------------------------------------------
(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.
---------------------------------------------------------------------------
\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.
---------------------------------------------------------------------------
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.
---------------------------------------------------------------------------
\7\ 15 U.S.C. 78q-1(b)(3)(F).
\8\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------
(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.
---------------------------------------------------------------------------
\9\ 15 U.S.C. 78s(b)(3)(A)(iii).
\10\ 17 CFR 240.19b-4(f)(4)(ii).
---------------------------------------------------------------------------
[[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 (https://www.sec.gov/rules/sro.shtml) or
Send an email to rule-comments@sec.gov. 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 (https://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\
---------------------------------------------------------------------------
\11\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2012-31126 Filed 12-26-12; 8:45 am]
BILLING CODE 8011-01-P
