Federal Register / Vol. 77, No. 58 / Monday, March 26, 2012 / Notices 17537 

5 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

percentage basis than at traditional 

futures clearinghouses. 

Modification #1 reduces the level of 

default resources held in the mutualized 

ICC guaranty fund and increases the 

level of resources held in initial margin 

(collateral). 

The ICC guaranty fund is relatively 

much larger, as compared to traditional 

futures clearinghouses, in part because 

the guaranty fund model is currently 

designed to cover the uncollateralized 

losses that would result from the three 

single names that would cause the 

greatest losses when entering a state of 

default. Modification #1 incorporates 

into the initial margin risk model the 

single name that causes the greatest loss 

when entering a state of default (i.e., the 

single name that results in the greatest 

amount of loss when stress-tested). This 

change effectively collateralizes the loss 

that would occur from the single name 

that causes the greatest loss entering a 

state of default. Consequently, the 

amount of uncollateralized loss that 

would result from the three single 

names causing the greatest losses when 

entering a state of default is reduced, 

thereby reducing the amount of required 

guaranty fund contributions. 

This change to the guaranty fund and 

initial margin risk model will, as noted 

above, result in a reduction of the 

guaranty fund requirements and an 

increase in the initial margin 

requirements. However, it is important 

to note that the decrease in the guaranty 

fund and the increase in initial margin 

requirements are not symmetrical. 

Instead, based upon current portfolios, 

for every $1 decrease to the guaranty 

fund there will be a corresponding 

increase to the initial margin 

requirements of approximately $5. 

Modification #2 modifies the initial 

margin risk model by removing the 

conditional Recovery Rate stressscenarios and adding a new Recovery 

Rate sensitivity component that is 

computed by considering changes in the 

Recovery Rate assumptions and their 

impact on the Net Asset Value of the 

Credit Default Swap portfolio. This 

modification will make it easier for 

market participants to measure their 

risk. 

ICC believes that the proposed rule 

change is consistent with the 

requirements of Section 17A of the Act 

and the rules and regulations 

thereunder applicable to it. ICC believes 

that by reducing the level of default 

resources held in the guaranty fund and 

increasing the level of default resources 

held as initial margin and by modifying 

the initial margin risk model as 

described above, it is able to safeguard 

securities and funds in its custody or 

control or for which it is responsible. 

(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 rulecomments@sec.gov. Please include File 

Number SR–ICC–2012–03 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–2012–03. 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_030812.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–2012–03 and should 

be submitted on or before April 16, 

2012. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.5

Kevin O’Neill, 

Deputy Secretary. 

[FR Doc. 2012–7206 Filed 3–23–12; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–66629; File No. SR–ICEEU– 

2012–05] 

Self-Regulatory Organizations; ICE 

Clear Europe Limited; Notice of Filing 

of Proposed Rule Change To Amend 

the ICE Clear Europe CDS Procedures, 

Finance Procedures, and Rules With 

Respect to the Calculation and 

Payment of Interest on Mark-To-Market 

Margin on CDS Transactions 

March 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 March 12, 

2012, ICE Clear Europe Limited (‘‘ICE 

Clear Europe’’) filed with the Securities 


tkelley on DSK3SPTVN1PROD with NOTICES
17538 Federal Register / Vol. 77, No. 58 / Monday, March 26, 2012 / Notices 

3The Commission has modified the text of the 

summaries prepared by ICE Clear Europe. 4 15 U.S.C. 78q–1. 

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. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

ICE Clear Europe proposes rule and 

CDS procedural amendments that are 

intended to modify the terms of the 

calculation and payment of interest on 

mark-to-market margin for CDS 

transactions. The amendments would 

provide further detail for calculation of 

interest on mark-to-market margin for 

CDS at the position level, but would not 

change the overall calculation of that 

interest. The amendments would also 

move payment of such interest from a 

monthly to a daily basis. 

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.3

(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 consist of operational changes 

to the Rules, CDS Procedures and 

Finance Procedures ICE Clear Europe 

has consulted with its CDS Risk 

Committee, which supports the 

proposed amendment. 

ICE Clear Europe submits proposed 

amendments to its CDS Procedures, 

Finance Procedures and Rules in 

relation to the calculation and payment 

of interest on the mark-to-market margin 

for CDS transactions on a daily basis. 

The amendments also clarify, consistent 

with ICE Clear Europe’s current 

practice, mark-to-market margin and 

variation margin may be required to be 

provided by the clearing member to the 

clearing house or vice versa. 

ICE Clear Europe proposes to update 

Parts 1 and 3 of its CDS Procedures to 

state more clearly the daily calculation 

of interest on mark-to-market margin for 

CDS transactions and to provide further 

detail about such calculations. The new 

definitions of ‘‘Daily Aggregate MTM 

Interest Amount,’’ ‘‘Mark-to-Market 

Interest’’ and ‘‘Mark-to-Market Margin 

Balance’’ and the provisions of Part 3 of 

the CDS Procedures reflect these 

changes. ‘‘Daily Aggregate MTM Interest 

Amount’’ means for any Clearing 

Member for a currency on any day the 

sum of the Mark-to-Market Margin 

Balances in such currency for that day 

in respect of that Clearing Member. The 

Daily Aggregate MTM Interest Amount 

will be determined separately in respect 

of the Clearing Member’s Proprietary 

Account and any relevant customer 

account. Where the Daily Aggregate 

MTM Interest Amount is positive, it will 

be owed by ICE Clear Europe to the 

relevant Clearing Member; where it is 

negative, the relevant Clearing Member 

will owe the absolute value of the Daily 

Aggregate MTM Interest Amount to ICE 

Clear Europe. ‘‘Mark-to-Market Interest’’ 

will mean interest calculated daily in 

accordance with the market convention 

for the relevant currency by applying 

the applicable overnight rate. ‘‘Mark-toMarket Margin Balance’’ will mean the 

sum of all Mark-to-Market Margin 

delivered up to, but excluding that day, 

by the relevant Clearing Member in 

respect of such CDS Contract to ICE 

Clear Europe less all Mark-to-Market 

Margin delivered up to, but excluding 

that day, by ICE Clear Europe in respect 

of such CDS Contract to such Clearing 

Member, as determined at the close of 

business on such day. Pursuant to the 

amendments to Section 3.1 of the CDS 

Procedures and 6.11(h)(iv) of the 

Finance Procedures, interest on Markto-Market Margin will be payable on a 

daily, rather than a monthly basis, 

although the interest calculation is 

substantially unchanged. 

ICE Clear Europe believes that the 

proposed rule change is consistent with 

the requirements of Section 17A of the 

Act 4 and the rules and regulations 

thereunder applicable to ICE Clear 

Europe because it amends rules and 

procedures which allow ICE Clear 

Europe to effectively manage risk. As 

such, it assures the safeguarding of 

securities and funds, which are in the 

custody or control of ICE Clear Europe 

or for which it is responsible. 

(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 rulecomments@sec.gov. Please include File 

Number SR–ICEEU–2012–05 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–2012–05. 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/ 


tkelley on DSK3SPTVN1PROD with NOTICES
Federal Register / Vol. 77, No. 58 / Monday, March 26, 2012 / Notices 17539 

5 17 CFR 200.30–3(a)(12). 

1 15 U.S.C.78s(b)(1). 

2 15 U.S.C. 78a. 

3 17 CFR 240.19b–4. 

4See the Registration Statement for the Trust on 

Form F–1, filed with the Commission on December 

23, 2011 (No. 333–178745) (as amended, the 

‘‘Registration Statement’’). The descriptions of the 

Trust, the Units and the gold market contained 

herein are based, in part, on the Registration 

Statement. 

5Commodity-Based Trust Shares are securities 

issued by a trust that represent investors’ discrete 

identifiable and undivided beneficial ownership 

interest in the commodities deposited into the 

Trust. 

6Securities Exchange Act Release No. 59895 (May 

8, 2009), 74 FR 22993 (May 15, 2009) (SR– 

NYSEArca–2009–40). 

7Securities Exchange Act Release No. 61496 

(February 4, 2010), 75 FR 6758 (February 10, 2010) 

(SR–NYSEArca–2009–113). 

8See Securities Exchange Act Release Nos. 56224 

(August 8, 2007), 72 FR 45850 (August 15, 2007) 

(SR–NYSEArca-2007–76) (approving listing on the 

Exchange of the streetTRACKS Gold Trust); 56041 

(July 11, 2007), 72 FR 39114 (July 17, 2007) (SR– 

NYSEArca-2007–43) (order approving listing on the 

Exchange of iShares COMEX Gold Trust). 

9See Securities Exchange Act Release Nos. 50603 

(October 28, 2004), 69 FR 64614 (November 5, 2004) 

(SR–NYSE–2004–22) (order approving listing of 

streetTRACKS Gold Trust on NYSE); 51058 

(January 19, 2005), 70 FR 3749 (January 26, 2005) 

(SR–Amex–2004–38) (order approving listing of 

iShares COMEX Gold Trust on the American Stock 

Exchange LLC). 

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_PAI_and_MTMM_

Proposed_Changes.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–2012–05 and 

should be submitted on or before April 

16, 2012. 

For the Commission by the Division of 

Trading and Markets, pursuant to delegated 

authority.5

Kevin O’Neill, 

Deputy Secretary. 

[FR Doc. 2012–7204 Filed 3–23–12; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–66627; File No. SR– 

NYSEARCA–2012–18] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Notice of Filing of Proposed 

Rule Change To List and Trade Shares 

of the APMEX Physical—1 oz. Gold 

Redeemable Trust Pursuant to NYSE 

Arca Equities Rule 8.201 

March 20, 2012. 

Pursuant to Section 19(b)(1) 1 of the 

Securities Exchange Act of 1934 (the 

‘‘Act’’) 2 and Rule 19b–4 thereunder,3

notice is hereby given that, on March 5, 

2012, NYSE Arca, Inc. (the ‘‘Exchange’’ 

or ‘‘NYSE Arca’’) filed with the 

Securities and Exchange Commission 

(the ‘‘Commission’’) the proposed rule 

change as described in Items I and II 

below, which Items have been prepared 

by the self-regulatory organization. The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

change from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of the Substance 

of the Proposed Rule Change 

The Exchange proposes to list and 

trade shares of the APMEX Physical—1 

oz. Gold Redeemable Trust (the ‘‘Trust’’) 

pursuant to NYSE Arca Equities Rule 

8.201. The text of the proposed rule 

change is available at the Exchange, the 

Commission’s Public Reference Room, 

and www.nyse.com. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and the 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

self-regulatory organization 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 those statements may be examined at 

the places specified in Item IV below. 

The Exchange has prepared summaries, 

set forth in sections A, B, and C below, 

of the most significant parts of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and the 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to list and 

trade Units (‘‘Units’’) of the Trust under 

NYSE Arca Equities Rule 8.201.4 Under 

NYSE Arca Equities Rule 8.201, the 

Exchange may propose to list and/or 

trade pursuant to unlisted trading 

privileges (‘‘UTP’’) ‘‘Commodity-Based 

Trust Shares.’’5 The Commission has 

previously approved listing on the 

Exchange under NYSE Arca Equities 

Rule 8.201 shares of the ETFS Gold 

Trust 6, as well as the Sprott Physical 

Gold Trust.7 In addition, the 

Commission has approved listing on the 

Exchange of streetTRACKS Gold Trust 

and iShares COMEX Gold Trust.8 Prior 

to their listing on the Exchange, the 

Commission approved listing of the 

streetTRACKS Gold Trust on the New 

York Stock Exchange (‘‘NYSE’’) and 

listing of iShares COMEX Gold Trust on 

the American Stock Exchange LLC.9


tkelley on DSK3SPTVN1PROD with NOTICES