80 FR 31944 - Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of Filing of Amendment No. 1 and Order Granting Accelerated Approval of Proposed Rule Change, as Modified by Amendment No. 1, To Provide for the Clearance of an Additional Western European Sovereign Single Name Credit Default Swap Contract

SECURITIES AND EXCHANGE COMMISSION

Federal Register Volume 80, Issue 107 (June 4, 2015)

[Federal Register Volume 80, Number 107 (Thursday, June 4, 2015)]
[Notices]
[Pages 31944-31945]
From the Federal Register Online  [www.thefederalregister.org]
[FR Doc No: 2015-13611]



[[Page 31944]]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-75068; File No. SR-ICC-2015-007]


Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of 
Filing of Amendment No. 1 and Order Granting Accelerated Approval of 
Proposed Rule Change, as Modified by Amendment No. 1, To Provide for 
the Clearance of an Additional Western European Sovereign Single Name 
Credit Default Swap Contract

May 29, 2015.

I. Introduction

    On April 7, 2015, ICE Clear Credit LLC (``ICC'') filed with the 
Securities and Exchange Commission (``Commission'') the proposed rule 
change SR-ICC-2015-007 pursuant to Section 19(b)(1) of the Securities 
Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4 thereunder.\2\ The 
proposed rule change was published for comment in the Federal Register 
on April 15, 2015.\3\ The Commission did not receive comments on the 
proposed rule change. On May 27, 2015, ICC filed Amendment No. 1 to the 
proposed rule change.\4\ The Commission is publishing this notice to 
solicit comments on Amendment No. 1 from interested persons and is 
approving the proposed rule change, as modified by Amendment No. 1, on 
an accelerated basis.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ Securities Exchange Act Release No. 34-74687 (Apr. 9, 2015), 
80 FR 20278 (Apr. 15, 2015) (File No. SR-ICC-2015-007) (hereinafter 
referred to as the ``Initial Rule Filing'').
    \4\ ICC filed Amendment No. 1 to remove the Republic of Finland, 
the Kingdom of Sweden, and the Kingdom of Denmark from the proposed 
list of contracts to be cleared and to remove proposed changes to 
the ICC Risk Management Framework from the proposed rule change, as 
further described below.
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II. Description of the Proposed Rule Change

A. Description of the Initial Rule Filing

    In the Initial Rule Filing, ICC proposed changes to its Clearing 
Rules (``Rules'') to provide the basis for ICC to clear additional 
Standard Western European Sovereign credit default swap (``CDS'') 
contracts (collectively, ``SWES Contracts''). ICC currently clears six 
SWES Contracts: the Republic of Ireland, the Italian Republic, the 
Portuguese Republic, the Kingdom of Spain, the Kingdom of Belgium, and 
the Republic of Austria. The proposed changes to the ICC Rules would 
have provided for the clearance of additional SWES Contracts 
referencing the Kingdom of the Netherlands, the Republic of Finland, 
the Kingdom of Sweden, and the Kingdom of Denmark using either the 2003 
or the 2014 ISDA Credit Derivatives Definitions. These additional SWES 
Contracts have terms consistent with the six SWES Contracts approved 
for clearing at ICC and governed by Subchapter 26I of the ICC Rules. 
Specifically, ICC proposed to revise Rule 26I-102 to include the 
Kingdom of the Netherlands, the Republic of Finland, the Kingdom of 
Sweden, and the Kingdom of Denmark in the list of specific Eligible 
SWES Reference Entities to be cleared by ICC.
    Additionally, ICC proposed changes to its Risk Management Framework 
in connection with the General Wrong Way Risk (``GWWR'') methodology 
related to the clearance of additional SWES Contracts. The proposed 
changes to the ICC Risk Management Framework would have extended the 
GWWR framework to the portfolio level. ICC's risk methodology does not 
currently incorporate a Clearing Participant-level cumulative GWWR 
requirement in the Jump-to-Default calculations. Currently, the 
uncollateralized wrong-way risk (``WWR'') exposure of a particular Risk 
Factor needs to exceed its corresponding WWR threshold in order to 
trigger WWR collateralization. In the Initial Rule Filing, ICC proposed 
to introduce an enhancement to this calculation to account for the 
potential accumulation of portfolio WWR through Risk Factor specific 
WWR exposures. Under the proposed approach, if the cumulative 
uncollateralized exposure exceeded a pre-determined portfolio GWWR 
threshold, the amount above the threshold would be collateralized.

B. Description of Amendment No. 1

    On May 27, 2015, ICC filed Amendment No. 1 to the proposed rule 
change. The purpose of the amendment was to remove the Republic of 
Finland, the Kingdom of Sweden, and the Kingdom of Denmark from the 
proposed list of additional SWES Contracts to be cleared. Additionally, 
Amendment No. 1 removed from the proposed rule change the proposed 
revisions to the ICC Risk Management Framework related to the GWWR 
methodology submitted in the Initial Rule Filing. Accordingly, the 
proposed rule change, as amended, seeks approval only to revise Rule 
26I-102 to provide for the clearing of one additional SWES Contract, 
specifically the Kingdom of the Netherlands.

III. Discussion and Commission Findings

    Section 19(b)(2)(C) of the Act \5\ directs the Commission to 
approve a proposed rule change of a self-regulatory organization if the 
Commission finds that such proposed rule change is consistent with the 
requirements of the Act and the rules and regulations thereunder 
applicable to such self-regulatory organization. Section 17A(b)(3)(F) 
of the Act \6\ requires, among other things, that the rules of a 
clearing agency are designed to promote the prompt and accurate 
clearance and settlement of securities transactions and, to the extent 
applicable, derivative agreements, contracts, and transactions, to 
assure the safeguarding of securities and funds which are in the 
custody or control of the clearing agency or for which it is 
responsible and, in general, to protect investors and the public 
interest.
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    \5\ 15 U.S.C. 78s(b)(2)(C).
    \6\ 15 U.S.C. 78q-1(b)(3)(F).
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    The Commission finds that the proposed rule change is consistent 
with the requirements of Section 17A of the Act \7\ and the rules and 
regulations thereunder applicable to ICC. The proposed rule change, as 
amended, will provide for the clearing of an additional SWES Contract 
referencing the Kingdom of the Netherlands, which is similar to the 
other SWES Contracts currently cleared by ICC, using ICC's existing 
clearing arrangements and related financial safeguards, protections and 
risk management procedures. The Commission therefore finds that the 
proposed rule change is designed to promote the prompt and accurate 
clearance and settlement of securities transactions and, to the extent 
applicable, derivative agreements, contracts, and transactions, and to 
assure the safeguarding of securities and funds which are in the 
custody or control of the clearing agency or for which it is 
responsible.
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    \7\ 15 U.S.C. 78q-1.
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IV. Accelerated Approval of Proposed Rule Change as Modified by 
Amendment No. 1

    As discussed above, ICC submitted Amendment No. 1 to the proposed 
rule change to remove the Republic of Finland, the Kingdom of Sweden, 
and the Kingdom of Denmark from the proposed list of contracts to be 
cleared and to remove proposed changes to the ICC Risk Management 
Framework related to its GWWR methodology from the proposed rule 
change. The Commission believes that the modification by Amendment No. 
1 to

[[Page 31945]]

the Initial Rule Filing is consistent with the safeguarding of 
securities and funds in the custody or control of ICC or for which it 
is responsible, and the protection of investors and the public 
interest, within the meaning of Section 17A(b)(3)(F) of the Act.\8\ 
Accordingly, the Commission finds good cause, pursuant to Section 
19(b)(2)(C)(iii) of the Act,\9\ to approve the proposed rule change, as 
modified by Amendment No. 1, prior to the thirtieth day after the date 
of publication of notice of Amendment No. 1 in the Federal Register.
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    \8\ 15 U.S.C. 78q-1(b)(3)(F).
    \9\ 15 U.S.C. 78s(b)(2)(C)(iii).
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V. Solicitation of Comments

    Interested persons are invited to submit written data, views and 
arguments concerning the foregoing, including whether Amendment No. 1 
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 No. SR-ICC-2015-007 on the subject line.

Paper Comments

     Send paper comments in triplicate to Secretary, Securities 
and Exchange Commission, 100 F Street NE., Washington, DC 20549-1090.

All submissions should refer to File Number SR-ICC-2015-007. 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 filing also will be available 
for inspection and copying at the principal office of ICC and on ICC's 
Web site at https://www.theice.com/clear-credit/regulation.
    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-2015-007 
and should be submitted on or before June 25, 2015.

VI. Conclusion

    On the basis of the foregoing, the Commission finds that the 
proposed rule change is consistent with the requirements of the Act and 
in particular with the requirements of Section 17A of the Act \10\ and 
the rules and regulations thereunder.
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    \10\ 15 U.S.C. 78q-1.
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    It is therefore ordered, pursuant to Section 19(b)(2) of the 
Act,\11\ that the proposed rule change (SR-ICC-2015-007), as modified 
by Amendment No. 1, be, and hereby is, approved on an accelerated 
basis.\12\
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    \11\ 15 U.S.C. 78s(b)(2).
    \12\ In approving the proposed rule change, the Commission 
considered the proposed rule change's impact on efficiency, 
competition and capital formation. 15 U.S.C. 78c(f).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\13\
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    \13\ 17 CFR 200.30-3(a)(12).
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Brent J. Fields,
Secretary.
[FR Doc. 2015-13611 Filed 6-3-15; 8:45 am]
 BILLING CODE 8011-01-P