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)

Page Range		31944-31945
FR Document		2015-13611
Federal Register, Volume 80 Issue 107 (Thursday, 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
31944 Federal Register / Vol. 80, No. 107 / Thursday, June 4, 2015 / Notices

SECURITIES AND EXCHANGE Kingdom of the Netherlands, the III. Discussion and Commission
COMMISSION Republic of Finland, the Kingdom of Findings
[Release No. 34–75068; File No. SR–ICC–
Sweden, and the Kingdom of Denmark Section 19(b)(2)(C) of the Act 5 directs
2015–007] using either the 2003 or the 2014 ISDA the Commission to approve a proposed
Credit Derivatives Definitions. These rule change of a self-regulatory
Self-Regulatory Organizations; ICE additional SWES Contracts have terms organization if the Commission finds
Clear Credit LLC; Notice of Filing of consistent with the six SWES Contracts that such proposed rule change is
Amendment No. 1 and Order Granting approved for clearing at ICC and consistent with the requirements of the
Accelerated Approval of Proposed governed by Subchapter 26I of the ICC Act and the rules and regulations
Rule Change, as Modified by Rules. Specifically, ICC proposed to thereunder applicable to such self-
Amendment No. 1, To Provide for the revise Rule 26I–102 to include the regulatory organization. Section
Clearance of an Additional Western Kingdom of the Netherlands, the 17A(b)(3)(F) of the Act 6 requires, among
European Sovereign Single Name Republic of Finland, the Kingdom of other things, that the rules of a clearing
Credit Default Swap Contract Sweden, and the Kingdom of Denmark agency are designed to promote the
in the list of specific Eligible SWES prompt and accurate clearance and
May 29, 2015.
Reference Entities to be cleared by ICC. settlement of securities transactions
I. Introduction and, to the extent applicable, derivative
Additionally, ICC proposed changes agreements, contracts, and transactions,
On April 7, 2015, ICE Clear Credit
to its Risk Management Framework in to assure the safeguarding of securities
LLC (‘‘ICC’’) filed with the Securities
connection with the General Wrong and funds which are in the custody or
and Exchange Commission
(‘‘Commission’’) the proposed rule Way Risk (‘‘GWWR’’) methodology control of the clearing agency or for
change SR–ICC–2015–007 pursuant to related to the clearance of additional which it is responsible and, in general,
Section 19(b)(1) of the Securities SWES Contracts. The proposed changes to protect investors and the public
Exchange Act of 1934 (‘‘Act’’) 1 and Rule to the ICC Risk Management Framework interest.
19b–4 thereunder.2 The proposed rule would have extended the GWWR The Commission finds that the
change was published for comment in framework to the portfolio level. ICC’s proposed rule change is consistent with
the Federal Register on April 15, 2015.3 risk methodology does not currently the requirements of Section 17A of the
The Commission did not receive incorporate a Clearing Participant-level Act 7 and the rules and regulations
comments on the proposed rule change. cumulative GWWR requirement in the thereunder applicable to ICC. The
On May 27, 2015, ICC filed Amendment Jump-to-Default calculations. Currently, proposed rule change, as amended, will
No. 1 to the proposed rule change.4 The provide for the clearing of an additional
the uncollateralized wrong-way risk
Commission is publishing this notice to SWES Contract referencing the Kingdom
(‘‘WWR’’) exposure of a particular Risk of the Netherlands, which is similar to
solicit comments on Amendment No. 1 Factor needs to exceed its
from interested persons and is the other SWES Contracts currently
corresponding WWR threshold in order cleared by ICC, using ICC’s existing
approving the proposed rule change, as to trigger WWR collateralization. In the
modified by Amendment No. 1, on an clearing arrangements and related
Initial Rule Filing, ICC proposed to financial safeguards, protections and
accelerated basis. introduce an enhancement to this risk management procedures. The
II. Description of the Proposed Rule calculation to account for the potential Commission therefore finds that the
Change accumulation of portfolio WWR through proposed rule change is designed to
A. Description of the Initial Rule Filing Risk Factor specific WWR exposures. promote the prompt and accurate
Under the proposed approach, if the clearance and settlement of securities
In the Initial Rule Filing, ICC cumulative uncollateralized exposure transactions and, to the extent
proposed changes to its Clearing Rules exceeded a pre-determined portfolio applicable, derivative agreements,
(‘‘Rules’’) to provide the basis for ICC to GWWR threshold, the amount above the contracts, and transactions, and to
clear additional Standard Western assure the safeguarding of securities and
threshold would be collateralized.
European Sovereign credit default swap funds which are in the custody or
(‘‘CDS’’) contracts (collectively, ‘‘SWES B. Description of Amendment No. 1 control of the clearing agency or for
Contracts’’). ICC currently clears six which it is responsible.
SWES Contracts: the Republic of On May 27, 2015, ICC filed
Ireland, the Italian Republic, the Amendment No. 1 to the proposed rule IV. Accelerated Approval of Proposed
Portuguese Republic, the Kingdom of change. The purpose of the amendment Rule Change as Modified by
Spain, the Kingdom of Belgium, and the was to remove the Republic of Finland, Amendment No. 1
Republic of Austria. The proposed the Kingdom of Sweden, and the As discussed above, ICC submitted
changes to the ICC Rules would have Kingdom of Denmark from the proposed Amendment No. 1 to the proposed rule
provided for the clearance of additional list of additional SWES Contracts to be change to remove the Republic of
SWES Contracts referencing the cleared. Additionally, Amendment No. Finland, the Kingdom of Sweden, and
1 removed from the proposed rule the Kingdom of Denmark from the
1 15 U.S.C. 78s(b)(1). change the proposed revisions to the proposed list of contracts to be cleared
2 17 CFR 240.19b–4.
ICC Risk Management Framework and to remove proposed changes to the
3 Securities Exchange Act Release No. 34–74687
ICC Risk Management Framework
wreier-aviles on DSK5TPTVN1PROD with NOTICES

(Apr. 9, 2015), 80 FR 20278 (Apr. 15, 2015) (File related to the GWWR methodology
No. SR–ICC–2015–007) (hereinafter referred to as submitted in the Initial Rule Filing. related to its GWWR methodology from
the ‘‘Initial Rule Filing’’). Accordingly, the proposed rule change, the proposed rule change. The
4 ICC filed Amendment No. 1 to remove the
as amended, seeks approval only to Commission believes that the
Republic of Finland, the Kingdom of Sweden, and modification by Amendment No. 1 to
the Kingdom of Denmark from the proposed list of revise Rule 26I–102 to provide for the
contracts to be cleared and to remove proposed clearing of one additional SWES 5 15 U.S.C. 78s(b)(2)(C).
changes to the ICC Risk Management Framework
from the proposed rule change, as further described
Contract, specifically the Kingdom of 6 15 U.S.C. 78q–1(b)(3)(F).
below. the Netherlands. 7 15 U.S.C. 78q–1.

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Federal Register / Vol. 80, No. 107 / Thursday, June 4, 2015 / Notices 31945

the Initial Rule Filing is consistent with office of ICC and on ICC’s Web site at This notice shall be published in the
the safeguarding of securities and funds https://www.theice.com/clear-credit/ Federal Register.
in the custody or control of ICC or for regulation. Dated: May 28, 2015.
which it is responsible, and the All comments received will be posted John F. Kerry,
protection of investors and the public without change; the Commission does
Secretary of State.
interest, within the meaning of Section not edit personal identifying
17A(b)(3)(F) of the Act.8 Accordingly, [FR Doc. 2015–13663 Filed 6–3–15; 8:45 am]
information from submissions. You
the Commission finds good cause, should submit only information that BILLING CODE 4710–10–P

pursuant to Section 19(b)(2)(C)(iii) of you wish to make available publicly. All
the Act,9 to approve the proposed rule submissions should refer to File
change, as modified by Amendment No. Number SR–ICC–2015–007 and should DEPARTMENT OF TRANSPORTATION
1, prior to the thirtieth day after the date be submitted on or before June 25, 2015.
of publication of notice of Amendment Federal Aviation Administration
VI. Conclusion
No. 1 in the Federal Register.
On the basis of the foregoing, the Notice of Intent To Rule on Request To
V. Solicitation of Comments Commission finds that the proposed Release Airport Property at the Lehigh
Interested persons are invited to rule change is consistent with the Valley International Airport (ABE),
submit written data, views and requirements of the Act and in Allentown, Pennsylvania
arguments concerning the foregoing, particular with the requirements of AGENCY: Federal Aviation
including whether Amendment No. 1 is Section 17A of the Act 10 and the rules Administration (FAA), DOT.
consistent with the Act. Comments may and regulations thereunder. ACTION: Notice of request to release
be submitted by any of the following It is therefore ordered, pursuant to airport property for non-aeronautical
methods: Section 19(b)(2) of the Act,11 that the purposes.
Electronic Comments proposed rule change (SR–ICC–2015–
007), as modified by Amendment No. 1, SUMMARY: The FAA proposes to rule and
• Use the Commission’s Internet be, and hereby is, approved on an invite public comment on the release of
comment form (http://www.sec.gov/ accelerated basis.12 land for non-aeronautical purposes at
rules/sro.shtml), or the Lehigh Valley International Airport
• Send an email to rule-comments@ For the Commission, by the Division of
Trading and Markets, pursuant to delegated (ABE), Allentown, Pennsylvania under
sec.gov. Please include File No. SR–
authority.13 the provision 49 U.P.C. 47125(a).
ICC–2015–007 on the subject line.
Brent J. Fields, DATES: Comments must be received on
Paper Comments Secretary. or before July 6, 2015.
• Send paper comments in triplicate [FR Doc. 2015–13611 Filed 6–3–15; 8:45 am] ADDRESSES: Comments on this
to Secretary, Securities and Exchange BILLING CODE 8011–01–P application may be mailed or delivered
Commission, 100 F Street NE., to the following address:
Washington, DC 20549–1090. Ryan Meyer, Senior Aviation Planner,
All submissions should refer to File DEPARTMENT OF STATE Lehigh Valley International Airport,
Number SR–ICC–2015–007. This file 3311 Airport Road, Allentown,
[Public Notice: 9162]
number should be included on the Pennsylvania 18109,
subject line if email is used. To help the Rescission of Determination and at the FAA Harrisburg Airports
Commission process and review your Regarding Cuba District Office:
comments more efficiently, please use Lori K. Pagnanelli, Manager, Harrisburg
only one method. The Commission will In accordance with section 6(j) of the Airports District Office, 3905
post all comments on the Commission’s Export Administration Act of 1979 (50 Hartzdale Dr., Suite 508, Camp Hill,
Internet Web site (http://www.sec.gov/ U.S.C. App. 2405(j)), and as continued PA 17011.
rules/sro.shtml). Copies of the in effect by Executive Order 13222 of
August 17, 2001, I hereby rescind the FOR FURTHER INFORMATION CONTACT: Rick
submission, all subsequent
Determination of March 1, 1982, Harner, Civil Engineer, Harrisburg
amendments, all written statements
regarding Cuba, effective May 29, 2015. Airports District Office, location listed
with respect to the proposed rule
This action is based upon the above.
change that are filed with the
considerations contained in the The request to release property may
Commission, and all written
memorandum accompanying the be reviewed in person at this same
communications relating to the
Presidential Report of April 14, 2015, location.
proposed rule change between the
Commission and any person, other than regarding Cuba. SUPPLEMENTARY INFORMATION: The FAA
those that may be withheld from the This rescission shall also satisfy the invites public comment on the request
public in accordance with the provisions of section 620A(c) of the to release airport property for non-
provisions of 5 U.S.C. 552, will be Foreign Assistance Act of 1961, Public aeronautical purposes at the Lehigh
available for Web site viewing and Law 87–195, as amended (22 U.S.C. Valley International Airport under the
printing in the Commission’s Public 2371(c)), and section 40(f) of the Arms provisions of Section 47125(a) of Title
Reference Room, 100 F Street NE., Export Control Act, Public Law 90–629, 49 U.S.C. On May 27, 2015, the FAA
wreier-aviles on DSK5TPTVN1PROD with NOTICES

Washington, DC 20549, on official as amended (22 U.S.C. 2780(f)). determined that the request to release
business days between the hours of airport property for non-aeronautical
10:00 a.m. and 3:00 p.m. Copies of such 10 15 U.S.C. 78q–1. purposes at the Lehigh Valley
11 15 U.S.C. 78s(b)(2).
filing also will be available for International Airport (ABE),
12 In approving the proposed rule change, the
inspection and copying at the principal Pennsylvania, submitted by the Lehigh
Commission considered the proposed rule change’s
impact on efficiency, competition and capital Northampton Airport Authority
8 15 U.S.C. 78q–1(b)(3)(F). formation. 15 U.S.C. 78c(f). (Authority), met the procedural
9 15 U.S.C. 78s(b)(2)(C)(iii). 13 17 CFR 200.30–3(a)(12). requirements. Final release of the

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Document Created: 2015-12-15 15:24:19
Document Modified: 2015-12-15 15:24:19
Category		Regulatory Information
Collection		Federal Register
sudoc Class		AE 2.7: GS 4.107: AE 2.106:
Publisher		Office of the Federal Register, National Archives and Records Administration
Section		Notices
FR Citation		80 FR 31944