80 FR 33573 - Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of Filing of Proposed Rule Change

SECURITIES AND EXCHANGE COMMISSION

Federal Register Volume 80, Issue 113 (June 12, 2015)

[Federal Register Volume 80, Number 113 (Friday, June 12, 2015)]
[Notices]
[Pages 33573-33574]
From the Federal Register Online  [www.thefederalregister.org]
[FR Doc No: 2015-14361]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-75119; File No. SR-ICC-2015-009]


Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of 
Filing of Proposed Rule Change

June 8, 2015.
    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 May 28, 2015, ICE Clear Credit LLC (``ICC'') 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 ICC. 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

    The principal purpose of the proposed rule change is to revise the 
ICC Risk Management Framework to incorporate certain risk model 
enhancements. These revisions do not require any changes to the ICC 
Clearing Rules (``Rules'').

II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, ICC 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. ICC has prepared summaries, set forth in sections A, B, 
and C below, of the most significant aspects of these statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    ICC proposes revising the ICC Risk Management Framework to 
incorporate risk model enhancements related to the General Wrong Way 
Risk (``GWWR'') methodology. ICC believes such revisions will 
facilitate the prompt and accurate clearance and settlement of 
securities transactions and derivative agreements, contracts, and 
transactions for which it is responsible. The proposed revisions are 
described in detail as follows.
    The proposed changes to the ICC Risk Management Framework extend 
the GWWR framework to the portfolio level. Currently, there exists no 
Clearing Participant-level cumulative GWWR requirement incorporated in 
the Jump-to-Default calculations. The uncollateralized WWR exposure of 
a Risk Factor needs to exceed its corresponding WWR threshold in order 
to trigger WWR collateralization. The proposed enhancement is 
introduced to account for the potential accumulation of portfolio WWR 
through Risk Factor specific WWR exposures. Under the proposed 
approach, if the cumulative uncollateralized exposure exceeds a pre-
determined portfolio GWWR threshold, the amount above the threshold is 
collateralized.
    Section 17A(b)(3) of the Act 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 \3\ and to comply with the provisions of the Act and the 
rules and regulations thereunder.\4\ ICC believes that the proposed 
rule change is consistent with the requirements of the Act and the 
rules and regulations thereunder applicable to ICC, in particular, 
Section 17(A)(b)(3)(F),\5\ because ICC believes that the proposed rule 
change will promote the prompt and accurate clearance and settlement of 
securities transactions, derivatives agreements, contracts, and 
transactions, as the proposed risk model revisions enhance risk 
policies and are expected to impose more conservative initial margin 
requirements, which would enhance the financial resources available to 
ICC and thereby facilitate its ability to promptly and accurately clear 
and settle its cleared CDS contracts. In addition, the proposed 
revisions are consistent with the relevant requirements of Rule 17Ad-
22.\6\ In particular, the amendments to the Risk Management Framework 
will enhance the financial resources available to ICC, and are 
therefore reasonably designed to meet the margin and financial resource 
requirements of Rule 17Ad-22(b)(2-3).\7\
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    \3\ 15 U.S.C. 78q-1(b)(3)(F).
    \4\ 15 U.S.C. 78q-1(b)(3)(A).
    \5\ 15 U.S.C. 78q-1(b)(3)(F).
    \6\ 17 CFR 240.17Ad-22.
    \7\ 17 CFR 240.17Ad-22(b)(2-3).
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B. Self-Regulatory Organization's Statement on Burden on Competition

    ICC does not believe the proposed rule change will have any impact, 
or impose any burden, on competition. The risk model enhancements apply 
uniformly across all market participants. Therefore, ICC does not 
believe the proposed rule change imposes any burden on competition that 
is inappropriate in furtherance of the purposes of the Act.

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 such 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 [email protected]. Please include 
File Number SR-ICC-2015-009 on the subject line.

[[Page 33574]]

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-2015-009. 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 filings will also be available 
for inspection and copying at the principal office of ICE Clear Credit 
and on ICE Clear Credit'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-2015-009 
and should be submitted on or before July 6, 2015.
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    \8\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\8\
Robert W. Errett,
Deputy Secretary.
[FR Doc. 2015-14361 Filed 6-11-15; 8:45 am]
 BILLING CODE 8011-01-P