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)

Page Range		33573-33574
FR Document		2015-14361
Federal Register, Volume 80 Issue 113 (Friday, 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
Federal Register / Vol. 80, No. 113 / Friday, June 12, 2015 / Notices 33573

the interests of the general public in A. Self-Regulatory Organization’s the relevant requirements of Rule 17Ad–
these proceedings (Public Statement of the Purpose of, and 22.6 In particular, the amendments to
Representative). Statutory Basis for, the Proposed Rule the Risk Management Framework will
3. Comments are due no later than Change enhance the financial resources
June 15, 2015. ICC proposes revising the ICC Risk available to ICC, and are therefore
4. The Secretary shall arrange for reasonably designed to meet the margin
Management Framework to incorporate
publication of this order in the Federal and financial resource requirements of
risk model enhancements related to the
Register. Rule 17Ad–22(b)(2–3).7
General Wrong Way Risk (‘‘GWWR’’)
By the Commission. methodology. ICC believes such B. Self-Regulatory Organization’s
Shoshana M. Grove, revisions will facilitate the prompt and Statement on Burden on Competition
Secretary. accurate clearance and settlement of
securities transactions and derivative ICC does not believe the proposed
[FR Doc. 2015–14320 Filed 6–11–15; 8:45 am]
agreements, contracts, and transactions rule change will have any impact, or
BILLING CODE 7710–FW–P
for which it is responsible. The impose any burden, on competition.
proposed revisions are described in The risk model enhancements apply
detail as follows. uniformly across all market participants.
SECURITIES AND EXCHANGE Therefore, ICC does not believe the
COMMISSION The proposed changes to the ICC Risk
Management Framework extend the proposed rule change imposes any
[Release No. 34–75119; File No. SR–ICC– GWWR framework to the portfolio level. burden on competition that is
2015–009] Currently, there exists no Clearing inappropriate in furtherance of the
Participant-level cumulative GWWR purposes of the Act.
Self-Regulatory Organizations; ICE
requirement incorporated in the Jump- C. Self-Regulatory Organization’s
Clear Credit LLC; Notice of Filing of
to-Default calculations. The Statement on Comments on the
Proposed Rule Change
uncollateralized WWR exposure of a Proposed Rule Change Received From
June 8, 2015. Risk Factor needs to exceed its Members, Participants or Others
Pursuant to Section 19(b)(1) of the corresponding WWR threshold in order
Securities Exchange Act of 1934 to trigger WWR collateralization. The Written comments relating to the
(‘‘Act’’) 1 and Rule 19b–4 thereunder 2 proposed enhancement is introduced to proposed rule change have not been
notice is hereby given that on May 28, account for the potential accumulation solicited or received. ICC will notify the
2015, ICE Clear Credit LLC (‘‘ICC’’) filed of portfolio WWR through Risk Factor Commission of any written comments
with the Securities and Exchange specific WWR exposures. Under the received by ICC.
Commission (‘‘Commission’’) the proposed approach, if the cumulative III. Date of Effectiveness of the
proposed rule change as described in uncollateralized exposure exceeds a pre- Proposed Rule Change and Timing for
Items I, II, and III below, which Items determined portfolio GWWR threshold, Commission Action
have been prepared primarily by ICC. the amount above the threshold is
The Commission is publishing this collateralized. Within 45 days of the date of
notice to solicit comments on the Section 17A(b)(3) of the Act requires, publication of this notice in the Federal
proposed rule change from interested among other things, that the rules of a Register or within such longer period
persons. clearing agency be designed to promote up to 90 days (i) as the Commission may
the prompt and accurate clearance and designate if it finds such longer period
I. Self-Regulatory Organization’s settlement of securities transactions to be appropriate and publishes its
Statement of the Terms of Substance of and, to the extent applicable, derivative reasons for so finding or (ii) as to which
the Proposed Rule Change agreements, contracts, and transactions 3 the self-regulatory organization
The principal purpose of the and to comply with the provisions of consents, the Commission will:
proposed rule change is to revise the the Act and the rules and regulations (A) By order approve or disapprove
ICC Risk Management Framework to thereunder.4 ICC believes that the such proposed rule change, or
incorporate certain risk model proposed rule change is consistent with (B) institute proceedings to determine
enhancements. These revisions do not the requirements of the Act and the whether the proposed rule change
require any changes to the ICC Clearing rules and regulations thereunder should be disapproved.
Rules (‘‘Rules’’). applicable to ICC, in particular, Section IV. Solicitation of Comments
17(A)(b)(3)(F),5 because ICC believes
II. Self-Regulatory Organization’s Interested persons are invited to
that the proposed rule change will
Statement of the Purpose of, and submit written data, views, and
promote the prompt and accurate
Statutory Basis for, the Proposed Rule arguments concerning the foregoing,
clearance and settlement of securities
Change including whether the proposed rule
transactions, derivatives agreements,
In its filing with the Commission, ICC contracts, and transactions, as the change is consistent with the Act.
included statements concerning the proposed risk model revisions enhance Comments may be submitted by any of
purpose of and basis for the proposed risk policies and are expected to impose the following methods:
rule change and discussed any more conservative initial margin Electronic Comments
comments it received on the proposed requirements, which would enhance the
rule change. The text of these statements financial resources available to ICC and • Use the Commission’s Internet
mstockstill on DSK4VPTVN1PROD with NOTICES

may be examined at the places specified thereby facilitate its ability to promptly comment form (http://www.sec.gov/
in Item IV below. ICC has prepared and accurately clear and settle its rules/sro.shtml); or
summaries, set forth in sections A, B, cleared CDS contracts. In addition, the • Send an email to rule-comments@
and C below, of the most significant proposed revisions are consistent with sec.gov. Please include File Number SR–
aspects of these statements. ICC–2015–009 on the subject line.
3 15 U.S.C. 78q–1(b)(3)(F).
1 15 U.S.C. 78s(b)(1). 4 15 U.S.C. 78q–1(b)(3)(A). 6 17 CFR 240.17Ad–22.
2 17 CFR 240.19b–4. 5 15 U.S.C. 78q–1(b)(3)(F). 7 17 CFR 240.17Ad–22(b)(2–3).

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33574 Federal Register / Vol. 80, No. 113 / Friday, June 12, 2015 / Notices

Paper Comments SECURITIES AND EXCHANGE Exchange’s Office of the Secretary, and
COMMISSION at the Commission.
• Send paper comments in triplicate
to Secretary, Securities and Exchange [Release No. 34–75053; File No. SR–Phlx– II. Self-Regulatory Organization’s
Commission, 100 F Street NE., 2015–46] Statement of the Purpose of, and
Washington, DC 20549–1090. Statutory Basis for, the Proposed Rule
Self-Regulatory Organizations; Change
All submissions should refer to File NASDAQ OMX PHLX LLC; Notice of
Number SR–ICC–2015–009. This file In its filing with the Commission, the
Filing of Proposed Rule Change To self-regulatory organization included
number should be included on the Amend the Amended and Restated statements concerning the purpose of
subject line if email is used. To help the Certificate of Incorporation and By- and basis for the proposed rule change
Commission process and review your Laws of The NASDAQ OMX Group, Inc. and discussed any comments it received
comments more efficiently, please use on the proposed rule change. The text
May 27, 2015.
only one method. The Commission will of those statements may be examined at
post all comments on the Commission’s Correction the places specified in Item IV below.
Internet Web site (http://www.sec.gov/ In notice document 2015–13175, The Exchange has prepared summaries,
rules/sro.shtml). Copies of the appearing on pages 31439–31440 in the set forth in sections A, B, and C below,
submission, all subsequent issue of Tuesday, June 2, 2015, make the of the most significant parts of such
amendments, all written statements following correction: statements.
with respect to the proposed rule On page 31440, in the first column, on
change that are filed with the A. Self-Regulatory Organization’s
the last line, ‘‘June 22, 2015.’’ should Statement of the Purpose of, and
Commission, and all written read ‘‘June 23, 2015.’’ Statutory Basis for, the Proposed Rule
communications relating to the [FR Doc. C1–2015–13175 Filed 6–11–15; 8:45 am] Change
proposed rule change between the BILLING CODE 1505–01–D
Commission and any person, other than 1. Purpose
those that may be withheld from the In February 2006, CBOE began trading
public in accordance with the SECURITIES AND EXCHANGE options that expire monthly on the
provisions of 5 U.S.C. 552, will be COMMISSION CBOE Volatility Index (‘‘VIX’’), which
available for Web site viewing and measures a 30-day period of implied
printing in the Commission’s Public [Release No. 34–75120; File No. SR–CBOE–
2015–050] volatility. Last year, CBOE introduced
Reference Room, 100 F Street NE., weekly expiring options on the CBOE
Washington, DC 20549, on official Self-Regulatory Organizations; Short-Term Volatility Index (‘‘VXST’’),
business days between the hours of Chicago Board Options Exchange, which measures a nine-day implied
10:00 a.m. and 3:00 p.m. Copies of such Incorporated; Notice of Filing of volatility period.3 The purpose of this
filings will also be available for Proposed Rule Change to Expire proposed rule change is to expire 30-day
inspection and copying at the principal CBOE Volatility Index (VIX) Options VIX options every week.4 VIX options
office of ICE Clear Credit and on ICE Every Week would continue to trade as they do
Clear Credit’s Web site at https:// today and they would be subject to all
June 8, 2015. of the same rules they are subject to
www.theice.com/clear-credit/regulation.
Pursuant to Section 19(b)(1) of the today, except as proposed to be
All comments received will be posted Securities Exchange Act of 1934 modified herein.
without change; the Commission does (‘‘Act’’),1 and Rule 19b–4 thereunder,2 In its capacity as the Reporting
not edit personal identifying notice is hereby given that, on June 1, Authority, CBOE enhanced the VIX
information from submissions. You 2015, Chicago Board Options Exchange, Index (cash/spot value) to include P.M.-
should submit only information that Incorporated (the ‘‘Exchange’’ or settled S&P 500 Index End-of-Week
you wish to make available publicly. All ‘‘CBOE’’) filed with the Securities and expirations (‘‘SPXWs’’) in 2014.5 The
submissions should refer to File Exchange Commission (‘‘Commission’’) inclusion of SPXWs allows the VIX
Number SR–ICC–2015–009 and should the proposed rule change as described Index to be calculated with SPX option
be submitted on or before July 6, 2015. in Items I, II, and III below, which Items series that most precisely match the 30-
For the Commission, by the Division of have been prepared by the Exchange. day target timeframe for expected
Trading and Markets, pursuant to delegated The Commission is publishing this volatility that the VIX Index is intended
authority.8 notice to solicit comments on the to represent. Using SPX options with
proposed rule change from interested more than 23 days and less than 37 days
Robert W. Errett,
persons. to expiration ensures that the VIX Index
Deputy Secretary.
I. Self-Regulatory Organization’s will always reflect an interpolation of
[FR Doc. 2015–14361 Filed 6–11–15; 8:45 am]
BILLING CODE 8011–01–P
Statement of the Terms of Substance of
3 See Securities Exchange Act Release No. 71764
the Proposed Rule Change
(March 21, 2014), 79 FR 17212 (March 27, 2014)
CBOE proposes to amend certain of its (Order Granting Approval of Proposed Rule Change
rules to expire CBOE Volatility Index to List and Trade CBOE Short-Term Volatility Index
Options) (SR–CBOE–2014–003).
mstockstill on DSK4VPTVN1PROD with NOTICES

(‘‘VIX’’) options every week. The text of 4 CBOE Futures Exchange, LLC (‘‘CFE’’) also
the proposed rule change is available on plans to expire 30-day VIX futures weekly prior to
the Exchange’s Web site http://www. expiring 30-day VIX options weekly on CBOE.
cboe.com/AboutCBOE/CBOELegal 5 This enhancement did not impact the exercise

RegulatoryHome.aspx), at the settlement value for VIX options and futures, which
continue to use the same VIX Index formula and the
opening prices of standard (i.e., third Friday
1 15 U.S.C. 78s(b)(1). expiration) S&P 500 Index (‘‘SPX’’) option series
8 17 CFR 200.30–3(a)(12). 2 17 CFR 240.19b–4. with 30 days to expiration.

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Document Created: 2018-02-22 10:15:55
Document Modified: 2018-02-22 10:15:55
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 33573