80 FR 42146 - Self-Regulatory Organizations; ICE Clear Europe Limited; Notice of Filing of Proposed Rule Change Relating to Credit Default Swap Risk Policies
SECURITIES AND EXCHANGE COMMISSION Federal Register Volume 80, Issue 136 (July 16, 2015)
Federal Register Volume 80, Issue 136 (July 16, 2015)
| Page Range | 42146-42149 | |
| FR Document | 2015-17399 |
[Federal Register Volume 80, Number 136 (Thursday, July 16, 2015)] [Notices] [Pages 42146-42149] From the Federal Register Online [www.thefederalregister.org] [FR Doc No: 2015-17399] ----------------------------------------------------------------------- SECURITIES AND EXCHANGE COMMISSION [Release No. 34-75426; File No. SR-ICEEU-2015-010] Self-Regulatory Organizations; ICE Clear Europe Limited; Notice of Filing of Proposed Rule Change Relating to Credit Default Swap Risk Policies July 10, 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 June 25, 2015, ICE Clear Europe Limited (``ICE Clear Europe'' or the ``Clearing House'') 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 primarily prepared by ICE Clear Europe. The Commission is publishing this notice to solicit comments on the proposed changes to the rules from interested persons. --------------------------------------------------------------------------- \1\ 15 U.S.C. 78s(b)(1). \2\ 17 CFR 240.19b-4. --------------------------------------------------------------------------- I. Self-Regulatory Organization's Statement of the Terms of Substance of the Proposed Rule Change ICE Clear Europe proposes to amend certain of its credit default swap (``CDS'') risk policies (the ``Risk Policy Amendments'') in order to enhance its current risk model. 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. 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 such statements. A. Self-Regulatory Organization's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change 1. Purpose The principal purpose of the proposed rule change is to amend certain ICE Clear Europe risk policies relating to the CDS product category to incorporate enhancements to the existing CDS risk model. The relevant policies being modified are the CDS Risk Policy (``CDS Risk Policy'') and the CDS Risk Model Description (``Risk Model Description''). ICE Clear Europe does not propose to make any changes to its Clearing Rules or Procedures in connection with these amendments. The proposed rule change would, among other matters, (i) modify the credit spread response component of the risk model to devolatilize returns, (ii) enhance the portfolio spread response component of the risk model to limit procyclicality, (iii) establish a new framework for recovery rate sensitivity requirement (``RRSR'') parameters, (iv) modify the CDS Guaranty Fund allocation methodology, (v) modify index liquidity and concentration charges and (vi) revise procedures for intraday margin calls. The Risk Policy Amendments also include certain other clarifications and conforming changes. The following is a summary of the principal changes in the Risk Policy Amendments: Devolatilization of Credit Spread Response. Under the revised Risk Model Description, the credit spread response component of the margin model would be revised to provide that the tail estimation of the relevant fitted returns distribution is based on devolatilized returns. The use of devolatilized returns in this manner facilitates the comparison of returns for periods with different volatilities. Procyclicality of Portfolio Spread Response. In order to limit procyclicality of the spread response component of the model, ICE Clear Europe proposes to modify the CDS Risk Policy and Risk Model Description to use an additional portfolio analysis that features price changes observed during and immediately after the Lehman Brothers default. The analysis considers price scenarios derived from the greatest price decrease and increase during and immediately after the Lehman Brothers default. These scenarios are designed to capture the default of a major participant in the credit market and the market response to the event. The introduced scenarios are defined in price terms to maintain the stress severity during periods of low credit spread levels (high price) when the spread response requirements, computed under the current framework, are expected to be lower. Furthermore, the Lehman default price scenarios are also incorporated into the calculation of CDS Guaranty Fund requirements.\3\ --------------------------------------------------------------------------- \3\ This enhancement also addresses a regulatory requirement in Article 30 of the Regulatory Technical Standards implementing the European Market Infrastructure Regulations (``EMIR''). Commission Delegated Regulation (EU) No. 153/2013 of 19 December 2012 Supplementing Regulation (EU) No. 648/2012 of the European Parliament and of the Council with regard to Regulatory Technical Standards on Requirements for Central Counterparties (the ``Regulatory Technical Standards''). --------------------------------------------------------------------------- Recovery Rate Sensitivity Requirements ICE Clear Europe proposes to revise the Risk Model Description to incorporate a more sensitive parameter estimation approach for the RRSR computation. The RRSR factor is designed to capture the risk of fluctuations in market expected recovery rates under CDS transactions. Under the current model, the RRSR is determined using fixed minimum and maximum recovery rate stress scenarios based on sector levels. In calculating the RRSR, all instruments belonging to a risk factor (``RF'') or risk sub-factor (``RSF'') are subjected to recovery rate stress scenarios to obtain resulting profit/loss responses, and the worst scenario response is chosen for the estimation of the RRSR. (In addition, these same recovery rate stress scenarios [[Page 42147]] are used in determination of jump-to-default requirements.) ICE Clear Europe proposes separating the recovery rate stress levels for these two computations in order to introduce more dynamic and appropriate estimations of the recovery rate stress levels for RRSR purposes. Under the revised framework, the recovery rate levels for RRSR purposes will be determined using a 5-day, 99% confidence interval expected shortfall risk measure assuming a distribution of recovery rate fluctuations. The proposal will also eliminate index RRSR, as index recovery rates are assumed under relevant market convention and are thus not subject to market uncertainty. The dynamic feature of the revised stress level estimations is achieved by analyzing historical time series of recovery rates in order to calibrate a statistical model with a time varying volatility. In ICE Clear Europe's view, the proposed enhancements provide a robust and quantitative driven approach for establishing the recovery rate stress scenarios. Modifications to Guaranty Fund Methodology. ICE Clear Europe proposes certain clarifications and enhancements to its CDS Guaranty Fund methodology. The Risk Model Description has been revised to clarify that the CDS Guaranty Fund size is calculated to cover losses associated with the default of the two Clearing Members and their affiliates that create the greatest cumulative uncollateralized loss under extreme but plausible scenarios. Certain other clarifications have been made in the calculation of the various components of the overall CDs Guaranty Fund requirement. ICE Clear Europe also proposes to modify the procedure for allocating CDS Guaranty Fund requirements among the CDS Clearing Members. Under the existing model, CDS Guaranty Fund allocations reflect a risk ``silo'' approach, in which a Clearing Member's contribution reflects its uncollateralized exposure for each CDS Guaranty Fund component or ``silo''. Under the current approach, allocations can significantly fluctuate in response to position changes in the portfolios of the Clearing Members that drive the CDS Guaranty Fund size, and in response to the distribution of the total CDS Guaranty Fund size across all ``silos''. The Clearing House proposes modifying the methodology, so that the allocations are based on the Clearing Members' total unconditional uncollateralized losses in the CDS product category.\4\ Under the proposed approach, the allocations are independent of the distribution of the uncollateralized losses across the ``silos''. In ICE Clear Europe's view, the new allocation methodology reflects an improved and more stable approach which allows for easier attributions of contributions to individual CDS Clearing Member or client portfolios. --------------------------------------------------------------------------- \4\ The existing specific wrong way risk component of the CDS Guaranty Fund calculation is maintained. --------------------------------------------------------------------------- The CDS Risk Policy's discussion of the ICE Clear Europe's initial CDS Guaranty Fund contribution has been revised to be consistent with the requirements of the Finance Procedures. Index Liquidity and Concentration Charges ICE Clear Europe proposes to modify the liquidity charge calculation in the margin model as it applies to index CDS positions. (The existing liquidity charge calculation for single-name CDS will remain unchanged.) The revised approach will address calculation of liquidity charges where index CDS is traded under either price or spread terms, and will calculate a separate liquidity charge for positions in each series of the relevant index. The revised approach also limits the reduction in liquidity charge for offsetting positions across different series of the same index family, by applying the greater of the liquidity charge applicable to the long and short positions in the relevant portfolio in the same index family. Under the revised methodology, the reduction in liquidity charge is greatest across positions in the ``on-the-run'' (current) index and first (most recent) ``off-the-run'' indices, with a higher reduction during the period immediately following the index roll (when the two indices are treated as effectively the same index) and a lower reduction over time as the liquidity of contracts in the two series diverge. Similarly, ICE Clear Europe proposes to modify the concentration charge calculation for index CDS positions. (Again, the existing approach for single-name CDS will not change.) The revised framework provides for calculation of series-specific concentration charges, based on the direction of the 5-year equivalent notional amount or the net notional amount of positions in the particular series and a series threshold limit (above which the concentration charge is imposed). Series threshold limits are expected to be higher for the on-the-run and the first off-the-run index series, and are determined based on a formula comparing the open interest in the series to the on-the-run open interest. Intraday Margin Calls Certain amendments are proposed to the intra-day risk monitoring and special margin call processes. Intra-day margin calls will be made based on an ``Intraday Risk Limit.'' The Intraday Risk Limit is set at the Clearing Member level and is calculated based on 40% of the total initial margin requirements (across all account classes), with a minimum amount of EUR 15 million and a maximum of EUR 100 million. Intra-day margin calls will be made on the following basis: (i) Where there has been a 50% erosion of the Intraday Risk Limit, the Risk Department will investigate what is driving the shortfall and monitor the CDS Clearing Member, (ii) where the erosion of the Intraday Risk Limit exceeds 50%, the Risk Department will inform the CDS Clearing Member that its initial margin may cease to be sufficient and that it may be subject to an intraday margin call, and (iii) where there has been a 100% erosion of the Intraday Risk Limit, the Risk Department will issue an intraday margin call to the CDS Clearing Member (and will also contact it by telephone and/or email) for a sum sufficient to reduce the level of Intraday Risk Limit erosion back to 0%. The member intraday shortfall is the sum of intraday shortfalls at account level (i.e. house and client accounts), and the account level shortfall represents the unrealized profit and loss from the aggregate change in the Mark-to-Market Margin and Initial Margin. Governance. The CDS Risk Policy has been revised to address in further detail management and governance oversight in a new Management and Governance Oversight section. The new section provides that the CDS Director of Risk is responsible for ensuring that the CDS Risk Policy remains up-to-date and is reviewed in accordance with certain guidelines. The Risk Working Group (``RWG'') and Trading Advisory Committee (``TAC'') will provide on-going consultation and support with respect to the CDS Risk Policy. The composition of the RWG and the TAC include both ICE Clear Europe Management and Clearing Member representatives, mainly from risk, trading and compliance areas. Changes to the CDS Risk Policy are subject to initial approval by the Director of Risk and may be determined in consultation with the RWG and/or the TAC. Any changes that affect the risk profile of ICE Clear Europe are subject to Board approval on the advice and support of the CDS Risk Committee [[Page 42148]] and the Board Risk Committee. In addition, the CDS Risk Policy is subject to at least an annual routine approval by the Board, after consultation with the CDS Risk Committee and the Board Risk Committee. CDS risk model performance testing is subject to review by the Director of Risk and reported to the CDS Risk Committee and the Board Risk Committee. Additional Changes. The Risk Policy Amendments contain certain other clarifications and enhancements. Certain clarifications are made in the CDS Risk Policy with respect to wrong way risk requirements. The policy has also been revised to clarify that the currency specific initial margin requirements must cover at least the specific and general wrong way risk components of the initial margin requirement for the relevant currency. The CDS Risk Policy has also been revised to incorporate (without change) from the Clearing House's existing CDS clearing membership policy the capital-to-margin ratio limit (which requires that certain remedial actions be taken if the margin requirement for a Clearing Member's CDS positions would exceed three times the Clearing Member's capital as set forth on its balance sheet). The description of the Clearing House's Monte Carlo model has been revised to clarify that model parameters used are the same as those used in the credit spread model. Various other defined terms and certain obsolete references have been updated throughout the CDS Risk Policy and Risk Model Description. 2. Statutory Basis ICE Clear Europe believes that the proposed rule change is consistent with the requirements of section 17A of the Act \5\ and the regulations thereunder applicable to it, including the standards under Rule 17Ad-22.\6\ Section 17A(b)(3)(F) of the Act \7\ 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, the safeguarding of securities and funds in the custody or control of the clearing agency, and the protection of investors and the public interest. The proposed rule change is designed to enhance relevant risk policies, impose more conservative initial margin requirements and in general tailor CDS margin and guaranty fund requirements more closely to the specific risks presented by cleared CDS Contracts. As a result, ICE Clear Europe believes that the proposed rule change will enhance the financial resources available to the Clearing House and enhance the stability of the clearing system, by reducing the risk to market participants of a default by a CDS Clearing Member or customer. The amendments thereby facilitate the Clearing House's ability to promptly and accurately clear and settle CDS contracts, within the meaning of section 17(A)(b)(3)(F).\8\ --------------------------------------------------------------------------- \5\ 15 U.S.C. 78q-1. \6\ 17 CFR 240.17Ad-22. \7\ 15 U.S.C. 78q-1(b)(3)(F). \8\ 15 U.S.C. 78q-1(b)(3)(F). --------------------------------------------------------------------------- In addition, the Risk Policy Amendments are consistent with the relevant requirements of Rule 17Ad-22.\9\ In particular, the amendments to the CDS Risk Policy and Risk Model Description will enhance the financial resources available to the clearing house by imposing more appropriate initial margin requirements for CDS, and are therefore reasonably designed to meet the margin and financial resources requirements of Rule 17Ad-22(b)(2-3).\10\ Additionally, the amendments to the CDS Guaranty Fund methodology further ensure that the Clearing House maintains sufficient financial resources for CDS clearing, consistent with the requirements of Rule 17Ad-22(b)(3).\11\ The changes also enhance and clarify the Clearing House's governance process concerning review and modification of the CDS risk policies, consistent with the requirements of Rule 17Ad-22(d)(8).\12\ For the reasons noted above, ICE Clear Europe believes that the proposed Risk Policy Amendments are consistent with the requirements of Section 17A of the Act and regulations thereunder applicable to it. --------------------------------------------------------------------------- \9\ 17 CFR 240.17Ad-22. \10\ 17 CFR 240.17Ad-22(b)(2-3). \11\ 17 CFR 240.17Ad-22(b)(3). \12\ 17 CFR 240.17Ad-22(d)(8). --------------------------------------------------------------------------- B. Self-Regulatory Organization's Statement on Burden on Competition ICE Clear Europe does not believe the Risk Policy Amendments would have any impact, or impose any burden, on competition not necessary or appropriate in furtherance of the purposes of the Act. The Risk Policy Amendments will apply to all CDS Clearing Members, and the changes to the margin model applicable to customer business will apply to all other market participants. ICE Clear Europe does not believe that the adoption of the policy amendments will adversely affect competition among Clearing Members, or the ability of market participants to clear contracts generally. The Clearing House also does not believe that the amendments will reduce access to clearing CDS contracts generally or limit market participants' choices for clearing CDS. The Risk Policy Amendments may result in higher initial margin or guaranty fund requirements for certain positions or portfolios of CDS, which may increase the costs for some Clearing Member and other market participants of trading or carrying those positions or portfolios. However, ICE Clear Europe believes that the amendments appropriately tailor CDS margin and guaranty fund requirements to the risks presented by particular CDS positions, and that the amendments will therefore enhance the Clearing House's financial resources and risk management. As a result, in ICE Clear Europe's view, any incremental increase in cost resulting from such higher margin or guaranty fund requirements is warranted in light of the risks posed to the Clearing House. ICE Clear Europe therefore believes that any impact on competition from the amendments is appropriate 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 rule changes 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 CommentsUse the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml) or [[Page 42149]] Send an email to [email protected]. Please include File Number SR-ICEEU-2015-010 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-ICEEU-2015-010. 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 Europe and on ICE Clear Europe's Web site at https://www.theice.com/clear-europe/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- ICEEU-2015-010 and should be submitted on or before August 6, 2015. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.\13\ --------------------------------------------------------------------------- \13\ 17 CFR 200.30-3(a)(12). --------------------------------------------------------------------------- Jill M. Peterson, Assistant Secretary. [FR Doc. 2015-17399 Filed 7-15-15; 8:45 am] BILLING CODE 8011-01-P
![42146 Federal Register / Vol. 80, No. 136 / Thursday, July 16, 2015 / Notices
Commission process and review your have been primarily prepared by ICE Description, the credit spread response
comments more efficiently, please use Clear Europe. The Commission is component of the margin model would
only one method. The Commission will publishing this notice to solicit be revised to provide that the tail
post all comments on the Commission’s comments on the proposed changes to estimation of the relevant fitted returns
Internet Web site (http://www.sec.gov/ the rules from interested persons. distribution is based on devolatilized
rules/sro.shtml). Copies of the returns. The use of devolatilized returns
I. Self-Regulatory Organization’s
submission, all subsequent in this manner facilitates the
Statement of the Terms of Substance of
amendments, all written statements comparison of returns for periods with
the Proposed Rule Change
with respect to the proposed rule different volatilities.
change that are filed with the ICE Clear Europe proposes to amend Procyclicality of Portfolio Spread
Commission, and all written certain of its credit default swap Response. In order to limit
communications relating to the (‘‘CDS’’) risk policies (the ‘‘Risk Policy procyclicality of the spread response
proposed rule change between the Amendments’’) in order to enhance its component of the model, ICE Clear
Commission and any person, other than current risk model. Europe proposes to modify the CDS Risk
those that may be withheld from the II. Self-Regulatory Organization’s Policy and Risk Model Description to
public in accordance with the Statement of the Purpose of, and use an additional portfolio analysis that
provisions of 5 U.S.C. 552, will be Statutory Basis for, the Proposed Rule features price changes observed during
available for Web site viewing and Change and immediately after the Lehman
printing in the Commission’s Public Brothers default. The analysis considers
Reference Room, 100 F Street NE., In its filing with the Commission, ICE
Clear Europe included statements price scenarios derived from the greatest
Washington, DC 20549, on official price decrease and increase during and
business days between the hours of concerning the purpose of and basis for
the proposed rule change. The text of immediately after the Lehman Brothers
10:00 a.m. and 3:00 p.m. Copies of such default. These scenarios are designed to
filing will also be available for these statements may be examined at
the places specified in Item IV below. capture the default of a major
inspection and copying at the principal participant in the credit market and the
office of the Exchange. All comments ICE Clear Europe has prepared
summaries, set forth in sections (A), (B), market response to the event. The
received will be posted without change; introduced scenarios are defined in
the Commission does not edit personal and (C) below, of the most significant
aspects of such statements. price terms to maintain the stress
identifying information from severity during periods of low credit
submissions. You should submit only A. Self-Regulatory Organization’s spread levels (high price) when the
information that you wish to make Statement of the Purpose of, and spread response requirements,
available publicly. All submissions Statutory Basis for, the Proposed Rule computed under the current framework,
should refer to File Number SR–BATS– Change are expected to be lower. Furthermore,
2015–52 and should be submitted on or the Lehman default price scenarios are
before August 6, 2015. 1. Purpose
also incorporated into the calculation of
For the Commission, by the Division of The principal purpose of the
CDS Guaranty Fund requirements.3
Trading and Markets, pursuant to delegated proposed rule change is to amend
authority.24 certain ICE Clear Europe risk policies Recovery Rate Sensitivity Requirements
Jill M. Peterson, relating to the CDS product category to
ICE Clear Europe proposes to revise
Assistant Secretary. incorporate enhancements to the
the Risk Model Description to
existing CDS risk model. The relevant
[FR Doc. 2015–17395 Filed 7–15–15; 8:45 am] incorporate a more sensitive parameter
policies being modified are the CDS
BILLING CODE 8011–01–P estimation approach for the RRSR
Risk Policy (‘‘CDS Risk Policy’’) and the
CDS Risk Model Description (‘‘Risk computation. The RRSR factor is
Model Description’’). ICE Clear Europe designed to capture the risk of
SECURITIES AND EXCHANGE fluctuations in market expected
COMMISSION does not propose to make any changes
to its Clearing Rules or Procedures in recovery rates under CDS transactions.
[Release No. 34–75426; File No. SR–ICEEU– connection with these amendments. Under the current model, the RRSR is
2015–010] The proposed rule change would, determined using fixed minimum and
among other matters, (i) modify the maximum recovery rate stress scenarios
Self-Regulatory Organizations; ICE based on sector levels. In calculating the
credit spread response component of the
Clear Europe Limited; Notice of Filing RRSR, all instruments belonging to a
risk model to devolatilize returns, (ii)
of Proposed Rule Change Relating to risk factor (‘‘RF’’) or risk sub-factor
enhance the portfolio spread response
Credit Default Swap Risk Policies (‘‘RSF’’) are subjected to recovery rate
component of the risk model to limit
July 10, 2015. procyclicality, (iii) establish a new stress scenarios to obtain resulting
Pursuant to section 19(b)(1) of the framework for recovery rate sensitivity profit/loss responses, and the worst
Securities Exchange Act of 1934 requirement (‘‘RRSR’’) parameters, (iv) scenario response is chosen for the
(‘‘Act’’) 1 and Rule 19b–4 thereunder 2 modify the CDS Guaranty Fund estimation of the RRSR. (In addition,
notice is hereby given that on June 25, allocation methodology, (v) modify these same recovery rate stress scenarios
2015, ICE Clear Europe Limited (‘‘ICE index liquidity and concentration
3 This enhancement also addresses a regulatory
Clear Europe’’ or the ‘‘Clearing House’’) charges and (vi) revise procedures for
requirement in Article 30 of the Regulatory
filed with the Securities and Exchange intraday margin calls. The Risk Policy Technical Standards implementing the European
tkelley on DSK3SPTVN1PROD with NOTICES
Commission (‘‘Commission’’) the Amendments also include certain other Market Infrastructure Regulations (‘‘EMIR’’).
proposed rule change as described in clarifications and conforming changes. Commission Delegated Regulation (EU) No. 153/
Items I, II, and III below, which Items The following is a summary of the 2013 of 19 December 2012 Supplementing
principal changes in the Risk Policy Regulation (EU) No. 648/2012 of the European
Parliament and of the Council with regard to
24 17 CFR 200.30–3(a)(12). Amendments: Regulatory Technical Standards on Requirements
1 15 U.S.C. 78s(b)(1). Devolatilization of Credit Spread for Central Counterparties (the ‘‘Regulatory
2 17 CFR 240.19b–4. Response. Under the revised Risk Model Technical Standards’’).
VerDate Sep<11>2014 17:39 Jul 15, 2015 Jkt 235001 PO 00000 Frm 00062 Fmt 4703 Sfmt 4703 E:\FR\FM\16JYN1.SGM 16JYN1](https://thefederalregister.org/doc/80_FR_42282/page/1.svg)
![Federal Register / Vol. 80, No. 136 / Thursday, July 16, 2015 / Notices 42149
• Send an email to rule-comments@ SECURITIES AND EXCHANGE A. Self-Regulatory Organization’s
sec.gov. Please include File Number SR– COMMISSION Statement of the Purpose of, and
ICEEU–2015–010 on the subject line. Statutory Basis for, the Proposed Rule
[Release No. 34–75428; File No. SR–FINRA– Change
Paper Comments
2015–025] 1. Purpose
• Send paper comments in triplicate FINRA Rule 6730 (Transaction
to Secretary, Securities and Exchange Self-Regulatory Organizations;
Reporting) generally requires that each
Commission, 100 F Street NE., Financial Industry Regulatory
FINRA member that is a Party to a
Washington, DC 20549–1090. Authority, Inc.; Notice of Filing of a Transaction 3 in a TRACE-Eligible
Proposed Rule Change To Amend Security 4 report the transaction within
All submissions should refer to File FINRA Rule 6730 (Transaction
Number SR–ICEEU–2015–010. This file 15 minutes of the Time of Execution,5
Reporting) To Require Members To unless a different time period for the
number should be included on the Report Transactions in TRACE-Eligible
subject line if email is used. To help the security is otherwise specified in the
Securities as Soon as Practicable rule, or the transaction report will be
Commission process and review your
deemed ‘‘late.’’ Paragraph (a)(4) of Rule
comments more efficiently, please use July 10, 2015.
6730 further provides that members
only one method. The Commission will Pursuant to section 19(b)(1) of the have an ongoing obligation to report
post all comments on the Commission’s Securities Exchange Act of 1934 transaction information promptly,
Internet Web site (http://www.sec.gov/ (‘‘Act’’),1 and Rule 19b–4 thereunder,2 accurately and completely.6
rules/sro.shtml). Copies of the notice is hereby given that on July 2, FINRA is filing this proposed rule
submission, all subsequent 2015, Financial Industry Regulatory change to codify that members are
amendments, all written statements Authority, Inc. (‘‘FINRA’’) filed with the expected to report transactions in
with respect to the proposed rule Securities and Exchange Commission TRACE-Eligible Securities that are
change that are filed with the (‘‘Commission’’) the proposed rule subject to dissemination as soon as
Commission, and all written change as described in Items I, II, and practicable following the Time of
communications relating to the Execution, and must not deliberately
III below, which Items have been
proposed rule change between the delay their reporting.7 While FINRA
prepared by FINRA. The Commission is
Commission and any person, other than provides a time period for members to
publishing this notice to solicit conduct the necessary actions to report
those that may be withheld from the comments on the proposed rule change
public in accordance with the transactions, FINRA believes it is
from interested persons. important for public price transparency
provisions of 5 U.S.C. 552, will be
available for Web site viewing and I. Self-Regulatory Organization’s that members do not delay reporting
Statement of the Terms of Substance of executed transactions and has conveyed
printing in the Commission’s Public
the Proposed Rule Change this expectation to members.8 FINRA
Reference Room, 100 F Street NE.,
Washington, DC 20549, on official 3 Rule 6710(e) provides that a ‘‘Party to a
FINRA is proposing to codify that
business days between the hours of Transaction’’ is an introducing broker-dealer, if any,
members are required to report an executing broker-dealer, or a customer.
10:00 a.m. and 3:00 p.m. Copies of such
transactions in TRACE-Eligible ‘‘Customer’’ includes a broker-dealer that is not a
filings will also be available for FINRA member.
Securities subject to dissemination as
inspection and copying at the principal 4 Rule 6710(a) provides that a ‘‘TRACE-Eligible
soon as practicable.
office of ICE Clear Europe and on ICE Security’’ is a debt security that is United States
Clear Europe’s Web site at https:// The text of the proposed rule change dollar-denominated and issued by a U.S. or foreign
is available on FINRA’s Web site at private issuer, and, if a ‘‘restricted security’’ as
www.theice.com/clear-europe/ defined in Securities Act Rule 144(a)(3), sold
regulation. All comments received will http://www.finra.org, at the principal pursuant to Securities Act Rule 144A; or is a debt
be posted without change; the office of FINRA and at the security that is U.S. dollar-denominated and issued
or guaranteed by an Agency as defined in paragraph
Commission does not edit personal Commission’s Public Reference Room. (k) or a Government-Sponsored Enterprise as
identifying information from II. Self-Regulatory Organization’s defined in paragraph (n). ‘‘TRACE-Eligible
submissions. You should submit only Security’’ does not include a debt security that is:
Statement of the Purpose of, and Issued by a foreign sovereign, a U.S. Treasury
information that you wish to make Statutory Basis for, the Proposed Rule Security as defined in paragraph (p), or a Money
available publicly. All submissions Change Market Instrument as defined in paragraph (o).
5 Among other things, Rule 6710(d) provides that
should refer to File Number SR–ICEEU–
the ‘‘Time of Execution’’ for a transaction in a
2015–010 and should be submitted on In its filing with the Commission, TRACE-Eligible Security means the time when the
or before August 6, 2015. FINRA included statements concerning Parties to a Transaction agree to all of the terms of
the purpose of and basis for the the transaction that are sufficient to calculate the
For the Commission, by the Division of dollar price of the trade.
Trading and Markets, pursuant to delegated proposed rule change and discussed any 6 While a member may employ an agent for the
authority.13 comments it received on the proposed purpose of submitting transaction information, the
Jill M. Peterson, rule change. The text of these statements primary responsibility for the timely, accurate and
may be examined at the places specified complete reporting of transaction information
Assistant Secretary. remains the non-delegable duty of the member
in Item IV below. FINRA has prepared obligated to report the transaction.
[FR Doc. 2015–17399 Filed 7–15–15; 8:45 am]
summaries, set forth in sections A, B, 7 FINRA Rule 6750 (Dissemination of Transaction
BILLING CODE 8011–01–P Information) provides that FINRA will disseminate
and C below, of the most significant
tkelley on DSK3SPTVN1PROD with NOTICES
information on all transactions in TRACE-Eligible
aspects of such statements. Securities, including transactions effected pursuant
to Securities Act Rule 144A, immediately upon
receipt of the transaction report, except as specified
in the rule.
8 For example, in a Notice regarding TRACE trade
1 15 U.S.C. 78s(b)(1). reporting obligations for transactions in Asset-
13 17 CFR 200.30–3(a)(12). 2 17 CFR 240.19b–4. Continued
VerDate Sep<11>2014 17:39 Jul 15, 2015 Jkt 235001 PO 00000 Frm 00065 Fmt 4703 Sfmt 4703 E:\FR\FM\16JYN1.SGM 16JYN1](https://thefederalregister.org/doc/80_FR_42282/page/4.svg)
Document Created: 2015-12-15 13:13:42
Document Modified: 2015-12-15 13:13:42
| 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 42146 |
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