80 FR 8729 - Self-Regulatory Organizations; ICE Clear Credit LLC; Order Granting Approval of Proposed Rule Change To Revise ICC End-of-Day Price Discovery Policies and Procedures

SECURITIES AND EXCHANGE COMMISSION

Federal Register Volume 80, Issue 32 (February 18, 2015)

Page Range		8729-8730
FR Document		2015-03230
Federal Register, Volume 80 Issue 32 (Wednesday, February 18, 2015)
[Federal Register Volume 80, Number 32 (Wednesday, February 18, 2015)]
[Notices]
[Pages 8729-8730]
From the Federal Register Online  [www.thefederalregister.org]
[FR Doc No: 2015-03230]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-74257; File No. SR-ICC-2014-23]


Self-Regulatory Organizations; ICE Clear Credit LLC; Order 
Granting Approval of Proposed Rule Change To Revise ICC End-of-Day 
Price Discovery Policies and Procedures

February 11, 2015.

I. Introduction

    On December 18, 2014, ICE Clear Credit LLC (``ICC'') filed with the 
Securities and Exchange Commission (``Commission'') the proposed rule 
change SR-ICC-2014-23 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 January 5, 2015.\3\ The Commission received no comment letters 
regarding the proposed change. For the reasons discussed below, the 
Commission is granting approval of the proposed rule change.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ Securities Exchange Act Release No. 34-73951 (Dec. 29, 
2014), 80 FR 269 (Jan. 5, 2015) (SR-ICC-2014-23).
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II. Description of the Proposed Rule Change

    ICC is proposing this change to revise the ICC End-of-Day Price 
Discovery Policies and Procedures to remove the ability for Clearing 
Participants to submit end-of-day submissions for Single Name 
instruments in terms of spread and associated recovery rate. This 
revision does not require any changes to the ICC Clearing Rules.
    ICC requires all Clearing Participants to provide end-of-day 
submissions for specific instruments related to their cleared open 
interest. ICC states that it uses these submissions as inputs to its 
price discovery algorithm, which determines end-of-day levels.
    According to ICC, it computes margin and guaranty fund 
requirements, and all other money movements, in price terms, but 
currently supports Clearing Participant submissions in terms of price 
(or the equivalent points upfront), or spread and associated recovery 
rate. As a result, according to ICC, the first step in the price 
discovery algorithm for Single Name instruments is to convert any 
submissions in terms of spread and associated recovery rate to the 
equivalent submission in price terms using the ISDA standard model.
    ICC therefore proposes to revise its End-of-Day Price Discovery 
Policies and Procedures to remove the ability for Clearing Participants 
to provide end-of-day submissions for Single Name instruments in terms 
of spread and associated recovery rate. Rather, ICC will require price 
(or the equivalent points upfront) submissions for all Single Name 
instruments. According to ICC, this change will result in the 
elimination of the use of the ISDA standard model to determine end-of-
day prices for Single Name instruments. Furthermore, ICC also proposes 
to add clarifying language regarding its determination of implied 
recovery rates.

III. Discussion and Commission Findings

    Section 19(b)(2)(C) of the Act \4\ 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 \5\ 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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    \4\ 15 U.S.C. 78s(b)(2)(C).
    \5\ 15 U.S.C. 78q-1(b)(3)(F).
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    The Commission finds that the proposed rule change is consistent 
with Section 17A of the Act \6\ and the rules thereunder applicable to 
ICC. The revised ICC End-of-Day Price Discovery Policies and Procedures 
will ensure ICC uses data that reflect its Clearing Participants' view 
of the price of a given Single Name instrument, without the use of a 
model to imply a given price, resulting in an end-of-day price that is 
not subject to any potential model limitations or assumptions. As such, 
the Commission believes that the proposed rule change will promote the 
prompt and accurate settlement of securities and derivatives 
transactions, and therefore is consistent with the requirements of the 
Act and the rules and regulations thereunder applicable to ICC, in 
particular, Section 17A(b)(3)(F).\7\
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    \6\ 15 U.S.C. 78q-1.
    \7\ 15 U.S.C. 78q-1(b)(3)(F).

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[[Page 8730]]

IV. Conclusion

    On the basis of the foregoing, the Commission finds that the 
proposal is consistent with the requirements of the Act and in 
particular with the requirements of Section 17A of the Act \8\ and the 
rules and regulations thereunder.
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    \8\ 15 U.S.C. 78q-1.
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    It Is Therefore Ordered, pursuant to Section 19(b)(2) of the 
Act,\9\ that the proposed rule change (File No. SR-ICC-2014-23) be, and 
hereby is, approved.\10\
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    \9\ 15 U.S.C. 78s(b)(2).
    \10\ In approving the proposed rule change, the Commission 
considered the proposal'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.\11\
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    \11\ 17 CFR 200.30-3(a)(12).
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Brent J. Fields,
Secretary.
[FR Doc. 2015-03230 Filed 2-17-15; 8:45 am]
BILLING CODE 8011-01-P
Federal Register / Vol. 80, No. 32 / Wednesday, February 18, 2015 / Notices 8729

• Send an email to rule-comments@ SECURITIES AND EXCHANGE Procedures to remove the ability for
sec.gov. Please include File Number SR– COMMISSION Clearing Participants to provide end-of-
NASDAQ–2015–010 on the subject line. day submissions for Single Name
[Release No. 34–74257; File No. SR–ICC–
2014–23] instruments in terms of spread and
Paper Comments
associated recovery rate. Rather, ICC
• Send paper comments in triplicate Self-Regulatory Organizations; ICE will require price (or the equivalent
to Brent J. Fields, Secretary, Securities Clear Credit LLC; Order Granting points upfront) submissions for all
and Exchange Commission, 100 F Street Approval of Proposed Rule Change To Single Name instruments. According to
NE., Washington, DC 20549–1090. Revise ICC End-of-Day Price Discovery ICC, this change will result in the
Policies and Procedures elimination of the use of the ISDA
All submissions should refer to File standard model to determine end-of-day
Number SR–NASDAQ–2015–010. This February 11, 2015.
prices for Single Name instruments.
file number should be included on the I. Introduction Furthermore, ICC also proposes to add
subject line if email is used. To help the On December 18, 2014, ICE Clear clarifying language regarding its
Commission process and review your Credit LLC (‘‘ICC’’) filed with the determination of implied recovery rates.
comments more efficiently, please use Securities and Exchange Commission
only one method. The Commission will (‘‘Commission’’) the proposed rule III. Discussion and Commission
post all comments on the Commission’s change SR–ICC–2014–23 pursuant to Findings
Internet Web site (http://www.sec.gov/ Section 19(b)(1) of the Securities Section 19(b)(2)(C) of the Act 4 directs
rules/sro.shtml). Copies of the Exchange Act of 1934 (‘‘Act’’) 1 and Rule the Commission to approve a proposed
submission, all subsequent 19b–4 thereunder.2 The proposed rule rule change of a self-regulatory
amendments, all written statements change was published for comment in
organization if the Commission finds
with respect to the proposed rule the Federal Register on January 5,
that such proposed rule change is
change that are filed with the 2015.3 The Commission received no
comment letters regarding the proposed consistent with the requirements of the
Commission, and all written Act and the rules and regulations
communications relating to the change. For the reasons discussed
below, the Commission is granting thereunder applicable to such self-
proposed rule change between the regulatory organization. Section
Commission and any person, other than approval of the proposed rule change.
17A(b)(3)(F) of the Act 5 requires, among
those that may be withheld from the II. Description of the Proposed Rule other things, that the rules of a clearing
public in accordance with the Change agency are designed to promote the
provisions of 5 U.S.C. 552, will be ICC is proposing this change to revise prompt and accurate clearance and
available for Web site viewing and the ICC End-of-Day Price Discovery settlement of securities transactions
printing in the Commission’s Public Policies and Procedures to remove the and, to the extent applicable, derivative
Reference Room, 100 F Street NE., ability for Clearing Participants to agreements, contracts, and transactions,
Washington, DC 20549 on official submit end-of-day submissions for to assure the safeguarding of securities
business days between the hours of Single Name instruments in terms of and funds which are in the custody or
10:00 a.m. and 3:00 p.m. Copies of such spread and associated recovery rate. control of the clearing agency or for
filing also will be available for This revision does not require any which it is responsible and, in general,
inspection and copying at the principal changes to the ICC Clearing Rules. to protect investors and the public
offices of the Exchange. All comments ICC requires all Clearing Participants
interest.
received will be posted without change; to provide end-of-day submissions for
specific instruments related to their The Commission finds that the
the Commission does not edit personal
cleared open interest. ICC states that it proposed rule change is consistent with
identifying information from
uses these submissions as inputs to its Section 17A of the Act 6 and the rules
submissions. You should submit only
price discovery algorithm, which thereunder applicable to ICC. The
information that you wish to make
determines end-of-day levels. revised ICC End-of-Day Price Discovery
available publicly. All submissions
According to ICC, it computes margin Policies and Procedures will ensure ICC
should refer to File Number SR–
and guaranty fund requirements, and all uses data that reflect its Clearing
NASDAQ–2015–010, and should be other money movements, in price terms, Participants’ view of the price of a given
submitted on or before March 11, 2015. but currently supports Clearing Single Name instrument, without the
For the Commission, by the Division of Participant submissions in terms of use of a model to imply a given price,
Trading and Markets, pursuant to delegated price (or the equivalent points upfront), resulting in an end-of-day price that is
authority.12 or spread and associated recovery rate. not subject to any potential model
Brent J. Fields, As a result, according to ICC, the first limitations or assumptions. As such, the
Secretary. step in the price discovery algorithm for Commission believes that the proposed
[FR Doc. 2015–03232 Filed 2–17–15; 8:45 am]
Single Name instruments is to convert rule change will promote the prompt
any submissions in terms of spread and and accurate settlement of securities
BILLING CODE 8011–01–P
associated recovery rate to the and derivatives transactions, and
equivalent submission in price terms therefore is consistent with the
using the ISDA standard model.
emcdonald on DSK67QTVN1PROD with NOTICES

requirements of the Act and the rules
ICC therefore proposes to revise its
and regulations thereunder applicable to
End-of-Day Price Discovery Policies and
ICC, in particular, Section 17A(b)(3)(F).7
1 15 U.S.C. 78s(b)(1).
2 17 4 15 U.S.C. 78s(b)(2)(C).
CFR 240.19b–4.
3 Securities Exchange Act Release No. 34–73951 5 15 U.S.C. 78q–1(b)(3)(F).
6 15 U.S.C. 78q–1.
(Dec. 29, 2014), 80 FR 269 (Jan. 5, 2015) (SR–ICC–
12 17 CFR 200.30–3(a)(12). 2014–23). 7 15 U.S.C. 78q–1(b)(3)(F).

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8730 Federal Register / Vol. 80, No. 32 / Wednesday, February 18, 2015 / Notices

IV. Conclusion II. Description of the Proposed Rule III. Comments
Change The Commission received one
On the basis of the foregoing, the
Commission finds that the proposal is ICC proposes to adopt rules that will comment supporting approval of the
provide the basis for ICC to clear proposed rule change. In this
consistent with the requirements of the
additional credit default swap (‘‘CDS’’) anonymous comment, the author
Act and in particular with the
contracts. Specifically, ICC is proposing expressed general support for the
requirements of Section 17A of the Act 8
to amend Section 26I of its Rules to proposal but did not opine on any
and the rules and regulations particular aspects of the proposal or
thereunder. provide for the clearance of additional
Standard Western European Sovereign offer any specific comment beyond a
It Is Therefore Ordered, pursuant to CDS contracts (collectively, ‘‘SWES statement of general support.
Section 19(b)(2) of the Act,9 that the Contracts’’). ICC has been approved to IV. Discussion and Commission
proposed rule change (File No. SR–ICC– clear four SWES Contracts: the Republic Findings
2014–23) be, and hereby is, approved.10 of Ireland, the Italian Republic, the
Section 19(b)(2)(C) of the Act 6 directs
For the Commission, by the Division of Portuguese Republic, and the Kingdom
the Commission to approve a proposed
Trading and Markets, pursuant to delegated of Spain.5 The proposed changes to the rule change of a self-regulatory
authority.11 ICC Rules would provide for the organization if the Commission finds
Brent J. Fields, clearance of additional SWES Contracts, that such proposed rule change is
Secretary. specifically the Kingdom of Belgium consistent with the requirements of the
and the Republic of Austria (the Act and the rules and regulations
[FR Doc. 2015–03230 Filed 2–17–15; 8:45 am]
‘‘Additional SWES Contracts’’). thereunder applicable to such self-
BILLING CODE 8011–01–P
ICC states that these Additional SWES regulatory organization. Section
Contracts will be offered on the 2003 17A(b)(3)(F) of the Act 7 requires, among
SECURITIES AND EXCHANGE and 2014 ISDA Credit Derivatives other things, that the rules of a clearing
COMMISSION Definitions. ICC believes that the agency are designed to promote the
addition of these SWES Contracts will prompt and accurate clearance and
benefit the market for credit default settlement of securities transactions
[Release No. 34–74256; File No. SR–ICC– swaps on Western European sovereigns and, to the extent applicable, derivative
2014–21] by providing market participants the agreements, contracts, and transactions,
benefits of clearing, including reduction to assure the safeguarding of securities
Self-Regulatory Organizations; ICE
in counterparty risk and safeguarding of and funds which are in the custody or
Clear Credit LLC; Order Approving
margin assets pursuant to clearing house control of the clearing agency or for
Proposed Rule Change To Provide for
rules. According to ICC, the clearing of which it is responsible and, in general,
the Clearance of Additional Standard
the additional SWES Contracts will not to protect investors and the public
Western European Sovereign Single
require any changes in ICC’s risk interest.
Names management framework (including The Commission finds that clearing of
February 11, 2015. relevant policies) or margin model. ICC the Additional SWES Contracts is
represents that the Additional SWES consistent with the requirements of
I. Introduction Contracts have terms consistent with the Section 17A of the Act 8 and regulations
other SWES Contracts which ICC has thereunder applicable to it, including
On December 16, 2014, ICE Clear the standards under Rule 17Ad–22.9
been approved to clear and which will
Credit LLC (‘‘ICC’’) filed with the The proposed change will provide for
be governed by Subchapter 26I of the
Securities and Exchange Commission ICC rules, namely the Republic of clearing of Additional SWES Contracts
(‘‘Commission’’) the proposed rule Ireland, the Italian Republic, the in the same manner as other SWES
change SR–ICC–2014–21 pursuant to Portuguese Republic, and the Kingdom Contracts. Specifically, the new
Section 19(b)(1) of the Securities of Spain. contracts will be cleared, and the risk
Exchange Act of 1934 (‘‘Act’’) 1 and Rule associated with clearing the new
19b–4 thereunder.2 The proposed rule ICC proposes minor revisions to
Subchapter 26I (Standard Western contracts will be appropriately
change was published for comment in managed, pursuant to ICC’s existing
European Sovereign (‘‘SWES’’) Single
the Federal Register on January 2, margin and guaranty fund methodology,
Name) to provide for clearing the
2015.3 The Commission received one operational and managerial procedures,
additional SWES Contracts. Rule 26I–
comment.4 For the reasons discussed settlement procedures and default
102 will be modified to include the
below, the Commission is approving the management policies. The Commission
Kingdom of Belgium and the Republic
proposed rule change. believes that the proposal is therefore
of Austria in the list of specific Eligible
SWES Reference Entities to be cleared designed to promote the prompt and
8 15 U.S.C. 78q–1.
by ICC. Additionally, in ICC Rule 26D– accurate clearance and settlement of
9 15 U.S.C. 78s(b)(2).
102 (Definitions), the definition of securities transactions and derivative
10 In approving the proposed rule change, the
‘‘Eligible SES Reference Entity’’ will be agreements, contracts and transactions
Commission considered the proposal’s impact on
efficiency, competition and capital formation. 15 modified to correct a typographical error cleared by ICC, to assure the
U.S.C. 78c(f). and correctly identify the reference safeguarding of securities and funds in
11 17 CFR 200.30–3(a)(12).
entity for a cleared product as Hungary the custody or control of ICC, and to
emcdonald on DSK67QTVN1PROD with NOTICES

1 15 U.S.C. 78s(b)(1).
(as opposed to the Republic of protect investors and the public interest,
2 17 CFR 240.19b–4.
Hungary). within the meaning of is designed to
3 Securities Exchange Act Release No. 34–73941
promote the prompt and accurate
(Dec. 24, 2014), 80 FR 75 (Jan. 2, 2015) (File No.
SR–ICC–2014–21). 5 See Exchange Act Release No. 34–72941(Nov. 5,
6 15 U.S.C. 78s(b)(2)(C).
4 See Comment from Anonymous, dated January 2014), 79 FR 67213 (Nov. 12, 2014) (File No. SR–
7 15 U.S.C. 78q–1(b)(3)(F).
23, 2015, available at http://www.sec.gov/ ICC–2014–14) (order approving rule change to clear
8 15 U.S.C. 78q–1.
comments/sr-icc-2014-21/icc201421-1.htm (stating other Western European sovereign CDS contracts)
‘‘Good Idea’’). (the ‘‘Prior WES Order’’). 9 17 CFR 240.17Ad–22.

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Document Created: 2018-02-16 11:10:30
Document Modified: 2018-02-16 11:10:30
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 8729