81 FR 65689 - Self-Regulatory Organizations; ICE Clear Europe Limited; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change Relating to the F&O Intraday Risk Management Policy

SECURITIES AND EXCHANGE COMMISSION

Federal Register Volume 81, Issue 185 (September 23, 2016)

[Federal Register Volume 81, Number 185 (Friday, September 23, 2016)]
[Notices]
[Pages 65689-65691]
From the Federal Register Online  [www.thefederalregister.org]
[FR Doc No: 2016-22904]


-----------------------------------------------------------------------

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-78874; File No. SR-ICEEU-2016-011]


Self-Regulatory Organizations; ICE Clear Europe Limited; Notice 
of Filing and Immediate Effectiveness of a Proposed Rule Change 
Relating to the F&O Intraday Risk Management Policy

September 19, 2016.
    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 September 9, 2016, ICE Clear Europe Limited (``ICE Clear Europe'' or 
the ``clearing house'') filed with the Securities and Exchange 
Commission (``Commission'') the proposed rule changes described in 
Items I, II and III below, which Items have been prepared primarily by 
ICE Clear Europe. ICE Clear Europe filed the proposed rule changes 
pursuant to Section 19(b)(3)(A) of the Act,\3\ and Rule 19b-4(f)(4)(ii) 
\4\ thereunder, so that the proposal was effective upon filing with the 
Commission. The Commission is publishing this notice to solicit 
comments on the proposed rule changes from interested persons.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ 15 U.S.C. 78s(b)(3)(A).
    \4\ 17 CFR 240.19b-4(f)(4)(ii).
---------------------------------------------------------------------------

I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The principal purpose of the changes is to make certain 
enhancements to ICE Clear Europe's F&O intraday risk management policy.

[[Page 65690]]

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 purpose of the rule change is to incorporate certain 
enhancements to the F&O Intraday Margin Policy. ICE Clear Europe is not 
making any changes to its Clearing Rules or Procedures in connection 
with these amendments. The amendments do not affect margining for CDS 
Contracts.
    Currently, ICE Clear Europe makes intraday margin calls with 
respect to F&O Contracts where uncollateralized intraday exposure 
exceeds defined risk limits. ICE Clear Europe is revising its intraday 
F&O margin call policy to incorporate an overall clearing member limit 
for uncollateralized exposure, as well as the existing limits at the 
individual account level (e.g., proprietary or customer account). Under 
the overall clearing member limit, an intraday F&O margin call will be 
triggered for a clearing member if the aggregate intraday margin 
shortfall across all accounts for that member exceeds one of several 
specified triggers (based on the member's total collateral on deposit, 
capital, guaranty fund contribution and original margin level). For 
this purpose, the intraday margin shortfall for an account for F&O 
Contracts will be the excess of the margin requirement (for both 
original and variation margin), calculated on an intraday basis, over 
the current amount of margin on deposit for that account in respect of 
F&O Contracts.
    ICE Clear Europe is also revising the individual intraday account 
limits to address both accounts margined on a net basis using a two-day 
margin period of risk and accounts margined on a gross basis using a 
one-day margin period of risk, as well as individually segregated 
sponsored accounts. The revised policy specifies procedures for 
calculation of intraday original margin requirements for gross-margined 
accounts. Under the revised policy, ICE Clear Europe also retains the 
discretion to reduce the trigger levels applicable to individual 
accounts.
    The revised policy also provides for intraday F&O margin calls as a 
result of intraday declines in the value of collateral posted as margin 
for F&O Contracts that exceed the relevant haircut level under ICE 
Clear Europe's existing Collateral and Haircut Policy.
    The revised policy implements a US$ 1 million minimum threshold per 
account for a margin call, unless otherwise determined by the ICE Clear 
Europe risk department.
    The revised policy clarifies certain notice procedures in 
connection with F&O intraday margin calls. It also includes various 
drafting improvements and clarifications and conforming changes.
2. Statutory Basis
    ICE Clear Europe believes that the changes described herein are 
consistent with the requirements of Section 17A of the Act \5\ and the 
regulations thereunder applicable to it, and are consistent with the 
prompt and accurate clearance of 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 ICE Clear Europe 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.\6\ The 
amendments are designed to enhance the clearing house's ability to 
manage the risk of an intraday change in F&O margin requirements (as 
may result from market movements or changes in positions) or in the 
value of collateral previously posted to satisfy margin requirements. 
The amendments add a new trigger for intraday margin calls based on the 
aggregate F&O margin shortfall for a clearing member across all account 
categories. The amendments also revise the individual account triggers 
for intraday calls to reflect the different types of margining used for 
various F&O account categories by ICE Clear Europe (e.g., net margining 
with a two-day margin period of risk or gross margining with a one-day 
margin period of risk). ICE Clear Europe believes that the amendments 
will facilitate its risk management of F&O Contracts (and related 
collateral). In addition, the revised policy will help ensure that the 
clearing house maintains sufficient margin resources to support its F&O 
clearing and protect the clearing house against default by an F&O 
Clearing Member. As such, ICE Clear Europe believes that the changes 
will promote the prompt and accurate clearance and settlement of 
securities and derivatives transactions, and further the public 
interest in the safe and effective clearing of such transactions. ICE 
Clear Europe does not believe the amendments will adversely affect the 
safeguarding of securities and funds in its custody or control or for 
which it is responsible. The changes are thus consistent with the 
requirements of Section 17A of the Act.\7\
---------------------------------------------------------------------------

    \5\ 15 U.S.C. 78q-1.
    \6\ 15 U.S.C. 78q-1(b)(3)(F).
    \7\ 15 U.S.C. 78q-1.
---------------------------------------------------------------------------

B. Self-Regulatory Organization's Statement on Burden on Competition

    ICE Clear Europe does not believe the proposed changes to the rules 
would have any impact, or impose any burden, on competition not 
necessary or appropriate in furtherance of the purpose of the Act. The 
amendments are intended to enhance the F&O Intraday Margin Policy, and 
will apply to all F&O Clearing Members. As a result, ICE Clear Europe 
does not believe the amendments would adversely affect access to 
clearing by Clearing Members or their customers, adversely affect 
competition among Clearing Members or adversely affect the market for 
clearing services or limit market participants' choices for clearing 
transactions. Although the amendments may impose additional costs on 
Clearing Members, to the extent that the new intraday margin policy may 
require posting of intraday margin in circumstances where it would not 
previously have been required (or in amounts greater than previously 
required), ICE Clear Europe believes that such costs are warranted in 
light of the risk management benefits provided to the clearing house 
(and the clearing system generally) under the revised policy. As a 
result, ICE Clear Europe does not believe that the proposed amendments 
to the F&O Intraday Margin Policy will impose any burden on competition 
not 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 proposed changes to the rules have 
not been solicited or received. ICE Clear Europe will notify the 
Commission of any written comments received by ICE Clear Europe.

[[Page 65691]]

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    The foregoing rule change has become effective upon filing pursuant 
to Section 19(b)(3)(A) of the Act \8\ and Rule 19b-4(f)(4)(ii) \9\ 
thereunder because it effects a change in an existing service of a 
registered clearing agency that primarily affects the clearing 
operations of the clearing agency with respect to products that are not 
securities, including futures that are not security futures, swaps that 
are not security-based swaps or mixed swaps, and forwards that are not 
security forwards, and does not significantly affect any securities 
clearing operations of the clearing agency or any rights or obligations 
of the clearing agency with respect to securities clearing or persons 
using such securities-clearing service. At any time within 60 days of 
the filing of the proposed rule change, the Commission summarily may 
temporarily suspend such rule change if it appears to the Commission 
that such action is necessary or appropriate in the public interest, 
for the protection of investors, or otherwise in furtherance of the 
purposes of the Act.
---------------------------------------------------------------------------

    \8\ 15 U.S.C. 78s(b)(3)(A).
    \9\ 17 CFR 240.19b-4(f)(ii).
---------------------------------------------------------------------------

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-ICEEU-2016-011 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-2016-011. 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#rule-filings.
    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-2016-011 
and should be submitted on or before October 14, 2016.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\10\
---------------------------------------------------------------------------

    \10\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Robert W. Errett,
Deputy Secretary.
[FR Doc. 2016-22904 Filed 9-22-16; 8:45 am]
 BILLING CODE 8011-01-P