82 FR 13173 - Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of Proposed Rule Change, Security-Based Swap Submission, or Advance Notice Relating to ICC's End-of-Day Price Discovery Policies and Procedures

SECURITIES AND EXCHANGE COMMISSION

Federal Register Volume 82, Issue 45 (March 9, 2017)

[Federal Register Volume 82, Number 45 (Thursday, March 9, 2017)]
[Notices]
[Pages 13173-13175]
From the Federal Register Online  [www.thefederalregister.org]
[FR Doc No: 2017-04602]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-80150; File No. SR-ICC-2017-003]


Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of 
Proposed Rule Change, Security-Based Swap Submission, or Advance Notice 
Relating to ICC's End-of-Day Price Discovery Policies and Procedures

March 3, 2017.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 
1934,\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that on 
February 16, 2017, ICE Clear Credit LLC (``ICC'') filed with the 
Securities and Exchange Commission (``Commission'') the proposed rule 
change, security-based swap submission, or advance notice 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, security-based swap submission, or advance 
notice 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. Clearing Agency's Statement of the Terms of Substance of the 
Proposed Rule Change, Security-Based Swap Submission, or Advance Notice

    The principal purpose of the proposed changes is to make changes to 
the ICC End-of-Day Price Discovery Policies and Procedures (``Pricing 
Policy'') related to the implementation of ICC's new Clearing 
Participant (``CP'') direct price submission process.

II. Clearing Agency's Statement of the Purpose of, and Statutory Basis 
for, the Proposed Rule Change, Security-Based Swap Submission, or 
Advance Notice

    In its filing with the Commission, ICC included statements 
concerning the purpose of and basis for the proposed rule change, 
security-based swap submission, or advance notice and discussed any 
comments it received on the proposed rule change, security-based swap 
submission, or advance notice. 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. Clearing Agency's Statement of the Purpose of, and Statutory Basis 
for, the Proposed Rule Change, Security-Based Swap Submission, or 
Advance Notice

    ICC proposes revising its Pricing Policy to make changes related to 
the implementation of ICC's new CP direct price submission process. 
Currently, ICC uses an intermediary agent to implement functions of its 
price discovery process. Specifically, under the current process, 
Clearing Participants submit required prices to the intermediary agent; 
these prices are then input into ICC's price settlement methodology to 
determine settlement prices. ICC proposes to enhance its price 
discovery process to remove the intermediary agent from the price 
settlement process. In doing so, ICC will require CPs to submit prices 
directly to the clearinghouse. The prices will continue to be input 
into ICC's price settlement methodology to determine settlement prices. 
There are no changes to the price settlement methodology as a result of 
the changes. The proposed revisions to the Pricing Policy are described 
in detail as follows.
    ICC updated the Pricing Policy to note that ICC requires CPs to 
establish direct connectivity with the clearinghouse and use a FIX API 
to submit required prices. ICC revised the Pricing Policy to remove 
references to the intermediary agent and the Valuation Service API (and 
related message terminology), which will be decommissioned with the 
launch of the new CP direct price submission process, and to add 
reference to the new FIX API message terminology, which will be 
utilized under the new CP direct price submission process. Such changes 
are reflected throughout the Pricing Policy. ICC has also updated the 
Pricing Policy to specify that ICC will send the unsolicited FIX API 
messages directly to each CP.

[[Page 13174]]

    Under the new CP direct price submission process, ICC will 
consolidate the price discovery process across indices and singles 
names; as such, new FIX API messages will include information for both 
Indices and Single Names. Previously, the price discovery process 
provided files separately for each product type.
    ICC updated the Submission Requirements set forth in the Pricing 
Policy to include iTraxx Australia and iTraxx Asia Ex-Japan indices. 
For both indices, prices must be submitted in spread and either 
midpoint or bid-offer format. Further, ICC updated the Submission 
Requirements for CDX.NA.HY and CDX.EM indices to note that prices may 
be submitted in either price or upfront format; previously, only price 
format was accepted.
    ICC has updated the Pricing Policy to reflect the replacement of 
existing firm trade data files with new FIX API firm trade messages. 
ICC also made minor changes to the timing of certain steps in the price 
settlement process; no changes were made to the actual settlement 
submission windows.
    ICC also updated the Distribution of End-of-Day Prices process set 
forth in the Pricing Policy. Under the new CP direct price submission 
process, ICC will publish separate messages to CPs, listing end-of-day 
prices for single names and indices. The end-of-day prices provided 
will not change and will continue to be based on CPs' cleared 
positions. ICC will continue to publish end-of-day prices for every 
listed risk sub-factors' most actively traded instrument, and will 
distribute daily end-of-day prices for all cleared instruments through 
Markit.
    Section 17A(b)(3)(F) of the Act \3\ requires, among other things, 
that the rules of a clearing agency be designed to protect investors 
and the public interest and to comply with the provisions of the Act 
and the rules and regulations thereunder. ICC believes that the 
proposed rule changes are consistent with the requirements of the Act 
and the rules and regulations thereunder applicable to ICC, in 
particular, to Section 17(A)(b)(3)(F),\4\ because ICC believes that the 
proposed rule changes will assure the prompt and accurate clearance and 
settlement of securities transactions, derivatives agreements, 
contracts, and transactions, as the proposed revisions simplify and 
increase the efficiency of ICC's price discovery process, which 
includes the determination of settlement prices and firm trades. As 
such, the proposed changes are designed to promote the prompt and 
accurate clearance and settlement of securities transactions, 
derivatives agreements, contracts, and transactions within the meaning 
of Section 17A(b)(3)(F) of the Act.\5\ Further, such changes are 
consistent with Rule 17Ad-22(d)(4),\6\ as the changes will decrease 
external operational risk, since ICC no longer would rely on the 
service of an intermediary agent to perform key aspects of its price 
discovery process.
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    \3\ 15 U.S.C. 78q-1(b)(3)(F).
    \4\ Id.
    \5\ Id.
    \6\ 17 CFR 240.17Ad-22(d)(4).
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B. Clearing Agency's Statement on Burden on Competition

    ICC does not believe the proposed rule changes would have any 
impact, or impose any burden, on competition. The changes to ICC's 
price submission process apply uniformly across all market 
participants. Therefore, ICC does not believe the proposed rule changes 
impose any burden on competition that is inappropriate in furtherance 
of the purposes of the Act.

C. Clearing Agency's Statement on Comments on the Proposed Rule Change, 
Security-Based Swap Submission, or Advance Notice 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, Security-Based 
Swap Submission, or Advance Notice 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, security-based swap submission, or advance notice 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-2017-003 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-ICC-2017-003. 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, security-
based swap submission, or advance notice that are filed with the 
Commission, and all written communications relating to the proposed 
rule change, security-based swap submission, or advance notice 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-2017-003 
and should be submitted on or before March 30, 2017.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\7\
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    \7\ 17 CFR 200.30-3(a)(12).

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[[Page 13175]]


Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-04602 Filed 3-8-17; 8:45 am]
BILLING CODE 8011-01-P