82 FR 14925 - Self-Regulatory Organizations; ICE Clear Europe Limited; Notice of Filing of a Proposed Rule Change, Security-Based Swap Submission or Advance Notice Relating to the CDS End-of-Day Price Discovery Policy

SECURITIES AND EXCHANGE COMMISSION

Federal Register Volume 82, Issue 55 (March 23, 2017)

Page Range		14925-14926
FR Document		2017-05740
Federal Register, Volume 82 Issue 55 (Thursday, March 23, 2017)
[Federal Register Volume 82, Number 55 (Thursday, March 23, 2017)]
[Notices]
[Pages 14925-14926]
From the Federal Register Online  [www.thefederalregister.org]
[FR Doc No: 2017-05740]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-80269; File No. SR-ICEEU-2017-003]


Self-Regulatory Organizations; ICE Clear Europe Limited; Notice 
of Filing of a Proposed Rule Change, Security-Based Swap Submission or 
Advance Notice Relating to the CDS End-of-Day Price Discovery Policy

March 17, 2017.
    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 March 10, 2017, ICE Clear Europe Limited (``ICE Clear Europe'') 
filed with the Securities and Exchange Commission (``Commission'') the 
proposed rule change described in Items I, II, and III below, which 
Items have been prepared primarily by ICE Clear Europe. 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. 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 changes is to modify certain aspects 
of ICE Clear Europe's CDS End-of-Day Price Discovery Policy (the ``EOD 
Price Discovery Policy'').

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, ICE Clear Europe 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. ICE Clear Europe has prepared summaries, 
set forth in sections A, B, and C below, of the most significant 
aspects of such 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

1. Purpose
    The purpose of the rule change is to incorporate certain 
enhancements to the EOD Price Discovery Policy. These revisions do not 
require any changes to the ICE Clear Europe Clearing Rules.
    ICE Clear Europe proposes revising its EOD Price Discovery Policy 
to implement a new direct price submission process for Clearing 
Members. Currently, ICE Clear Europe uses an intermediary agent to 
implement functions of its price discovery process. Under the current 
process, Clearing Members make required price submissions to the 
intermediary agent. These prices are then input into ICE Clear Europe's 
price settlement methodology to determine settlement prices. ICE Clear 
Europe is proposing to remove the intermediary agent from the price 
settlement process. In doing so, ICE Clear Europe will require Clearing 
Members to submit prices directly to the clearing house. The prices 
will continue to be input into ICE Clear Europe's price settlement 
methodology to determine settlement prices. ICE Clear Europe is not 
otherwise changing the price settlement methodology itself.
    The proposed revisions to the EOD Price Discovery Policy are 
described in detail as follows: Under the revised policy, ICE Clear 
Europe requires Clearing Members to establish direct connectivity with 
the clearing house and use a FIX API to submit required prices. ICE 
Clear Europe is revising the EOD Price Discovery 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 Clearing Member direct price submission process. The 
revisions also add references to the new FIX API message terminology 
which will be utilized under the new Clearing Member direct price 
submission process. Such changes are reflected throughout the EOD Price 
Discovery Policy. ICE Clear Europe has also updated the EOD Price 
Discovery Policy to specify that ICE Clear Europe will send the 
unsolicited FIX API messages directly to each Clearing Member.
    Under the new Clearing Member direct price submission process, ICE 
Clear Europe will consolidate the price discovery process across index 
and single-name CDS. As such, new FIX API messages will include 
information for both index and single-name CDS. Previously, the price 
discovery process provided files separately for each product type. ICE 
Clear Europe has also updated the submission requirements for the 
CDX.NA.HY index to note that prices may be submitted in either price or 
upfront format; previously, only price format was accepted.
    ICE Clear Europe has updated the EOD Price Discovery Policy to 
reflect the replacement of existing firm trade data files with new FIX 
API firm trade messages. ICE Clear Europe also made minor changes to 
the timings of certain steps in the price settlement process; no 
changes were made to the actual settlement submission windows.
    ICE Clear Europe has also updated the process for distribution of 
end-of-day prices set forth in the EOD Price Discovery Policy. Under 
the new process, ICE Clear Europe will publish separate messages for 
Clearing Members, listing end-of-day prices for single-name and index 
CDS. The end-of-day prices provided will not change and will continue 
to be based on a Clearing Members' cleared positions. ICE Clear Europe 
will continue to publish end-of-day prices for every listed risk sub-
factor's most actively traded instrument, and to distribute daily end-
of-day prices for all cleared instruments through Markit.
2. Statutory Basis
    ICE Clear Europe believes that the changes described herein are 
consistent with the requirements of Section 17A of the Act \3\ and the 
regulations thereunder applicable to it, including the standards under 
Rule 17Ad-22,\4\ and are consistent with the prompt and accurate 
clearance of and settlement of securities transactions and, to the 
extent applicable, derivative agreements,

[[Page 14926]]

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.\5\ The 
amendments are intended to simplify and increase the efficiency of ICE 
Clear Europe's price discovery process. In particular, the changes will 
decrease external operational risk, as ICE Clear Europe will no longer 
rely on the services of an intermediary agent to perform key aspects of 
its price discovery process. In ICE Clear Europe's view, the amendments 
will generally enhance the end-of-day settlement process, and thus 
promote the prompt and accurate clearance and settlement of cleared 
contracts, within the meaning of Section 17A(b)(3)(F) of the Act.\6\ 
The amendments are also consistent with the requirements regarding the 
management of operational risk in Rule 17Ad-22(d)(4) \7\ and (as and 
when compliance therewith is required) Rule 17Ad-22(e)(17).\8\
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    \3\ 15 U.S.C. 78q-1.
    \4\ 17 CFR 240.17Ad-22.
    \5\ 15 U.S.C. 78q-1(b)(3)(F).
    \6\ 15 U.S.C. 78q-1(b)(3)(F).
    \7\ 17 CFR 240.17Ad-22(d)(4).
    \8\ 17 CFR 240.17Ad-22(e)(17).
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B. Clearing Agency'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. ICE 
Clear Europe is adopting the amendments to the EOD Price Discovery 
Policy in order to enhance certain aspects of the price discovery 
process. The amendments will apply uniformly across all Clearing 
Members, and will not change the nature of information to be submitted 
by Clearing Members. ICE Clear Europe does not believe the amendments 
would materially affect the cost of clearing, adversely affect access 
to clearing in CDS Contracts for Clearing Members or their customers, 
or otherwise adversely affect competition in clearing services. As a 
result, ICE Clear Europe does not believe that the amendments would 
impose any impact or burden on competition that is not appropriate in 
furtherance of the purpose of the Act.

C. Clearing Agency'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.

III. Date of Effectiveness of the Proposed Rule Change, Security-Based 
Swap Submission and 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 the proposed rule change or
    (B) institute proceedings to determine whether the proposed rule 
change should be disapproved.
    The proposal shall not take effect until all regulatory actions 
required with respect to the proposal are completed.

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-ICEEU-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-ICEEU-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 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-2017-003 
and should be submitted on or before April 13, 2017.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\9\
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    \9\ 17 CFR 200.30-3(a)(12).
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Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-05740 Filed 3-22-17; 8:45 am]
BILLING CODE 8011-01-P
Federal Register / Vol. 82, No. 55 / Thursday, March 23, 2017 / Notices 14925

those that may be withheld from the Discovery Policy (the ‘‘EOD Price new Clearing Member direct price
public in accordance with the Discovery Policy’’). submission process. The revisions also
provisions of 5 U.S.C. 552, will be add references to the new FIX API
II. Clearing Agency’s Statement of the
available for Web site viewing and message terminology which will be
Purpose of, and Statutory Basis for, the
printing in the Commission’s Public utilized under the new Clearing Member
Proposed Rule Change, Security-Based direct price submission process. Such
Reference Room, 100 F Street NE.,
Washington, DC 20549, on official Swap Submission or Advance Notice changes are reflected throughout the
business days between the hours of In its filing with the Commission, ICE EOD Price Discovery Policy. ICE Clear
10:00 a.m. and 3:00 p.m. Copies of the Clear Europe included statements Europe has also updated the EOD Price
filing also will be available for concerning the purpose of and basis for Discovery Policy to specify that ICE
inspection and copying at the principal the proposed rule change and discussed Clear Europe will send the unsolicited
office of the Exchange. All comments any comments it received on the FIX API messages directly to each
received will be posted without change; proposed rule change. The text of these Clearing Member.
the Commission does not edit personal statements may be examined at the Under the new Clearing Member
identifying information from places specified in Item IV below. ICE direct price submission process, ICE
submissions. You should submit only Clear Europe has prepared summaries, Clear Europe will consolidate the price
information that you wish to make set forth in sections A, B, and C below, discovery process across index and
available publicly. All submissions of the most significant aspects of such single-name CDS. As such, new FIX API
should refer to File Number SR– statements. messages will include information for
PEARL–2017–12 and should be both index and single-name CDS.
submitted on or before April 13, 2017. A. Clearing Agency’s Statement of the Previously, the price discovery process
Purpose of, and Statutory Basis for, the provided files separately for each
For the Commission, by the Division of Proposed Rule Change, Security-Based
Trading and Markets, pursuant to delegated product type. ICE Clear Europe has also
Swap Submission or Advance Notice updated the submission requirements
authority.17
Eduardo A. Aleman, 1. Purpose for the CDX.NA.HY index to note that
Assistant Secretary. prices may be submitted in either price
The purpose of the rule change is to
or upfront format; previously, only price
[FR Doc. 2017–05737 Filed 3–22–17; 8:45 am] incorporate certain enhancements to the
format was accepted.
BILLING CODE 8011–01–P EOD Price Discovery Policy. These ICE Clear Europe has updated the
revisions do not require any changes to EOD Price Discovery Policy to reflect
the ICE Clear Europe Clearing Rules. the replacement of existing firm trade
SECURITIES AND EXCHANGE ICE Clear Europe proposes revising its
COMMISSION data files with new FIX API firm trade
EOD Price Discovery Policy to messages. ICE Clear Europe also made
[Release No. 34–80269; File No. SR–ICEEU– implement a new direct price minor changes to the timings of certain
2017–003] submission process for Clearing steps in the price settlement process; no
Members. Currently, ICE Clear Europe changes were made to the actual
Self-Regulatory Organizations; ICE uses an intermediary agent to
Clear Europe Limited; Notice of Filing settlement submission windows.
implement functions of its price ICE Clear Europe has also updated the
of a Proposed Rule Change, Security- discovery process. Under the current process for distribution of end-of-day
Based Swap Submission or Advance process, Clearing Members make prices set forth in the EOD Price
Notice Relating to the CDS End-of-Day required price submissions to the Discovery Policy. Under the new
Price Discovery Policy intermediary agent. These prices are process, ICE Clear Europe will publish
March 17, 2017.
then input into ICE Clear Europe’s price separate messages for Clearing
Pursuant to Section 19(b)(1) of the settlement methodology to determine Members, listing end-of-day prices for
Securities Exchange Act of 1934 settlement prices. ICE Clear Europe is single-name and index CDS. The end-of-
(‘‘Act’’),1 and Rule 19b–4 thereunder,2 proposing to remove the intermediary day prices provided will not change and
notice is hereby given that on March 10, agent from the price settlement process. will continue to be based on a Clearing
2017, ICE Clear Europe Limited (‘‘ICE In doing so, ICE Clear Europe will Members’ cleared positions. ICE Clear
Clear Europe’’) filed with the Securities require Clearing Members to submit Europe will continue to publish end-of-
and Exchange Commission prices directly to the clearing house. day prices for every listed risk sub-
(‘‘Commission’’) the proposed rule The prices will continue to be input into factor’s most actively traded instrument,
change described in Items I, II, and III ICE Clear Europe’s price settlement and to distribute daily end-of-day prices
below, which Items have been prepared methodology to determine settlement for all cleared instruments through
primarily by ICE Clear Europe. The prices. ICE Clear Europe is not Markit.
Commission is publishing this notice to otherwise changing the price settlement
methodology itself. 2. Statutory Basis
solicit comments on the proposed rule
The proposed revisions to the EOD ICE Clear Europe believes that the
change from interested persons.
Price Discovery Policy are described in changes described herein are consistent
I. Clearing Agency’s Statement of the detail as follows: Under the revised with the requirements of Section 17A of
Terms of Substance of the Proposed policy, ICE Clear Europe requires the Act 3 and the regulations thereunder
Rule Change, Security-Based Swap Clearing Members to establish direct applicable to it, including the standards
Submission, or Advance Notice connectivity with the clearing house
sradovich on DSK3GMQ082PROD with NOTICES

under Rule 17Ad–22,4 and are
The principal purpose of the changes and use a FIX API to submit required consistent with the prompt and accurate
is to modify certain aspects of ICE Clear prices. ICE Clear Europe is revising the clearance of and settlement of securities
Europe’s CDS End-of-Day Price EOD Price Discovery Policy to remove transactions and, to the extent
references to the intermediary agent and applicable, derivative agreements,
17 17 CFR 200.30–3(a)(12). the Valuation Service API (and related
1 15 U.S.C. 78s(b)(1). message terminology), which will be 3 15 U.S.C. 78q–1.
2 17 CFR 240.19b–4. decommissioned with the launch of the 4 17 CFR 240.17Ad–22.

VerDate Sep<11>2014 17:13 Mar 22, 2017 Jkt 241001 PO 00000 Frm 00061 Fmt 4703 Sfmt 4703 E:\FR\FM\23MRN1.SGM 23MRN1
14926 Federal Register / Vol. 82, No. 55 / Thursday, March 23, 2017 / Notices

contracts and transactions, the Europe will notify the Commission of between the Commission and any
safeguarding of securities and funds in any written comments received by ICE person, other than those that may be
the custody or control of ICE Clear Clear Europe. withheld from the public in accordance
Europe or for which it is responsible with the provisions of 5 U.S.C. 552, will
III. Date of Effectiveness of the
and the protection of investors and the be available for Web site viewing and
Proposed Rule Change, Security-Based printing in the Commission’s Public
public interest, within the meaning of
Swap Submission and Advance Notice Reference Room, 100 F Street NE.,
Section 17A(b)(3)(F) of the Act.5 The
and Timing for Commission Action Washington, DC 20549, on official
amendments are intended to simplify
and increase the efficiency of ICE Clear Within 45 days of the date of business days between the hours of
Europe’s price discovery process. In publication of this notice in the Federal 10:00 a.m. and 3:00 p.m. Copies of such
particular, the changes will decrease Register or within such longer period filings will also be available for
external operational risk, as ICE Clear up to 90 days (i) as the Commission may inspection and copying at the principal
Europe will no longer rely on the designate if it finds such longer period office of ICE Clear Europe and on ICE
services of an intermediary agent to to be appropriate and publishes its Clear Europe’s Web site at https://
perform key aspects of its price reasons for so finding or (ii) as to which www.theice.com/clear-europe/
discovery process. In ICE Clear Europe’s the self-regulatory organization regulation#rule-filings.
view, the amendments will generally consents, the Commission will: All comments received will be posted
enhance the end-of-day settlement (A) By order approve or disapprove without change; the Commission does
process, and thus promote the prompt the proposed rule change or not edit personal identifying
and accurate clearance and settlement of (B) institute proceedings to determine information from submissions. You
cleared contracts, within the meaning of whether the proposed rule change should submit only information that
Section 17A(b)(3)(F) of the Act.6 The should be disapproved. you wish to make available publicly. All
amendments are also consistent with The proposal shall not take effect submissions should refer to File
the requirements regarding the until all regulatory actions required Number SR–ICEEU–2017–003 and
management of operational risk in Rule with respect to the proposal are should be submitted on or before April
17Ad–22(d)(4) 7 and (as and when completed. 13, 2017.
compliance therewith is required) Rule IV. Solicitation of Comments For the Commission, by the Division of
17Ad–22(e)(17).8 Trading and Markets, pursuant to delegated
Interested persons are invited to authority.9
B. Clearing Agency’s Statement on submit written data, views, and
Eduardo A. Aleman,
Burden on Competition arguments concerning the foregoing,
Assistant Secretary.
ICE Clear Europe does not believe the including whether the proposed rule
[FR Doc. 2017–05740 Filed 3–22–17; 8:45 am]
proposed changes to the rules would change, security-based swap submission
or advance notice is consistent with the BILLING CODE 8011–01–P
have any impact, or impose any burden,
on competition not necessary or Act. Comments may be submitted by
appropriate in furtherance of the any of the following methods:
SECURITIES AND EXCHANGE
purpose of the Act. ICE Clear Europe is Electronic Comments COMMISSION
adopting the amendments to the EOD
• Use the Commission’s Internet [Release No. 34–80270; File No. SR–CBOE–
Price Discovery Policy in order to
comment form (http://www.sec.gov/ 2016–082]
enhance certain aspects of the price
rules/sro.shtml) or
discovery process. The amendments
• Send an email to rule-comments@ Self-Regulatory Organizations;
will apply uniformly across all Clearing Chicago Board Options Exchange,
sec.gov. Please include File Number SR–
Members, and will not change the Incorporated; Order Instituting
ICEEU–2017–003 on the subject line.
nature of information to be submitted by Proceedings To Determine Whether To
Clearing Members. ICE Clear Europe Paper Comments Approve or Disapprove a Proposed
does not believe the amendments would • Send paper comments in triplicate Rule Change Related to Rules
materially affect the cost of clearing, to Secretary, Securities and Exchange Regarding the Responsibility for
adversely affect access to clearing in Commission, 100 F Street NE., Ensuring Compliance With Priority and
CDS Contracts for Clearing Members or Washington, DC 20549–1090. Allocation Requirements and Trade-
their customers, or otherwise adversely All submissions should refer to File Through Prohibitions in Open Outcry
affect competition in clearing services. Number SR–ICEEU–2017–003. This file Trading
As a result, ICE Clear Europe does not number should be included on the
believe that the amendments would March 17, 2017.
subject line if email is used. To help the
impose any impact or burden on Commission process and review your I. Introduction
competition that is not appropriate in comments more efficiently, please use
furtherance of the purpose of the Act. On December 1, 2016, the Chicago
only one method. The Commission will Board Options Exchange, Incorporated
C. Clearing Agency’s Statement on post all comments on the Commission’s (the ‘‘Exchange’’ or ‘‘CBOE’’) filed with
Comments on the Proposed Rule Internet Web site (http://www.sec.gov/ the Securities and Exchange
Change Received From Members, rules/sro.shtml). Copies of the Commission (‘‘Commission’’), pursuant
Participants or Others submission, all subsequent to Section 19(b)(1) of the Securities
amendments, all written statements
sradovich on DSK3GMQ082PROD with NOTICES

Written comments relating to the Exchange Act of 1934 (‘‘Exchange
proposed changes to the rules have not with respect to the proposed rule Act’’) 1 and Rule 19b–4 thereunder,2 a
been solicited or received. ICE Clear change, security-based swap submission proposed rule change to amend
or advance notice that are filed with the Exchange rules regarding responsibility
5 15 U.S.C. 78q–1(b)(3)(F). Commission, and all written
6 15 U.S.C. 78q–1(b)(3)(F). communications relating to the 9 17 CFR 200.30–3(a)(12).
7 17 CFR 240.17Ad–22(d)(4). proposed rule change, security-based 1 15 U.S.C. 78s(b)(1).
8 17 CFR 240.17Ad–22(e)(17). swap submission or advance notice 2 17 CFR 240.19b–4.

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Document Created: 2017-03-23 02:45:26
Document Modified: 2017-03-23 02:45:26
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		82 FR 14925