83 FR 27356 - Self-Regulatory Organizations; ICE Clear Europe Limited; Order Approving Proposed Rule Change Relating to the ICE Clear Europe CDS End-of-Day Price Discovery Policy
SECURITIES AND EXCHANGE COMMISSION Federal Register Volume 83, Issue 113 (June 12, 2018)
Federal Register Volume 83, Issue 113 (June 12, 2018)
| Page Range | 27356-27358 | |
| FR Document | 2018-12553 |
[Federal Register Volume 83, Number 113 (Tuesday, June 12, 2018)] [Notices] [Pages 27356-27358] From the Federal Register Online [www.thefederalregister.org] [FR Doc No: 2018-12553] ----------------------------------------------------------------------- SECURITIES AND EXCHANGE COMMISSION [Release No. 34-83389; File No. SR-ICEEU-2018-006] Self-Regulatory Organizations; ICE Clear Europe Limited; Order Approving Proposed Rule Change Relating to the ICE Clear Europe CDS End-of-Day Price Discovery Policy June 6, 2018. I. Introduction On April 5, 2018, ICE Clear Europe Limited (``ICE Clear Europe'') filed with the Securities and Exchange [[Page 27357]] Commission (``Commission''), pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act''),\1\ and Rule 19b-4 thereunder,\2\ a proposed rule change (SR-ICEEU-2018-006) to amend ICE Clear Europe's CDS End-of-Day Price Discovery Policy (``Price Discovery Policy'') to implement a revised methodology used to determine bid- offer widths for credit defaults swap (``CDS'') contracts. The proposed rule change was published for comment in the Federal Register on April 25, 2018.\3\ The Commission did not receive comments regarding the proposed changes. For the reasons discussed below, the Commission is approving the proposed rule change. --------------------------------------------------------------------------- \1\ 15 U.S.C. 78s(b)(1). \2\ 17 CFR 240.19b-4. \3\ Securities Exchange Act Release No. 34-83072 (April 19, 2018), 83 FR 18106 (April 25, 2018) (SR-ICEEU-2018-006) (``Notice''). --------------------------------------------------------------------------- II. Description of the Proposed Rule Change As part of its pricing process, on a daily basis, ICE Clear Europe uses intraday quotes submitted by its CDS Clearing Members to determine the bid-offer width (``BOW'') for each eligible CDS instrument. The BOW is then used in ICE Clear Europe's price discovery process as an input to determine, among other things, end-of-day price levels. These levels are, in turn, used for mark-to-market and risk management purposes.\4\ Under its current methodology, ICE Clear Europe begins its price discovery process by calculating a ``consensus BOW'' for each relevant CDS instrument based on specified averages of the quotes provided by CDS Clearing Members. ICE Clear Europe then compares this consensus BOW with three pre-defined BOWs that correspond to three specific market regimes, which ICE Clear Europe denotes as Regime 1, Regime 2, and Regime 3. The BOW for Regime 1 is the smallest, and the BOW for Regime 3 is the largest. Depending on where the consensus BOW falls in comparison to the three predefined market regime BOWs, ICE Clear Europe selects one of the market regime BOWs as the end-of-day BOW for a given risk factor based on that risk factor's most actively traded instrument (``MATI'').\5\ --------------------------------------------------------------------------- \4\ Notice, 83 FR at 18106. \5\ Id. at 18106-07. --------------------------------------------------------------------------- ICE Clear Europe's clearing risk department is permitted to make adjustments to the calculated end-of-day BOWs based on volatile or ``fast-moving'' market conditions that may cause BOWs, according to ICE Clear Europe, to be temporarily wider than those observed in intraday quotes.\6\ In order to systematically capture the volatile market conditions and obviate the need for ICE Clear Europe's clearing risk department to make manual adjustments to the calculated BOWs, ICE Clear Europe proposes to revise its Price Discovery Policy to incorporate a new methodology that would automatically widen the selected BOWs based on observed market conditions. Specifically, ICE Clear Europe proposes to introduce a new ``variability level'' calculation. --------------------------------------------------------------------------- \6\ Id. at 18106. --------------------------------------------------------------------------- For index CDS instruments, this new calculation would take a time series of intraday mid-levels from member quotes and compare the last mid-level for the most actively traded instrument for a considered risk factor to the end-of-day level from the prior day.\7\ Under the proposed methodology, where the last mid-level of the time series for an index CDS instrument is below the prior day's end-of-day level by more than the pre-defined BOW for Regime 3 (i.e., by more than one Regime 3 BOW), ICE Clear Europe will calculate the variability level as the difference between the prior day's end-of-day level and the minimum mid-level of the time series, divided by the Regime 3 BOW. Where the last mid-level is above the prior day's end-of-day level by more than one Regime 3 BOW, ICE Clear Europe would calculate the variability level as the difference between the maximum mid-level of the time series and the prior day's end-of-day level, divided by the Regime 3 BOW. In cases where the last mid-level in the time series is within one Regime 3 BOW of the prior day's end-of-day level, then ICE Clear Europe will set the variability level based on the range of intraday mid- levels. Where the range of mid-levels is less than or equal to the Regime 3 BOW, the variability level would be set to 1. Where the range of mid-levels is greater than the Regime 3 BOW, ICE Clear Europe would set the variability level at 1.2.\8\ --------------------------------------------------------------------------- \7\ Id. \8\ Id. --------------------------------------------------------------------------- In addition to proposing to implement a new variability level calculation, ICE Clear Europe also proposes to group CDS risk factors into ``market proxy groups.'' The market proxy groups for CDS index instruments would consist of CDX, which would cover North American Investment Grade and High Yield indices, and iTraxx, which could cover the iTraxx Main, Crossover, Senior Financial, Sub Financials, and High Volatility indices. In connection with establishing these market proxy groups, ICE Clear Europe also proposes to implement ``variability bands'' that would apply to the market proxy groups and correspond to specified ranges of variability level determined by the new variability level calculation described above. Under the proposed changes, the variability band applicable to a market proxy group would be equal to the largest variability band of the individual risk factors within the group. Depending on the market proxy group variability band, ICE Clear Europe would adjust the selected market Regime BOW by increasing it either one or two Regimes (i.e., from Regime 1 to Regime 2, from Regime 2 to Regime 3, or from Regime 1 to Regime 3), with larger variability bands corresponding to the larger adjustment.\9\ The resulting Regime BOW (i.e., Regime 1, Regime 2, or Regime 3) will serve as the end-of- day BOW. --------------------------------------------------------------------------- \9\ Id. at 18106-07. --------------------------------------------------------------------------- With respect to single name CDS instruments, ICE Clear Europe proposes to adopt a new scaling factor, denoted the ``SN variability factor,'' that would be applied to the consensus BOW for single name CDS instruments. The SN variability factor applied to the consensus BOW is determined using the same new variability calculation methodology described above, and the variability factor for single name instruments will range from 1 to 1.5 depending on the applicable market proxy variability band. As with the index instruments, ICE Clear Europe proposes to group single name instruments into market proxy groups (the CDX market proxy group for Standard North American Corporate Single Names, and the iTraxx market proxy group for European Corporate and Standard Western European Sovereign Single Names). ICE Clear Europe would then apply variability bands to the market proxy groups for single names in the same way that such variability bands are determined for index instruments.\10\ --------------------------------------------------------------------------- \10\ Id. at 18107. --------------------------------------------------------------------------- ICE Clear Europe also proposes to make certain typographical corrections, as well as updates to cross-references, and other minor clarifications.\11\ --------------------------------------------------------------------------- \11\ Id. --------------------------------------------------------------------------- III. Discussion and Commission Findings Section 19(b)(2)(C) of the Act directs the Commission to approve a proposed rule change of a self-regulatory organization if it finds that such proposed rule change is consistent with the requirements of the Act and the rules and regulations thereunder [[Page 27358]] applicable to such organization.\12\ For the reasons given below, the Commission finds that the proposed rule change is consistent with Section 17A(b)(3)(F),\13\ and Rules 17Ad-22(e)(6)(iv) and (e)(17)(i).\14\ --------------------------------------------------------------------------- \12\ 15 U.S.C. 78s(b)(2)(C). \13\ 15 U.S.C. 78q-1(b)(3)(F). \14\ 17 CFR 240.17Ad-22(e)(6)(iv) and (e)(17)(i). --------------------------------------------------------------------------- A. Consistency With Section 17A(b)(3)(F) Section 17A(b)(3)(F) of the Act requires, among other things, that the rules of a registered clearing be designed to promote the prompt and accurate clearance and settlement of securities transactions and, to the extent applicable, derivatives agreements, contracts and transactions, and 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.\15\ The Commission believes that the proposed changes, taken as a whole, should improve ICE Clear Europe's ability to determine appropriate end-of-day BOWs for its CDS instruments in a number of ways, including but not limited to (i) incorporating a new systematic method for evaluating market variability and automatically widening the selected BOWs for index CDS instruments; and (ii) incorporating a new variability scaling factor for single name instruments to account for greater variability in end-of-day BOWs than that which appears in intraday quotes. --------------------------------------------------------------------------- \15\ 15 U.S.C. 78q-1(b)(3)(F). --------------------------------------------------------------------------- By automating the process for widening BOWs through applying pre- determined and well-defined criteria for evaluating and responding to market volatility that will be consistently applied over time for each CDS instrument that ICE Clear Europe clears, the Commission believes that the proposed rule changes will reduce the risk of human error associated with ICE Clear Europe's determination of BOWs. As a result of the likely reduction in human error and the more consistent application over time and across CDS instruments of the BOW widening process, the Commission believes the proposed rule change will promote the prompt and accurate clearance and settlement of CDS instruments by ICE Clear Europe. Moreover, by systematically taking into account market variability and automatically widening BOWs in response, the Commission believes that the proposed changes will enhance ICE Clear Europe's ability to more consistently and efficiently determine appropriate end-of-day BOWs for the CDS instruments it clears. This improvement in determining end- of-day BOWs for CDS instruments, in turn, should improve ICE Clear Europe's ability to determine more accurate end-of-day price levels for the purposes of mark-to-market and risk management of positions it clears in CDS instruments, thereby improving ICE Clear Europe's ability to safeguard the securities and funds which are in its custody or control or for which it is responsible. Therefore, the Commission finds that the proposed rule changes are consistent with the requirements of Section 17A(b)(3)(F) of the Act. B. Consistency With Rule 17Ad-22(e)(6)(iv) Rule 17Ad-22(e)(6)(iv) requires, in relevant part, that a covered clearing agency establish, implement, maintain and enforce written policies and procedures reasonably designed to cover, if the covered clearing agency provides central counterparty services, its credit exposures to its participants by establishing a risk-based margin system that uses reliable sources of timely price data and uses procedures and sound valuation models for addressing circumstances in which pricing data are not readily available or reliable.\16\ As described above, ICE Clear Europe currently uses intra-day quotes to determine end-of-day BOWs for the CDS instruments that it clears. However, under certain volatile or fast moving market conditions BOWs may be wider than observed in intraday quotes.\17\ To address this issue, ICE Clear Europe proposes to implement a systematic approach for evaluating market volatility and automatically widening the selected end-of-day BOWs such that the end-of-day BOWs more reliably reflect current market conditions. As a result, the Commission finds that the proposed rule change is consistent with the requirements of Rule 17Ad- 22(e)(6)(iv). --------------------------------------------------------------------------- \16\ 17 CFR 240.17Ad-22(e)(6)(iv). \17\ Notice, 83 FR at 18106. --------------------------------------------------------------------------- C. Consistency With Rule 17Ad-22(e)(17)(i) Rule 17Ad-22(e)(17)(i) requires a covered clearing agency, in relevant part, to establish, implement, maintain and enforce written policies and procedures reasonably designed to manage the covered clearing agency's operational risk by, among other things, identifying the plausible sources of operational risk, both internal and external, and mitigating their impact through the use of appropriate systems, policies, procedures, and controls.\18\ As described above, ICE Clear Europe's clearing risk department currently is tasked with monitoring market conditions in order to assess volatility and, if appropriate, manually adjust the selected end-of-day BOWs to reflect such volatility. As described above, by implementing a systematic approach to assessing volatility and an automatic widening of BOWs in appropriate instances, the Commission believes that the proposed rule change will reduce the level of operational risk in ICE Cleary Europe's end-of-day pricing methodology because it will establish pre-determined and well-defined criteria that can be quickly and consistently applied to widen the BOWs with minimal human intervention. As a result, the Commission believes that the risk of error associated with observation of market volatility and manual adjustment of the end-of-day BOWs will be mitigated. Therefore, the Commission finds that the proposed rule change is consistent with the requirements of Rule 17Ad-22(e)(17)(i). --------------------------------------------------------------------------- \18\ 17 CFR 240.17Ad-22(e)(17)(i). --------------------------------------------------------------------------- IV. Conclusion On the basis of the foregoing, the Commission finds that the proposed rule change is consistent with the requirements of Section 17A of the Act,\19\ and Rules 17Ad-22(e)(6)(iv) and (e)(17)(i) \20\ thereunder. --------------------------------------------------------------------------- \19\ 15 U.S.C. 78q-1. \20\ 17 CFR 240.17Ad-22(e)(6)(iv) and (e)(17)(i). --------------------------------------------------------------------------- It is therefore ordered pursuant to Section 19(b)(2) of the Act \21\ that the proposed rule change be, and hereby is, approved.\22\ --------------------------------------------------------------------------- \21\ 15 U.S.C. 78s(b)(2). \22\ 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.\23\ --------------------------------------------------------------------------- \23\ 17 CFR 200.30-3(a)(12). --------------------------------------------------------------------------- Eduardo A. Aleman, Assistant Secretary. [FR Doc. 2018-12553 Filed 6-11-18; 8:45 am] BILLING CODE 8011-01-P
![27356 Federal Register / Vol. 83, No. 113 / Tuesday, June 12, 2018 / Notices
filed.6 The Commission has received no SECURITIES AND EXCHANGE no comments on the proposed rule
comments on the proposed rule change. COMMISSION change.
Section 19(b)(2) of the Act 7 provides
Section 19(b)(2) of the Act 7 provides [Release No. 34–83388; File No. SR– that, after initiating disapproval
that, after initiating disapproval CboeBZX–2017–006]
proceedings, the Commission shall issue
proceedings, the Commission shall issue an order approving or disapproving the
an order approving or disapproving the Self-Regulatory Organizations; Cboe
BZX Exchange, Inc.; Notice of proposed rule change not later than 180
proposed rule change not later than 180 days after the date of publication of
days after the date of publication of Designation of a Longer Period for
Commission Action on Proceedings To notice of the filing of the proposed rule
notice of the filing of the proposed rule change. The Commission may extend
Determine Whether To Approve or
change. The Commission may extend the period for issuing an order
Disapprove a Proposed Rule Change,
the period for issuing an order approving or disapproving the proposed
as Modified by Amendment No. 1
approving or disapproving the proposed Thereto, To List and Trade Shares of rule change, however, by not more than
rule change, however, by not more than Series of the Cboe Vest S&P 500 60 days if the Commission determines
60 days if the Commission determines Enhanced Growth Strategy ETF Under that a longer period is appropriate and
that a longer period is appropriate and the ETF Series Solutions Trust Under publishes the reasons for such
publishes the reasons for such Rule 14.11(c)(3) determination. The proposed rule
determination. The proposed rule change was published for notice and
change was published for notice and June 6, 2018. comment in the Federal Register on
comment in the Federal Register on On November 21, 2017, Cboe BZX December 11, 2017. June 9, 2018, is 180
December 11, 2017. June 9, 2018 is 180 Exchange, Inc. (‘‘Exchange’’ or ‘‘BZX’’) days from that date, and August 8, 2018,
days from that date, and August 8, 2018 filed with the Securities and Exchange is 240 days from that date.
Commission (‘‘Commission’’), pursuant The Commission finds it appropriate
is 240 days from that date.
to Section 19(b)(1) of the Securities to designate a longer period within
The Commission finds it appropriate Exchange Act of 1934 (‘‘Act’’) 1 and Rule which to issue an order approving or
to designate a longer period within 19b–4 thereunder,2 a proposed rule disapproving the proposed rule change
which to issue an order approving or change to list and trade shares so that it has sufficient time to consider
disapproving the proposed rule change (‘‘Shares’’) of series of the Cboe Vest the proposed rule change, as modified
so that it has sufficient time to consider S&P 500® Enhanced Growth Strategy by Amendment No. 1. Accordingly,
the proposed rule change, as modified ETF under Exchange Rule 14.11(c)(3), pursuant to Section 19(b)(2) of the Act,8
by Amendment No. 1. Accordingly, which governs the listing and trading of the Commission designates August 8,
pursuant to Section 19(b)(2) of the Act,8 Index Fund Shares. The proposed rule 2018, as the date by which the
the Commission designates August 8, change was published for comment in Commission shall either approve or
2018 as the date by which the the Federal Register on December 11, disapprove the proposed rule change
Commission shall either approve or 2017.3 On January 19, 2018, the (File No. SR–CboeBZX–2017–006), as
disapprove the proposed rule change Commission extended the time period modified by Amendment No. 1.
(File No. SR–CboeBZX–2017–005), as within which to approve the proposed For the Commission, by the Division of
rule change, disapprove the proposed Trading and Markets, pursuant to delegated
modified by Amendment No. 1.
rule change, or institute proceedings to authority.9
For the Commission, by the Division of determine whether to approve or Eduardo A. Aleman,
Trading and Markets, pursuant to delegated disapprove the proposed rule change.4 Assistant Secretary.
authority.9 On March 9, 2018, the Commission [FR Doc. 2018–12552 Filed 6–11–18; 8:45 am]
Brent J. Fields, initiated proceedings to determine BILLING CODE 8011–01–P
Secretary. whether to disapprove the proposed
[FR Doc. 2018–12555 Filed 6–11–18; 8:45 am] rule change.5
On April 13, 2018, the Exchange filed SECURITIES AND EXCHANGE
BILLING CODE 8011–01–P
Amendment No. 1 to the proposed rule COMMISSION
change.6 The Commission has received
[Release No. 34–83389; File No. SR–ICEEU–
1 15 U.S.C. 78s(b)(1). 2018–006]
2 17 CFR 240.19b–4.
3 See Securities Exchange Act Release No. 82216 Self-Regulatory Organizations; ICE
(December 5, 2017), 82 FR 58235. Clear Europe Limited; Order Approving
4 See Securities Exchange Act Release No. 82552, Proposed Rule Change Relating to the
83 FR 3819 (January 26, 2018). ICE Clear Europe CDS End-of-Day
5 See Securities Exchange Act Release No. 82843,
Price Discovery Policy
83 FR 11264 (March 14, 2018).
6 In Amendment No. 1, which amended and
June 6, 2018.
replaced the proposed rule change in its entirety,
the Exchange: (a) Clarified the requirements and I. Introduction
applicability of BZX Rule 14.11(c)(3) as it pertains
to the Shares; (b) supplemented its description of On April 5, 2018, ICE Clear Europe
the indexes; (c) supplemented its description of Limited (‘‘ICE Clear Europe’’) filed with
outcome periods; (d) clarified its assertions relating the Securities and Exchange
sradovich on DSK3GMQ082PROD with NOTICES
6 Amendment No. 1, which amended and
to susceptibility of manipulation of the Shares; (e)
replaced the proposed rule change in its entirety, made certain corrections to maintain consistency
with defined terms; (f) provided a description of the to notice and comment. Amendment No. 1 is
is available at: https://www.sec.gov/comments/sr-
suitability requirements with respect to Exchange available at: https://www.sec.gov/comments/sr-
cboebzx-2017-005/cboebzx2017005-3458514- cboebzx-2017-006/cboebzx2017006-3458512-
162203.pdf. members; and (g) made other technical and non-
substantive corrections and updates. Because 162202.pdf.
7 15 U.S.C. 78s(b)(2). 7 15 U.S.C. 78s(b)(2).
Amendment No. 1 does not materially alter the
8 15 U.S.C. 78s(b)(2). 8 Id.
substance of the proposal or raise unique or novel
9 17 CFR 200.30–3(a)(57). regulatory issues, Amendment No. 1 is not subject 9 17 CFR 200.30–3(a)(57).
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![27358 Federal Register / Vol. 83, No. 113 / Tuesday, June 12, 2018 / Notices
applicable to such organization.12 For CDS instruments it clears. This policies, procedures, and controls.18 As
the reasons given below, the improvement in determining end-of-day described above, ICE Clear Europe’s
Commission finds that the proposed BOWs for CDS instruments, in turn, clearing risk department currently is
rule change is consistent with Section should improve ICE Clear Europe’s tasked with monitoring market
17A(b)(3)(F),13 and Rules 17Ad– ability to determine more accurate end- conditions in order to assess volatility
22(e)(6)(iv) and (e)(17)(i).14 of-day price levels for the purposes of and, if appropriate, manually adjust the
A. Consistency With Section mark-to-market and risk management of selected end-of-day BOWs to reflect
17A(b)(3)(F) positions it clears in CDS instruments, such volatility. As described above, by
thereby improving ICE Clear Europe’s implementing a systematic approach to
Section 17A(b)(3)(F) of the Act ability to safeguard the securities and
requires, among other things, that the assessing volatility and an automatic
funds which are in its custody or widening of BOWs in appropriate
rules of a registered clearing be designed control or for which it is responsible.
to promote the prompt and accurate instances, the Commission believes that
Therefore, the Commission finds that
clearance and settlement of securities the proposed rule change will reduce
the proposed rule changes are consistent
transactions and, to the extent the level of operational risk in ICE
with the requirements of Section
applicable, derivatives agreements, 17A(b)(3)(F) of the Act. Cleary Europe’s end-of-day pricing
contracts and transactions, and to assure methodology because it will establish
the safeguarding of securities and funds B. Consistency With Rule 17Ad– pre-determined and well-defined
which are in the custody or control of 22(e)(6)(iv) criteria that can be quickly and
the clearing agency or for which it is Rule 17Ad–22(e)(6)(iv) requires, in consistently applied to widen the BOWs
responsible.15 The Commission believes relevant part, that a covered clearing with minimal human intervention. As a
that the proposed changes, taken as a agency establish, implement, maintain result, the Commission believes that the
whole, should improve ICE Clear and enforce written policies and risk of error associated with observation
Europe’s ability to determine procedures reasonably designed to of market volatility and manual
appropriate end-of-day BOWs for its cover, if the covered clearing agency adjustment of the end-of-day BOWs will
CDS instruments in a number of ways, provides central counterparty services, be mitigated. Therefore, the Commission
including but not limited to (i) its credit exposures to its participants by finds that the proposed rule change is
incorporating a new systematic method establishing a risk-based margin system consistent with the requirements of Rule
for evaluating market variability and that uses reliable sources of timely price 17Ad–22(e)(17)(i).
automatically widening the selected data and uses procedures and sound
BOWs for index CDS instruments; and valuation models for addressing IV. Conclusion
(ii) incorporating a new variability circumstances in which pricing data are
scaling factor for single name On the basis of the foregoing, the
not readily available or reliable.16 As Commission finds that the proposed
instruments to account for greater described above, ICE Clear Europe
variability in end-of-day BOWs than rule change is consistent with the
currently uses intra-day quotes to requirements of Section 17A of the
that which appears in intraday quotes. determine end-of-day BOWs for the CDS
By automating the process for Act,19 and Rules 17Ad–22(e)(6)(iv) and
instruments that it clears. However,
widening BOWs through applying pre- (e)(17)(i) 20 thereunder.
under certain volatile or fast moving
determined and well-defined criteria for It is therefore ordered pursuant to
market conditions BOWs may be wider
evaluating and responding to market Section 19(b)(2) of the Act 21 that the
than observed in intraday quotes.17 To
volatility that will be consistently proposed rule change be, and hereby is,
address this issue, ICE Clear Europe
applied over time for each CDS approved.22
proposes to implement a systematic
instrument that ICE Clear Europe clears,
approach for evaluating market For the Commission, by the Division of
the Commission believes that the
volatility and automatically widening Trading and Markets, pursuant to delegated
proposed rule changes will reduce the
the selected end-of-day BOWs such that authority.23
risk of human error associated with ICE
the end-of-day BOWs more reliably Eduardo A. Aleman,
Clear Europe’s determination of BOWs.
reflect current market conditions. As a
As a result of the likely reduction in Assistant Secretary.
result, the Commission finds that the
human error and the more consistent [FR Doc. 2018–12553 Filed 6–11–18; 8:45 am]
proposed rule change is consistent with
application over time and across CDS
the requirements of Rule 17Ad– BILLING CODE 8011–01–P
instruments of the BOW widening
22(e)(6)(iv).
process, the Commission believes the
proposed rule change will promote the C. Consistency With Rule 17Ad–
prompt and accurate clearance and 22(e)(17)(i)
settlement of CDS instruments by ICE
Clear Europe. Rule 17Ad–22(e)(17)(i) requires a
Moreover, by systematically taking covered clearing agency, in relevant
into account market variability and part, to establish, implement, maintain
automatically widening BOWs in and enforce written policies and
response, the Commission believes that procedures reasonably designed to
the proposed changes will enhance ICE manage the covered clearing agency’s 18 17 CFR 240.17Ad–22(e)(17)(i).
operational risk by, among other things,
sradovich on DSK3GMQ082PROD with NOTICES
Clear Europe’s ability to more 19 15 U.S.C. 78q–1.
consistently and efficiently determine identifying the plausible sources of 20 17 CFR 240.17Ad–22(e)(6)(iv) and (e)(17)(i).
appropriate end-of-day BOWs for the operational risk, both internal and 21 15 U.S.C. 78s(b)(2).
external, and mitigating their impact 22 In approving the proposed rule change, the
12 15 U.S.C. 78s(b)(2)(C). through the use of appropriate systems, Commission considered the proposal’s impact on
13 15 U.S.C. 78q–1(b)(3)(F). efficiency, competition, and capital formation. 15
14 17 CFR 240.17Ad–22(e)(6)(iv) and (e)(17)(i). 16 17 CFR 240.17Ad–22(e)(6)(iv). U.S.C. 78c(f).
15 15 U.S.C. 78q–1(b)(3)(F). 17 Notice, 83 FR at 18106. 23 17 CFR 200.30–3(a)(12).
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Document Created: 2018-06-12 00:47:02
Document Modified: 2018-06-12 00:47:02
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| sudoc Class | AE 2.7: GS 4.107: AE 2.106: | |
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| FR Citation | 83 FR 27356 |
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