
[Federal Register Volume 80, Number 2 (Monday, January 5, 2015)]
[Notices]
[Pages 269-271]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2014-30802]


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

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-73951; File No. SR-ICC-2014-23]


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

December 29, 2014.
    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 December 18, 2014, ICE Clear Credit LLC (``ICC'') filed with the 
Securities and Exchange Commission (``Commission'') the proposed rule 
change 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 from interested 
persons.
---------------------------------------------------------------------------

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

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

    The principal purpose of the proposed rule change is to remove the 
ability for Clearing Participants to

[[Page 270]]

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.

II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, ICC 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. ICC has prepared summaries, set forth in sections A, B, 
and C below, of the most significant aspects of these statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    ICC proposes revising 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.
    ICC believes such revisions will facilitate the prompt and accurate 
clearance and settlement of securities transactions and derivative 
agreements, contracts, and transactions for which it is responsible. 
The proposed revisions are described in detail as follows.
    ICC requires all Clearing Participants to provide end-of-day 
submissions for specific instruments related to their cleared open 
interest. ICC uses these submissions as inputs to its price discovery 
algorithm, which determines end-of-day levels.
    Despite the fact that ICC computes margin and guaranty fund 
requirements, and all other money movements, in price terms, it 
currently supports Clearing Participant submissions in terms of price 
(or the equivalent points upfront), or spread and associated recovery 
rate. 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 is revising 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. 
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. ICC also clarified language regarding its determination of 
implied recovery rates. There are no changes to ICC's Clearing Rules as 
a result of these enhancements.
    Section 17A(b)(3)(F) of the Act \3\ requires, among other things, 
that the rules of a clearing agency be designed to promote the prompt 
and accurate clearance and settlement of securities transactions, and 
to the extent applicable, derivative agreements, contracts and 
transactions and to comply with the provisions of the Act and the rules 
and regulations thereunder. ICC believes that the proposed rule change 
is 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 change 
will assure the prompt and accurate clearance and settlement of 
securities transactions, derivatives agreements, contracts, and 
transactions, as the proposed revisions ensure ICC considers its 
Clearing Participants' view of the price of a given Single Name 
instrument, without the use of a model to imply a view on price from a 
submitted view on spread and associated recovery rate, resulting in an 
end-of-day price that is not subject to any potential model limitations 
or assumptions. With this change, ICC seeks to follow a common industry 
practice adopted for Single Name instruments that have become 
distressed to avoid potential model limitations, namely the observed 
market transition to quoting and trading in price (or points upfront) 
terms. As such, the proposed change is 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\
---------------------------------------------------------------------------

    \3\ 15 U.S.C. 78q-1(b)(3)(F).
    \4\ Id.
    \5\ Id.
---------------------------------------------------------------------------

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

    ICC does not believe the proposed rule change would have any 
impact, or impose any burden, on competition. The elimination of spread 
submissions for Single Names instruments applies uniformly across all 
market participants. Therefore, ICC does not believe the proposed rule 
change imposes any burden on competition that is inappropriate 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 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 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 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 rule-comments@sec.gov. Please include 
File Number SR-ICC-2014-23 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-2014-23. 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

[[Page 271]]

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 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-2014-23 
and should be submitted on or before January 26, 2015.
---------------------------------------------------------------------------

    \6\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\6\
Brent J. Fields,
Secretary.
[FR Doc. 2014-30802 Filed 1-2-15; 8:45 am]
BILLING CODE 8011-01-P


