
[Federal Register Volume 80, Number 32 (Wednesday, February 18, 2015)]
[Notices]
[Pages 8729-8730]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2015-03230]


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

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-74257; File No. SR-ICC-2014-23]


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

February 11, 2015.

I. Introduction

    On December 18, 2014, ICE Clear Credit LLC (``ICC'') filed with the 
Securities and Exchange Commission (``Commission'') the proposed rule 
change SR-ICC-2014-23 pursuant to Section 19(b)(1) of the Securities 
Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4 thereunder.\2\ The 
proposed rule change was published for comment in the Federal Register 
on January 5, 2015.\3\ The Commission received no comment letters 
regarding the proposed change. For the reasons discussed below, the 
Commission is granting approval of the proposed rule change.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ Securities Exchange Act Release No. 34-73951 (Dec. 29, 
2014), 80 FR 269 (Jan. 5, 2015) (SR-ICC-2014-23).
---------------------------------------------------------------------------

II. Description of the Proposed Rule Change

    ICC is proposing this change to revise 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. This 
revision does not require any changes to the ICC Clearing Rules.
    ICC requires all Clearing Participants to provide end-of-day 
submissions for specific instruments related to their cleared open 
interest. ICC states that it uses these submissions as inputs to its 
price discovery algorithm, which determines end-of-day levels.
    According to ICC, it computes margin and guaranty fund 
requirements, and all other money movements, in price terms, but 
currently supports Clearing Participant submissions in terms of price 
(or the equivalent points upfront), or spread and associated recovery 
rate. As a result, according to ICC, 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 therefore proposes to revise 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. According to ICC, 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. Furthermore, ICC also proposes 
to add clarifying language regarding its determination of implied 
recovery rates.

III. Discussion and Commission Findings

    Section 19(b)(2)(C) of the Act \4\ directs the Commission to 
approve a proposed rule change of a self-regulatory organization if the 
Commission finds that such proposed rule change is consistent with the 
requirements of the Act and the rules and regulations thereunder 
applicable to such self-regulatory organization. Section 17A(b)(3)(F) 
of the Act \5\ requires, among other things, that the rules of a 
clearing agency are designed to promote the prompt and accurate 
clearance and settlement of securities transactions and, to the extent 
applicable, derivative agreements, contracts, and transactions, 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 and, in general, to protect investors and the public 
interest.
---------------------------------------------------------------------------

    \4\ 15 U.S.C. 78s(b)(2)(C).
    \5\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------

    The Commission finds that the proposed rule change is consistent 
with Section 17A of the Act \6\ and the rules thereunder applicable to 
ICC. The revised ICC End-of-Day Price Discovery Policies and Procedures 
will ensure ICC uses data that reflect its Clearing Participants' view 
of the price of a given Single Name instrument, without the use of a 
model to imply a given price, resulting in an end-of-day price that is 
not subject to any potential model limitations or assumptions. As such, 
the Commission believes that the proposed rule change will promote the 
prompt and accurate settlement of securities and derivatives 
transactions, and therefore is consistent with the requirements of the 
Act and the rules and regulations thereunder applicable to ICC, in 
particular, Section 17A(b)(3)(F).\7\
---------------------------------------------------------------------------

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

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

[[Page 8730]]

IV. Conclusion

    On the basis of the foregoing, the Commission finds that the 
proposal is consistent with the requirements of the Act and in 
particular with the requirements of Section 17A of the Act \8\ and the 
rules and regulations thereunder.
---------------------------------------------------------------------------

    \8\ 15 U.S.C. 78q-1.
---------------------------------------------------------------------------

    It Is Therefore Ordered, pursuant to Section 19(b)(2) of the 
Act,\9\ that the proposed rule change (File No. SR-ICC-2014-23) be, and 
hereby is, approved.\10\
---------------------------------------------------------------------------

    \9\ 15 U.S.C. 78s(b)(2).
    \10\ 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.\11\
---------------------------------------------------------------------------

    \11\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Brent J. Fields,
Secretary.
[FR Doc. 2015-03230 Filed 2-17-15; 8:45 am]
BILLING CODE 8011-01-P


