
[Federal Register Volume 80, Number 223 (Thursday, November 19, 2015)]
[Notices]
[Pages 72458-72460]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2015-29489]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-76437; File No. SR-ICC-2015-018]


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

November 13, 2015.
    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 November 5, 2015, 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. ICC filed the proposed rule change 
pursuant to Section 19(b)(3)(A) of the

[[Page 72459]]

Act,\3\ and Rule 19b-4(f)(4)(i) \4\ thereunder, so that the proposal 
was effective upon filing with the Commission. 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.
    \3\ 15 U.S.C. 78s(b)(3)(A).
    \4\ 17 CFR 240.19b-4(f)(4)(i).
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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 revise the 
ICC End-of-Day Price Discovery Policies and Procedures to accommodate 
industry changes regarding the reduction of the frequency for which 
Single Name (``SN'') credit default swap (``CDS'') contracts roll to 
the new on-the-run-contract. These revisions do 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 regarding 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

1. Purpose
    ICC proposes revising the ICC End-of-Day Price Discovery Policies 
and Procedures to accommodate industry changes regarding the reduction 
of the frequency for which SN CDS contracts roll to the new on-the-run-
contract. The changes affect the labeling convention for cleared SN CDS 
contracts for price reporting purposes, but will not alter the terms of 
the contracts or the range of tenors of SN CDS contracts currently 
cleared by ICC.
    ICC believes such revisions will facilitate the prompt and accurate 
clearance and settlement of securities transactions and derivative 
agreements, contracts, and transactions cleared by ICC. The proposed 
revisions are described in detail as follows.
    As part of ICC's end-of-day price discovery process, ICC Clearing 
Participants (``CPs'') are required to submit end-of-day prices for 
specific instruments related to their open interest at ICC, in 
accordance with Rule 404(b) and ICC Procedures. These end-of-day price 
submissions are used by ICC in its calculation of settlement prices.
    ICC refers to a group of SN instruments with the same risk sub-
factor and coupon as a ``curve.'' Each point, or tenor, along the curve 
is labeled with a tenor name. Currently for SN instruments, the market 
convention is to describe tenors based on the period remaining until 
the scheduled termination date of the contract. Under this convention, 
the nearest-to-expiring contract is referred to as the 0M tenor, the 
next nearest to expiring is referred to as the three month (3M) tenor, 
and so on (with scheduled termination dates spaced at 3 month 
intervals), up to ten years (10Y). ICC supports the clearing of all 41 
SN tenors from 0M to 10Y. As such, ICC also calculates settlement 
prices for the 41 SN tenors on the curve. However, ICC defines a subset 
of the 41 tenors as ``benchmark-tenors'', which are tenors for which 
CPs provide submissions in the end-of-day price discovery process. The 
nine benchmark tenors are 0M, 6M, 1Y, 2Y, 3Y, 4Y, 5Y, 7Y, and 10Y, 
which correspond to so-called ``on-the-run'' contracts.
    Currently, as a matter of CDS market practice, the ``on-the-run'' 
contract for a particular tenor is the contract expiring on the next 
following quarterly International Money Market (``IMM'') dates (i.e., 
March 20, June 20, September 20 and December 20) for the relevant year. 
For example, the SN CDS contract expiring December 20, 2020 will be 
considered the five-year ``on-the-run'' contract until December 20, 
2015, from which time the contract expiring March 20, 2021 will be 
viewed as the 5Y ``on-the-run'' contract, until the next quarterly roll 
date, etc. Accordingly, market participants seeking to maintain 
exposure at a particular CDS tenor will typically ``roll'' SN CDS 
contracts into the new ``on-the-run'' contract (i.e., terminate 
positions in the old on-the-run contract and establish positions in the 
new on-the-run contract) on a quarterly basis on the IMM dates. To 
account for this practice, at each quarterly roll date, ICC re-labeled 
the 41 SN tenors to reflect the rolling and expiration of contracts.
    The CDS industry has proposed reducing the frequency at which SN 
CDS contracts roll to the new on-the-run contract. Specifically, the 
CDS industry has proposed moving from quarterly roll dates to semi-
annual roll dates for SN CDS contracts. Under the revised approach, 
market participants are expected to roll SN CDS contracts only on the 
March 20 and September 20 IMM dates, and the ``on-the-run'' contracts 
will be determined based on the next following June 20 and December 20 
expiration dates. As a result, a particular contract tenor will 
generally remain the on-the-run contract for six months, rather than 
three.
    ICC proposes changes to its End-of-Day Price Discovery Policies and 
Procedures to accommodate the change in roll frequency for on-the-run 
contracts. Under the revised policy, ICC will re-label scheduled 
termination dates with benchmark tenor names every six months, on the 
March 20 and September 20 IMM dates for CDS contracts (i.e., the on-
the-run roll dates). The re-labeling is based on the remaining time to 
maturity that will apply to a given scheduled termination date on the 
next quarterly IMM date (i.e. the next December 20 or June 20 standard 
maturity date). Upon the semi-annual re-labeling, the nearest to 
maturity contract is referred to as the 0M tenor, and the tenor label 
for each longer-date contract is based on that contract's time to 
maturity relative to the scheduled termination date labeled as the 0M 
tenor.
    The new nine benchmark tenors will be the 0/3M, 6M, 1Y, 2Y, 3Y, 4Y, 
5Y, 7Y and 10Y, which correspond to the on-the-run contracts for those 
tenors. Eight of the nine benchmark tenors remain constant and refer to 
individual scheduled termination dates that are fixed for the six-month 
periods between semi-annual re-labeling, specifically the 6M, 1Y, 2Y, 
3Y, 4Y, 5Y, 7Y, and 10Y. However, the 0M tenor matures three months 
after a semi-annual labeling, and ICC defines the first (shortest-
dated) benchmark tenor as the 0M tenor from a semi-annual re-labeling 
until the maturity of that tenor, and defines the first benchmark tenor 
as the 3M tenor from the maturity of the 0M tenor through the next 
semi-annual re-labeling. The label 0/3M tenor refers to this re-mapping 
of the first benchmark tenor to different IMM dates on a quarterly 
basis. Throughout the policy, references to the 0M SN tenor has been 
updated to 0/3M to reflect this change.
    Consistent with the approach being taken throughout the CDS market, 
the changes to accommodate the change in SN roll frequency will take 
effect with the December 20, 2015 roll.
2. Statutory Basis
    Section 17A(b)(3)(F) of the Act \5\ requires, among other things, 
that the

[[Page 72460]]

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 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).\6\ The proposed rule changes will facilitate the prompt 
and accurate clearance and settlement of securities transactions and 
derivatives agreements, contracts, and transactions, as the proposed 
revisions accommodate industry changes regarding the reduction of the 
frequency for which SN CDS contracts roll to the new on-the-run 
contract. The proposed amendments to the End-of-Day Price Discovery 
Policies and Procedures will thus enable ICC to appropriately complete 
its end of day price discovery process in light of such industry 
changes. The completion of ICC's end of day price discovery process 
allows ICC to provide reliable, market-driven prices for its CDS 
instruments. 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) \7\ of the Act.
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    \5\ 15 U.S.C. 78q-1(b)(3)(F).
    \6\ Id.
    \7\ Id.
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B. Self-Regulatory Organization's Statement on Burden on Competition

    ICC does not believe the proposed rule changes would have any 
impact, or impose any burden, on competition not necessary or 
appropriate in furtherance of the purposes of the Act. The proposed 
changes are designed to accommodate industry changes regarding the 
reduction of the frequency for which SN CDS contracts roll to the new 
on-the-run-contract, and will apply uniformly across all market 
participants. ICC is not changing the products or tenors of SN CDS 
offered, and does not believe that the amendments will adversely affect 
access to clearing or the cost of clearing for CPs or other 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. 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

    The foregoing rule change has become effective upon filing pursuant 
to Section 19(b)(3)(A) \8\ of the Act and Rule 19b-4(f)(4)(i) 
thereunder, as the amendments effect a change in an existing service of 
a registered clearing agency that does not adversely affect the 
safeguarding of securities or funds in the custody or control of the 
clearing agency or for which it is responsible and does not 
significantly affect the respective rights or obligations of the 
clearing agency or persons using the service, within the meaning of 
Rule 19b-4(f)(4)(i). At any time within 60 days of the filing of the 
proposed rule change, the Commission summarily may temporarily suspend 
such rule change if it appears to the Commission that such action is 
necessary or appropriate in the public interest, for the protection of 
investors, or otherwise in furtherance of the purposes of the Act.
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    \8\ 15 U.S.C. 78s(b)(3)(A).
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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-2015-018 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-2015-018. 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 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-2015-018 
and should be submitted on or before December 10, 2015.

    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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Brent J. Fields,
Secretary.
[FR Doc. 2015-29489 Filed 11-18-15; 8:45 am]
BILLING CODE 8011-01-P


