
[Federal Register Volume 81, Number 117 (Friday, June 17, 2016)]
[Notices]
[Pages 39743-39745]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2016-14314]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-78055; File No. SR-ICC-2016-008]


Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of 
Filing and Order Granting Accelerated Approval of Proposed Rule Change 
To Revise the ICC Clearing Rules

June 13, 2016.
    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 June 3, 2016, 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 
and to approve the proposed rule change on an accelerated basis.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The purpose of proposed rule change is to revise the ICC Clearing 
Rules (``ICC Rules'') to add explicit references to certain risk-
related policies currently contained in the ICC Risk Management 
Framework and the ICC Risk Management Model Description document.

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 changes to ICC Rules 403 and 801 to add explicit 
references to certain risk-related policies currently contained in the 
ICC Risk Management Framework and the ICC Risk Management Model 
Description document related to the minimum time horizon for 
liquidation, anti-procyclicality conditions, and the maintenance of 
cover-2 default resources. The proposed changes are described in detail 
as follows.
    As provided in the ICC Risk Management Model Description document, 
ICC's initial margin methodology applies a minimum of a 5-day time 
horizon as the liquidation period for all ICC cleared instruments. ICC 
proposes amending ICC Rule 403 to explicitly reference this risk policy 
by stating that ICC's initial margin methodology shall incorporate a 
minimum 5-day time horizon for the liquidation period (for both house 
and client-related positions).
    Additionally, as provided in the ICC Risk Management Framework, ICC 
incorporates certain anti-procyclicality measures into its risk 
methodology to account for stable but prudent margin requirements.\3\ 
ICC proposes amending ICC Rule 403 to explicitly reference its current 
anti-procyclicality measures and to provide for additional anti-
procyclicality measures. Specifically, ICC proposes amending ICC Rule 
403 to state that ICC's initial margin methodology shall incorporate 
one or more measures designed to limit procyclicality, including by 
avoiding when possible disruptive or big step changes in margin 
requirements and by establishing transparent and predictable procedures 
for adjusting margin requirements in response to changing market 
conditions. Further, consistent with current ICC risk policies, the 
measures designed to limit procyclicality will demonstrably meet or 
exceed the requirements of measures designed to limit procyclicality 
that assign at least 25% weight to stressed observations in a look-back 
period beginning on April 1, 2007. In addition, changes to ICC Rule 403 
also allow ICC to measure procyclicality limits by reference to a ten 
year historical look-back period for computing initial margin.\4\
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    \3\ See Securities Exchange Act Release No. 34-73877 (December 
18, 2014) (SR-ICC-2014-18).
    \4\ Please note that as ICC uses a look-back period beginning on 
April 1, 2007, this ten year historical period anti-procyclicality 
measure will become available to ICC in 2017.
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    Finally, as provided in the ICC Risk Management Framework, ICC 
maintains a minimum of cover-2 default resources, in accordance with 
Commodity Futures Trading Commission (``CFTC'') Regulations 39.11 and 
39.33. ICC proposes amending ICC Rule 801(a)(i) to explicitly reference 
this risk policy and state that ICC shall establish the aggregate 
amount of required

[[Page 39744]]

contributions to the Guaranty Fund such that at a minimum ICC will 
maintain pre-funded financial resources sufficient to enable it to meet 
its financial obligations to Clearing Participants (``CPs'') 
notwithstanding a default by the two CPs (including any of their 
affiliated CPs) creating the largest combined loss to ICC in extreme 
but plausible market conditions.
    Section 17A(b)(3)(F) of the Act \5\ 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 changes are 
consistent with the requirements of the Act and the rules and 
regulations thereunder applicable to ICC, in particular, to Section 
17A(b)(3)(F),\6\ because ICC believes that the proposed changes will 
promote the prompt and accurate clearance and settlement of securities 
transactions, derivatives agreements, contracts, and transactions. The 
proposed changes to the ICC Rules to add explicit references to certain 
risk-related policies currently contained in the ICC Risk Management 
Framework and the ICC Risk Management Model Description document 
provide additional clarity and transparency regarding ICC's risk 
management policies and procedures. As such, the proposed rule 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\ 15 U.S.C. 78q-1(b)(3)(F).
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B. Self-Regulatory Organization's Statement on Burden on Competition

    ICC does not believe the proposed revision would have any impact, 
or impose any burden, on competition. ICC is restating certain risk-
related policies in the ICC Rules and not making any substantive 
changes to its overall risk management framework. Therefore, ICC does 
not believe the proposed revision 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. 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-2016-008 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-2016-008. 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 the filing also will be available 
for inspection and copying at the principal office of ICC and on ICC'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-2016-008 
and should be submitted on or before July 8, 2016.

IV. Commission's Findings and Order Granting Accelerated Approval of 
Proposed Rule Change

    Section 19(b)(2)(C) of the Act \8\ 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 
applicable to such organization. Section 17A(b)(3)(F) of the Act \9\ 
requires, among other things, that the rules of a registered 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, 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.
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    \8\ 15 U.S.C. 78s(b)(2)(C).
    \9\ 15 U.S.C. 78q-1(b)(3)(F).
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    The Commission finds that the proposed revision to the ICC Risk 
Management Framework and the ICC Risk Management Model Description are 
consistent with the requirements of the Act, in particular the 
requirements of Section 17A(b)(3)(F) of the Act,\10\ because the 
proposed changes provide additional clarity and transparency regarding 
ICC's risk management policies and procedures. The Commission finds 
that the proposed rule change promotes 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.
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    \10\ Id. 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).
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    ICC has requested that the Commission approve the proposed rule 
change on an accelerated basis for good cause shown pursuant to Section 
19(b)(2). ICC is restating certain risk-related policies in the ICC 
Rules and not making any substantive changes to its overall risk 
management framework. In addition, ICC states that the changes are 
proposed in furtherance of regulatory compliance with European

[[Page 39745]]

Commission's implementing decision \11\ on the equivalence of the 
regulatory framework of the United States of America for central 
counterparties (``CCPs'') that are authorized and supervised by the 
CFTC to the requirements of European Market Infrastructure Regulation 
(``EMIR'') No. 648/2012.\12\ ICC represents that it has submitted an 
application to the European Securities and Markets Authority to be 
recognized as a third country CCP in accordance with EMIR; the proposed 
changes will facilitate this application process and promote regulatory 
compliance with the required equivalency elements. For the above 
reasons, the Commission finds good cause, pursuant to Section 
19(b)(2)(C)(iii) of the Act,\13\ for approving the proposed rule change 
on an accelerated basis.
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    \11\ See European Commission Implementing Decision (EU) 2016/
377, dated 15 March 2016.
    \12\ See Regulation (EU) No 648/2012, dated 4 July 2012.
    \13\ 15 U.S.C. 78s(b)(2)(C)(iii).
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V. Conclusion

    It is therefore ordered pursuant to Section 19(b)(2) of the Act 
that the proposed rule change (SR-ICC-2016-008) be, and hereby is, 
approved on an accelerated basis.

    For the Commission by the Division of Trading and Markets, 
pursuant to delegated authority.\14\
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    \14\ 17 CFR 200.30-3(a)(12).
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Robert W. Errett,
Deputy Secretary.
[FR Doc. 2016-14314 Filed 6-16-16; 8:45 am]
BILLING CODE 8011-01-P


