[Federal Register Volume 83, Number 195 (Tuesday, October 9, 2018)]
[Notices]
[Pages 50713-50715]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2018-21785]


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

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-84343; File No. SR-ICEEU-2018-013]


Self-Regulatory Organizations; ICE Clear Europe Limited; Notice 
of Filing and Immediate Effectiveness of a Proposed Rule Change 
Relating to F&O Risk Policies

October 2, 2018.
    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 September 18, 2018, ICE Clear Europe Limited (``ICE Clear Europe'') 
filed with the Securities and Exchange Commission (``Commission'') the 
proposed rule changes described in Items I, II, and III below, which 
Items have been prepared primarily by ICE Clear Europe. ICE Clear 
Europe filed the proposed rule changes pursuant to Section 19(b)(3)(A) 
of the Act,\3\ and Rule 19b-4(f)(4)(ii) thereunder,\4\ so that the 
proposal was immediately effective upon filing with the Commission. 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.
    \3\ 15 U.S.C. 78s(b)(3)(A).
    \4\ 17 CFR 240.19b-4(f)(4)(ii).
---------------------------------------------------------------------------

I. Clearing Agency's Statement of the Terms of Substance of the 
Proposed Rule Change

    ICE Clear Europe Limited (``ICE Clear Europe'' or the ``Clearing 
House'') proposes to adopt a new F&O Risk Policy and related procedures 
to consolidate and replace certain existing risk policies related to 
F&O Contracts. The revisions do not involve any changes to the ICE 
Clear Europe Clearing Rules or Procedures.\5\
---------------------------------------------------------------------------

    \5\ Capitalized terms used but not defined herein have the 
meanings specified in the ICE Clear Europe Clearing Rules (the 
``Rules'').
---------------------------------------------------------------------------

II. Clearing Agency's Statement of the Purpose of, and Statutory Basis 
for, the Proposed Rule Change

    In its filing with the Commission, ICE Clear Europe 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

[[Page 50714]]

statements may be examined at the places specified in Item IV below. 
ICE Clear Europe has prepared summaries, set forth in sections (A), 
(B), and (C) below, of the most significant aspects of such statements.

(A) Clearing Agency's Statement of the Purpose of, and Statutory Basis 
for, the Proposed Rule Change

(a) Purpose
    ICE Clear Europe is proposing to adopt a new F&O Risk Policy and 
related F&O Risk Procedures. The new F&O Risk Policy and F&O Risk 
Procedures are intended to consolidate and replace several existing ICE 
Clear Europe F&O policies: The Financials & Softs Backtesting Policy, 
Energy Backtesting Policy, Financials & Softs Margin Requirement 
Policy, Energy Margin Requirements Policy, Intraday Risk Management 
Policy and Wrong Way Risk Policy (collectively, the ``Consolidated 
Policies'').
    The F&O Risk Policy and F&O Risk Procedures collectively are 
intended to restate and reorganize the Consolidated Policies, without 
making substantive changes to the current risk management practices and 
procedures set out in the Consolidated Policies used by the Clearing 
House with respect to F&O Contracts. ICE Clear Europe believes that the 
new policy and procedures will create a simpler and more consistent 
documentation structure for its F&O risk management practices and 
procedures.
    The F&O Risk Policy outlines the Clearing House approach to the 
following risk management matters for F&O Contracts:

     Core initial margin calculation and the key components of 
the margin model for F&O Contracts
     Margin period of risk
     Procyclicality considerations
     Additional initial margin for various circumstances, 
including concentration risk, specific wrong way risk, stress margin, 
shortfall margin, intraday buffer margin and capital to margin ratio
     Additional discretionary initial margin
     Margin call and collection procedures
     Intraday risk monitoring, including intraday margin calls 
\6\
---------------------------------------------------------------------------

    \6\ ICE Clear Europe has separately filed certain proposed rule 
changes relating to intraday margin with respect to certain F&O 
contracts. See SR-ICEEU-2018-012.
---------------------------------------------------------------------------

     Monitoring of IM parameters and margin performance
     Backtesting of margin requirements
     Stress testing of margin requirements
     Sizing and review of the F&O guaranty fund \7\
---------------------------------------------------------------------------

    \7\ The F&O Risk Policy and F&O Risk Procedures do not replace 
the separate F&O Guaranty Fund Policy.
---------------------------------------------------------------------------

     Policy governance and exception handling.
    The F&O Risk Procedures set out further detail concerning the 
implementation of these risk management principles, including further 
details on the operation of F&O initial margin and F&O Guaranty Fund 
models, consistent with the current approach taken by the Clearing 
House. As with the existing Consolidated Policies, certain additional 
procedure or methodological aspects of risk management arrangement are 
set out in existing margin model and other model documentation, which 
are not changed by these amendments.
(b) Statutory Basis
    ICE Clear Europe believes that the proposed amendments are 
consistent with the requirements of Section 17A of the Act \8\ and the 
regulations thereunder applicable to it. In particular, Section 
17A(b)(3)(F) of the Act \9\ 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, the safeguarding of securities and funds in the custody 
or control of the clearing agency or for which it is responsible, and 
the protection of investors and the public interest. The amendments are 
restating, in a clearer and more concise form, the Clearing House's 
risk management policies with respect to F&O Contracts, including with 
respect to calculation of initial margin and the F&O Guaranty Fund, and 
related procedures for stress testing and backtesting. The revised 
policy does not substantively change the current risk management 
practices and procedures of the Clearing House. In ICE Clear Europe's 
view, the amendments are therefore consistent with the prompt and 
accurate clearance and settlement of F&O Contracts, consistent with the 
current operations of the Clearing House, should not affect the 
safeguarding of funds and securities in the custody or control of the 
Clearing House or for which it is responsible, and are generally 
consistent with the public interest and the protection of investors, 
consistent with the current operations of the Clearing House. 
Accordingly, the amendments satisfy the requirements of Section 
17A(b)(3)(F).\10\
---------------------------------------------------------------------------

    \8\ 15 U.S.C. 78q-1.
    \9\ 15 U.S.C. 78q-1(b)(3)(F).
    \10\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------

(B) Clearing Agency's Statement on Burden on Competition

    ICE Clear Europe does not believe the proposed amendments would 
have any impact, or impose any burden, on competition not necessary or 
appropriate in furtherance of the purposes of the Act. The amendments 
are being adopted to consolidate and restate the Clearing House's 
existing risk policies and procedures with respect to F&O Contracts. 
The amendments do not substantively change the Clearing House's risk 
policies and procedures, and accordingly should not affect the rights 
or obligations of F&O Clearing Members. As a result, ICE Clear Europe 
does not believe the amendments will affect the cost of clearing for 
F&O Clearing Members or other market participants, the market for 
cleared services generally or access to clearing by F&O Clearing 
Members or other market participants, or otherwise affect competition 
among F&O Clearing Members or market participants.

(C) Clearing Agency's Statement on Comments on the Proposed Rule Change 
Received From Members, Participants or Others

    Written comments relating to the proposed amendments have not been 
solicited or received by ICE Clear Europe. ICE Clear Europe will notify 
the Commission of any written comments received with respect to the 
proposed rule change.

III. Date of Effectiveness of the Proposed Rule Change

    The foregoing rule change has become effective pursuant to Section 
19(b)(3)(A) of the Act and paragraph (f) of Rule 19b-4 thereunder. 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.

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:

[[Page 50715]]

Electronic Comments

     Use the Commission's internet comment form (http://www.sec.gov/rules/sro.shtml) or
     Send an email to [email protected]. Please include 
File Number SR-ICEEU-2018-013 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-ICEEU-2018-013. 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 website (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 website viewing and printing in 
the Commission's Public Reference Section, 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 Europe and on ICE 
Clear Europe's website at https://www.theice.com/clear-europe/regulation#rule-filings.
    All comments received will be posted without change. Persons 
submitting comments are cautioned that we do not redact or edit 
personal identifying information from comment submissions. You should 
submit only information that you wish to make available publicly. All 
submissions should refer to File Number SR-ICEEU-2018-013 and should be 
submitted on or before October 30, 2018.
---------------------------------------------------------------------------

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

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\11\
Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2018-21785 Filed 10-5-18; 8:45 am]
 BILLING CODE 8011-01-P


