Self-Regulatory Organizations; ICE Clear Europe Limited; Notice of Filing of Proposed Rule Change Regarding New Permitted Cover, 9304-9305 [2014-03374]

Download as PDF 9304 Federal Register / Vol. 79, No. 32 / Tuesday, February 18, 2014 / Notices SECURITIES AND EXCHANGE COMMISSION [Release No. 34–71518; File No. SR–ICEEU– 2014–01] Self-Regulatory Organizations; ICE Clear Europe Limited; Notice of Filing of Proposed Rule Change Regarding New Permitted Cover February 11, 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 February 11, 2014, ICE Clear Europe Limited (‘‘ICE Clear Europe’’) filed with the Securities and Exchange Commission (‘‘Commission’’) the proposed changes to the rules as described in Items I, II, and III below, which Items have been prepared primarily by ICE Clear Europe. The Commission is publishing this notice to solicit comments on the proposed changes to the rules from interested persons. I. Self-Regulatory Organization’s Statement of the Terms of Substance of the Proposed Rule Change The principal purpose of the change is to permit Clearing Members of ICE Clear Europe to post certain Japanese Government Bonds (‘‘JGBs’’), Japanese Treasury Bills (‘‘JTBs’’) and Japanese Treasury Discount Bills (‘‘JTDBs’’ together with JGBs and JTBs, the ‘‘New Permitted Cover’’) to ICE Clear Europe in order to meet initial margin, original margin and certain other margin requirements, including delivery margin requirements. The New Permitted Cover will not be accepted to satisfy variation margin requirements or guaranty fund requirements. ICE Clear Europe commenced accepting the New Permitted Cover as of June 28, 2013. tkelley on DSK3SPTVN1PROD with NOTICES II. Self-Regulatory Organization’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 proposing the New Permitted Cover. The text of these 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 these statements. 1 15 U.S.C. 78s(b)(1). 2 17 CFR 240.19b–4. VerDate Mar<15>2010 20:58 Feb 14, 2014 Jkt 232001 A. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change The purpose of ICE Clear Europe accepting the New Permitted Cover is to provide its Clearing Members with a greater range of high-quality collateral that can be posted to ICE Clear Europe to satisfy certain margin requirements. ICE Clear Europe believes that the New Permitted Cover is of minimal credit risk comparable to that of other sovereign debt currently accepted by ICE Clear Europe as permitted cover for margin obligations. ICE Clear Europe further believes that the New Permitted Cover has demonstrated low volatility, including in stressed market conditions. Based on its analysis of the New Permitted Cover and its volatility and other characteristics, ICE Clear Europe has established initial valuation haircut levels for the New Permitted Cover, and will review and modify such haircuts from time to time in accordance with the Rules and procedures. In addition, each type of New Permitted Cover may only be used to satisfy margin requirements up to a specified concentration limit, which is subject to review and modification from time to time in accordance with the Rules and procedures. The concentration limit applies on an aggregate basis across all product categories. Specifically, Japanese Government Debt may only constitute up to 10% of a Clearing Member’s total initial and original margin requirement, up to a maximum amount of JPY 100 billion. Japanese Government Debt will be subject to a valuation haircut of three percent (3%), except that JGBs with a maturity of more than eleven (11) years will be subject to a valuation haircut of five percent (5%). Consistent with existing ICE Clear Europe haircut policies, an additional haircut will apply where New Permitted Cover is used to cover a margin requirement denominated in a different currency, to cover the exchange rate risk. For the avoidance of doubt, the New Permitted Cover cannot be used to satisfy variation margin requirements because variation margin must be paid in cash in the currency of the contract. In addition, the New Permitted Cover will not be accepted in respect of guaranty fund requirements. ICE Clear Europe has identified New Permitted Cover as types of assets that would be appropriate for Clearing Members to post in order to meet initial margin and original margin requirements. ICE Clear Europe believes PO 00000 Frm 00148 Fmt 4703 Sfmt 4703 that accepting the New Permitted Cover is consistent with the requirements of Section 17A of the Act 3 and the regulations thereunder applicable to it, including the standards under Rule 17Ad–22,4 and is consistent with the prompt and accurate clearance of and settlement of securities transactions, the safeguarding of securities and funds in the custody or control of ICE Clear Europe and the protection of investors and the public interest, within the meaning of Section 17A(b)(3)(F) of the Act in the same manner as other collateral accepted by ICE Clear Europe.5 In addition, in ICE Clear Europe’s view, acceptance of the New Permitted Cover will satisfy the financial resources requirements of Rule 17Ad–22. ICE Clear Europe has determined, through analysis of the credit risk, liquidity, market risk, volatility and other trading characteristics of the New Permitted Cover, that such assets are appropriate for use as permitted cover for Clearing Member’s obligations under the Rules, subject to the haircuts and limits described above, consistent with the risk management of the clearing house. In particular, the New Permitted Cover is a stable collateral type that presents minimal credit risk and low volatility. In this regard, the New Permitted Cover is similar to the other categories of sovereign debt that ICE Clear Europe currently accepts as permitted cover. Pursuant to ICE Clear Europe Rule 502, haircuts will be reviewed by ICE Clear Europe periodically and ICE Clear Europe may modify the haircuts in its discretion as it determines to be appropriate. Use of New Permitted Cover will also be subject to concentration limits, as discussed above. For the reasons noted above, ICE Clear Europe believes that the proposed rule change and the New Permitted Cover are consistent with the requirements of Section 17A of the Act and regulations thereunder applicable to it. B. Self-Regulatory Organization’s Statement on Burden on Competition ICE Clear Europe does not believe the proposed changes to the rules would have any impact, or impose any burden, on competition. 3 15 U.S.C. 78q–1. CFR 240.17Ad–22. 5 15 U.S.C. 78q–1(b)(3)(F). 4 17 E:\FR\FM\18FEN1.SGM 18FEN1 Federal Register / Vol. 79, No. 32 / Tuesday, February 18, 2014 / Notices 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 changes to the rules have not been solicited or received. ICE Clear Europe will notify the Commission of any written comments received by ICE Clear Europe. The New Permitted Cover has been approved by both the Futures & Options and CDS Risk Committees. 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 the 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 (https://www.sec.gov/ rules/sro.shtml) or • Send an email to rule-comments@ sec.gov. Please include File Number SR– ICEEU–2014–01 on the subject line. tkelley on DSK3SPTVN1PROD with NOTICES Paper Comments • Send paper comments in triplicate to Elizabeth M. Murphy, Secretary, Securities and Exchange Commission, 100 F Street NE., Washington, DC 20549–1090. All submissions should refer to File Number SR–ICEEU–2014–01. 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 (https://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 VerDate Mar<15>2010 20:58 Feb 14, 2014 Jkt 232001 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 Europe and on ICE Clear Europe’s Web site at https:// www.theice.com/notices/ Notices.shtml?regulatoryFilings. 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–ICEEU–2014–01 and should be submitted on or before March 11, 2014. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.6 Kevin M. O’Neill, Deputy Secretary. [FR Doc. 2014–03374 Filed 2–14–14; 8:45 am] BILLING CODE 8011–01–P SUSQUEHANNA RIVER BASIN COMMISSION Commission Meeting Susquehanna River Basin Commission. ACTION: Notice. AGENCY: The Susquehanna River Basin Commission will hold its regular business meeting on March 6, 2014, in Harrisburg, Pennsylvania. Details concerning the matters to be addressed at the business meeting are contained in the Supplementary Information section of this notice. DATES: March 6, 2014, at 8:30 a.m. ADDRESSES: North Office Building, Hearing Room 1 (Ground Level), North Street (at Commonwealth Avenue), Harrisburg, Pa. 17120 FOR FURTHER INFORMATION CONTACT: Richard A. Cairo, General Counsel, telephone: (717) 238–0423, ext. 1306; fax: (717) 238–2436. SUPPLEMENTARY INFORMATION: The business meeting will include actions or SUMMARY: 6 17 PO 00000 presentations on the following items: (1) Informational presentation on efforts to restore migratory fish passage on the lower Susquehanna River; (2) rulemaking action on revised emergency water use provisions; (3) memorandum of understanding with New York State facilitating coordinated regulatory activities; (4) revision of FY–2015 budget; (5) ratification/approval of contracts/grants; (6) ratification of settlement agreement pertaining to Federal Energy Regulatory Commission (FERC) licensing of York Haven Hydroelectric project, and authorization to execute on behalf of the Commission additional contemplated settlement agreements under FERC licensing procedures (7) Inflection Energy, LLC and Talisman Energy USA regulatory compliance matters; and (8) Regulatory Program projects. Projects listed for Commission action are those that were the subject of a public hearing conducted by the Commission on February 6, 2014, and identified in the notice for such hearing, which was published in 79 FR 2243, January 13, 2014. Opportunity to Appear and Comment: Interested parties are invited to attend the business meeting and encouraged to review the Commission’s Public Meeting Rules of Conduct, which are posted on the Commission’s Web site, www.srbc.net. Written comments on the projects that were the subject of the public hearing, and are listed for action at the business meeting, are subject to a comment deadline of February 18, 2014.Written comments pertaining to any other matters listed for action at the business meeting may be mailed to the Susquehanna River Basin Commission, 4423 North Front Street, Harrisburg, Pennsylvania 17110–1788, or submitted electronically through https:// www.srbc.net/pubinfo/ publicparticipation.htm. Any such comments mailed or electronically submitted must be received by the Commission on or before February 28, 2014, to be considered. Authority: Pub. L. 91–575, 84 Stat. 1509 et seq., 18 CFR Parts 806, 807, and 808. Dated: February 4, 2014. Stephanie L. Richardson, Secretary to the Commission. [FR Doc. 2014–02983 Filed 2–14–14; 8:45 am] BILLING CODE 7040–01–P CFR 200.30–3(a)(12). Frm 00149 Fmt 4703 Sfmt 9990 9305 E:\FR\FM\18FEN1.SGM 18FEN1

Agencies

[Federal Register Volume 79, Number 32 (Tuesday, February 18, 2014)]
[Notices]
[Pages 9304-9305]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2014-03374]



[[Page 9304]]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-71518; File No. SR-ICEEU-2014-01]


Self-Regulatory Organizations; ICE Clear Europe Limited; Notice 
of Filing of Proposed Rule Change Regarding New Permitted Cover

February 11, 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 February 11, 2014, ICE Clear Europe Limited (``ICE Clear Europe'') 
filed with the Securities and Exchange Commission (``Commission'') the 
proposed changes to the rules as described in Items I, II, and III 
below, which Items have been prepared primarily by ICE Clear Europe. 
The Commission is publishing this notice to solicit comments on the 
proposed changes to the rules 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 change is to permit Clearing Members 
of ICE Clear Europe to post certain Japanese Government Bonds 
(``JGBs''), Japanese Treasury Bills (``JTBs'') and Japanese Treasury 
Discount Bills (``JTDBs'' together with JGBs and JTBs, the ``New 
Permitted Cover'') to ICE Clear Europe in order to meet initial margin, 
original margin and certain other margin requirements, including 
delivery margin requirements. The New Permitted Cover will not be 
accepted to satisfy variation margin requirements or guaranty fund 
requirements. ICE Clear Europe commenced accepting the New Permitted 
Cover as of June 28, 2013.

II. Self-Regulatory Organization'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 proposing the New 
Permitted Cover. The text of these 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 these statements.

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

    The purpose of ICE Clear Europe accepting the New Permitted Cover 
is to provide its Clearing Members with a greater range of high-quality 
collateral that can be posted to ICE Clear Europe to satisfy certain 
margin requirements.
    ICE Clear Europe believes that the New Permitted Cover is of 
minimal credit risk comparable to that of other sovereign debt 
currently accepted by ICE Clear Europe as permitted cover for margin 
obligations. ICE Clear Europe further believes that the New Permitted 
Cover has demonstrated low volatility, including in stressed market 
conditions. Based on its analysis of the New Permitted Cover and its 
volatility and other characteristics, ICE Clear Europe has established 
initial valuation haircut levels for the New Permitted Cover, and will 
review and modify such haircuts from time to time in accordance with 
the Rules and procedures. In addition, each type of New Permitted Cover 
may only be used to satisfy margin requirements up to a specified 
concentration limit, which is subject to review and modification from 
time to time in accordance with the Rules and procedures. The 
concentration limit applies on an aggregate basis across all product 
categories.
    Specifically, Japanese Government Debt may only constitute up to 
10% of a Clearing Member's total initial and original margin 
requirement, up to a maximum amount of JPY 100 billion. Japanese 
Government Debt will be subject to a valuation haircut of three percent 
(3%), except that JGBs with a maturity of more than eleven (11) years 
will be subject to a valuation haircut of five percent (5%).
    Consistent with existing ICE Clear Europe haircut policies, an 
additional haircut will apply where New Permitted Cover is used to 
cover a margin requirement denominated in a different currency, to 
cover the exchange rate risk.
    For the avoidance of doubt, the New Permitted Cover cannot be used 
to satisfy variation margin requirements because variation margin must 
be paid in cash in the currency of the contract. In addition, the New 
Permitted Cover will not be accepted in respect of guaranty fund 
requirements.
    ICE Clear Europe has identified New Permitted Cover as types of 
assets that would be appropriate for Clearing Members to post in order 
to meet initial margin and original margin requirements. ICE Clear 
Europe believes that accepting the New Permitted Cover is consistent 
with the requirements of Section 17A of the Act \3\ and the regulations 
thereunder applicable to it, including the standards under Rule 17Ad-
22,\4\ and is consistent with the prompt and accurate clearance of and 
settlement of securities transactions, the safeguarding of securities 
and funds in the custody or control of ICE Clear Europe and the 
protection of investors and the public interest, within the meaning of 
Section 17A(b)(3)(F) of the Act in the same manner as other collateral 
accepted by ICE Clear Europe.\5\ In addition, in ICE Clear Europe's 
view, acceptance of the New Permitted Cover will satisfy the financial 
resources requirements of Rule 17Ad-22. ICE Clear Europe has 
determined, through analysis of the credit risk, liquidity, market 
risk, volatility and other trading characteristics of the New Permitted 
Cover, that such assets are appropriate for use as permitted cover for 
Clearing Member's obligations under the Rules, subject to the haircuts 
and limits described above, consistent with the risk management of the 
clearing house. In particular, the New Permitted Cover is a stable 
collateral type that presents minimal credit risk and low volatility. 
In this regard, the New Permitted Cover is similar to the other 
categories of sovereign debt that ICE Clear Europe currently accepts as 
permitted cover. Pursuant to ICE Clear Europe Rule 502, haircuts will 
be reviewed by ICE Clear Europe periodically and ICE Clear Europe may 
modify the haircuts in its discretion as it determines to be 
appropriate. Use of New Permitted Cover will also be subject to 
concentration limits, as discussed above.
---------------------------------------------------------------------------

    \3\ 15 U.S.C. 78q-1.
    \4\ 17 CFR 240.17Ad-22.
    \5\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------

    For the reasons noted above, ICE Clear Europe believes that the 
proposed rule change and the New Permitted Cover are consistent with 
the requirements of Section 17A of the Act and regulations thereunder 
applicable to it.

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

    ICE Clear Europe does not believe the proposed changes to the rules 
would have any impact, or impose any burden, on competition.

[[Page 9305]]

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 changes to the rules have 
not been solicited or received. ICE Clear Europe will notify the 
Commission of any written comments received by ICE Clear Europe. The 
New Permitted Cover has been approved by both the Futures & Options and 
CDS Risk Committees.

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 the 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 (https://www.sec.gov/rules/sro.shtml) or
     Send an email to rule-comments@sec.gov. Please include 
File Number SR-ICEEU-2014-01 on the subject line.

Paper Comments

     Send paper comments in triplicate to Elizabeth M. Murphy, 
Secretary, Securities and Exchange Commission, 100 F Street NE., 
Washington, DC 20549-1090.

    All submissions should refer to File Number SR-ICEEU-2014-01. 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 (https://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 Europe 
and on ICE Clear Europe's Web site at https://www.theice.com/notices/Notices.shtml?regulatoryFilings.
    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-ICEEU-2014-01 
and should be submitted on or before March 11, 2014.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\6\
---------------------------------------------------------------------------

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

Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2014-03374 Filed 2-14-14; 8:45 am]
BILLING CODE 8011-01-P
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