Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of Filing of Proposed Rule Change To Revise the ICC Risk Management Framework, 1466-1468 [2015-00126]

Download as PDF 1466 Federal Register / Vol. 80, No. 6 / Friday, January 9, 2015 / Notices Electronic Comments B. Self-Regulatory Organization’s Statement on Burden on Competition The Exchange does not believe that the proposed rule change will result in any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Act, as amended. The proposed fees are applied uniformly among extranet providers, which are not compelled to establish a connection with the Exchange to offer access connectivity to market data feeds. For these reasons, any burden arising from the fees is necessary in the interest of promoting the equitable allocation of a reasonable fee. Additionally, firms make decisions on how much and what types of data to consume on the basis of the total cost of interacting with the Exchange or other exchanges and, of course, the Extranet Access Fee is but one factor in a total platform analysis. C. Self-Regulatory Organization’s Statement on Comments on the Proposed Rule Change Received From Members, Participants, or Others No written comments were either solicited or received. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action Pursuant to section 19(b)(3)(A)(ii) of the Act,13 the Exchange has designated this proposal as establishing or changing a due, fee, or other charge imposed by the self-regulatory organization on any person, whether or not the person is a member of the self-regulatory organization, which renders the proposed rule change effective upon filing. 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. If the Commission takes such action, the Commission shall institute proceedings to determine whether the proposed rule should be approved or disapproved. rljohnson on DSK3VPTVN1PROD with NOTICES 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: • 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– Phlx–2014–81 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–Phlx–2014–81. 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 filing also will be available for inspection and copying at the principal offices of the Exchange. 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–Phlx– 2014–81, and should be submitted on or before January 30, 2015.14 For the Commission, by the Division of Trading and Markets, pursuant to delegated authority. Brent J. Fields, Secretary. [FR Doc. 2015–00134 Filed 1–8–15; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–73980; File No. SR–ICC– 2014–24] Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of Filing of Proposed Rule Change To Revise the ICC Risk Management Framework January 5, 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 December 22, 2014, 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. 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 Risk Management Framework to incorporate certain risk model enhancements. These revisions do not require any changes to the ICC Clearing Rules (‘‘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 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 revising the ICC Risk Management Framework to incorporate risk model enhancements related to Recovery Rate Sensitivity Requirements (‘‘RRSR’’), anti-procyclicality, and ICC’s Guaranty Fund (‘‘GF’’) allocation methodology. ICC also proposes revisions which are intended to remove obsolete references and ensure 1 15 13 15 U.S.C. 78s(b)(3)(A)(ii). VerDate Sep<11>2014 14:56 Jan 08, 2015 14 17 Jkt 235001 PO 00000 CFR 200.30–3(a)(12). Frm 00081 Fmt 4703 Sfmt 4703 2 17 E:\FR\FM\09JAN1.SGM U.S.C. 78s(b)(1). CFR 240.19b–4. 09JAN1 rljohnson on DSK3VPTVN1PROD with NOTICES Federal Register / Vol. 80, No. 6 / Friday, January 9, 2015 / Notices consistency. ICC believes such revisions will facilitate the prompt and accurate clearance and settlement of securities transactions and derivative agreements, contracts, and transactions for which it is responsible. The proposed revisions are described in detail as follows. ICC proposes revising its Risk Management Framework to incorporate risk model parameter estimation enhancements related to the RRSR computations. Under the current ICC Risk Management Framework, recovery rate stress scenarios are explicitly incorporated in the RRSR computations and for Jump-to-Default (‘‘JTD’’) considerations. The quantity RRSR is designed to capture fluctuations due to potential changes of the market expected recovery rates. In calculating the RRSR, all instruments belonging to a Risk Factor (‘‘RF’’) or Risk Sub-Factor (‘‘RSF’’) are subjected to Recovery Rate (‘‘RR’’) stress scenarios to obtain resulting Profit/Loss (‘‘P/L’’) responses, and the worst scenario response is chosen for the estimation of the RF/RSF RRSR. The JTD analysis is designed to capture the unexpected potential losses associated with credit events for assumed SN-specific set of RR stress values. The JTD responses are determined by using minimum and maximum RR levels. Currently, the RRSR and JTD computations use the same RR stress levels. ICC proposes separating the RR stress levels for these two computations in order to introduce more dynamic and appropriate estimations of the RR stress levels for RRSR purposes. The RR levels for RRSR purposes will reflect a 5-day 99% Expected Shortfall (‘‘ES’’) equivalent risk measure associated with RR fluctuations. The proposal will also eliminate index RRSR, as index RRs are not subject to market uncertainty, but rather driven by market conventions. The dynamic feature of the RR stress level estimations is achieved by analyzing historical time series of RRs in order to calibrate a statistical model with a time varying volatility. Under this approach, the RRSR will capture the exposure to RR fluctuations over a 5-day risk horizon described by 99% ES equivalent risk measure. The proposed enhancements provide a robust and quantitative driven approach for establishing the RR stress scenarios. Additionally, ICC proposes revising its Risk Management Framework to incorporate a portfolio level antiprocyclicality analysis that features price changes observed during and immediately after the Lehman Brothers (‘‘LB’’) default. In order to achieve an anti-procyclicality of Spread Response requirements, ICC proposes VerDate Sep<11>2014 14:56 Jan 08, 2015 Jkt 235001 considerations of explicit price scenarios derived from the greatest price decrease and increase during and immediately after the LB default. These scenarios capture the default of a major participant in the credit market and the market response to the event. The introduced scenarios are defined in price space to maintain the stress severity during periods of low credit spread levels (high price) when the Spread Response requirements, computed under the current framework, are expected to be lower. Further, the price scenarios, derived from the greatest price decrease and increase during and immediately after the LB default, are explicitly incorporated into the GF sizing to ensure an anti-procyclical GF size behavior. This enhancement also addresses a regulatory requirement as described in Article 30 of the Regulatory Technical Standards,3 European Market Infrastructure Regulations (‘‘EMIR’’). Furthermore, ICC proposes enhancements to its GF allocation methodology. Currently, the GF allocations reflect a risk ‘‘silo’’ approach, i.e. separate GF ‘‘silo’’ components reflecting the Clearing Participants’ (‘‘CPs’’) own ‘‘silo’’ riskiness and to the GF ‘‘silo’’ size. Under the current approach, GF allocations can significantly fluctuate in response to position changes in the portfolios of the CPs that drive the GF size, and in response to distribution of the total GF size across the GF ‘‘silos.’’ ICC proposes modifying its methodology, so that the GF allocations reflect the CPs’ total uncollateralized losses. Under the proposed approach, the GF allocations are independent of the distribution of the uncollateralized losses across the GF ‘‘silos.’’ The new GF allocation methodology reflects an improved and more stable approach which allows for easier attributions of GF contributions to individual CP/client portfolios. Additionally, ICC added clarifying language regarding how the GF computations are performed with explicit currency dependent expressions. ICC has also made some nonsubstantive changes to the Risk Management Framework to address CFTC recommendations. Specifically, ICC proposes amending the Risk Management Framework to reflect ICC’s current approach towards portfolio 3 Commission Delegated Regulation (EU) No. 153/ 2013 of 19 December 2012 Supplementing Regulation (EU) No. 648/2012 of the European Parliament and of the Council with regard to Regulatory Technical Standards on Requirements for Central Counterparties (the ‘‘Regulatory Technical Standards’’). PO 00000 Frm 00082 Fmt 4703 Sfmt 4703 1467 diversification. As such, ICC proposes unifying diversification and hedge thresholds, and explicitly setting both to be equal to the lowest estimated sector Kendall Tau correlation coefficient. Additionally, ICC clarified language regarding how ICC meets its liquidity requirements. Additionally, ICC has made nonsubstantive changes throughout the framework to correct obsolete references. ICC removed language stating that the Chief Risk Officer is a dual employee of both ICC and its sister company, The Clearing Corporation. Similarly, ICC removed language stating that The Clearing Corporation is the provider of risk management services to ICC. ICC has removed references to the ‘‘U.K. Financial Services Authority’’ and replaced with reference to the ‘‘U.K. Prudential Regulatory Authority.’’ ‘‘The European Securities and Markets Authority’’ was added to the sample list of competent authorities for capital adequacy regulation listed in the framework. ICC has also made non-substantive changes throughout the Risk Management Framework to ensure consistency. ICC updated the mission statement contained within the document to be consistent with ICC’s Board-approved mission statement. Also, ICC has modified the frequency by which the Risk Department monitors various risk metrics from a quarterly basis to a monthly basis to reflect actual business practices. Section 17A(b)(3)(F) of the Act 4 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 rule change is 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),5 because ICC believes that the proposed rule change will promote the prompt and accurate clearance and settlement of securities transactions, derivatives agreements, contracts, and transactions, as the proposed risk model revisions enhance risk policies and are expected to impose more conservative initial margin requirements, which would enhance the financial resources available to ICC and thereby facilitate its ability to promptly 4 15 U.S.C. 78q–1(b)(3)(F) 5 Id. E:\FR\FM\09JAN1.SGM 09JAN1 1468 Federal Register / Vol. 80, No. 6 / Friday, January 9, 2015 / Notices and accurately clear and settle its cleared CDS contracts. In addition, the proposed revisions are consistent with the relevant requirements of Rule 17Ad– 22.6 In particular, the amendments to the Risk Management Framework will enhance the financial resources available to the clearing house by imposing a more conservative initial margin requirement, and are therefore reasonably designed to meet the margin and financial resource requirements of Rule 17Ad–22(b)(2–3).7 Additionally, the amendments to the Risk Management Framework related to ICC’s GF allocation methodology further ensure ICC maintains sufficient financial resources consistent with the requirements of Rule 17Ad–22(b)(3).8 As such, the proposed rule change is 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) 9 of the Act. B. Self-Regulatory Organization’s Statement on Burden on Competition ICC does not believe the proposed rule change would have any impact, or impose any burden, on competition. The risk model enhancements apply uniformly across all market participants. Therefore, ICC does not believe the proposed rule change 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. rljohnson on DSK3VPTVN1PROD with NOTICES 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 such proposed rule change, or 6 17 CFR 240.17Ad–22. CFR 240.17Ad–22(b)(2–3). 8 17 CFR 240.17Ad–22(b)(3). 9 15 U.S.C. 78q–1(b)(3)(F). 7 17 VerDate Sep<11>2014 14:56 Jan 08, 2015 Jkt 235001 (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: be submitted on or before January 30, 2015.10 For the Commission, by the Division of Trading and Markets, pursuant to delegated authority. Brent J. Fields, Secretary. [FR Doc. 2015–00126 Filed 1–8–15; 8:45 am] BILLING CODE 8011–01–P DEPARTMENT OF TRANSPORTATION Electronic Comments Federal Aviation Administration • 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– ICC–2014–24 on the subject line. Notice of Availability for Draft Environmental Impact Statement (Draft EIS), Draft Section 4(f) Evaluation, Draft Subsistence Evaluation, and Schedule of Public Hearings for the Proposed Airport, Angoon, Alaska Paper Comments AGENCY: • 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–2014–24. 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 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–2014–24 and should PO 00000 Frm 00083 Fmt 4703 Sfmt 4703 Federal Aviation Administration (FAA). ACTION: Notice of availability (NOA), notice of comment period, notice of public hearing. In accordance with the National Environmental Policy Act of 1969 (NEPA; 42 U.S.C. 4321 et seq.) and Council on Environmental Quality (CEQ) regulations (40 CFR parts 1500– 1508), the FAA issues this notice to advise the public that a Draft EIS for the proposed airport in Angoon has been prepared and is available for public review and comment. Included in the Draft EIS are a subsistence evaluation consistent with Section 810 of the Alaska National Interest Lands Conservation Act (ANILCA) and a draft evaluation pursuant to Section 4(f) of the Department of Transportation Act of 1966 (recodified as 49 U.S.C. 303(c)). DATES: Comments must be received on or before March 11, 2015. The public comment period will commence on January 9, 2015 and will close on March 11, 2015. The FAA intends to host public information meetings and hearings on the Draft EIS/810 Evaluation/4(f) Evaluation on the following dates: 1. March 3, 2015 in Juneau, Alaska, at the Centennial Hall, 101 Egan Dr., Juneau, AK from 6:00 p.m. to 9:00 p.m. 2. March 5, 2015 in Angoon, Alaska, at the Angoon Community Association Building, 315 Heendae Rd., Angoon, AK from 2:00 p.m. to 7:00 p.m. 3. March 10, 2015 at the Holiday Inn, 550 C St. SW., Washington, DC, from 2:00 p.m. to 5:00 p.m. ADDRESSES: Copies of the Draft EIS and the evaluations are available at the following locations: SUMMARY: 10 17 E:\FR\FM\09JAN1.SGM CFR 200.30–3(a)(12). 09JAN1

Agencies

[Federal Register Volume 80, Number 6 (Friday, January 9, 2015)]
[Notices]
[Pages 1466-1468]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2015-00126]


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

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-73980; File No. SR-ICC-2014-24]


Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of 
Filing of Proposed Rule Change To Revise the ICC Risk Management 
Framework

January 5, 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 December 22, 2014, 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.
---------------------------------------------------------------------------

    \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 proposed rule change is to revise the 
ICC Risk Management Framework to incorporate certain risk model 
enhancements. These revisions do not require any changes to the ICC 
Clearing Rules (``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 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 revising the ICC Risk Management Framework to 
incorporate risk model enhancements related to Recovery Rate 
Sensitivity Requirements (``RRSR''), anti-procyclicality, and ICC's 
Guaranty Fund (``GF'') allocation methodology. ICC also proposes 
revisions which are intended to remove obsolete references and ensure

[[Page 1467]]

consistency. ICC believes such revisions will facilitate the prompt and 
accurate clearance and settlement of securities transactions and 
derivative agreements, contracts, and transactions for which it is 
responsible. The proposed revisions are described in detail as follows.
    ICC proposes revising its Risk Management Framework to incorporate 
risk model parameter estimation enhancements related to the RRSR 
computations. Under the current ICC Risk Management Framework, recovery 
rate stress scenarios are explicitly incorporated in the RRSR 
computations and for Jump-to-Default (``JTD'') considerations. The 
quantity RRSR is designed to capture fluctuations due to potential 
changes of the market expected recovery rates. In calculating the RRSR, 
all instruments belonging to a Risk Factor (``RF'') or Risk Sub-Factor 
(``RSF'') are subjected to Recovery Rate (``RR'') stress scenarios to 
obtain resulting Profit/Loss (``P/L'') responses, and the worst 
scenario response is chosen for the estimation of the RF/RSF RRSR. The 
JTD analysis is designed to capture the unexpected potential losses 
associated with credit events for assumed SN-specific set of RR stress 
values. The JTD responses are determined by using minimum and maximum 
RR levels. Currently, the RRSR and JTD computations use the same RR 
stress levels.
    ICC proposes separating the RR stress levels for these two 
computations in order to introduce more dynamic and appropriate 
estimations of the RR stress levels for RRSR purposes. The RR levels 
for RRSR purposes will reflect a 5-day 99% Expected Shortfall (``ES'') 
equivalent risk measure associated with RR fluctuations. The proposal 
will also eliminate index RRSR, as index RRs are not subject to market 
uncertainty, but rather driven by market conventions. The dynamic 
feature of the RR stress level estimations is achieved by analyzing 
historical time series of RRs in order to calibrate a statistical model 
with a time varying volatility. Under this approach, the RRSR will 
capture the exposure to RR fluctuations over a 5-day risk horizon 
described by 99% ES equivalent risk measure. The proposed enhancements 
provide a robust and quantitative driven approach for establishing the 
RR stress scenarios.
    Additionally, ICC proposes revising its Risk Management Framework 
to incorporate a portfolio level anti-procyclicality analysis that 
features price changes observed during and immediately after the Lehman 
Brothers (``LB'') default. In order to achieve an anti-procyclicality 
of Spread Response requirements, ICC proposes considerations of 
explicit price scenarios derived from the greatest price decrease and 
increase during and immediately after the LB default. These scenarios 
capture the default of a major participant in the credit market and the 
market response to the event. The introduced scenarios are defined in 
price space to maintain the stress severity during periods of low 
credit spread levels (high price) when the Spread Response 
requirements, computed under the current framework, are expected to be 
lower.
    Further, the price scenarios, derived from the greatest price 
decrease and increase during and immediately after the LB default, are 
explicitly incorporated into the GF sizing to ensure an anti-
procyclical GF size behavior. This enhancement also addresses a 
regulatory requirement as described in Article 30 of the Regulatory 
Technical Standards,\3\ European Market Infrastructure Regulations 
(``EMIR'').
---------------------------------------------------------------------------

    \3\ Commission Delegated Regulation (EU) No. 153/2013 of 19 
December 2012 Supplementing Regulation (EU) No. 648/2012 of the 
European Parliament and of the Council with regard to Regulatory 
Technical Standards on Requirements for Central Counterparties (the 
``Regulatory Technical Standards'').
---------------------------------------------------------------------------

    Furthermore, ICC proposes enhancements to its GF allocation 
methodology. Currently, the GF allocations reflect a risk ``silo'' 
approach, i.e. separate GF ``silo'' components reflecting the Clearing 
Participants' (``CPs'') own ``silo'' riskiness and to the GF ``silo'' 
size. Under the current approach, GF allocations can significantly 
fluctuate in response to position changes in the portfolios of the CPs 
that drive the GF size, and in response to distribution of the total GF 
size across the GF ``silos.'' ICC proposes modifying its methodology, 
so that the GF allocations reflect the CPs' total uncollateralized 
losses. Under the proposed approach, the GF allocations are independent 
of the distribution of the uncollateralized losses across the GF 
``silos.'' The new GF allocation methodology reflects an improved and 
more stable approach which allows for easier attributions of GF 
contributions to individual CP/client portfolios. Additionally, ICC 
added clarifying language regarding how the GF computations are 
performed with explicit currency dependent expressions.
    ICC has also made some non-substantive changes to the Risk 
Management Framework to address CFTC recommendations. Specifically, ICC 
proposes amending the Risk Management Framework to reflect ICC's 
current approach towards portfolio diversification. As such, ICC 
proposes unifying diversification and hedge thresholds, and explicitly 
setting both to be equal to the lowest estimated sector Kendall Tau 
correlation coefficient. Additionally, ICC clarified language regarding 
how ICC meets its liquidity requirements.
    Additionally, ICC has made non-substantive changes throughout the 
framework to correct obsolete references. ICC removed language stating 
that the Chief Risk Officer is a dual employee of both ICC and its 
sister company, The Clearing Corporation. Similarly, ICC removed 
language stating that The Clearing Corporation is the provider of risk 
management services to ICC. ICC has removed references to the ``U.K. 
Financial Services Authority'' and replaced with reference to the 
``U.K. Prudential Regulatory Authority.'' ``The European Securities and 
Markets Authority'' was added to the sample list of competent 
authorities for capital adequacy regulation listed in the framework.
    ICC has also made non-substantive changes throughout the Risk 
Management Framework to ensure consistency. ICC updated the mission 
statement contained within the document to be consistent with ICC's 
Board-approved mission statement. Also, ICC has modified the frequency 
by which the Risk Department monitors various risk metrics from a 
quarterly basis to a monthly basis to reflect actual business 
practices.
    Section 17A(b)(3)(F) of the Act \4\ 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 rule change 
is 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),\5\ because ICC believes that the proposed rule change 
will promote the prompt and accurate clearance and settlement of 
securities transactions, derivatives agreements, contracts, and 
transactions, as the proposed risk model revisions enhance risk 
policies and are expected to impose more conservative initial margin 
requirements, which would enhance the financial resources available to 
ICC and thereby facilitate its ability to promptly

[[Page 1468]]

and accurately clear and settle its cleared CDS contracts. In addition, 
the proposed revisions are consistent with the relevant requirements of 
Rule 17Ad-22.\6\ In particular, the amendments to the Risk Management 
Framework will enhance the financial resources available to the 
clearing house by imposing a more conservative initial margin 
requirement, and are therefore reasonably designed to meet the margin 
and financial resource requirements of Rule 17Ad-22(b)(2-3).\7\ 
Additionally, the amendments to the Risk Management Framework related 
to ICC's GF allocation methodology further ensure ICC maintains 
sufficient financial resources consistent with the requirements of Rule 
17Ad-22(b)(3).\8\ As such, the proposed rule change is 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) \9\ of the Act.
---------------------------------------------------------------------------

    \4\ 15 U.S.C. 78q-1(b)(3)(F)
    \5\ Id.
    \6\ 17 CFR 240.17Ad-22.
    \7\ 17 CFR 240.17Ad-22(b)(2-3).
    \8\ 17 CFR 240.17Ad-22(b)(3).
    \9\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------

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

    ICC does not believe the proposed rule change would have any 
impact, or impose any burden, on competition. The risk model 
enhancements apply uniformly across all market participants. Therefore, 
ICC does not believe the proposed rule change 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. 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 such 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-ICC-2014-24 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-2014-24. 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 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-2014-24 
and should be submitted on or before January 30, 2015.\10\
---------------------------------------------------------------------------

    \10\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.
Brent J. Fields,
Secretary.
[FR Doc. 2015-00126 Filed 1-8-15; 8:45 am]
BILLING CODE 8011-01-P
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