Self-Regulatory Organizations; ICE Clear Credit LLC; Order Granting Approval of Proposed Rule Change To Revise the ICC Risk Management Framework, 20058-20060 [2015-08455]

Download as PDF asabaliauskas on DSK5VPTVN1PROD with NOTICES 20058 Federal Register / Vol. 80, No. 71 / Tuesday, April 14, 2015 / Notices Factory, Inc. (The) is no longer an operating business. Dream Factory, Inc. (The) was a Nevada corporation based in Texas. The company is quoted on OTC Link under the ticker symbol DRMF. 6. It appears to the Securities and Exchange Commission that Dynatem, Inc. has been taken private. Dynatem, Inc. is a California corporation based in California. The company is quoted on OTC Link under the ticker symbol DYTM. 7. It appears to the Securities and Exchange Commission that Employers General Insurance Group is no longer an operating business. Employers General Insurance Group is a Delaware corporation based in Texas. The company is quoted on OTC Link under the ticker symbol EGIG. 8. It appears to the Securities and Exchange Commission that K-tel International, Inc. has been taken private. K-tel International, Inc. is a Minnesota corporation based in Canada. The company is quoted on OTC Link under the ticker symbol KTLI. 9. It appears to the Securities and Exchange Commission that Maintenance Depot, Inc. is no longer an operating business. Maintenance Depot, Inc. was a Florida corporation based in Florida. The company is quoted on OTC Link under the ticker symbol MDPO. 10. It appears to the Securities and Exchange Commission that Manifold Capital Corp. is no longer an operating business. Manifold Capital Corp. was a Delaware corporation based in New York. The company is quoted on OTC Link under the ticker symbol MANF. 11. It appears to the Securities and Exchange Commission that McM Corp. has been taken private. McM Corp. is a North Carolina corporation based in North Carolina. The company is quoted on OTC Link under the ticker symbol MMOR. 12. It appears to the Securities and Exchange Commission that Mt. Carmel Public Utility Co. has been taken private. Mt. Carmel Public Utility Co. is an Illinois corporation based in Illinois. The company is quoted on OTC Link under the ticker symbol MCPB. 13. It appears to the Securities and Exchange Commission that Muskoka Flooring Corp. is no longer an operating business. Muskoka Flooring Corp. was a Delaware corporation based in Delaware. The company is quoted on OTC Link under the ticker symbol MSKA. 14. It appears to the Securities and Exchange Commission that National Investment Managers, Inc. has been taken private. National Investment Managers, Inc. is a Florida corporation VerDate Sep<11>2014 17:42 Apr 13, 2015 Jkt 235001 based in Ohio. The company is quoted on OTC Link under the ticker symbol NIVM. 15. It appears to the Securities and Exchange Commission that Naylor Pipe Co. has been taken private. Naylor Pipe Co. is an Illinois corporation based in Illinois. The company is quoted on OTC Link under the ticker symbol NAYP. 16. It appears to the Securities and Exchange Commission that Omega Ventures, Inc. is no longer an operating business. Omega Ventures, Inc. was a Nevada corporation based in Florida. The company is quoted on OTC Link under the ticker symbol OMVN. 17. It appears to the Securities and Exchange Commission that On Stage Entertainment, Inc. has been taken private. On Stage Entertainment, Inc. is a Nevada corporation based in Nevada. The company is quoted on OTC Link under the ticker symbol ONST. 18. It appears to the Securities and Exchange Commission that Pachinko World, Inc. is no longer an operating business. Pachinko World, Inc. was a Nevada corporation based in California. The company is quoted on OTC Link under the ticker symbol PCHW. 19. It appears to the Securities and Exchange Commission that Polyair Inter Pack Inc. has been taken private. Polyair Inter Pack Inc. is a Canadian entity based in Canada. The company is quoted on OTC Link under the ticker symbol PPKZ. 20. It appears to the Securities and Exchange Commission that Setech, Inc. has been taken private. Setech, Inc. is a Delaware corporation based in Tennessee. The company is quoted on OTC Link under the ticker symbol SETC. 21. It appears to the Securities and Exchange Commission that Seven J Stock Farm, Inc. has been taken private. Seven J Stock Farm, Inc. is a Texas corporation based in Texas. The company is quoted on OTC Link under the ticker symbol SVJJ. 22. It appears to the Securities and Exchange Commission that TransCor Waste Services, Inc. has been taken private. TransCor Waste Services, Inc. is a Florida corporation based in Florida. The company is quoted on OTC Link under the ticker symbol TRCW. 23. It appears to the Securities and Exchange Commission that Valley Systems, Inc. (VSI Liquidation Corp.) is no longer an operating business. Valley Systems, Inc. (VSI Liquidation Corp.) was a Delaware corporation based in Georgia. The company is quoted on OTC Link under the ticker symbol VSLC. 24. It appears to the Securities and Exchange Commission that World Racing Group, Inc. has been taken PO 00000 Frm 00104 Fmt 4703 Sfmt 4703 private. World Racing Group, Inc. is a Delaware corporation based in North Carolina. The company is quoted on OTC Link under the ticker symbol WRGP. The Commission is of the opinion that the public interest and the protection of investors require a suspension of trading in the securities of the above-listed companies. Therefore, it is ordered, pursuant to Section 12(k) of the Securities Exchange Act of 1934, that trading in the securities of the above-listed companies is suspended for the period from 9:30 a.m. EDT on April 10, 2015, through 11:59 p.m. EDT on April 23, 2015. By the Commission. Jill M. Peterson, Assistant Secretary. [FR Doc. 2015–08621 Filed 4–10–15; 11:15 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–74685; File No. SR–ICC– 2014–24] Self-Regulatory Organizations; ICE Clear Credit LLC; Order Granting Approval of Proposed Rule Change To Revise the ICC Risk Management Framework April 8, 2015. I. Introduction On December 22, 2014, ICE Clear Credit LLC (‘‘ICC’’) filed with the Securities and Exchange Commission (‘‘Commission’’) the proposed rule change SR–ICC–2014–24 pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (‘‘Act’’) 1 and Rule 19b–4 thereunder.2 The proposed rule change was published for comment in the Federal Register on January 9, 2015.3 On February 20, 2015, the Commission extended the time period in which to either approve, disapprove, or institute proceedings to determine whether to disapprove the proposed rule change to April 9, 2015.4 The Commission received no comment letters regarding the proposed change. For the reasons discussed below, the Commission is granting approval of the proposed rule change. 1 15 U.S.C. 78s(b)(1). CFR 240.19b–4. 3 Securities Exchange Act Release No. 34–73980 (Jan. 5, 2015), 80 FR 1466 (Jan. 9, 2015) (SR–ICC– 2014–24). 4 Securities Exchange Act Release No. 34–74341 (Feb. 20, 2015), 80 FR 10551 (Feb. 26, 2015) (SR– ICC–2014–24). 2 17 E:\FR\FM\14APN1.SGM 14APN1 asabaliauskas on DSK5VPTVN1PROD with NOTICES Federal Register / Vol. 80, No. 71 / Tuesday, April 14, 2015 / Notices II. Description of 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 consistency. ICC proposes revising its Risk Management Framework to incorporate risk model parameter estimation enhancements related to the RRSR computations. ICC states that under its current ICC Risk Management Framework, recovery rate stress scenarios are explicitly incorporated in the RRSR computations and for Jumpto-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 single-name-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. According to ICC, 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, as stated by ICC, eliminate index RRSR, as index RRs are not subject to market uncertainty, but rather driven by market conventions. ICC states that 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, ICC calculates, the RRSR will capture the exposure to RR fluctuations over a 5-day risk horizon described by 99% ES equivalent risk measure. Additionally, ICC proposes revising its Risk Management Framework to incorporate a portfolio level anti- VerDate Sep<11>2014 17:42 Apr 13, 2015 Jkt 235001 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 consideration of explicit price scenarios derived from the greatest price decrease and increase during and immediately after the LB default. According to ICC, 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 and high price when the Spread Response requirements computed under the current framework are expected to be lower. Further, as explained by ICC, 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. ICC states that this enhancement also addresses a regulatory requirement as described in Article 30 of the Regulatory Technical Standards,5 European Market Infrastructure Regulations. Furthermore, ICC proposes enhancements to its GF allocation methodology. Currently, ICC states that the GF allocations reflect a risk ‘‘silo’’ approach, which separates each GF risk component. Under the current methodology, the allocation of GF reflects the Clearing Participants’ (‘‘CPs’’) own riskiness in proportion to each GF risk component size and the increase or decrease of the ‘‘silo’’ size. Therefore, GF allocations can significantly fluctuate in response to position changes in the portfolios of the CPs that drive the GF size. ICC proposes modifying its methodology so that the GF allocations reflect the CPs’ total uncollateralized losses across all GF risk components. According to ICC, under the proposed approach, the GF allocations are independent of the distribution of the uncollateralized losses across various GF risk components or ‘‘silos’’ and the fluctuation of each CP’s uncollateralized losses within various GF risk components or ‘‘silos.’’ Additionally, ICC added clarifying language regarding how the GF computations are performed 5 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 00105 Fmt 4703 Sfmt 4703 20059 with explicit currency dependent expressions. ICC also proposes certain 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 diversification, by unifying diversification and hedge thresholds and explicitly setting both to be equal to the lowest estimated sector Kendall Tau correlation coefficient. ICC also proposes clarifying language regarding how ICC meets its liquidity requirements. Additionally, ICC proposes nonsubstantive changes throughout the framework to correct obsolete references. Specifically, ICC is removing language stating that the Chief Risk Officer is a dual employee of both ICC and its sister company, The Clearing Corporation. ICC is also removing language stating that The Clearing Corporation is the provider of risk management services to ICC. Furthermore, ICC is removing references to the ‘‘U.K. Financial Services Authority’’ and replacing with references to the ‘‘U.K. Prudential Regulatory Authority.’’ Finally, ICC is adding ‘‘The European Securities and Markets Authority’’ to the sample list of competent authorities for capital adequacy regulation listed in the framework. ICC also proposes non-substantive changes throughout the Risk Management Framework to ensure consistency. ICC is updating the mission statement contained within the document to be consistent with ICC’s Board-approved mission statement. Also, ICC is modifying the frequency by which the Risk Department monitors various risk metrics from a quarterly basis to a monthly basis to reflect actual business practices. III. Discussion and Commission Findings Section 19(b)(2)(C) of the Act 6 directs the Commission to approve a proposed rule change of a self-regulatory organization if the Commission finds that such proposed rule change is consistent with the requirements of the Act and the rules and regulations thereunder applicable to such selfregulatory organization. Section 17A(b)(3)(F) of the Act 7 requires, among other things, that the rules of a clearing agency are designed to promote the prompt and accurate clearance and 6 15 7 15 E:\FR\FM\14APN1.SGM U.S.C. 78s(b)(2)(C). U.S.C. 78q–1(b)(3)(F). 14APN1 20060 Federal Register / Vol. 80, No. 71 / Tuesday, April 14, 2015 / Notices settlement of securities transactions and, to the extent applicable, derivative agreements, contracts, and transactions and, in general, to protect investors and the public interest. The Commission finds that the proposed rule change is consistent with Section 17A of the Act 8 and the rules thereunder applicable to ICC, including the requirements of Rule 17Ad–22.9 The Commission believes that the part of the proposal separating the RR stress levels for the JTD and RRSR computations would use a more robust and quantitative driven approach for establishing the RR stress scenarios, resulting in more dynamic and appropriate estimations of the RR stress levels for RRSR purposes. The Commission finds that the incorporation of the Lehman Brothers default price scenarios into the computation of the Spread Response requirements enhances the anti-procyclical feature of ICC’s risk methodology. The Commission further finds that the proposed rule change that modifies the current GF allocation methodology to reflect the CPs’ total uncollateralized losses across all GF components regardless of the fluctuation of the CPs’ uncollateralized losses with respect to each GF component would result in more stable attributions of GF contributions to individual CP/client portfolios. Finally, the Commission finds that the proposed non-substantive and clarification changes are each designed to more accurately reflect ICC’s current practices. Therefore, the Commission believes that the proposal is designed to promote the prompt and accurate clearance and settlement of securities transactions and derivative agreements, contracts and transactions cleared by ICC and, in general, to protect investors and the public interest, consistent with Section 17A(b)(3)(F) of the Act 10 and Rules 17Ad–22(b)(1), (2) and (3).11 asabaliauskas on DSK5VPTVN1PROD with NOTICES IV. Conclusion On the basis of the foregoing, the Commission finds that the proposal is consistent with the requirements of the Act and in particular with the requirements of Section 17A of the Act 12 and the rules and regulations thereunder. It is therefore ordered, pursuant to Section 19(b)(2) of the Act,13 that the U.S.C. 78q–1. CFR 240.17Ad–22. 10 15 U.S.C. 78q–1(b)(3)(F). 11 17 CFR 240.17Ad–22(b)(1), (2) and (3). 12 15 U.S.C. 78q–1. 13 15 U.S.C. 78s(b)(2). proposed rule change (File No. SR–ICC– 2014–24) be, and hereby is, approved.14 For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.15 Brent J. Fields, Secretary. [FR Doc. 2015–08455 Filed 4–13–15; 8:45 am] BILLING CODE 8011–01–P SMALL BUSINESS ADMINISTRATION Surrender of License of Small Business Investment Company Pursuant to the authority granted to the United States Small Business Administration under the Small Business Investment Act of 1958, as amended, under Section 309 of the Act and Section 107.1900 of the Small Business Administration Rules and Regulations (13 CFR 107.1900) to function as a small business investment company under the Small Business Investment Company License No. 03/ 03–0252 issued to MidCap Financial SBIC, L.P., said license is hereby declared null and void. United States Small Business Administration. Dated: April 8, 2015. Javier E. Saade, Associate Administrator for Investment and Innovation. [FR Doc. 2015–08504 Filed 4–13–15; 8:45 am] BILLING CODE 8025–01–P DEPARTMENT OF STATE [Public Notice: 9097] 30-Day Notice of Proposed Information Collection: Evacuee Manifest and Promissory Note Notice of request for public comment and submission to OMB of proposed collection of information. ACTION: The Department of State has submitted the information collection described below to the Office of Management and Budget (OMB) for approval. In accordance with the Paperwork Reduction Act of 1995 we are requesting comments on this collection from all interested individuals and organizations. The purpose of this Notice is to allow 30 days for public comment. SUMMARY: 8 15 9 17 VerDate Sep<11>2014 17:42 Apr 13, 2015 Jkt 235001 14 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). 15 17 CFR 200.30–3(a)(12). PO 00000 Frm 00106 Fmt 4703 Sfmt 4703 Submit comments directly to the Office of Management and Budget (OMB) up to May 14, 2015. ADDRESSES: Direct comments to the Department of State Desk Officer in the Office of Information and Regulatory Affairs at the Office of Management and Budget (OMB). You may submit comments by the following methods: • Email: oira_submission@ omb.eop.gov. You must include the DS form number, information collection title, and the OMB control number in the subject line of your message. • Fax: 202–395–5806. Attention: Desk Officer for Department of State. FOR FURTHER INFORMATION CONTACT: Direct requests for additional information regarding the collection listed in this notice, including requests for copies of the proposed collection instrument and supporting documents, to Derek Rivers, Bureau of Consular Affairs, Overseas Citizens Services (CA/ OCS/PMO), U.S. Department of State, SA–17, 10th Floor, Washington, DC 20036 or at RiversDA@state.gov. SUPPLEMENTARY INFORMATION: • Title of Information Collection: Evacuee Manifest and Promissory Note. • OMB Control Number: 1405–0211. • Type of Request: Extension of a currently approved collection. • Originating Office: Bureau of Consular Affairs, Overseas Citizens Services (CA/OCS). • Form Number: DS–5528. • Respondents: U.S. citizens, U.S. non-citizen nationals, lawful permanent residents, and third country nationals applying for emergency loan assistance during an evacuation. • Estimated Number of Respondents: 525. • Estimated Number of Responses: 525. • Average Hours per Response: 20 minutes. • Total Estimated Burden: 175 hours. • Frequency: On Occasion. • Obligation to Respond: Required to Obtain Benefits. We are soliciting public comments to permit the Department to: • Evaluate whether the proposed information collection is necessary for the proper functions of the Department. • Evaluate the accuracy of our estimate of the time and cost burden for this proposed collection, including the validity of the methodology and assumptions used. • Enhance the quality, utility, and clarity of the information to be collected. • Minimize the reporting burden on those who are to respond, including the use of automated collection techniques DATE(S): E:\FR\FM\14APN1.SGM 14APN1

Agencies

[Federal Register Volume 80, Number 71 (Tuesday, April 14, 2015)]
[Notices]
[Pages 20058-20060]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2015-08455]


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

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-74685; File No. SR-ICC-2014-24]


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

April 8, 2015.

I. Introduction

    On December 22, 2014, ICE Clear Credit LLC (``ICC'') filed with the 
Securities and Exchange Commission (``Commission'') the proposed rule 
change SR-ICC-2014-24 pursuant to Section 19(b)(1) of the Securities 
Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4 thereunder.\2\ The 
proposed rule change was published for comment in the Federal Register 
on January 9, 2015.\3\ On February 20, 2015, the Commission extended 
the time period in which to either approve, disapprove, or institute 
proceedings to determine whether to disapprove the proposed rule change 
to April 9, 2015.\4\ The Commission received no comment letters 
regarding the proposed change. For the reasons discussed below, the 
Commission is granting approval of the proposed rule change.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ Securities Exchange Act Release No. 34-73980 (Jan. 5, 2015), 
80 FR 1466 (Jan. 9, 2015) (SR-ICC-2014-24).
    \4\ Securities Exchange Act Release No. 34-74341 (Feb. 20, 
2015), 80 FR 10551 (Feb. 26, 2015) (SR-ICC-2014-24).

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

[[Page 20059]]

II. Description of 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 
consistency.
    ICC proposes revising its Risk Management Framework to incorporate 
risk model parameter estimation enhancements related to the RRSR 
computations. ICC states that under its 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 
single-name-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. According to 
ICC, 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, as stated by ICC, eliminate index 
RRSR, as index RRs are not subject to market uncertainty, but rather 
driven by market conventions. ICC states that 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, ICC calculates, the RRSR 
will capture the exposure to RR fluctuations over a 5-day risk horizon 
described by 99% ES equivalent risk measure.
    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 consideration of explicit 
price scenarios derived from the greatest price decrease and increase 
during and immediately after the LB default. According to ICC, 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 and high price when the Spread 
Response requirements computed under the current framework are expected 
to be lower.
    Further, as explained by ICC, 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. ICC states that this enhancement 
also addresses a regulatory requirement as described in Article 30 of 
the Regulatory Technical Standards,\5\ European Market Infrastructure 
Regulations.
---------------------------------------------------------------------------

    \5\ 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, ICC states that the GF allocations reflect a 
risk ``silo'' approach, which separates each GF risk component. Under 
the current methodology, the allocation of GF reflects the Clearing 
Participants' (``CPs'') own riskiness in proportion to each GF risk 
component size and the increase or decrease of the ``silo'' size. 
Therefore, GF allocations can significantly fluctuate in response to 
position changes in the portfolios of the CPs that drive the GF size. 
ICC proposes modifying its methodology so that the GF allocations 
reflect the CPs' total uncollateralized losses across all GF risk 
components. According to ICC, under the proposed approach, the GF 
allocations are independent of the distribution of the uncollateralized 
losses across various GF risk components or ``silos'' and the 
fluctuation of each CP's uncollateralized losses within various GF risk 
components or ``silos.'' Additionally, ICC added clarifying language 
regarding how the GF computations are performed with explicit currency 
dependent expressions.
    ICC also proposes certain 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, by unifying 
diversification and hedge thresholds and explicitly setting both to be 
equal to the lowest estimated sector Kendall Tau correlation 
coefficient. ICC also proposes clarifying language regarding how ICC 
meets its liquidity requirements.
    Additionally, ICC proposes non-substantive changes throughout the 
framework to correct obsolete references. Specifically, ICC is removing 
language stating that the Chief Risk Officer is a dual employee of both 
ICC and its sister company, The Clearing Corporation. ICC is also 
removing language stating that The Clearing Corporation is the provider 
of risk management services to ICC. Furthermore, ICC is removing 
references to the ``U.K. Financial Services Authority'' and replacing 
with references to the ``U.K. Prudential Regulatory Authority.'' 
Finally, ICC is adding ``The European Securities and Markets 
Authority'' to the sample list of competent authorities for capital 
adequacy regulation listed in the framework.
    ICC also proposes non-substantive changes throughout the Risk 
Management Framework to ensure consistency. ICC is updating the mission 
statement contained within the document to be consistent with ICC's 
Board-approved mission statement. Also, ICC is modifying the frequency 
by which the Risk Department monitors various risk metrics from a 
quarterly basis to a monthly basis to reflect actual business 
practices.

III. Discussion and Commission Findings

    Section 19(b)(2)(C) of the Act \6\ directs the Commission to 
approve a proposed rule change of a self-regulatory organization if the 
Commission finds that such proposed rule change is consistent with the 
requirements of the Act and the rules and regulations thereunder 
applicable to such self-regulatory organization. Section 17A(b)(3)(F) 
of the Act \7\ requires, among other things, that the rules of a 
clearing agency are designed to promote the prompt and accurate 
clearance and

[[Page 20060]]

settlement of securities transactions and, to the extent applicable, 
derivative agreements, contracts, and transactions and, in general, to 
protect investors and the public interest.
---------------------------------------------------------------------------

    \6\ 15 U.S.C. 78s(b)(2)(C).
    \7\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------

    The Commission finds that the proposed rule change is consistent 
with Section 17A of the Act \8\ and the rules thereunder applicable to 
ICC, including the requirements of Rule 17Ad-22.\9\ The Commission 
believes that the part of the proposal separating the RR stress levels 
for the JTD and RRSR computations would use a more robust and 
quantitative driven approach for establishing the RR stress scenarios, 
resulting in more dynamic and appropriate estimations of the RR stress 
levels for RRSR purposes. The Commission finds that the incorporation 
of the Lehman Brothers default price scenarios into the computation of 
the Spread Response requirements enhances the anti-procyclical feature 
of ICC's risk methodology. The Commission further finds that the 
proposed rule change that modifies the current GF allocation 
methodology to reflect the CPs' total uncollateralized losses across 
all GF components regardless of the fluctuation of the CPs' 
uncollateralized losses with respect to each GF component would result 
in more stable attributions of GF contributions to individual CP/client 
portfolios. Finally, the Commission finds that the proposed non-
substantive and clarification changes are each designed to more 
accurately reflect ICC's current practices.
---------------------------------------------------------------------------

    \8\ 15 U.S.C. 78q-1.
    \9\ 17 CFR 240.17Ad-22.
---------------------------------------------------------------------------

    Therefore, the Commission believes that the proposal is designed to 
promote the prompt and accurate clearance and settlement of securities 
transactions and derivative agreements, contracts and transactions 
cleared by ICC and, in general, to protect investors and the public 
interest, consistent with Section 17A(b)(3)(F) of the Act \10\ and 
Rules 17Ad-22(b)(1), (2) and (3).\11\
---------------------------------------------------------------------------

    \10\ 15 U.S.C. 78q-1(b)(3)(F).
    \11\ 17 CFR 240.17Ad-22(b)(1), (2) and (3).
---------------------------------------------------------------------------

IV. Conclusion

    On the basis of the foregoing, the Commission finds that the 
proposal is consistent with the requirements of the Act and in 
particular with the requirements of Section 17A of the Act \12\ and the 
rules and regulations thereunder.
---------------------------------------------------------------------------

    \12\ 15 U.S.C. 78q-1.
---------------------------------------------------------------------------

    It is therefore ordered, pursuant to Section 19(b)(2) of the 
Act,\13\ that the proposed rule change (File No. SR-ICC-2014-24) be, 
and hereby is, approved.\14\
---------------------------------------------------------------------------

    \13\ 15 U.S.C. 78s(b)(2).
    \14\ 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).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\15\
---------------------------------------------------------------------------

    \15\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Brent J. Fields,
Secretary.
[FR Doc. 2015-08455 Filed 4-13-15; 8:45 am]
 BILLING CODE 8011-01-P
This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.