Self-Regulatory Organizations; ICE Clear Europe Limited; Notice of Filing of Proposed Rule Change, Security Based Swap Submission, or Advance Notice Relating to Amendments to the ICE Clear Europe Collateral and Haircut Policy, 54423-54425 [2017-24935]

Download as PDF Federal Register / Vol. 82, No. 221 / Friday, November 17, 2017 / Notices summarized below. The Commission plans to submit this existing collection of information to the Office of Management and Budget (‘‘OMB’’) for extension and approval. Form N–CSR (17 CFR 249.331 and 274.128) is a combined reporting form used by registered management investment companies (‘‘funds’’) to file certified shareholder reports under the Investment Company Act of 1940 (15 U.S.C. 80a–1 et seq.) (‘‘Investment Company Act’’) and the Securities Exchange Act of 1934 (15 U.S.C. 78a et seq.) (‘‘Exchange Act’’). Specifically, Form N–CSR is to be used for reports under section 30(b)(2) of the Investment Company Act (15 U.S.C. 80a–29(b)(2)) and section 13(a) or 15(d) of the Exchange Act (15 U.S.C. 78m(a) and 78o(d)), filed pursuant to rule 30b2–1(a) under the Investment Company Act (17 CFR 270.30b2–1(a)). Reports on Form N–CSR are to be filed with the Securities and Exchange Commission (‘‘Commission’’) no later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under rule 30e–1 under the Investment Company Act (17 CFR 270.30e–1). The information filed with the Commission permits the verification of compliance with securities law requirements and assures the public availability and dissemination of the information. The current total annual burden hour inventory for Form N–CSR is 172,899 hours.1 The hour burden estimates for preparing and filing reports on Form N– CSR are based on the Commission’s experience with the contents of the form. The number of burden hours may vary depending on, among other things, the complexity of the filing and whether preparation of the reports is performed by internal staff or outside counsel. The Commission’s new estimate of burden hours that will be imposed by Form N–CSR is as follows: sradovich on DSK3GMQ082PROD with NOTICES HOUR BURDEN FOR REPORTS ON FORM N–CSR Number of funds ......................... Number of filings per fund per year ......................................... Hour burden per fund per filing .. Hour burden per fund per year (7.31 hours per filing × 2 filings per year) .......................... Additional aggregate annual burden for closed-end funds ........ 2 11,856 2 7.31 14.62 3 750 1 This estimate is based on the following calculations: 172,899 hours = (11,856 management investment companies × 14.52 hour burden per fund per year) + 750 additional hours for closedend funds. VerDate Sep<11>2014 18:32 Nov 16, 2017 Jkt 244001 HOUR BURDEN FOR REPORTS ON FORM N–CSR—Continued Total annual hour burden for all funds ............................... 4 174,085 In total, the Commission estimates it will take 174,085 burden hours per year for all funds to prepare and file reports on Form N–CSR. Based on the Commission’s estimate of 174,085 burden hours and an estimated wage rate of approximately $324 per hour,5 the total internal annual cost to registrants of the hour burden for complying with Form N–CSR requirements is approximately $56 million.6 Estimates of average burden hours and costs are made solely for purposes of the Paperwork Reduction Act, and are not derived from a comprehensive or even representative survey or study of the costs of Commission rules and forms. Compliance with the information collection requirements of Form N–CSR is mandatory. Responses to the collection of information will not be kept confidential. An agency may not conduct or sponsor, and a person is not required to respond to a collection of information unless it displays a currently valid OMB control number. Written comments are invited on: (a) Whether the collection of information is necessary for the proper performance of the functions of the Commission, including whether the information has practical utility; (b) the accuracy of the Commission’s estimate of the burden of the collection of information; (c) ways to 2 This estimate is based on the following calculation: 11,856 management investment companies = (1,594 exchange-traded funds—eight organized as unit investment trusts + 750 closedend funds + 481 money market funds + 9,039 other mutual funds). 3 This estimate is based on the following calculation: 750 hours = (750 closed-end funds × 1 hour per closed-end fund). 4 This estimate is based on the following calculation: 174,085 hours = 750 hours + (11,856 funds × 14.62 burden hours per fund per year). 5 The Commission’s estimate concerning the wage rate is based on salary information for the securities industry compiled by the Securities Industry and Financial Markets Association. The estimated wage figure is based on published rates for compliance attorneys and senior programmers, modified to account for an 1,800-hour work year and inflation; multiplied by 5.35 to account for bonuses, firm size, employee benefits, and overhead; and adjusted to account for the effects of inflation, yielding effective hourly rates of $340 and $308, respectively. See Securities Industry and Financial Markets Association, Report on Management & Professional Earnings in the Securities Industry 2013. We estimate that compliance attorneys and senior programmers would divide their time equally, yielding an estimated hourly wage rate of $324. ($340 per hour for compliance attorneys + $308 per hour for senior programmers) ÷ 2 = $324 per hour. 6 174,085 hours × $324 per hour = $56,403,540 per year. PO 00000 Frm 00108 Fmt 4703 Sfmt 4703 54423 enhance the quality, utility, and clarity of the information collected; and (d) ways to minimize the burden of the collection of information on respondents, including through the use of automated collection techniques or other forms of information technology. Consideration will be given to comments and suggestions submitted in writing within 60 days of this publication. Please direct your written comments to Pamela Dyson, Chief Information Officer, Securities and Exchange Commission, c/o Remi Pavlik-Simon, 100 F Street NE., Washington, DC 20549; or send an email to: PRA_ Mailbox@sec.gov. Please direct your written comments to Pamela Dyson, Director/Chief Information Officer, Securities and Exchange Commission, C/O Remi Pavlik-Simon, 100 F Street NE., Washington, DC 20549; or send an email to: PRA_Mailbox@sec.gov. Dated: November 14, 2017. Eduardo A. Aleman, Assistant Secretary. [FR Doc. 2017–24945 Filed 11–16–17; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–82063; File No. SR–ICEEU– 2017–011] Self-Regulatory Organizations; ICE Clear Europe Limited; Notice of Filing of Proposed Rule Change, Security Based Swap Submission, or Advance Notice Relating to Amendments to the ICE Clear Europe Collateral and Haircut Policy November 13, 2017. 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 November 2, 2017, ICE Clear Europe Limited (‘‘ICE Clear Europe’’) filed with the Securities and Exchange Commission (‘‘Commission’’) the proposed rule changes described in Items I, II, and III below, which Items have been primarily prepared by ICE Clear Europe. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. I. Clearing Agency’s Statement of the Terms of Substance of the Proposed Rule Change The principal purpose of the changes is to modify the ICE Clear Europe 1 15 2 17 U.S.C. 78s(b)(1). CFR 240.19b–4. E:\FR\FM\17NON1.SGM 17NON1 54424 Federal Register / Vol. 82, No. 221 / Friday, November 17, 2017 / Notices Collateral and Haircut Policy to incorporate certain changes to the calculation of absolute collateral limits for bonds provided as Permitted Cover by Clearing Members. The changes also make certain clarifications and updates and add certain general provisions addressing overall risk appetite and risk limits. II. Clearing Agency’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, ICE Clear Europe included statements concerning the purpose of and basis for the proposed rule change and discussed any comments it received on the proposed rule change. The text of these statements may be examined at the places specified in Item IV below. ICE Clear Europe has prepared summaries, set forth in sections (A), (B), and (C) below, of the most significant aspects of such statements. (A) Clearing Agency’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change sradovich on DSK3GMQ082PROD with NOTICES (a) Purpose ICE Clear Europe proposes revising its Collateral and Haircut Policy (the ‘‘Collateral and Haircut Policy’’) to incorporate certain changes to the calculation of absolute collateral limits for bonds provided as Permitted Cover by Clearing Members and certain other revisions as described below. The amendments do not involve any changes to the ICE Clear Europe Clearing Rules or Procedures. The Collateral and Haircut Policy establishes a maximum amount of bonds from an individual issuer that ICE Clear Europe will accept from a Member Group (an ‘‘Absolute Limit’’). The Absolute Limit is designed to take into account the trading liquidity of the bond, and accordingly the ability of ICE Clear Europe to liquidate the collateral when required. Currently, the underlying data used in the calculation of the Absolute Limit is based on the biannual International Capital Market Associate repo survey of market participants (the ‘‘ICMA Data’’), as a proxy for secondary market trading activity. Under the revised Collateral and Haircut Policy, the Absolute Limit will be determined using actual secondary market trading volume data provided by ICE Data Services (the ‘‘IDS Data’’). The IDS Data is compiled from a wide range of market data sources for transactions in government and corporate bonds. In certain circumstances where official trading volume data is published from a VerDate Sep<11>2014 18:32 Nov 16, 2017 Jkt 244001 primary source, such as a governmental or central bank, such data will be used in lieu of the IDS Data. (For example, for bonds issued by Canada and Japan, ICE Clear Europe will utilize data provided by the Bank of Canada and the Japan Securities Dealers Association, respectively, instead of IDS Data.) In either case, the Absolute Limit for each bond issuer and collateral type will be 10% of the average daily volume over the past three months, rounded to the nearest million. ICE Clear Europe believes that the revised approach will provide a more direct and accurate estimation of liquidity than under the current approach, which will facilitate calculation of conservative and appropriate absolute concentration limits. The revisions also provide that in order to capture price volatility information on a conservative basis, the haircut calculation methodology, which incorporates a historical VaR model, among other factors, will use a twosided VaR estimation based on the largest absolute returns. The Collateral and Haircut Policy has also been amended to more clearly take into account the existence of ICE Clear Europe’s approximately U.S. $1 billion in committed repo facilities. As under the existing policy, in certain circumstances the Clearing House may permit a Clearing Member to maintain a collateral bond position in excess of normal absolute limits, in reliance on the Clearing House’s ability to obtain cash for any excess securities using the committed repo facility. The amendments clarify that the repo facilities are available at any time there is an intra-day liquidity need, and are not limited to use in case of Clearing Member default. The amendments also note certain particular scenarios in which the clearing risk department may, consistent with the current policy, consider other qualitative and quantitative factors in setting prudent haircuts. These include the need to clean the bond price input data to remove spurious effects caused by changes in the different underlying bonds used to build bond price timeseries. In this regard, the time series of bond price data in some instances may be spliced together from bonds with the same maturities but certain differences in other terms. These differences may cause the bonds to trade at different price levels, which could introduce spurious price spikes into the time series. To avoid an effect on the calculated haircut levels, ICE Clear Europe removes such spurious price spikes from the time series. The policy also notes that the clearing house may PO 00000 Frm 00109 Fmt 4703 Sfmt 4703 also need to consider the impact of unexpected currency de-pegging events on the calculation of cross-currency FX haircuts (such as the Swiss franc depegging from the Euro in January 2015, which caused unexpected sharp movements in the underlying exchange rate), as such events may not be fully captured by the quantitative approach in the Collateral and Haircut Policy. In addition, the Collateral and Haircut Policy has been revised to add certain general provisions, consistent with the approach taken in other ICE Clear Europe policies, addressing overall risk appetite and risk limits in the context of the purposes of the Collateral and Haircut Policy. Certain references in the policy to internal ICE Clear Europe personnel, departments and committees have been updated. The amendments also provide further detail as to the process for annual independent validation and governance oversight of relevant models used to support the Collateral and Haircut Policy. The policy owner, with the support of risk department personnel, will be responsible for the continuous review and reporting of the risk profile of the policy. The policy will be reviewed at least annually by the CDS and F&O Risk Committees and approved by the Board. Any material changes to the policy must be discussed with the Executive Risk Committee, reviewed by the CDS and F&O Risk Committees and the Board Risk Committee and approved by the Board. A ‘‘red-amber-green’’ escalation process has also been implemented to handle identified risks or situations as they arise. (b) Statutory Basis ICE Clear Europe believes that the changes described herein are 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 in particular are consistent with the prompt and accurate clearance of and settlement of securities transactions and, to the extent applicable, derivative agreements, contracts and transactions, the safeguarding of securities and funds in the custody or control of ICE Clear Europe or for which it is responsible and the protection of investors and the public interest, within the meaning of Section 17A(b)(3)(F) of the Act.5 The amendments are intended, among other matters, to adopt a more robust and direct method for obtaining relevant bond trading volume data that is used 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\17NON1.SGM 17NON1 Federal Register / Vol. 82, No. 221 / Friday, November 17, 2017 / Notices to determine concentration limits and to clarify certain other matters relating to calculation of haircuts and limits. The amendments also enhance the governance process around the Collateral and Haircut Policy. In ICE Clear Europe’s view, the amendments will help ICE Clear Europe more clearly determine the liquidity of relevant bonds, which in turn will facilitate establishment of accurate concentration limits. As a result, ICE Clear Europe believes the amendments are consistent with the requirements of Section 17A(b)(3)(F) 6 of the Act. In addition, for the foregoing reasons, the amendments will facilitate setting and enforcing appropriately conservative haircuts and concentration limits, and provide for a review of the sufficiency of such haircuts and limits not less than annually, within the meaning of Rule 17Ad–22(e)(5).7 sradovich on DSK3GMQ082PROD with NOTICES (B) Clearing Agency’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 not necessary or appropriate in furtherance of the purpose of the Act. ICE Clear Europe is adopting the amendments to the Collateral and Haircut Policy in order to enhance the calculations of concentration limits and haircuts and make certain other governance and related enhancements to the Collateral and Haircut Policy. The amendments will apply to all Clearing Members and products. ICE Clear Europe does not believe the amendments would materially affect the cost of clearing, adversely affect access to clearing in these products for Clearing Members or their customers, or otherwise adversely affect competition in clearing services. Although the amendments may change the haircuts or concentration limits for particular bonds, which may affect the costs and benefits of using those bonds as collateral, ICE Clear Europe believe that such changes are appropriate in light of the risk management enhancements provided by the revised policy. As a result, ICE Clear Europe believes that any impact or burden on competition from such amendments would be appropriate in furtherance of the purpose of the Act. 6 15 7 17 U.S.C. 78q–1(b)(3)(F). CFR 240.17Ad–22(e)(5). VerDate Sep<11>2014 18:32 Nov 16, 2017 Jkt 244001 (C) Clearing Agency’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. 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–2017–011 on the subject line. Paper Comments • Send paper comments in triplicate to Secretary, Securities and Exchange Commission, 100 F Street NE., Washington, DC 20549–1090. All submissions should refer to File Number SR–ICEEU–2017–011. 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 PO 00000 Frm 00110 Fmt 4703 Sfmt 4703 54425 Commission and any person, other than those that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be available for Web site viewing and printing in the Commission’s Public Reference Room, 100 F Street NE., Washington, DC 20549, on official business days between the hours of 10:00 a.m. and 3:00 p.m. Copies of the filing also will be available for inspection and copying at the principal office of 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. Persons submitting comments are cautioned that we do not redact or edit personal identifying information from comment submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number SR–ICEEU–2017–011 and should be submitted on or before December 8, 2017. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.8 Eduardo A. Aleman, Assistant Secretary. [FR Doc. 2017–24935 Filed 11–16–17; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–82058; File No. SR–IEX– 2017–39] Self-Regulatory Organizations: Investors Exchange LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Adopt Rules Pertaining to Certain Listing Regulatory Reporting and Operational Requirements November 13, 2017. Pursuant to Section 19(b)(1) 1 of the Securities Exchange Act of 1934 (the ‘‘Act’’) 2 and Rule 19b–4 thereunder,3 notice is hereby given that on October 31, 2017, the Investors Exchange LLC (‘‘IEX’’ or the ‘‘Exchange’’) filed with the Securities and Exchange Commission (the ‘‘Commission’’) the proposed rule change as described in Items I and II below, which Items have been prepared by the self-regulatory organization. The Commission is publishing this notice to 8 17 CFR 200.30–3(a)(12). U.S.C. 78s(b)(1). 2 15 U.S.C. 78a. 3 17 CFR 240.19b–4. 1 15 E:\FR\FM\17NON1.SGM 17NON1

Agencies

[Federal Register Volume 82, Number 221 (Friday, November 17, 2017)]
[Notices]
[Pages 54423-54425]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-24935]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-82063; File No. SR-ICEEU-2017-011]


Self-Regulatory Organizations; ICE Clear Europe Limited; Notice 
of Filing of Proposed Rule Change, Security Based Swap Submission, or 
Advance Notice Relating to Amendments to the ICE Clear Europe 
Collateral and Haircut Policy

November 13, 2017.
    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 November 2, 2017, ICE Clear Europe Limited (``ICE Clear Europe'') 
filed with the Securities and Exchange Commission (``Commission'') the 
proposed rule changes described in Items I, II, and III below, which 
Items have been primarily prepared by ICE Clear Europe. 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. Clearing Agency's Statement of the Terms of Substance of the 
Proposed Rule Change

    The principal purpose of the changes is to modify the ICE Clear 
Europe

[[Page 54424]]

Collateral and Haircut Policy to incorporate certain changes to the 
calculation of absolute collateral limits for bonds provided as 
Permitted Cover by Clearing Members. The changes also make certain 
clarifications and updates and add certain general provisions 
addressing overall risk appetite and risk limits.

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

    In its filing with the Commission, ICE Clear Europe included 
statements concerning the purpose of and basis for the proposed rule 
change and discussed any comments it received on the proposed rule 
change. The text of these statements may be examined at the places 
specified in Item IV below. ICE Clear Europe has prepared summaries, 
set forth in sections (A), (B), and (C) below, of the most significant 
aspects of such statements.

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

(a) Purpose
    ICE Clear Europe proposes revising its Collateral and Haircut 
Policy (the ``Collateral and Haircut Policy'') to incorporate certain 
changes to the calculation of absolute collateral limits for bonds 
provided as Permitted Cover by Clearing Members and certain other 
revisions as described below. The amendments do not involve any changes 
to the ICE Clear Europe Clearing Rules or Procedures.
    The Collateral and Haircut Policy establishes a maximum amount of 
bonds from an individual issuer that ICE Clear Europe will accept from 
a Member Group (an ``Absolute Limit''). The Absolute Limit is designed 
to take into account the trading liquidity of the bond, and accordingly 
the ability of ICE Clear Europe to liquidate the collateral when 
required. Currently, the underlying data used in the calculation of the 
Absolute Limit is based on the bi-annual International Capital Market 
Associate repo survey of market participants (the ``ICMA Data''), as a 
proxy for secondary market trading activity. Under the revised 
Collateral and Haircut Policy, the Absolute Limit will be determined 
using actual secondary market trading volume data provided by ICE Data 
Services (the ``IDS Data''). The IDS Data is compiled from a wide range 
of market data sources for transactions in government and corporate 
bonds. In certain circumstances where official trading volume data is 
published from a primary source, such as a governmental or central 
bank, such data will be used in lieu of the IDS Data. (For example, for 
bonds issued by Canada and Japan, ICE Clear Europe will utilize data 
provided by the Bank of Canada and the Japan Securities Dealers 
Association, respectively, instead of IDS Data.) In either case, the 
Absolute Limit for each bond issuer and collateral type will be 10% of 
the average daily volume over the past three months, rounded to the 
nearest million. ICE Clear Europe believes that the revised approach 
will provide a more direct and accurate estimation of liquidity than 
under the current approach, which will facilitate calculation of 
conservative and appropriate absolute concentration limits.
    The revisions also provide that in order to capture price 
volatility information on a conservative basis, the haircut calculation 
methodology, which incorporates a historical VaR model, among other 
factors, will use a two-sided VaR estimation based on the largest 
absolute returns.
    The Collateral and Haircut Policy has also been amended to more 
clearly take into account the existence of ICE Clear Europe's 
approximately U.S. $1 billion in committed repo facilities. As under 
the existing policy, in certain circumstances the Clearing House may 
permit a Clearing Member to maintain a collateral bond position in 
excess of normal absolute limits, in reliance on the Clearing House's 
ability to obtain cash for any excess securities using the committed 
repo facility. The amendments clarify that the repo facilities are 
available at any time there is an intra-day liquidity need, and are not 
limited to use in case of Clearing Member default.
    The amendments also note certain particular scenarios in which the 
clearing risk department may, consistent with the current policy, 
consider other qualitative and quantitative factors in setting prudent 
haircuts. These include the need to clean the bond price input data to 
remove spurious effects caused by changes in the different underlying 
bonds used to build bond price time-series. In this regard, the time 
series of bond price data in some instances may be spliced together 
from bonds with the same maturities but certain differences in other 
terms. These differences may cause the bonds to trade at different 
price levels, which could introduce spurious price spikes into the time 
series. To avoid an effect on the calculated haircut levels, ICE Clear 
Europe removes such spurious price spikes from the time series. The 
policy also notes that the clearing house may also need to consider the 
impact of unexpected currency de-pegging events on the calculation of 
cross-currency FX haircuts (such as the Swiss franc de-pegging from the 
Euro in January 2015, which caused unexpected sharp movements in the 
underlying exchange rate), as such events may not be fully captured by 
the quantitative approach in the Collateral and Haircut Policy.
    In addition, the Collateral and Haircut Policy has been revised to 
add certain general provisions, consistent with the approach taken in 
other ICE Clear Europe policies, addressing overall risk appetite and 
risk limits in the context of the purposes of the Collateral and 
Haircut Policy. Certain references in the policy to internal ICE Clear 
Europe personnel, departments and committees have been updated. The 
amendments also provide further detail as to the process for annual 
independent validation and governance oversight of relevant models used 
to support the Collateral and Haircut Policy. The policy owner, with 
the support of risk department personnel, will be responsible for the 
continuous review and reporting of the risk profile of the policy. The 
policy will be reviewed at least annually by the CDS and F&O Risk 
Committees and approved by the Board. Any material changes to the 
policy must be discussed with the Executive Risk Committee, reviewed by 
the CDS and F&O Risk Committees and the Board Risk Committee and 
approved by the Board. A ``red-amber-green'' escalation process has 
also been implemented to handle identified risks or situations as they 
arise.
(b) Statutory Basis
    ICE Clear Europe believes that the changes described herein are 
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 in particular are consistent with the prompt and 
accurate clearance of and settlement of securities transactions and, to 
the extent applicable, derivative agreements, contracts and 
transactions, the safeguarding of securities and funds in the custody 
or control of ICE Clear Europe or for which it is responsible and the 
protection of investors and the public interest, within the meaning of 
Section 17A(b)(3)(F) of the Act.\5\ The amendments are intended, among 
other matters, to adopt a more robust and direct method for obtaining 
relevant bond trading volume data that is used

[[Page 54425]]

to determine concentration limits and to clarify certain other matters 
relating to calculation of haircuts and limits. The amendments also 
enhance the governance process around the Collateral and Haircut 
Policy. In ICE Clear Europe's view, the amendments will help ICE Clear 
Europe more clearly determine the liquidity of relevant bonds, which in 
turn will facilitate establishment of accurate concentration limits. As 
a result, ICE Clear Europe believes the amendments are consistent with 
the requirements of Section 17A(b)(3)(F) \6\ of the Act. In addition, 
for the foregoing reasons, the amendments will facilitate setting and 
enforcing appropriately conservative haircuts and concentration limits, 
and provide for a review of the sufficiency of such haircuts and limits 
not less than annually, within the meaning of Rule 17Ad-22(e)(5).\7\
---------------------------------------------------------------------------

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

(B) Clearing Agency'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 not 
necessary or appropriate in furtherance of the purpose of the Act. ICE 
Clear Europe is adopting the amendments to the Collateral and Haircut 
Policy in order to enhance the calculations of concentration limits and 
haircuts and make certain other governance and related enhancements to 
the Collateral and Haircut Policy. The amendments will apply to all 
Clearing Members and products. ICE Clear Europe does not believe the 
amendments would materially affect the cost of clearing, adversely 
affect access to clearing in these products for Clearing Members or 
their customers, or otherwise adversely affect competition in clearing 
services. Although the amendments may change the haircuts or 
concentration limits for particular bonds, which may affect the costs 
and benefits of using those bonds as collateral, ICE Clear Europe 
believe that such changes are appropriate in light of the risk 
management enhancements provided by the revised policy. As a result, 
ICE Clear Europe believes that any impact or burden on competition from 
such amendments would be appropriate in furtherance of the purpose of 
the Act.

(C) Clearing Agency'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.

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-2017-011 on the subject line.

Paper Comments

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

All submissions should refer to File Number SR-ICEEU-2017-011. 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 the filing also will 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. Persons 
submitting comments are cautioned that we do not redact or edit 
personal identifying information from comment submissions. You should 
submit only information that you wish to make available publicly. All 
submissions should refer to File Number SR-ICEEU-2017-011 and should be 
submitted on or before December 8, 2017.
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    \8\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\8\
Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-24935 Filed 11-16-17; 8:45 am]
 BILLING CODE 8011-01-P
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