Sunshine Act Meetings, 14158 [2019-07052]

Download as PDF 14158 Federal Register / Vol. 84, No. 68 / Tuesday, April 9, 2019 / Notices The public may view the background documentation for this information collection at the following website, www.reginfo.gov. Comments should be directed to: (i) Desk Officer for the Securities and Exchange Commission, Office of Information and Regulatory Affairs, Office of Management and Budget, Room 10102, New Executive Office Building, Washington, DC 20503, or by sending an email to: Shagufta_Ahmed@omb.eop.gov; and (ii) Charles Riddle, Acting Chief Information Officer, Securities and Exchange Commission, c/o Candace Kenner, 100 F Street NE, Washington, DC 20549 or send an email to: PRA_ Mailbox@sec.gov. Comments must be submitted to OMB within 30 days of this notice. Dated: April 4, 2019. Eduardo A. Aleman, Deputy Secretary. BILLING CODE 8011–01–P Sunshine Act Meetings 12:00 p.m. on Thursday, April 11, 2019. The meeting will be held at the Commission’s headquarters, 100 F Street NE, Washington, DC 20549. PLACE: This meeting will be closed to the public. amozie on DSK9F9SC42PROD with NOTICES STATUS: MATTERS TO BE CONSIDERED: Commissioners, Counsel to the Commissioners, the Secretary to the Commission, and recording secretaries will attend the closed meeting. Certain staff members who have an interest in the matters also may be present. The General Counsel of the Commission, or his designee, has certified that, in his opinion, one or more of the exemptions set forth in 5 U.S.C. 552b(c)(3), (5), (6), (7), (8), 9(B) and (10) and 17 CFR 200.402(a)(3), (a)(5), (a)(6), (a)(7), (a)(8), (a)(9)(ii) and (a)(10), permit consideration of the scheduled matters at the closed meeting. Commissioner Peirce, as duty officer, voted to consider the items listed for the closed meeting in closed session. The subject matters of the closed meeting will be: Institution and settlement of injunctive actions; Institution and settlement of administrative proceedings; and Other matters relating to enforcement proceedings. 18:15 Apr 08, 2019 Jkt 247001 For further information and to ascertain what, if any, matters have been added, deleted or postponed; please contact Vanessa A. Countryman from the Office of the Secretary at (202) 551–5400. Dated: April 4, 2019. Eduardo A. Aleman, Deputy Secretary. [FR Doc. 2019–07052 Filed 4–5–19; 11:15 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–85495; File No. SR–ICC– 2019–002] April 3, 2019. SECURITIES AND EXCHANGE COMMISSION VerDate Sep<11>2014 CONTACT PERSON FOR MORE INFORMATION: Self-Regulatory Organizations; ICE Clear Credit LLC; Order Approving Proposed Rule Change Relating to the ICC Risk Parameter Setting and Review Policy [FR Doc. 2019–06958 Filed 4–8–19; 8:45 am] TIME AND DATE: At times, changes in Commission priorities require alterations in the scheduling of meeting items. I. Introduction On February 6, 2019, ICE Clear Credit LLC (‘‘ICC’’) filed with the Securities and Exchange Commission (‘‘Commission’’), pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (‘‘Act’’),1 and Rule 19b–4 thereunder,2 a proposed rule change (SR–ICC–2019–002) to formalize the ICC Risk Parameter Setting and Review Policy (‘‘Risk Parameter Policy’’).3 The proposed rule change was published in the Federal Register on February 22, 2019.4 The Commission did not receive comments on the proposed rule change. For the reasons discussed below, the Commission is approving the proposed rule change. II. Description of the Proposed Rule Change The proposed rule change would formalize the Risk Parameter Policy. The Risk Parameter Policy would explain ICC’s process for setting and calibrating the core parameters of, and reviewing the assumptions underlying, the ICC Risk Management Model (the ‘‘Model’’). The Risk Parameter Policy would also explain the analyses that ICC 1 15 U.S.C. 78s(b)(1). CFR 240.19b–4. 3 Capitalized terms used herein but not otherwise defined have the meaning set forth in the ICC Rules or the Risk Parameter Policy. Available at https:// www.theice.com/publicdocs/clear_credit/ICE_ Clear_Credit_Rules.pdf. 4 Securities Exchange Act Release No. 34–85157 (Feb. 15, 2019), 84 FR 5748 (Feb. 22, 2019) (SR– ICC–2019–002) (‘‘Notice’’). 2 17 PO 00000 Frm 00076 Fmt 4703 Sfmt 4703 performs to explore the sensitivity of the Model’s outputs to certain core parameters. A. Parameter Setting and Calibration The Risk Parameter Policy would discuss the process of setting and reviewing the Model’s core parameters and their underlying assumptions.5 The Risk Parameter Policy would first list each of the Model’s parameters and then summarize (i) the method used to review and set the parameter; (ii) the frequency of review; (iii) the group within ICC responsible for the review (Risk Management Department (‘‘ICC Risk’’), Risk Working Group (‘‘RWG’’), or Risk Committee (‘‘RC’’); and (iv) whether the review is statistical or nonstatistical. The Risk Parameter Policy would then explain in detail the process for setting and reviewing the parameters, with the parameters categorized according to their associated component of the Model: (i) Liquidity charge; (ii) concentration charge; (iii) jump-to-default; (iv) interest rate sensitivity; (v) basis risk; and (vi) integrated spread response. For the parameters associated with the liquidity charge, the Risk Parameter Policy would describe the parameters associated with index instruments and single-name instruments.6 With respect to index instruments, the Risk Parameter Policy would specify how ICC Risk estimates the Bid Offer Widths (‘‘BOWs’’) for indices across volatile and extreme market conditions, in addition to how ICC Risk recognizes long-short benefits when computing portfolio-level index liquidity charges. With respect to single-name instruments, the Risk Parameter Policy would explain the parameters that ICC uses to incorporate a price-based BOW component and a spread-based BOW component into the liquidity charge. The Risk Parameter Policy would require ICC Risk to estimate and review the liquidity charge parameters and their underlying assumptions at least monthly and present the analysis and any proposed changes to the RWG for review. For the parameters associated with the concentration charge, the Risk Parameter Policy would explain how ICC Risk establishes specific threshold levels for each index or SN Risk Factor (‘‘RF’’).7 The thresholds would reflect the market depth and liquidity for the considered RFs. The concentration charges would apply to positions that 5 Notice, 84 FR at 5748. 84 FR at 5749. 7 Notice, 84 FR at 5749. ICC deems each index, sub-index, or underlying SN reference entity a separate RF. 6 Notice, E:\FR\FM\09APN1.SGM 09APN1

Agencies

[Federal Register Volume 84, Number 68 (Tuesday, April 9, 2019)]
[Notices]
[Page 14158]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2019-07052]


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SECURITIES AND EXCHANGE COMMISSION


Sunshine Act Meetings

TIME AND DATE: 12:00 p.m. on Thursday, April 11, 2019.

PLACE: The meeting will be held at the Commission's headquarters, 100 F 
Street NE, Washington, DC 20549.

STATUS: This meeting will be closed to the public.

MATTERS TO BE CONSIDERED: Commissioners, Counsel to the Commissioners, 
the Secretary to the Commission, and recording secretaries will attend 
the closed meeting. Certain staff members who have an interest in the 
matters also may be present.
    The General Counsel of the Commission, or his designee, has 
certified that, in his opinion, one or more of the exemptions set forth 
in 5 U.S.C. 552b(c)(3), (5), (6), (7), (8), 9(B) and (10) and 17 CFR 
200.402(a)(3), (a)(5), (a)(6), (a)(7), (a)(8), (a)(9)(ii) and (a)(10), 
permit consideration of the scheduled matters at the closed meeting.
    Commissioner Peirce, as duty officer, voted to consider the items 
listed for the closed meeting in closed session.
    The subject matters of the closed meeting will be:
    Institution and settlement of injunctive actions;
    Institution and settlement of administrative proceedings; and
    Other matters relating to enforcement proceedings.
    At times, changes in Commission priorities require alterations in 
the scheduling of meeting items.

CONTACT PERSON FOR MORE INFORMATION: For further information and to 
ascertain what, if any, matters have been added, deleted or postponed; 
please contact Vanessa A. Countryman from the Office of the Secretary 
at (202) 551-5400.

    Dated: April 4, 2019.
Eduardo A. Aleman,
Deputy Secretary.
[FR Doc. 2019-07052 Filed 4-5-19; 11:15 am]
BILLING CODE 8011-01-P
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