Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change Relating to ICC's Risk Management Model Description, 27176-27178 [2019-12189]
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27176
Federal Register / Vol. 84, No. 112 / Tuesday, June 11, 2019 / Notices
office of the Exchange. 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–BOX–2019–18 and should
be submitted on or before July 2, 2019.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.14
Eduardo A. Aleman,
Deputy Secretary.
[FR Doc. 2019–12188 Filed 6–10–19; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–86036; File No. SR–ICC–
2019–006]
Self-Regulatory Organizations; ICE
Clear Credit LLC; Notice of Filing and
Immediate Effectiveness of Proposed
Rule Change Relating to ICC’s Risk
Management Model Description
June 5, 2019.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934 (the
‘‘Act’’),1 and Rule 19b–4 thereunder,2
notice is hereby given that on May 23,
2019, ICE Clear Credit LLC (‘‘ICC’’) filed
with the Securities and Exchange
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.
khammond on DSKBBV9HB2PROD with NOTICES
I. Clearing Agency’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 Model
Description. These revisions do not
require any changes to the ICC Clearing
Rules (‘‘Rules’’).
II. Clearing Agency’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, security-based swap
submission, or advance notice and
discussed any comments it received on
14 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
1 15
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the proposed rule change, securitybased swap submission, or advance
notice. 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) Clearing Agency’s Statement of the
Purpose of, and Statutory Basis for, the
Proposed Rule Change
(a) Purpose
ICC proposes to revise its Risk
Management Model Description.
Specifically, ICC proposes minor,
clarifying changes to address comments
received from an independent
validation, as well as additional cleanup changes. The independent validator
comments revolve around clarification
updates that do not change ICC’s current
risk methodology. ICC believes that
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 changes are described in
detail as follows.
ICC proposes minor changes to the
‘Initial Margin Methodology’ section to
maintain uniformity and provide
additional clarity in the Risk
Management Model Description. ICC
proposes to update a symbol
representing the portfolio level liquidity
charge (‘‘LC’’) in an equation in the
‘Portfolio Level LC’ sub-section to match
the symbol used throughout the
document to reference the portfolio
level LC. Moreover, the Risk
Management Model Description
numbers key equations so they can be
easily referenced. As such, ICC proposes
to include a number corresponding to
the equation for the portfolio level LC
and to re-number the equations that
follow accordingly. In the ‘Portfolio
Level Concentration Charge’ subsection, ICC proposes to correct a
typographical error when referencing
the portfolio level concentration charge
(‘‘CC’’); to update a symbol representing
the portfolio level CC in an equation to
match the symbol used throughout the
document to reference the portfolio
level CC; and to include a number
corresponding to the equation for the
portfolio level CC, re-numbering the
equations that follow accordingly.
Additionally, ICC proposes to update a
symbol representing the portfolio level
interest rate (‘‘IR’’) sensitivity
requirement in an equation in the ‘IR
Sensitivity Risk Analysis’ sub-section to
match the symbol used throughout the
document to refer to the portfolio level
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IR sensitivity requirement. ICC further
proposes updates to the ‘Portfolio Loss
Boundary Condition’ sub-section to
replace certain general references to
sections with more specific references to
equations in those sections to provide
for additional clarity.
ICC proposes to make such changes
effective shortly after filing with the
Commission, on or about May 31, 2019.
(b) Statutory Basis
Section 17A(b)(3)(F) of the Act 3
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; to assure the
safeguarding of securities and funds
which are in the custody or control of
the clearing agency or for which it is
responsible; 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),4
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,
and contribute to the safeguarding of
securities and funds associated with
security-based swap transactions in
ICC’s custody or control, or for which
ICC is responsible. The proposed
changes to the Risk Management Model
Description to address independent
validator comments provide additional
clarity regarding ICC’s risk
methodology. The clean-up changes that
enhance readability further ensure that
the documentation of ICC’s Risk
Management Model Description remains
up-to-date, clear, and transparent. ICC
believes that having policies and
procedures that clearly and accurately
document ICC’s risk methodology and
practices are an important component to
the effectiveness of ICC’s risk
management system, which promotes
the prompt and accurate clearance and
settlement of securities transactions,
derivatives agreements, contracts, and
transactions and contributes to the
safeguarding of securities and funds
associated with security-based swap
transactions in ICC’s custody or control,
or for which ICC is responsible. As
such, the proposed rule change is
designed to promote the prompt and
3 15
U.S.C. 78q–1(b)(3)(F).
4 Id.
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khammond on DSKBBV9HB2PROD with NOTICES
Federal Register / Vol. 84, No. 112 / Tuesday, June 11, 2019 / Notices
accurate clearance and settlement of
securities transactions, derivatives
agreements, contracts, and transactions
and to contribute to the safeguarding of
securities and funds associated with
security-based swap transactions in
ICC’s custody or control, or for which
ICC is responsible within the meaning
of Section 17A(b)(3)(F) of the Act.5
In addition, the proposed rule change
is consistent with the relevant
requirements of Rule 17Ad–22.6 Rule
17Ad–22(b)(2) 7 requires ICC to
establish, implement, maintain and
enforce written policies and procedures
reasonably designed to use margin
requirements to limit its credit
exposures to participants under normal
market conditions and use risk-based
models and parameters to set margin
requirements and review such margin
requirements and the related risk-based
models and parameters at least monthly.
The proposed changes provide
additional clarity regarding ICC’s risk
methodology, including the calculation
of risk requirements, and maintain
uniformity in the document such that
ICC’s Risk Management Model
Description remains up-to-date, clear,
and transparent, thereby improving and
promoting ICC’s use of margin
requirements to limit its credit
exposures to participants under normal
market conditions, consistent with the
requirements of Rule 17Ad–22(b)(2).8
Rule 17Ad–22(b)(3) 9 requires ICC to
establish, implement, maintain and
enforce written policies and procedures
reasonably designed to maintain
sufficient financial resources to
withstand, at a minimum, a default by
the two Clearing Participant (‘‘CP’’)
families to which it has the largest
exposures in extreme but plausible
market conditions. The proposed
changes to the Risk Management Model
Description provide further clarity and
transparency regarding ICC’s risk
methodology and enhance ICC’s
approach to identifying potential
weaknesses in the risk methodology,
thereby ensuring that ICC maintains
sufficient financial resources to
withstand, at a minimum, a default by
the two CP families to which it has the
largest exposures in extreme but
plausible market conditions, consistent
with the requirements of Rule 17Ad–
22(b)(3).10
5 Id.
6 17
7 17
CFR 240.17Ad–22.
CFR 240.17Ad–22(b)(2).
Rule 17Ad–22(d)(8) 11 requires ICC to
establish, implement, maintain and
enforce written policies and procedures
reasonably designed to have governance
arrangements that are clear and
transparent to fulfill the public interest
requirements in Section 17A of the
Act.12 ICC’s Risk Management Model
Description clearly assigns and
documents responsibility and
accountability for risk decisions and
requires consultation with or approval
from the ICC Board, committees, or
management. Moreover, the proposed
updates ensure that the document
remains up-to-date and clear, such that
ICC’s governance of the document is
clear, transparent, and carried out
effectively. These governance
arrangements thus continue to be clear
and transparent so information relating
to the assignment of responsibilities for
risk decisions and the requisite
involvement of the ICC Board,
committees, and management is clearly
documented, consistent with the
requirements of Rule 17Ad–22(d)(8).13
(B) Clearing Agency’s Statement on
Burden on Competition
ICC does not believe the proposed
rule changes would have any impact, or
impose any burden, on competition.
The proposed changes to ICC’s Risk
Management Model Description will
apply uniformly across all market
participants. Therefore, ICC does not
believe the proposed rule changes
impose any burden on competition that
is inappropriate in furtherance of the
purposes 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 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 Changee and Timing for
Commission Action
The foregoing rule change has become
effective pursuant to Section 19(b)(3)(A)
of the Act and paragraph (f) of Rule
19b–4 thereunder. 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
8 Id.
11 17
9 17
12 15
CFR 240.17Ad–22(d)(8).
U.S.C. 78q–1.
13 17 CFR 240.17Ad–22(d)(8).
CFR 240.17Ad–22(b)(3).
10 Id.
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27177
investors, or otherwise in furtherance of
the purposes of the Act.
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–2019–006 on the subject line.
Paper Comments
Send paper comments in triplicate to
Secretary, Securities and Exchange
Commission, 100 F Street NE,
Washington, DC 20549.
All submissions should refer to File
Number SR–ICC–2019–006. 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 website (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 website 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 website at https://
www.theice.com/clear-credit/regulation.
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–ICC–2019–006 and
E:\FR\FM\11JNN1.SGM
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27178
Federal Register / Vol. 84, No. 112 / Tuesday, June 11, 2019 / Notices
should be submitted on or before July 2,
2019.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.14
Eduardo A. Aleman,
Deputy Secretary.
[FR Doc. 2019–12189 Filed 6–10–19; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–86033; File No. SR–C2–
2019–012]
Self-Regulatory Organizations; Cboe
C2 Exchange, Inc.; Notice of Filing and
Immediate Effectiveness of a Proposed
Rule Change To Update Its Price
Adjust Process To Allow for the
Process To Apply to Bulk Messages
June 5, 2019.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934 (the
‘‘Act’’),1 and Rule 19b–4 thereunder,2
notice is hereby given that on May 23,
2019, Cboe C2 Exchange, Inc. (the
‘‘Exchange’’ or ‘‘C2’’) filed with the
Securities and Exchange Commission
(the ‘‘Commission’’) the proposed rule
change as described in Items I, II, and
III below, which Items have been
prepared by the Exchange. The
Exchange filed the proposal as a ‘‘noncontroversial’’ proposed rule change
pursuant to Section 19(b)(3)(A)(iii) of
the Act 3 and Rule 19b–4(f)(6)
thereunder.4 The Commission is
publishing this notice to solicit
comments on the proposed rule change
from interested persons.
khammond on DSKBBV9HB2PROD with NOTICES
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
Cboe C2 Exchange, Inc. (the
‘‘Exchange’’ or ‘‘C2’’) proposes to update
its Price Adjust process to allow for the
process to apply to bulk messages. The
text of the proposed rule change is
provided in Exhibit 5.
The text of the proposed rule change
is also available on the Exchange’s
website (https://markets.cboe.com/us/
options/regulation/rule_filings/ctwo/),
at the Exchange’s Office of the
Secretary, and at the Commission’s
Public Reference Room.
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission, the
Exchange 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. The
Exchange has prepared summaries, set
forth in sections A, B, and C below, of
the most significant aspects of such
statements.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
1. Purpose
The Exchange proposes to amend its
rules to allow for the Price Adjust
process to apply to bulk messages and
make corresponding changes where
applicable. The Exchange is proposing
these amendments in order to provide
Options Members that submit bulk
messages with functionality that is
currently available to them for orders.
In February 2019, the Exchange
adopted bulk messaging functionality,
in which a User may enter, modify or
cancel up to an Exchange-specified
number of bids and offers. A User may
submit a bulk message through a bulk
port.5 The System 6 handles bulk
messages in the same manner as it
handles an order, or quote if submitted
by a Market-Maker, unless the Rules
specify otherwise. Currently, Rule 6.10
allows a User to designate an order to
be subject to the Price Adjust process
pursuant to Rule 6.12.7 Pursuant to
current Rule 6.12(b), the System ranks
and displays a buy (sell) order that, at
the time of entry, would lock or cross
a Protected Quotation of the Exchange
or another exchange at one minimum
price increment below (above) the
current National Best Offer (‘‘NBO’’) or
National Best Bid (‘‘NBB’’), as
applicable. The Price Adjust process
applies to orders (subject to the User’s
instructions or the Rules) that do not
execute upon entry and go to rest in the
C2 Book (for example, because an order
is not marketable upon entry, is not
eligible to route, etc.). It ensures these
5 See
Rule 6.8(c)(3).
‘‘System’’ is the automated trading system
the Exchange uses for the trading of option
contracts. See Rule 1.1.
7 An order that is not designated as Cancel Back
is also subject to the Price Adjust process (i.e.,
orders default to be subject to the Price Adjust
process).
6 The
14 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
3 15 U.S.C. 78s(b)(3)(A)(iii).
4 17 CFR 240.19b–4(f)(6).
1 15
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orders rest at executable prices in
accordance with linkage rules.8 Current
Rules 6.10(c) and 6.12(b) state that the
Price Adjust process does not apply to
bulk messages.9
Current Rule 6.10(c) also provides for
a Cancel Back order, in which a User
may designate an order not to be subject
to the Price Adjust process and the
System cancels or rejects such order if
displaying the order on the C2 Book
would create a violation of Rule 6.82
(Locked and Crossed Markets), or if the
order cannot otherwise be executed or
displayed in the C2 Book at its limit
price. The System executes a Book
Only—Cancel Back order marketable
against resting orders, and cancels or
rejects a Post Only—Cancel Back order
that locks or crosses the opposite side of
the BBO.
Furthermore, current Rule 6.12(c)
provides for additional System order
handling provisions regarding bulk
messages submitted through bulk
quoting ports. Specifically, Rule
6.12(c)(6)(A) provides that the System
will cancel or reject a Post Only bulk
message bid (offer) with a price that
locks or crosses the Exchange best offer
(bid) or ABO (ABB).10 The Exchange
notes that bulk messages that include a
Post Only instruction do not remove
liquidity from the Exchange or route
away to other exchanges.11 Current Rule
6.12(c)(6)(A) is consistent with how the
System handles a Post Only—Cancel
Back order.12 Additionally, current Rule
6.12(c)(6)(B) provides that the System
cancels or rejects a Book Only bulk
message bid (offer) that locks or crosses
the ABO (ABB) against offers (bids)
resting in the C2 Book at prices the same
as or better than the ABO (ABO) and
then cancels the unexecuted portion of
that bid (offer). Book Only orders do not
route away to other exchanges.13
8 See Section E of Chapter VI of the Rules. See
also Options Order Protection and Locked/Crossed
Market Plan (the ‘‘Linkage Plan’’).
9 Specifically, the multiple bids (offers) submitted
through a bulk message. Therefore, as proposed, a
Price Adjust or Cancel Back designation, as
applicable, applies to all bulk message bids and
offers within a single message.
10 The ABBO means the best bid (offer)
disseminated by other exchanges.
11 See Rule 6.10, which defines a ‘‘Post Only’’
order as an order the System ranks and executes
pursuant to Rule 6.12, subjects to the Price Adjust
process pursuant to Rule 6.12, or cancels or rejects
(including if it is not subject to the Price Adjust
process and locks or crosses a Protected Quotation
of another exchange), as applicable (in accordance
with User instructions), except the order may not
remove liquidity from the Book or route away to
another Exchange. Users may designate bulk
messages as Post Only as set forth in Rule 6.8(c).
12 See supra note 8.
13 See Rule 6.10, which defines a ‘‘Book Only’’
order as an order the System ranks and executes
pursuant to Rule 6.12, subjects to the Price Adjust
E:\FR\FM\11JNN1.SGM
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]]>Agencies
[Federal Register Volume 84, Number 112 (Tuesday, June 11, 2019)]
[Notices]
[Pages 27176-27178]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2019-12189]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-86036; File No. SR-ICC-2019-006]
Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of
Filing and Immediate Effectiveness of Proposed Rule Change Relating to
ICC's Risk Management Model Description
June 5, 2019.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(the ``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given
that on May 23, 2019, ICE Clear Credit LLC (``ICC'') filed with the
Securities and Exchange 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. Clearing Agency'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 Model Description. These revisions do not require
any changes to the ICC Clearing Rules (``Rules'').
II. Clearing Agency'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,
security-based swap submission, or advance notice and discussed any
comments it received on the proposed rule change, security-based swap
submission, or advance notice. 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) Clearing Agency's Statement of the Purpose of, and Statutory Basis
for, the Proposed Rule Change
(a) Purpose
ICC proposes to revise its Risk Management Model Description.
Specifically, ICC proposes minor, clarifying changes to address
comments received from an independent validation, as well as additional
clean-up changes. The independent validator comments revolve around
clarification updates that do not change ICC's current risk
methodology. ICC believes that 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 changes are described in detail as follows.
ICC proposes minor changes to the `Initial Margin Methodology'
section to maintain uniformity and provide additional clarity in the
Risk Management Model Description. ICC proposes to update a symbol
representing the portfolio level liquidity charge (``LC'') in an
equation in the `Portfolio Level LC' sub-section to match the symbol
used throughout the document to reference the portfolio level LC.
Moreover, the Risk Management Model Description numbers key equations
so they can be easily referenced. As such, ICC proposes to include a
number corresponding to the equation for the portfolio level LC and to
re-number the equations that follow accordingly. In the `Portfolio
Level Concentration Charge' sub-section, ICC proposes to correct a
typographical error when referencing the portfolio level concentration
charge (``CC''); to update a symbol representing the portfolio level CC
in an equation to match the symbol used throughout the document to
reference the portfolio level CC; and to include a number corresponding
to the equation for the portfolio level CC, re-numbering the equations
that follow accordingly. Additionally, ICC proposes to update a symbol
representing the portfolio level interest rate (``IR'') sensitivity
requirement in an equation in the `IR Sensitivity Risk Analysis' sub-
section to match the symbol used throughout the document to refer to
the portfolio level IR sensitivity requirement. ICC further proposes
updates to the `Portfolio Loss Boundary Condition' sub-section to
replace certain general references to sections with more specific
references to equations in those sections to provide for additional
clarity.
ICC proposes to make such changes effective shortly after filing
with the Commission, on or about May 31, 2019.
(b) Statutory Basis
Section 17A(b)(3)(F) of the Act \3\ 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; to assure the safeguarding of securities and funds which
are in the custody or control of the clearing agency or for which it is
responsible; 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),\4\ 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, and contribute to the safeguarding of securities and
funds associated with security-based swap transactions in ICC's custody
or control, or for which ICC is responsible. The proposed changes to
the Risk Management Model Description to address independent validator
comments provide additional clarity regarding ICC's risk methodology.
The clean-up changes that enhance readability further ensure that the
documentation of ICC's Risk Management Model Description remains up-to-
date, clear, and transparent. ICC believes that having policies and
procedures that clearly and accurately document ICC's risk methodology
and practices are an important component to the effectiveness of ICC's
risk management system, which promotes the prompt and accurate
clearance and settlement of securities transactions, derivatives
agreements, contracts, and transactions and contributes to the
safeguarding of securities and funds associated with security-based
swap transactions in ICC's custody or control, or for which ICC is
responsible. As such, the proposed rule change is designed to promote
the prompt and
[[Page 27177]]
accurate clearance and settlement of securities transactions,
derivatives agreements, contracts, and transactions and to contribute
to the safeguarding of securities and funds associated with security-
based swap transactions in ICC's custody or control, or for which ICC
is responsible within the meaning of Section 17A(b)(3)(F) of the
Act.\5\
---------------------------------------------------------------------------
\3\ 15 U.S.C. 78q-1(b)(3)(F).
\4\ Id.
\5\ Id.
---------------------------------------------------------------------------
In addition, the proposed rule change is consistent with the
relevant requirements of Rule 17Ad-22.\6\ Rule 17Ad-22(b)(2) \7\
requires ICC to establish, implement, maintain and enforce written
policies and procedures reasonably designed to use margin requirements
to limit its credit exposures to participants under normal market
conditions and use risk-based models and parameters to set margin
requirements and review such margin requirements and the related risk-
based models and parameters at least monthly. The proposed changes
provide additional clarity regarding ICC's risk methodology, including
the calculation of risk requirements, and maintain uniformity in the
document such that ICC's Risk Management Model Description remains up-
to-date, clear, and transparent, thereby improving and promoting ICC's
use of margin requirements to limit its credit exposures to
participants under normal market conditions, consistent with the
requirements of Rule 17Ad-22(b)(2).\8\
---------------------------------------------------------------------------
\6\ 17 CFR 240.17Ad-22.
\7\ 17 CFR 240.17Ad-22(b)(2).
\8\ Id.
---------------------------------------------------------------------------
Rule 17Ad-22(b)(3) \9\ requires ICC to establish, implement,
maintain and enforce written policies and procedures reasonably
designed to maintain sufficient financial resources to withstand, at a
minimum, a default by the two Clearing Participant (``CP'') families to
which it has the largest exposures in extreme but plausible market
conditions. The proposed changes to the Risk Management Model
Description provide further clarity and transparency regarding ICC's
risk methodology and enhance ICC's approach to identifying potential
weaknesses in the risk methodology, thereby ensuring that ICC maintains
sufficient financial resources to withstand, at a minimum, a default by
the two CP families to which it has the largest exposures in extreme
but plausible market conditions, consistent with the requirements of
Rule 17Ad-22(b)(3).\10\
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\9\ 17 CFR 240.17Ad-22(b)(3).
\10\ Id.
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Rule 17Ad-22(d)(8) \11\ requires ICC to establish, implement,
maintain and enforce written policies and procedures reasonably
designed to have governance arrangements that are clear and transparent
to fulfill the public interest requirements in Section 17A of the
Act.\12\ ICC's Risk Management Model Description clearly assigns and
documents responsibility and accountability for risk decisions and
requires consultation with or approval from the ICC Board, committees,
or management. Moreover, the proposed updates ensure that the document
remains up-to-date and clear, such that ICC's governance of the
document is clear, transparent, and carried out effectively. These
governance arrangements thus continue to be clear and transparent so
information relating to the assignment of responsibilities for risk
decisions and the requisite involvement of the ICC Board, committees,
and management is clearly documented, consistent with the requirements
of Rule 17Ad-22(d)(8).\13\
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\11\ 17 CFR 240.17Ad-22(d)(8).
\12\ 15 U.S.C. 78q-1.
\13\ 17 CFR 240.17Ad-22(d)(8).
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(B) Clearing Agency's Statement on Burden on Competition
ICC does not believe the proposed rule changes would have any
impact, or impose any burden, on competition. The proposed changes to
ICC's Risk Management Model Description will apply uniformly across all
market participants. Therefore, ICC does not believe the proposed rule
changes impose any burden on competition that is inappropriate in
furtherance of the purposes 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 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 Changee and Timing for
Commission Action
The foregoing rule change has become effective pursuant to Section
19(b)(3)(A) of the Act and paragraph (f) of Rule 19b-4 thereunder. 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.
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 [email protected]. Please include
File Number SR-ICC-2019-006 on the subject line.
Paper Comments
Send paper comments in triplicate to Secretary, Securities and
Exchange Commission, 100 F Street NE, Washington, DC 20549.
All submissions should refer to File Number SR-ICC-2019-006. 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 website (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 website 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 website at https://www.theice.com/clear-credit/regulation.
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-ICC-2019-006 and
[[Page 27178]]
should be submitted on or before July 2, 2019.
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\14\ 17 CFR 200.30-3(a)(12).
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\14\
Eduardo A. Aleman,
Deputy Secretary.
[FR Doc. 2019-12189 Filed 6-10-19; 8:45 am]
BILLING CODE 8011-01-P
