Self-Regulatory Organizations; ICE Clear Europe Limited; Notice of Filing of Proposed Rule Change, Security-Based Swap Submission or Advance Notice Relating to the ICE Clear Europe Investment Management Procedures and Treasury and Banking Services Policy (To Be Renamed Liquidity and Investment Management Policy), 31571-31575 [2020-11137]
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Federal Register / Vol. 85, No. 101 / Tuesday, May 26, 2020 / Notices
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–2020–006 on the subject line.
Paper Comments
• Send paper comments in triplicate
to Secretary, Securities and Exchange
Commission, 100 F Street NE,
Washington, DC 20549–1090.
All submissions should refer to File
Number SR–ICEEU–2020–006. 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, security-based swap submission
or advance notice that are filed with the
Commission, and all written
communications relating to the
proposed rule change, security-based
swap submission or advance notice
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 Europe and on ICE
Clear Europe’s website at https://
www.theice.com/clear-europe/
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–ICEEU–2020–006
and should be submitted on or before
June 16, 2020.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.25
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2020–11138 Filed 5–22–20; 8:45 am]
BILLING CODE 8011–01–P
25 17
CFR 200.30–3(a)(12).
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31571
SECURITIES AND EXCHANGE
COMMISSION
below, of the most significant aspects of
such statements.
[Release No. 34–88907; File No. SR–ICEEU–
2020–002]
(A) Clearing Agency’s Statement of the
Purpose of, and Statutory Basis for, the
Proposed Rule Change, Security-Based
Swap Submission or Advance Notice
Self-Regulatory Organizations; ICE
Clear Europe Limited; Notice of Filing
of Proposed Rule Change, SecurityBased Swap Submission or Advance
Notice Relating to the ICE Clear
Europe Investment Management
Procedures and Treasury and Banking
Services Policy (To Be Renamed
Liquidity and Investment Management
Policy)
May 19, 2020.
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 May 13,
2020, ICE Clear Europe Limited (‘‘ICE
Clear Europe’’ or the ‘‘Clearing House’’)
filed with the Securities and Exchange
Commission (‘‘Commission’’) the
proposed rule changes described in
Items I, II and III below, which Items
have been 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, Security-Based Swap
Submission, or Advance Notice
ICE Clear Europe proposes to amend
its Investment Management Procedures
(the ‘‘Procedures’’) and its Treasury and
Banking Services Policy, which would
be renamed the Liquidity and
Investment Management Policy (the
‘‘Policy’’, and collectively with the
Procedures, the ‘‘Documents’’). The
revisions would not involve any
changes to the ICE Clear Europe
Clearing Rules.3
II. Clearing Agency’s Statement of the
Purpose of, and Statutory Basis for, the
Proposed Rule Change, Security-Based
Swap Submission or Advance Notice
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)
1 15
U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 Capitalized terms used but not defined herein
have the meanings specified in the ICE Clear
Europe Clearing Rules (the ‘‘Rules’’).
2 17
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(a) Purpose
ICE Clear Europe is proposing to
adopt the amendments to the
Documents following an annual review
by Treasury to:
• Include investment limits and
criteria for the investment of ICE Clear
Europe’s contribution to default
resources (a.k.a. ‘‘skin in the game’’), in
addition to the investment of clearing
member contributions;
• Similarly include investment limits
and criteria for the investment of ICEU’s
regulatory capital;
• Remove the requirement for 50% of
the investable balance per currency to
be invested in overnight reverse
repurchase agreements (‘‘repos’’), as this
requirement was potentially
constraining the use of central bank
deposits where available;
• Include cross currency sovereign
bonds as acceptable assets (‘‘collateral’’)
under reverse repos; and
• Eliminate the separate section
regarding investments in ‘times of
insufficient market supply’ (as it was
unclear when this applied). Instead, the
revised Documents include a single set
of relevant permitted investments and
collateral in the acceptable lists for all
market circumstances (and the
allocation to different investment and
collateral within those lists can be
managed across different market
circumstances).
Certain other clarifications would also
be made to the Procedures, including to
the glossary, and conforming changes
would be made to the Policy. The Policy
would also be renamed the Liquidity
and Investment Management Policy to
reflect its coverage of investment
management more broadly.
Proposed Amendments to the
Procedures
The purpose section of the Procedures
would be updated to note that it
addresses permitted investments and
concentration limits relating to ICE
Clear Europe contributions to default
resources and regulatory capital in
addition to clearing member margin and
guaranty fund contributions (which are
covered by the existing Procedures).
With respect to overall investment
considerations, a number of
modifications would be made. The
requirement that at least 50% of the
investable portfolio in each currency
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should be invested in overnight reverse
repurchase agreements would be
removed. (This change would facilitate
use of central bank deposits where
available to ICE Clear Europe for the
relevant currency.) A requirement that
no more than 5% of the investible funds
can be held as unsecured cash each
calendar month would be added, which
requirement would be applied
separately to (i) ICE Clear Europe’s
regulatory capital; and (ii) total Clearing
Member cash and Clearing House skin
in the game. Central bank deposits
would be considered secured and thus
outside of the 5% threshold.
The table of authorized investments
and concentration limits for investments
of cash provided by Clearing Members
and ICE Clear Europe skin in the game
would be amended as follows:
—US, UK and EU government agency
bonds would be added to the list of
eligible instruments (as a distinct
category from sovereign obligations
(renamed sovereign bonds) of those
countries)
Æ Qualifying government agency
bonds would have a maximum maturity
of 13 calendar months and minimum
credit ratings of AA- from at least two
nationally recognized statistical rating
organizations (‘‘NRSROs’’).
Æ US and UK government agency
bonds would have no issuer
concentration limits and their maximum
portfolio limits would be 20% of the
total USD or GBP, as applicable, balance
in a single issue.
Æ EU government agency bonds
would have an issuer concentration
limit of 15% of the total EUR balance in
a single issuer.
—For qualifying US, UK and EU
sovereign bonds, minimum credit
ratings of would be deleted.
—The maximum concentration limit for
reverse repurchase agreements would
be amended to apply per counterparty
family instead of per counterparty.
—Commercial bank obligations would
be amended to refer to commercial
bank deposits and related maximum
counterparty concentration limits
would be amended to clarify that
unsecured cash limits for financial
service providers are set out
separately.4
A new table of authorized
investments and concentration limits for
investment of ICE Clear Europe’s
regulatory capital would be added.
Authorized instruments would be
limited to US, UK and EU sovereign
bonds and US, UK and EU government
4 Currently set out in the existing Unsecured
Credit Limit Procedures.
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agency bonds with a maximum maturity
of 90 days. The US and UK sovereign
and government agency bonds would
have no issuer concentration limit and
a portfolio concentration limit of 20%
(for sovereign bond) and 25% (for
government agency bonds) of the total
USD or GBP balance, as applicable, in
a single issue. The EU government
agency bonds would have a maximum
counterparty concentration limit of 25%
of the EUR balance in a single issuer. EU
sovereign bonds would need to be
issued by the German, French, Belgian
or Dutch governments. The minimum
credit ratings for government agency
bonds would be AA- from at least two
NRSROs.
The acceptable collateral table for
reverse repo transactions would be
revised to include certain additional
types of underlying collateral as well as
to permit greater use of cross-currency
collateral (e.g., a EUR denominated
reverse repo on US Sovereign Bonds),
subject to additional haircuts. The range
of accepted collateral would be
extended to include Supranational
obligations denominated in USD, EUR
and GBP and USD government agency
bonds, in addition to the existing
permitted US, UK and EU Sovereign
Bonds. The required credit rating for all
collateral would be AA-/Aa3, consistent
with current requirements. The
revisions would allow greater use of
cross-currency reverse repo involving
US, UK and EU sovereign bond
collateral, subject to a 4% haircut (as
compared to 2% for repo in the same
currency). The Procedures would also
provide that ICE Clear Europe’s
preferred form of collateral would be
sovereign bonds in same currency of as
reverse repo and the use of nonpreferred collateral would be reviewed
monthly by the Head of Treasury and
the Chief Risk Officer (or their
delegates).
The section regarding changes to the
investment criteria in times of
insufficient market supply would be
deleted. In ICE Clear Europe’s view,
under the existing procedures it is not
entirely clear when this section would
apply. Furthermore, the revised
investment limits discussed above are,
in ICE Clear Europe’s view, appropriate
for all market circumstances and
provide sufficient flexibility to permit
ICE Clear Europe to manage changes in
supply of particular types of
investments.
The amendments would provide that
investments would be monitored against
the concentration limits and investment
criteria daily by Treasury and Finance
and clarify that breaches of both
concentration limits and the investment
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criteria would be escalated to the Risk
Oversight and Compliance team. The
amendments also note that
concentration limit and investment
criteria breaches could also trigger
general regulatory notifications.
The glossary section of the Procedures
would be amended as follows:
• The terms Central Bank Obligations
and Commercial Bank Obligations
would be removed as no longer
necessary as the Procedures would refer
to, respectively, central bank deposits
and commercial bank deposits instead;
• The term EU Sovereign Obligations
would be amended to the more general
defined term, Government Agency
Bonds, which would be defined as
bonds issued by or that have their
principal and interest fully guaranteed
by their government;
• The term Permitted Investment
Counterparties for FCM Customer Funds
would be amended slightly for
clarification;
• The term UK Sovereign Obligations
and US Sovereign Obligations would be
removed and references to these terms
would be removed or amended to,
respectively, UK Sovereign Bonds and
US Sovereign Bonds; and
• The term Supranational Obligations
would be added and would be defined
as securities that: (i) Are issued by
institutions that are owned or
established by governments of two or
more countries that are all members of
the Organization for Economic Cooperation and Development (OECD) or
of the European Union (EU); and (ii) are
fully guaranteed as to principal and
interest by those governments.
Proposed Amendments to the Policy
As noted above, the Policy is being
renamed the Liquidity and Investment
Management Policy. The amendments
to the Policy conform to the
amendments to the Procedures,
including to provide that management
of ICE Clear Europe’s skin in the game
and regulatory capital are within the
scope of the Policy. Accordingly, the
description of ICE Clear Europe
investment management objective
would be broadened to refer to
safeguarding cash generally rather than
Clearing Member cash specifically. The
amendments also include nonsubstantive changes to refer to both
liquidity management and investment
in various places. In the purpose section
of the Policy, the statement that the
Policy constitutes ICE Clear Europe’s
liquidity risk management framework
for the purposes of EMIR would be
deleted. In the background section of
the Policy, the statement that Treasury
Banking Services operates within the
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risk appetites set by the board and in
compliance with applicable regulations
would be deleted as unnecessary (given
that the Board-adopted risk appetites
apply to all activities of the Clearing
House).
(b) Statutory Basis
ICE Clear Europe believes that the
proposed amendments are consistent
with the requirements of Section 17A of
the Act 5 and the regulations thereunder
applicable to it. In particular, Section
17A(b)(3)(F) of the Act 6 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,
the safeguarding of securities and funds
in the custody or control of the clearing
agency or for which it is responsible,
and the protection of investors and the
public interest. The proposed
Documents are intended generally to
enhance the Clearing House’s criteria for
investments. The changes would bring
the investment of the Clearing House’s
own skin in the game and regulatory
capital within the same investment
framework as investment of Clearing
Member contributions, which will
facilitate overall risk management of
investment by the Clearing House. The
amendments would also update
investment criteria to remove certain
constraints on the use of central bank
deposits (specifically, the requirement
for 50% of the investable balance per
currency to be invested in overnight
repo), and permit greater use of cross
currency repo. The amendments also
remove a unnecessary distinction
between normal market conditions and
conditions of insufficient supply. In ICE
Clear Europe’s view the revised
documentation would facilitate ongoing
investment risk management by the
Clearing House, and facilitate the
Clearing House’s ability to meet its
short-term financial obligations in the
event of clearing member defaults or
other liquidity stress events. These
amendments would therefore promote
overall Clearing House risk management
and facilitate the prompt and accurate
clearing of cleared contracts and protect
investors and the public interest in the
sound operations of the Clearing House,
consistent with the requirements of
Section 17A(b)(3)(F).7 In ICE Clear
Europe’s view, the amendments are also
consistent with maintaining the value
of, and access to, funds invested by the
5 15
U.S.C. 78q–1.
U.S.C. 78q–1(b)(3)(F).
7 15 U.S.C. 78q–1(b)(3)(F).
6 15
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Clearing House, and therefore will
enhance the safeguarding of securities
and funds in the custody or control of
the Clearing House or for which it is
responsible, within the meaning of
Section 17A(b)(3)(F).
The proposed amendments to the
Documents are further consistent with
the risk management requirements of
Rule 17Ad–22(e)(3)(i) 8 through
enhancing ICE Clear Europe’s
investment management policies. As
noted above, the amendments would
extend these policies to cover
investment limits and criteria relating to
ICE Clear Europe’s skin in the game and
regulatory capital. Allowing for greater
investment flexibility through the
removal of the requirement for 50% of
the investable balance per currency be
invested in overnight reverse repo
would also remove a constraint to
appropriate risk management that limit
ICE Clear Europe’s ability to use central
bank deposits.
The proposed amendments to the
Documents are also consistent with the
requirements of Rule 17Ad–22(e)(7)(i)
and (ii) and Rule 17Ad–22(a)(14) 9
8 17 CFR 240.17Ad–22(e)(3)(i)–(ii). The rule states
that ‘‘[e]ach covered clearing agency shall establish,
implement, maintain and enforce written policies
and procedures reasonably designed to, as
applicable: [m]aintain a sound risk management
framework for comprehensively managing legal,
credit, liquidity, operational, general business,
investment, custody, and other risks that arise in or
are borne by the covered clearing agency, which:
(i) Includes risk management policies,
procedures, and systems designed to identify,
measure, monitor, and manage the range of risks
that arise in or are borne by the covered clearing
agency, that are subject to review on a specified
periodic basis and approved by the board of
directors annually;’’
9 17 CFR 240.17Ad–22(e)(7)(i)—(ii). The rule
states that ‘‘[e]ach covered clearing agency shall
establish, implement, maintain and enforce written
policies and procedures reasonably designed to, as
applicable: [e]ffectively measure, monitor, and
manage the liquidity risk that arises in or is borne
by the covered clearing agency, including
measuring, monitoring, and managing its settlement
and funding flows on an ongoing and timely basis,
and its use of intraday liquidity by, at a minimum,
doing the following:
(i) Maintaining sufficient liquid resources at the
minimum in all relevant currencies to effect sameday and, where appropriate, intraday and multiday
settlement of payment obligations with a high
degree of confidence under a wide range of
foreseeable stress scenarios that includes, but is not
limited to, the default of the participant family that
would generate the largest aggregate payment
obligation for the covered clearing agency in
extreme but plausible market conditions;
(ii) Holding qualifying liquid resources sufficient
to meet the minimum liquidity resource
requirement under paragraph (e)(7)(i) of this section
in each relevant currency for which the covered
clearing agency has payment obligations owed to
clearing members;
17 CFR 240.17Ad-22(a)(14) Qualifying liquid
resources means, for any covered clearing agency,
the following, in each relevant currency:
(i) Cash held either at the central bank of issue
or at creditworthy commercial banks;
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31573
which require ICE Clear Europe to
maintain sufficient qualifying liquid
resources. In compliance with this
requirement, the proposed amendments
would detail investment limits and
criteria to better manage liquidity of ICE
Clear Europe’s skin in the game and
regulatory capital. The amendments
would also allow greater flexibility to
maintain liquid resources in the form of
central bank deposits by removing
requirements relating to maintaining
certain minimum balances in overnight
reverse repos.
The amendments to the Documents
would be similarly compliant with Rule
17Ad–22(e)(16),10 which would require
assets of the Clearing House and
Clearing Members be held in a manner
that minimizes risk of loss and invested
in assets with minimal credit, market
and liquidity risk. As noted above, the
amendments would apply to both the
Clearing House’s own assets and
Clearing Member assets. The
amendments to the acceptable collateral
table would set out appropriate
investment, concentration, maturity,
rating and other criteria for investments
and reverse repo collateral that are
intended to minimize credit, market and
liquidity risks from these investments.
Rules 17Ad–22(e)(7)(iii) and (e)(9) 11
require clearing agencies, where
(ii) Assets that are readily available and
convertible into cash through prearranged funding
arrangements, such as:
(A) Committed arrangements without material
adverse change provisions, including:
(1) Lines of credit;
(2) Foreign exchange swaps; and
(3) Repurchase agreements; or
(B) Other prearranged funding arrangements
determined to be highly reliable even in extreme
but plausible market conditions by the board of
directors of the covered clearing agency following
a review conducted for this purpose not less than
annually; and
(iii) Other assets that are readily available and
eligible for pledging to (or conducting other
appropriate forms of transactions with) a relevant
central bank, if the covered clearing agency has
access to routine credit at such central bank in a
jurisdiction that permits said pledges or other
transactions by the covered clearing agency.
10 17 CFR 240.17Ad–22(e)(16). The rule states that
‘‘[e]ach covered clearing agency shall establish,
implement, maintain and enforce written policies
and procedures reasonably designed to, as
applicable: [s]afeguard the covered clearing
agency’s own and its participants’ assets, minimize
the risk of loss and delay in access to these assets,
and invest such assets in instruments with minimal
credit, market, and liquidity risks.’’
11 17 CFR 240.17Ad–22(e)(7)(iii). The rule states
that ‘‘[e]ach covered clearing agency shall establish,
implement, maintain and enforce written policies
and procedures reasonably designed to, as
applicable: [e]ffectively measure, monitor, and
manage the liquidity risk that arises in or is borne
by the covered clearing agency, including
measuring, monitoring, and managing its settlement
and funding flows on an ongoing and timely basis,
and its use of intraday liquidity by, at a minimum,
doing the following:
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possible, to access accounts and services
at a central bank. The proposed removal
of the requirement that 50% of the
investable balance per currency be
invested in overnight reverse repo
would provide greater flexibility for the
Clearing House to use central bank
deposits, consistent with these
requirements.
The amendments to the Documents
would also be compliant with Rule
17Ad–22(e)(15)(ii).12 The proposed new
table of authorized investments and
concentration limits for investment of
ICE Clear Europe’s regulatory capital
relates to highly liquid government
securities that constitute liquid net
assets for purposes of this rule, and is
consistent with existing practice. The
concentration limits provided, which
are consistent with those set with
respect to cash from Clearing Members
and skin in the game, would further
enable ICE Clear Europe to continue to
hold sufficient liquid net assets to meet
this requirement.
(iii) Using the access to accounts and services at
a Federal Reserve Bank, pursuant to Section 806(a)
of the Payment, Clearing, and Settlement
Supervision Act of 2010 (12 U.S.C. 5465(a)), or
other relevant central bank, when available and
where determined to be practical by the board of
directors of the covered clearing agency, to enhance
its management of liquidity risk;’’ maintain and
enforce written policies and procedures reasonably
designed to, as applicable: [c]onduct its money
settlements in central bank money, where available
and determined to be practical by the board of
directors of the covered clearing agency, and
minimize and manage credit and liquidity risk
arising from conducting its money settlements in
commercial bank money if central bank money is
not used by the covered clearing agency.’’
12 17 CFR 240.17Ad–22(e)(15)(ii). The rule states
that ‘‘[e]ach covered clearing agency shall establish,
implement, maintain and enforce written policies
and procedures reasonably designed to, as
applicable: (15) Identify, monitor, and manage the
covered clearing agency’s general business risk and
hold sufficient liquid net assets funded by equity
to cover potential general business losses so that the
covered clearing agency can continue operations
and services as a going concern if those losses
materialize, including by: (ii) Holding liquid net
assets funded by equity equal to the greater of either
(x) six months of the covered clearing agency’s
current operating expenses, or (y) the amount
determined by the board of directors to be sufficient
to ensure a recovery or orderly wind-down of
critical operations and services of the covered
clearing agency, as contemplated by the plans
established under paragraph (e)(3)(ii) of this
section, and which:
(A) Shall be in addition to resources held to cover
participant defaults or other risks covered under the
credit risk standard in paragraph (b)(3) or
paragraphs (e)(4)(i) through (iii) of this section, as
applicable, and the liquidity risk standard in
paragraphs (e)(7)(i) and (ii) of this section; and
(B) Shall be of high quality and sufficiently liquid
to allow the covered clearing agency to meet its
current and projected operating expenses under a
range of scenarios, including in adverse market
conditions;’’
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19:08 May 22, 2020
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(B) Clearing Agency’s Statement on
Burden on Competition
ICE Clear Europe does not believe the
proposed amendments would have any
impact, or impose any burden, on
competition not necessary or
appropriate in furtherance of the
purposes of the Act. The amendments
would apply uniformly to all
investments made by the Clearing
House, are being adopted to strengthen
and clarify the Clearing House’s
investment management policies and
procedures and should not affect the
rights or obligations of Clearing
Members. The amendments are also
intended to treat investment of ICE
Clear Europe’s own assets (as skin in the
game or regulatory capital) in the same
manner as Clearing Member assets. As
a result, ICE Clear Europe does not
believe the amendments would affect
the cost of clearing for Clearing
Members or other market participants,
the market for cleared services generally
or access to clearing by Clearing
Members or other market participants,
or otherwise affect competition among
Clearing Members or market
participants in a manner not necessary
or appropriate 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 amendments have not been
solicited or received by ICE Clear
Europe. ICE Clear Europe will notify the
Commission of any written comments
received with respect to the proposed
rule change.
III. Date of Effectiveness of the
Proposed Rule Change, Security-Based
Swap Submission and Advance Notice
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
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change, security-based swap submission
or advance notice 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–2020–002 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–2020–002. 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, security-based swap submission
or advance notice that are filed with the
Commission, and all written
communications relating to the
proposed rule change, security-based
swap submission or advance notice
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 Europe and on ICE
Clear Europe’s website at https://
www.theice.com/clear-europe/
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–ICEEU–2020–002
and should be submitted on or before
June 16, 2020.
E:\FR\FM\26MYN1.SGM
26MYN1
Federal Register / Vol. 85, No. 101 / Tuesday, May 26, 2020 / Notices
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.13
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2020–11137 Filed 5–22–20; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Investment Company Act Release No.
33868; File No. 812–15076]
Sutter Rock Capital Corp.
May 19, 2020.
Securities and Exchange
Commission (‘‘Commission’’).
ACTION: Notice.
AGENCY:
Notice of an application for an order
under section 6(c) of the Investment
Company Act of 1940 (the ‘‘Act’’) for an
exemption from sections 23(a), 23(b)
and 63 of the Act; under sections
57(a)(4) and 57(i) of the Act and rule
17d–1 under the Act permitting certain
joint transactions otherwise prohibited
by section 57(a)(4) of the Act; and under
section 23(c)(3) of the Act for an
exemption from section 23(c) of the Act.
Summary of the Application: Sutter
Rock Capital Corp. (‘‘Applicant’’ or
‘‘Company’’) requests an order that
would permit Applicant to (i) issue
restricted shares of its common stock
(‘‘Restricted Shares’’) as part of the
compensation package for certain of its
employees, officers and all directors,
including non-employee directors (the
‘‘Non-Employee Directors’’,1) through
its Amended and Restated 2019 Equity
Incentive Plan (the ‘‘Amended Equity
Incentive Plan’’ or the ‘‘Amended
Plan’’), (ii) withhold shares of the
Applicant’s common stock or purchase
shares of Applicant’s common stock
from Participants to satisfy tax
withholding obligations relating to the
vesting of Restricted Shares or the
exercise of options to purchase shares of
Applicant’s common stock (‘‘Options’’)
that were granted pursuant to the Initial
Equity Incentive Plan (defined below) or
will be granted pursuant to the
Amended Equity Incentive Plan,2 and
(iii) permit Participants to pay the
exercise price of Options that were
granted pursuant to the Initial Equity
Incentive Plan or will be granted to
them pursuant to the Amended Equity
13 17
CFR 200.30–3(a)(12).
officers, and all directors, including
Non-Employee Directors, are collectively the
‘‘Participants.’’
2 Options will not be granted to Non-Employee
Directors, and therefore, no relief is sought in the
application for the grant of Options.
1 Employees,
VerDate Sep<11>2014
19:08 May 22, 2020
Jkt 250001
Incentive Plan with shares of
Applicant’s common stock.
Applicant: Sutter Rock Capital Corp.
Filing Dates: The application was
filed on October 25, 2019, and amended
on February 27, 2020, May 1, 2020, and
May 18, 2020.
Hearing or Notification of Hearing: An
order granting the requested relief will
be issued unless the Commission orders
a hearing. Interested persons may
request a hearing by emailing the
Commission’s Secretary at SecretarysOffice@sec.gov and serving applicant
with a copy of the request, personally or
by mail. Hearing requests should be
received by the Commission by 5:30
p.m. on June 15, 2020, and should be
accompanied by proof of service on
applicant, in the form of an affidavit or,
for lawyers, a certificate of service.
Pursuant to rule 0–5 under the Act,
hearing requests should state the nature
of the writer’s interest, any facts bearing
upon the desirability of a hearing on the
matter, the reason for the request, and
the issues contested. Persons who wish
to be notified of a hearing may request
notification by emailing the
Commission’s Secretary at SecretarysOffice@sec.gov.
ADDRESSES: The Commission:
Secretarys-Office@sec.gov. Applicant:
One Sansome Street, Suite 730, San
Francisco, CA 94104.
FOR FURTHER INFORMATION CONTACT: Jill
Ehrlich, Senior Counsel, at (202) 551–
6819, or Daniele Marchesani, Assistant
Chief Counsel, at (202) 551–6821
(Division of Investment Management,
Chief Counsel’s Office).
SUPPLEMENTARY INFORMATION: The
following is a summary of the
application. The complete application
may be obtained via the Commission’s
website by searching for the file
number, or for the applicant using the
Company name box, at https://
www.sec.gov/search/search.htm or by
calling (202) 551–8090.
Applicant’s Representations
1. The Company is an internally
managed closed-end investment
company that has elected to be
regulated as a business development
company (‘‘BDC’’) under the Act. The
Company’s investment objective is to
maximize its portfolio’s total return,
principally by seeking capital gains on
its equity and equity-related
investments. It invests primarily in the
equity securities of what it believes to
be rapidly growing venture-capitalbacked emerging companies, and may
on an opportunistic basis also invest in
the debt securities of such companies.
Applicant was organized under
PO 00000
Frm 00145
Fmt 4703
Sfmt 4703
31575
Maryland General Corporation Law in
March 2011. Applicant’s common stock
is listed on the Nasdaq Capital Market
under the symbol ‘‘SSSS.’’ The
Company has 16,577,587 shares of
common stock outstanding as of April
15, 2020. As of April 15, 2020, the
Company had 6 employees.
2. Applicant currently has a fivemember board of directors (the ‘‘Board’’)
of whom four are not ‘‘interested
persons’’ of Applicant within the
meaning of section 2(a)(19) (‘‘NonInterested Directors’’).
3. Applicant believes that, because the
market for superior investment
professionals is highly competitive,
Applicant’s successful performance
depends on its ability to offer fair
compensation packages to its
professionals that are competitive with
those offered by other investment
management businesses. Applicant
states that the ability to offer equitybased compensation to its employees,
officers, and directors, which both
aligns employee, officer, and Board
behavior with stockholder interests and
provides a retention tool, is vital to
Applicant’s future growth and success.
4. The Applicant’s initial equity
incentive plan, which became effective
in 2019, is limited only to the types of
equity-based compensation that BDCs
are permitted to grant under the Act
without the receipt of exemptive relief
(the ‘‘Initial Equity Incentive Plan’’). On
July 31, 2019, the Board, including a
majority of the Non-Interested Directors,
approved the Amended Equity Incentive
Plan. The Amended Equity Incentive
Plan will be submitted for approval to
the Company’s stockholders, and will
become effective upon such approval,
subject to and following receipt of the
order. The Amended Equity Incentive
Plan is intended to expand the
Company’s ability to issue equity-based
compensation to employees, officers,
and directors, including Non-Employee
Directors, and provides for grants of
incentive stock options (as defined in
Section 422 of the Internal Revenue
Code of 1986), nonqualified stock
options, and Restricted Shares.3 Each
issuance of Plan Awards under the
Amended Equity Incentive Plan will be
approved by the required majority, as
defined in Section 57(o) of the Act,4 of
3 Incentive stock options, nonqualified stock
options, and Restricted Shares granted under the
Amended Plan are collectively referred to as ‘‘Plan
Awards.’’
4 Section 57(o) of the Act provides that the term
‘‘required majority,’’ when used with respect to the
approval of a proposed transaction, plan, or
arrangement, means both a majority of a BDC’s
directors or general partners who have no financial
E:\FR\FM\26MYN1.SGM
Continued
26MYN1
]]>Agencies
[Federal Register Volume 85, Number 101 (Tuesday, May 26, 2020)]
[Notices]
[Pages 31571-31575]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2020-11137]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-88907; File No. SR-ICEEU-2020-002]
Self-Regulatory Organizations; ICE Clear Europe Limited; Notice
of Filing of Proposed Rule Change, Security-Based Swap Submission or
Advance Notice Relating to the ICE Clear Europe Investment Management
Procedures and Treasury and Banking Services Policy (To Be Renamed
Liquidity and Investment Management Policy)
May 19, 2020.
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 May 13, 2020, ICE Clear Europe Limited (``ICE Clear Europe'' or the
``Clearing House'') filed with the Securities and Exchange Commission
(``Commission'') the proposed rule changes described in Items I, II and
III below, which Items have been 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, Security-Based Swap Submission, or Advance Notice
ICE Clear Europe proposes to amend its Investment Management
Procedures (the ``Procedures'') and its Treasury and Banking Services
Policy, which would be renamed the Liquidity and Investment Management
Policy (the ``Policy'', and collectively with the Procedures, the
``Documents''). The revisions would not involve any changes to the ICE
Clear Europe Clearing Rules.\3\
---------------------------------------------------------------------------
\3\ Capitalized terms used but not defined herein have the
meanings specified in the ICE Clear Europe Clearing Rules (the
``Rules'').
---------------------------------------------------------------------------
II. Clearing Agency's Statement of the Purpose of, and Statutory Basis
for, the Proposed Rule Change, Security-Based Swap Submission or
Advance Notice
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, Security-Based Swap Submission or
Advance Notice
(a) Purpose
ICE Clear Europe is proposing to adopt the amendments to the
Documents following an annual review by Treasury to:
Include investment limits and criteria for the investment
of ICE Clear Europe's contribution to default resources (a.k.a. ``skin
in the game''), in addition to the investment of clearing member
contributions;
Similarly include investment limits and criteria for the
investment of ICEU's regulatory capital;
Remove the requirement for 50% of the investable balance
per currency to be invested in overnight reverse repurchase agreements
(``repos''), as this requirement was potentially constraining the use
of central bank deposits where available;
Include cross currency sovereign bonds as acceptable
assets (``collateral'') under reverse repos; and
Eliminate the separate section regarding investments in
`times of insufficient market supply' (as it was unclear when this
applied). Instead, the revised Documents include a single set of
relevant permitted investments and collateral in the acceptable lists
for all market circumstances (and the allocation to different
investment and collateral within those lists can be managed across
different market circumstances).
Certain other clarifications would also be made to the Procedures,
including to the glossary, and conforming changes would be made to the
Policy. The Policy would also be renamed the Liquidity and Investment
Management Policy to reflect its coverage of investment management more
broadly.
Proposed Amendments to the Procedures
The purpose section of the Procedures would be updated to note that
it addresses permitted investments and concentration limits relating to
ICE Clear Europe contributions to default resources and regulatory
capital in addition to clearing member margin and guaranty fund
contributions (which are covered by the existing Procedures).
With respect to overall investment considerations, a number of
modifications would be made. The requirement that at least 50% of the
investable portfolio in each currency
[[Page 31572]]
should be invested in overnight reverse repurchase agreements would be
removed. (This change would facilitate use of central bank deposits
where available to ICE Clear Europe for the relevant currency.) A
requirement that no more than 5% of the investible funds can be held as
unsecured cash each calendar month would be added, which requirement
would be applied separately to (i) ICE Clear Europe's regulatory
capital; and (ii) total Clearing Member cash and Clearing House skin in
the game. Central bank deposits would be considered secured and thus
outside of the 5% threshold.
The table of authorized investments and concentration limits for
investments of cash provided by Clearing Members and ICE Clear Europe
skin in the game would be amended as follows:
--US, UK and EU government agency bonds would be added to the list of
eligible instruments (as a distinct category from sovereign obligations
(renamed sovereign bonds) of those countries)
[cir] Qualifying government agency bonds would have a maximum
maturity of 13 calendar months and minimum credit ratings of AA- from
at least two nationally recognized statistical rating organizations
(``NRSROs'').
[cir] US and UK government agency bonds would have no issuer
concentration limits and their maximum portfolio limits would be 20% of
the total USD or GBP, as applicable, balance in a single issue.
[cir] EU government agency bonds would have an issuer concentration
limit of 15% of the total EUR balance in a single issuer.
--For qualifying US, UK and EU sovereign bonds, minimum credit ratings
of would be deleted.
--The maximum concentration limit for reverse repurchase agreements
would be amended to apply per counterparty family instead of per
counterparty.
--Commercial bank obligations would be amended to refer to commercial
bank deposits and related maximum counterparty concentration limits
would be amended to clarify that unsecured cash limits for financial
service providers are set out separately.\4\
---------------------------------------------------------------------------
\4\ Currently set out in the existing Unsecured Credit Limit
Procedures.
A new table of authorized investments and concentration limits for
investment of ICE Clear Europe's regulatory capital would be added.
Authorized instruments would be limited to US, UK and EU sovereign
bonds and US, UK and EU government agency bonds with a maximum maturity
of 90 days. The US and UK sovereign and government agency bonds would
have no issuer concentration limit and a portfolio concentration limit
of 20% (for sovereign bond) and 25% (for government agency bonds) of
the total USD or GBP balance, as applicable, in a single issue. The EU
government agency bonds would have a maximum counterparty concentration
limit of 25% of the EUR balance in a single issuer. EU sovereign bonds
would need to be issued by the German, French, Belgian or Dutch
governments. The minimum credit ratings for government agency bonds
would be AA- from at least two NRSROs.
The acceptable collateral table for reverse repo transactions would
be revised to include certain additional types of underlying collateral
as well as to permit greater use of cross-currency collateral (e.g., a
EUR denominated reverse repo on US Sovereign Bonds), subject to
additional haircuts. The range of accepted collateral would be extended
to include Supranational obligations denominated in USD, EUR and GBP
and USD government agency bonds, in addition to the existing permitted
US, UK and EU Sovereign Bonds. The required credit rating for all
collateral would be AA-/Aa3, consistent with current requirements. The
revisions would allow greater use of cross-currency reverse repo
involving US, UK and EU sovereign bond collateral, subject to a 4%
haircut (as compared to 2% for repo in the same currency). The
Procedures would also provide that ICE Clear Europe's preferred form of
collateral would be sovereign bonds in same currency of as reverse repo
and the use of non-preferred collateral would be reviewed monthly by
the Head of Treasury and the Chief Risk Officer (or their delegates).
The section regarding changes to the investment criteria in times
of insufficient market supply would be deleted. In ICE Clear Europe's
view, under the existing procedures it is not entirely clear when this
section would apply. Furthermore, the revised investment limits
discussed above are, in ICE Clear Europe's view, appropriate for all
market circumstances and provide sufficient flexibility to permit ICE
Clear Europe to manage changes in supply of particular types of
investments.
The amendments would provide that investments would be monitored
against the concentration limits and investment criteria daily by
Treasury and Finance and clarify that breaches of both concentration
limits and the investment criteria would be escalated to the Risk
Oversight and Compliance team. The amendments also note that
concentration limit and investment criteria breaches could also trigger
general regulatory notifications.
The glossary section of the Procedures would be amended as follows:
The terms Central Bank Obligations and Commercial Bank
Obligations would be removed as no longer necessary as the Procedures
would refer to, respectively, central bank deposits and commercial bank
deposits instead;
The term EU Sovereign Obligations would be amended to the
more general defined term, Government Agency Bonds, which would be
defined as bonds issued by or that have their principal and interest
fully guaranteed by their government;
The term Permitted Investment Counterparties for FCM
Customer Funds would be amended slightly for clarification;
The term UK Sovereign Obligations and US Sovereign
Obligations would be removed and references to these terms would be
removed or amended to, respectively, UK Sovereign Bonds and US
Sovereign Bonds; and
The term Supranational Obligations would be added and
would be defined as securities that: (i) Are issued by institutions
that are owned or established by governments of two or more countries
that are all members of the Organization for Economic Co-operation and
Development (OECD) or of the European Union (EU); and (ii) are fully
guaranteed as to principal and interest by those governments.
Proposed Amendments to the Policy
As noted above, the Policy is being renamed the Liquidity and
Investment Management Policy. The amendments to the Policy conform to
the amendments to the Procedures, including to provide that management
of ICE Clear Europe's skin in the game and regulatory capital are
within the scope of the Policy. Accordingly, the description of ICE
Clear Europe investment management objective would be broadened to
refer to safeguarding cash generally rather than Clearing Member cash
specifically. The amendments also include non-substantive changes to
refer to both liquidity management and investment in various places. In
the purpose section of the Policy, the statement that the Policy
constitutes ICE Clear Europe's liquidity risk management framework for
the purposes of EMIR would be deleted. In the background section of the
Policy, the statement that Treasury Banking Services operates within
the
[[Page 31573]]
risk appetites set by the board and in compliance with applicable
regulations would be deleted as unnecessary (given that the Board-
adopted risk appetites apply to all activities of the Clearing House).
(b) Statutory Basis
ICE Clear Europe believes that the proposed amendments are
consistent with the requirements of Section 17A of the Act \5\ and the
regulations thereunder applicable to it. In particular, Section
17A(b)(3)(F) of the Act \6\ 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, the safeguarding of securities and funds in the custody
or control of the clearing agency or for which it is responsible, and
the protection of investors and the public interest. The proposed
Documents are intended generally to enhance the Clearing House's
criteria for investments. The changes would bring the investment of the
Clearing House's own skin in the game and regulatory capital within the
same investment framework as investment of Clearing Member
contributions, which will facilitate overall risk management of
investment by the Clearing House. The amendments would also update
investment criteria to remove certain constraints on the use of central
bank deposits (specifically, the requirement for 50% of the investable
balance per currency to be invested in overnight repo), and permit
greater use of cross currency repo. The amendments also remove a
unnecessary distinction between normal market conditions and conditions
of insufficient supply. In ICE Clear Europe's view the revised
documentation would facilitate ongoing investment risk management by
the Clearing House, and facilitate the Clearing House's ability to meet
its short-term financial obligations in the event of clearing member
defaults or other liquidity stress events. These amendments would
therefore promote overall Clearing House risk management and facilitate
the prompt and accurate clearing of cleared contracts and protect
investors and the public interest in the sound operations of the
Clearing House, consistent with the requirements of Section
17A(b)(3)(F).\7\ In ICE Clear Europe's view, the amendments are also
consistent with maintaining the value of, and access to, funds invested
by the Clearing House, and therefore will enhance the safeguarding of
securities and funds in the custody or control of the Clearing House or
for which it is responsible, within the meaning of Section
17A(b)(3)(F).
---------------------------------------------------------------------------
\5\ 15 U.S.C. 78q-1.
\6\ 15 U.S.C. 78q-1(b)(3)(F).
\7\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------
The proposed amendments to the Documents are further consistent
with the risk management requirements of Rule 17Ad-22(e)(3)(i) \8\
through enhancing ICE Clear Europe's investment management policies. As
noted above, the amendments would extend these policies to cover
investment limits and criteria relating to ICE Clear Europe's skin in
the game and regulatory capital. Allowing for greater investment
flexibility through the removal of the requirement for 50% of the
investable balance per currency be invested in overnight reverse repo
would also remove a constraint to appropriate risk management that
limit ICE Clear Europe's ability to use central bank deposits.
---------------------------------------------------------------------------
\8\ 17 CFR 240.17Ad-22(e)(3)(i)-(ii). The rule states that
``[e]ach covered clearing agency shall establish, implement,
maintain and enforce written policies and procedures reasonably
designed to, as applicable: [m]aintain a sound risk management
framework for comprehensively managing legal, credit, liquidity,
operational, general business, investment, custody, and other risks
that arise in or are borne by the covered clearing agency, which:
(i) Includes risk management policies, procedures, and systems
designed to identify, measure, monitor, and manage the range of
risks that arise in or are borne by the covered clearing agency,
that are subject to review on a specified periodic basis and
approved by the board of directors annually;''
---------------------------------------------------------------------------
The proposed amendments to the Documents are also consistent with
the requirements of Rule 17Ad-22(e)(7)(i) and (ii) and Rule 17Ad-
22(a)(14) \9\ which require ICE Clear Europe to maintain sufficient
qualifying liquid resources. In compliance with this requirement, the
proposed amendments would detail investment limits and criteria to
better manage liquidity of ICE Clear Europe's skin in the game and
regulatory capital. The amendments would also allow greater flexibility
to maintain liquid resources in the form of central bank deposits by
removing requirements relating to maintaining certain minimum balances
in overnight reverse repos.
---------------------------------------------------------------------------
\9\ 17 CFR 240.17Ad-22(e)(7)(i)--(ii). The rule states that
``[e]ach covered clearing agency shall establish, implement,
maintain and enforce written policies and procedures reasonably
designed to, as applicable: [e]ffectively measure, monitor, and
manage the liquidity risk that arises in or is borne by the covered
clearing agency, including measuring, monitoring, and managing its
settlement and funding flows on an ongoing and timely basis, and its
use of intraday liquidity by, at a minimum, doing the following:
(i) Maintaining sufficient liquid resources at the minimum in
all relevant currencies to effect same-day and, where appropriate,
intraday and multiday settlement of payment obligations with a high
degree of confidence under a wide range of foreseeable stress
scenarios that includes, but is not limited to, the default of the
participant family that would generate the largest aggregate payment
obligation for the covered clearing agency in extreme but plausible
market conditions;
(ii) Holding qualifying liquid resources sufficient to meet the
minimum liquidity resource requirement under paragraph (e)(7)(i) of
this section in each relevant currency for which the covered
clearing agency has payment obligations owed to clearing members;
17 CFR 240.17Ad-22(a)(14) Qualifying liquid resources means, for
any covered clearing agency, the following, in each relevant
currency:
(i) Cash held either at the central bank of issue or at
creditworthy commercial banks;
(ii) Assets that are readily available and convertible into
cash through prearranged funding arrangements, such as:
(A) Committed arrangements without material adverse change
provisions, including:
(1) Lines of credit;
(2) Foreign exchange swaps; and
(3) Repurchase agreements; or
(B) Other prearranged funding arrangements determined to be
highly reliable even in extreme but plausible market conditions by
the board of directors of the covered clearing agency following a
review conducted for this purpose not less than annually; and
(iii) Other assets that are readily available and eligible for
pledging to (or conducting other appropriate forms of transactions
with) a relevant central bank, if the covered clearing agency has
access to routine credit at such central bank in a jurisdiction that
permits said pledges or other transactions by the covered clearing
agency.
---------------------------------------------------------------------------
The amendments to the Documents would be similarly compliant with
Rule 17Ad-22(e)(16),\10\ which would require assets of the Clearing
House and Clearing Members be held in a manner that minimizes risk of
loss and invested in assets with minimal credit, market and liquidity
risk. As noted above, the amendments would apply to both the Clearing
House's own assets and Clearing Member assets. The amendments to the
acceptable collateral table would set out appropriate investment,
concentration, maturity, rating and other criteria for investments and
reverse repo collateral that are intended to minimize credit, market
and liquidity risks from these investments.
---------------------------------------------------------------------------
\10\ 17 CFR 240.17Ad-22(e)(16). The rule states that ``[e]ach
covered clearing agency shall establish, implement, maintain and
enforce written policies and procedures reasonably designed to, as
applicable: [s]afeguard the covered clearing agency's own and its
participants' assets, minimize the risk of loss and delay in access
to these assets, and invest such assets in instruments with minimal
credit, market, and liquidity risks.''
---------------------------------------------------------------------------
Rules 17Ad-22(e)(7)(iii) and (e)(9) \11\ require clearing agencies,
where
[[Page 31574]]
possible, to access accounts and services at a central bank. The
proposed removal of the requirement that 50% of the investable balance
per currency be invested in overnight reverse repo would provide
greater flexibility for the Clearing House to use central bank
deposits, consistent with these requirements.
---------------------------------------------------------------------------
\11\ 17 CFR 240.17Ad-22(e)(7)(iii). The rule states that
``[e]ach covered clearing agency shall establish, implement,
maintain and enforce written policies and procedures reasonably
designed to, as applicable: [e]ffectively measure, monitor, and
manage the liquidity risk that arises in or is borne by the covered
clearing agency, including measuring, monitoring, and managing its
settlement and funding flows on an ongoing and timely basis, and its
use of intraday liquidity by, at a minimum, doing the following:
(iii) Using the access to accounts and services at a Federal
Reserve Bank, pursuant to Section 806(a) of the Payment, Clearing,
and Settlement Supervision Act of 2010 (12 U.S.C. 5465(a)), or other
relevant central bank, when available and where determined to be
practical by the board of directors of the covered clearing agency,
to enhance its management of liquidity risk;'' maintain and enforce
written policies and procedures reasonably designed to, as
applicable: [c]onduct its money settlements in central bank money,
where available and determined to be practical by the board of
directors of the covered clearing agency, and minimize and manage
credit and liquidity risk arising from conducting its money
settlements in commercial bank money if central bank money is not
used by the covered clearing agency.''
---------------------------------------------------------------------------
The amendments to the Documents would also be compliant with Rule
17Ad-22(e)(15)(ii).\12\ The proposed new table of authorized
investments and concentration limits for investment of ICE Clear
Europe's regulatory capital relates to highly liquid government
securities that constitute liquid net assets for purposes of this rule,
and is consistent with existing practice. The concentration limits
provided, which are consistent with those set with respect to cash from
Clearing Members and skin in the game, would further enable ICE Clear
Europe to continue to hold sufficient liquid net assets to meet this
requirement.
---------------------------------------------------------------------------
\12\ 17 CFR 240.17Ad-22(e)(15)(ii). The rule states that
``[e]ach covered clearing agency shall establish, implement,
maintain and enforce written policies and procedures reasonably
designed to, as applicable: (15) Identify, monitor, and manage the
covered clearing agency's general business risk and hold sufficient
liquid net assets funded by equity to cover potential general
business losses so that the covered clearing agency can continue
operations and services as a going concern if those losses
materialize, including by: (ii) Holding liquid net assets funded by
equity equal to the greater of either (x) six months of the covered
clearing agency's current operating expenses, or (y) the amount
determined by the board of directors to be sufficient to ensure a
recovery or orderly wind-down of critical operations and services of
the covered clearing agency, as contemplated by the plans
established under paragraph (e)(3)(ii) of this section, and which:
(A) Shall be in addition to resources held to cover participant
defaults or other risks covered under the credit risk standard in
paragraph (b)(3) or paragraphs (e)(4)(i) through (iii) of this
section, as applicable, and the liquidity risk standard in
paragraphs (e)(7)(i) and (ii) of this section; and
(B) Shall be of high quality and sufficiently liquid to allow
the covered clearing agency to meet its current and projected
operating expenses under a range of scenarios, including in adverse
market conditions;''
---------------------------------------------------------------------------
(B) Clearing Agency's Statement on Burden on Competition
ICE Clear Europe does not believe the proposed amendments would
have any impact, or impose any burden, on competition not necessary or
appropriate in furtherance of the purposes of the Act. The amendments
would apply uniformly to all investments made by the Clearing House,
are being adopted to strengthen and clarify the Clearing House's
investment management policies and procedures and should not affect the
rights or obligations of Clearing Members. The amendments are also
intended to treat investment of ICE Clear Europe's own assets (as skin
in the game or regulatory capital) in the same manner as Clearing
Member assets. As a result, ICE Clear Europe does not believe the
amendments would affect the cost of clearing for Clearing Members or
other market participants, the market for cleared services generally or
access to clearing by Clearing Members or other market participants, or
otherwise affect competition among Clearing Members or market
participants in a manner not necessary or appropriate 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 amendments have not been
solicited or received by ICE Clear Europe. ICE Clear Europe will notify
the Commission of any written comments received with respect to the
proposed rule change.
III. Date of Effectiveness of the Proposed Rule Change, Security-Based
Swap Submission and Advance Notice 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, security-based swap submission or advance notice 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-ICEEU-2020-002 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-2020-002. 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, security-based
swap submission or advance notice that are filed with the Commission,
and all written communications relating to the proposed rule change,
security-based swap submission or advance notice 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 Europe and on ICE Clear Europe's website at https://www.theice.com/clear-europe/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-ICEEU-2020-002 and should be
submitted on or before June 16, 2020.
[[Page 31575]]
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\13\
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\13\ 17 CFR 200.30-3(a)(12).
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J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2020-11137 Filed 5-22-20; 8:45 am]
BILLING CODE 8011-01-P
