[Federal Register Volume 82, Number 29 (Tuesday, February 14, 2017)]
[Notices]
[Pages 10611-10613]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-02909]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-79988; File No. SR-ICC-2017-002]


Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of 
Proposed Rule Change, Security-Based Swap Submission, or Advance Notice 
Relating to ICC's Liquidity Thresholds for Euro Denominated Products

February 8, 2017.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act'') \1\ and Rule 19b-4,\2\ notice is hereby given that on January 
27, 2017, ICE Clear Credit LLC (``ICC'') filed with the Securities and 
Exchange Commission (``Commission'') the proposed rule change, 
security-based swap submission, or advance notice as described in Items 
I, II and III below, which Items have been primarily prepared by ICC. 
The Commission is publishing this notice to solicit comments on the 
proposed rule change,

[[Page 10612]]

security-based swap submission, or advance notice from interested 
persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Clearing Agency's Statement of the Terms of Substance of the 
Proposed Rule Change, Security-Based Swap Submission, or Advance Notice

    The principal purpose of the proposed changes is to amend the ICC 
Clearing Rules (``ICC Rules''), the ICC Treasury Operations Policies 
and Procedures, and the ICC Liquidity Risk Management Framework to 
update ICC's liquidity thresholds for Euro denominated products.

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, 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, Security-Based Swap Submission, or 
Advance Notice

    The proposed revisions are intended to update ICC's liquidity 
thresholds for Euro denominated products. Currently, for Euro 
denominated products, 65% of Clearing Participant Non-Client Initial 
Margin and Guaranty Fund Liquidity Requirements (``Non-Client Liquidity 
Requirements'') must be posted in Euro cash and the next 35% may be 
posted in Euro cash, United States (``U.S.'') Dollar cash, U.S. 
Treasury securities, and/or other G7 cash. ICC proposes updating the 
liquidity thresholds for Euro denominated products, set forth in 
Schedule 401 of the ICC Rules, to require the first 45% of Non-Client 
Liquidity Requirements to be satisfied with Euro cash. The next 20% may 
be posted in Euro cash or U.S. Dollar cash, and the final 35% may be 
posted in Euro cash, U.S. Dollar cash, U.S. Treasury securities, and/or 
other G7 cash. The 45% minimum percentage requirement is equivalent to 
the maximum assumed one day movement in Initial Margin (assuming a 5-
day risk horizon).
    The proposed revisions will provide Clearing Participants with the 
option to cover 20% of the current Euro liquidity threshold with either 
Euro cash or U.S. Dollar cash. ICC's Euro liquidity will not be 
negatively impacted by the proposed changes as ICC's committed foreign 
exchange (``FX'') facility provides for same day settled spot FX 
transactions. The facility allows ICC to use available U.S. Dollar cash 
to convert into Euro cash to meet a Euro liquidity need, for example in 
the unlikely event of a Clearing Participant default when Euro cash is 
needed for liquidity but only U.S. Dollar cash is available.\3\
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    \3\ See Securities Exchange Act Release No. 34-78566 (Aug. 12, 
2016), 81 FR 55254 (Aug. 18, 2016) (File No. SR-ICC-2016-009).
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    The ICC Treasury Operations Policies and Procedures and ICC 
Liquidity Risk Management Framework have also been updated to reflect 
the update to ICC's Non-Client Liquidity Requirements for Euro 
denominated products. The changes to the Euro cash Non-Client Liquidity 
Requirements do not require any operational changes.
    Section 17A(b)(3)(F) of the Act \4\ 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 changes 
are consistent with the requirements of the Act and the rules and 
regulations thereunder applicable to ICC, in particular, to Section 
17A(b)(3)(F),\5\ because ICC believes that the update to its liquidity 
thresholds for Euro denominated products 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 update to ICC's liquidity thresholds for Euro 
denominated products will permit Clearing Participants to post more 
U.S. Dollar cash to meet Euro Non-Client Liquidity Requirements. Given 
the fact that, to the extent possible, ICC deposits U.S. Dollar cash in 
its account at the Federal Reserve Bank of Chicago, the use of 
additional U.S. Dollar cash provides superior safety and security for 
depositors, as the U.S. Dollar cash is held in a manner whereby risk of 
loss or of delay in access to them is minimized, consistent with 
Section 17A(b)(3)(F) \6\ and Rule 17Ad-22(d)(3).\7\
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    \4\ 15 U.S.C. 78q-1(b)(3)(F).
    \5\ Id.
    \6\ Id.
    \7\ 17 CFR 240.17Ad-22(d)(3).
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    Additionally, the change to the liquidity thresholds for Euro 
denominated products will not adversely impact ICC's liquidity levels 
because ICC's committed FX facility provides for same day settled spot 
FX transactions, which allows ICC to use available U.S. Dollar cash to 
convert into Euro cash to meet a Euro liquidity need. As such, the 
proposed change would increase the safety and security of ICC's assets 
without any diminishment of its ability to meet its liquidity needs. 
Further, the changes promote liquidity and ensure assets are available 
in the event of a participant default. As previously stated, ICC will 
hold the additional U.S. Dollar cash at the Federal Reserve Bank of 
Chicago. In doing so, ICC reduces the likelihood that assets securing 
participant obligations would be unavailable when ICC needs to draw on 
them, thus safeguarding ICC's ability to meet its settlement 
obligations. For the foregoing reasons, the updated liquidity 
thresholds for Euro denominated products are designed consistent with 
ICC's objective to 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, 
consistent with Section 17A(b)(3)(F).\8\
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    \8\ 15 U.S.C. 78q-1(b)(3)(F).
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    In addition, the proposed revisions are consistent with the 
relevant requirements of Rule 17Ad-22.\9\ ICC's Euro liquidity or 
financial resources will not be negatively impacted by the proposed 
changes as ICC's committed FX facility provides for same day settled 
spot FX transactions, to convert U.S. Dollar cash into Euro cash. As 
such, the changes are therefore reasonably designed to meet the 
requirements of Rule 17Ad-22(b)(3).\10\
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    \9\ 17 CFR 240.17Ad-22.
    \10\ 17 CFR 240.17Ad-22(b)(3).
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B. Clearing Agency's Statement on Burden on Competition

    ICC does not believe the proposed rule change would have any 
impact, or impose any burden, on competition. The proposed update to 
ICC's liquidity thresholds for Euro denominated

[[Page 10613]]

products applies consistently across all market participants and the 
implementation of the proposed liquidity thresholds for Euro 
denominated products does not preclude the implementation of similar 
changes by other market participants. Therefore, ICC does not believe 
the update to its liquidity thresholds for Euro denominated products 
imposes 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, 
Security-Based Swap Submission, or Advance Notice 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 Change, Security-Based 
Swap Submission, or 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 such 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 (http://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
File Number SR-ICC-2017-002 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-ICC-2017-002. 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 Web site (http://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 Web site viewing and printing in the Commission's 
Public Reference Room, 100 F Street NE., Washington, DC 20549, on 
official business days between the hours of 10:00 a.m. and 3:00 p.m. 
Copies of such filings will also be available for inspection and 
copying at the principal office of ICE Clear Credit and on ICE Clear 
Credit's Web site at https://www.theice.com/clear-credit/regulation.
    All comments received will be posted without change; the Commission 
does not edit personal identifying information from submissions. You 
should submit only information that you wish to make available 
publicly. All submissions should refer to File Number SR-ICC-2017-002 
and should be submitted on or before March 7, 2017.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\11\
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    \11\ 17 CFR 200.30-3(a)(12).
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Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-02909 Filed 2-13-17; 8:45 am]
 BILLING CODE 8011-01-P