[Federal Register Volume 82, Number 62 (Monday, April 3, 2017)]
[Notices]
[Pages 16244-16245]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-06440]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-80324; File No. SR-ICC-2017-002]


Self-Regulatory Organizations; ICE Clear Credit LLC; Order 
Approving Proposed Rule Change To Revise Liquidity Thresholds for Euro 
Denominated Products

March 28, 2017.

I. Introduction

    On January 27, 2017, ICE Clear Credit LLC (``ICC'') filed with the 
Securities and Exchange Commission (``Commission''), pursuant to 
Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act'') \1\ 
and Rule 19b-4 thereunder,\2\ a proposed rule change (SR-ICC-2017-002) 
to amend the ICC Clearing Rules, the ICC Treasury Operations Policies 
and Procedures and the ICC Liquidity Risk Management Framework to 
update ICC's liquidity thresholds for non-client Euro denominated 
products. The proposed rule change was published for comment in the 
Federal Register on February 14, 2017.\3\ The Commission received no 
comment letters regarding the proposed change. For the reasons 
discussed below, the Commission is approving the proposed rule change.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ Securities Exchange Act Release No. 34-79988 (February 8, 
2017), 82 FR 10611 (February 14, 2017) (SR-ICC-2017-002) 
(``Notice'').
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II. Description of the Proposed Rule Change

    ICC has proposed changes to Schedule 401 of its Clearing Rules, 
Treasury Operations Policies and Procedures and Liquidity Risk 
Management Framework. The proposed changes will reduce Clearing 
Participants' Non-Client Initial Margin and Guaranty Fund Liquidity 
Requirements (``Non-Client Liquidity Requirements'') for products 
denominated in Euros from 65% Euro cash to 45% Euro cash.\4\ The 
proposed rule change further gives Clearing Participants the option of 
posting the next 20% of Non-Client Liquidity Requirements for these 
products in either Euro or US Dollar cash. The proposed rule change 
does not alter Clearing Participants' existing ability to post the 
final 35% of their Non-Client Liquidity requirements in US Treasuries 
or cash issued by any G7 nation.
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    \4\ Capitalized terms used in this order, but not defined 
herein, have the same meaning as in the ICC Clearing Rules.
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III. Discussion and Commission Findings

    Section 19(b)(2)(C) of the Act \5\ directs the Commission to 
approve a proposed rule change of a self-regulatory organization if it 
finds that such proposed rule change is consistent with the 
requirements of the Act and the rules and regulations thereunder 
applicable to such organization. Section 17A(b)(3)(F) of the Act 
requires,\6\ among other things, that the rules of a registered 
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, in general, to protect investors and the public 
interest. Rule 17Ad-22(d)(3) \7\ requires that a registered clearing 
agency shall establish, implement, maintain, and enforce written 
policies and procedures reasonably designed to hold assets in a manner 
that minimizes risk of loss or of delay in its access to them.
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    \5\ 15 U.S.C. 78s(b)(2)(C).
    \6\ 15 U.S.C. 78q-1(b)(3)(F).
    \7\ 17 CFR 240.17Ad-22(d)(3).
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    The Commission finds that the proposed rule change, which adjusts 
the amount of Euro cash required in respect of non-client Euro 
denominated products, is consistent with Section 17A of the Act and 
Rule 17Ad-22 thereunder. The proposed rule change should not impact 
ICC's access to liquidity in the event of a clearing participant's 
default. ICC represented that ``the 45% minimum percentage requirement 
is equivalent to the maximum assumed one day movement in Initial Margin 
(assuming a 5-day risk horizon).'' \8\ Moreover, if additional Euro 
cash is needed, ICC asserts that it can rely on its committed foreign 
exchange facility for settled spot dollar-to-Euro foreign exchange 
transactions.\9\ Accordingly, because there is unlikely to be a 
diminution in ICC's ability to meet its obligations, this proposed rule 
change is consistent with the prompt and accurate clearance and 
settlement requirement of Section 17A(b)(3)(F) of the Act.\10\
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    \8\ Notice, 82 FR at 10612.
    \9\ Id.
    \10\ 15 U.S.C. 78q-1(b)(3)(F).
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    The proposed rule change also is consistent with the requirements 
in Section 17A(b)(3)(F) and Rule 17Ad-22(d)(3) that assets of a 
clearinghouse be safeguarded. As noted above, the proposed rule change 
now permits ICC's Clearing Participants to post an additional 20% of 
their Non-Client Liquidity Requirements in US Dollars. ICC in turn has 
represented that ``to the extent possible, ICC deposits US Dollar cash 
in its account at the Federal Reserve Bank of Chicago.'' \11\ Thus, 
giving ICC's Clearing Participants the option to post additional US 
Dollar cash, which may result in an increased amount of funds on 
deposit with a Federal Reserve Bank should further assure the 
safeguarding of those funds and minimize the risk of loss or delay in 
access to those funds, consistent with Section 17A(b)(3)(F) of the 
Act,\12\ and Rule 17Ad-22(d)(3).\13\
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    \11\ Notice, 82 FR at 10612.
    \12\ 15 U.S.C. 78q-1(b)(3)(F).
    \13\ 17 U.S.C. 240.17Ad-22(d)(3).
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IV. Conclusion

    It is therefore ordered pursuant to Section 19(b)(2) of the Act 
that the proposed rule change (SR-ICC-2017-002) be, and hereby is, 
approved.\14\
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    \14\ In approving the proposed rule change, the Commission 
considered the proposal's impact on efficiency, competition, and 
capital formation. 15 U.S.C. 78c(f).


[[Page 16245]]


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    For the Commission by the Division of Trading and Markets, 
pursuant to delegated authority.\15\
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    \15\ 17 CFR 200.30-3(a)(12).
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Brent J. Fields,
Secretary.
[FR Doc. 2017-06440 Filed 3-31-17; 8:45 am]
 BILLING CODE 8011-01-P