[Federal Register Volume 82, Number 127 (Wednesday, July 5, 2017)]
[Notices]
[Pages 31121-31123]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-14013]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-81037; File No. SR-ICC-2017-010]


Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of 
Proposed Rule Change, Security-Based Swap Submission, or Advance Notice 
Relating to the ICC Clearing Rules and the ICC Treasury Operations 
Policies and Procedures

June 28, 2017.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that on June 
16, 2017, ICE Clear Credit LLC (``ICC'') filed with the Securities and 
Exchange 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 prepared primarily by ICC. The Commission 
is publishing this notice to solicit comments on the proposed rule 
change, 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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[[Page 31122]]

I. Clearing Agency's Statement of the Terms of Substance of the 
Proposed Rule Change

    The principal purpose of the proposed changes is to make changes to 
the ICC Clearing Rules (the ``ICC Rules'') and ICC Treasury Operations 
Policies and Procedures (``Treasury Policy'') to remove eligibility of 
Japanese yen (``JPY''), Great British pounds (``GBP''), and Canadian 
dollars (``CAD'') to meet Initial Margin and Guaranty Fund 
requirements.

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 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. 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

    ICC Clearing Participants are required to post Initial Margin and 
contribute to the Guaranty Fund to collateralize their individual 
credit exposure to ICC. Currently, a Clearing Participant may meet the 
final 35% of their Initial Margin and Guaranty Fund requirements with 
JPY, GBP, or CAD, in aggregate. To date, ICC has never received GBP and 
CAD, and has received small deposits of JPY from a limited number of 
Clearing Participants (i.e. less than 1% of total margin deposits). 
JPY, GBP, and CAD are not considered to be `liquid' resources from an 
ICC perspective, as they must be converted to another currency (USD or 
Euro). JPY additionally has a significant timing issue related to 
conversion. Further, ICC has found securitization for these currencies 
impractical, especially for the small balances of JPY received.
    For the aforementioned reasons, ICC proposes revising the ICC Rules 
and ICC Treasury Operations Policies and Procedures to remove 
eligibility of JPY, GBP, and CAD to meet Initial Margin and Guaranty 
Fund requirements. Clearing Participants will continue to be able to 
meet their Initial Margin and Guaranty Fund requirements using Euro 
cash, U.S. cash and/or U.S. Treasuries, in accordance with the 
collateral thresholds set forth in Schedule 401 of the ICC Rules. The 
proposed revisions to the ICC Rules and ICC Treasury Policy are 
described in detail as follows.
ICC Rules
    ICC proposes updates to Schedule 401 of the ICC Rules. 
Specifically, ICC proposes removing references to G7 cash,\3\ and 
defining `All Eligible Collateral' for both Non-Client Initial Margin 
and Guaranty Fund Liquidity Requirements and Client-Related Initial 
Margin Liquidity Requirements to be U.S. cash, Euro cash, and/or U.S. 
Treasuries. Under the proposed changes, U.S. cash, Euro cash, and/or 
U.S. Treasuries will be eligible for meeting the final 35% of Initial 
Margin and Guaranty Fund requirements for all Non-Client Initial Margin 
and Guaranty Fund Liquidity Requirements and Client-Related USD 
denominated Initial Margin Requirements; and U.S. cash, Euro cash, and/
or U.S. Treasuries will be eligible for meeting a maximum of 100% of 
Initial Margin requirements for Client-Related Euro Denominated Product 
Requirements.
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    \3\ G7 cash includes U.S. cash, Euro cash, JPY, GBP, and CAD.
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ICC Treasury Policy
    ICC also proposes updates to the ICC Treasury Policy to remove 
references to CAD, GBP, and JPY as eligible collateral. ICC proposes 
removing references to CAD, GBP, and JPY in the `Collateral Liquidation 
Assumptions' tables (for both Euro and U.S. Dollar denominated 
requirements). Under the proposed changes, the tables will set forth 
collateral liquidity assumptions for U.S. cash, Euro cash, and U.S. 
Treasuries only.
    ICC proposes updating the House Initial Margin and Guaranty Fund 
Liquidity Requirements (for Non-Client U.S. Dollar and Euro denominated 
requirements) chart to remove reference to G7 cash and to define `All 
Eligible Collateral' to be U.S. cash, Euro cash, and/or U.S. 
Treasuries. ICC proposes updating the list of acceptable forms of 
collateral for Initial Margin to specifically include U.S. Treasury 
Securities, U.S. cash, and Euro cash, and to remove the general 
reference to G7 currencies. ICC also proposes updating the list of 
acceptable forms of collateral for the Guaranty Fund to include U.S. 
Treasury Securities, U.S. cash, and Euro cash, and to remove the 
general reference to G7 currencies. ICC proposes updates to the 
`Eligible Client Collateral' section of the Treasury Policy to note 
that ICC's eligible collateral for client Initial Margin includes U.S. 
cash, Euro cash, and U.S. government securities in line with current 
eligible collateral for House exposures (i.e. U.S. Treasuries). ICC 
also proposes updates to the `Client-Related Initial Margin Liquidity 
Requirements' section of the Treasury Policy to reflect the proposed 
liquidity requirement changes, namely U.S. denominated product 
requirements of 65% U.S. cash and/or U.S. Treasuries, and 35% remainder 
eligible U.S. cash, U.S. Treasuries, and/or Euro cash; and Euro 
denominated product requirements of 100% U.S. cash, Euro cash, and/or 
U.S. Treasuries.
    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 removing eligibility of JPY, 
GBP, and CAD to meet Initial Margin and Guaranty Fund requirements 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 will promote the 
liquidity of ICC collateral. Such changes are consistent with the 
eligible collateral accepted by other market participants. Further, 
from a practical standpoint, the proposed updates will have minimal 
impact on ICC's financial resource composition, as such currencies have 
been rarely utilized by Clearing Participants to meet Initial Margin 
and Guaranty Fund requirements. ICC will continue to accept U.S. cash, 
Euro cash, and U.S. Treasuries as eligible collateral, in accordance 
with Schedule 401 of the ICC Rules. Such collateral will continue to be 
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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[[Page 31123]]

(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 changes to ICC's 
eligible collateral 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 Change 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 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-2017-010 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-2017-010. 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 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 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-2017-010 
and should be submitted on or before July 26, 2017.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\8\
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    \8\ 17 CFR 200.30-3(a)(12).
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Robert W. Errett,
Deputy Secretary.
[FR Doc. 2017-14013 Filed 7-3-17; 8:45 am]
 BILLING CODE 8011-01-P