Federal Register / Vol. 83, No. 176 / Tuesday, September 11, 2018 / Notices 46005 

Affairs, S. Rep. No. 75, 94th Cong., 1st Sess. 30 

(1975). 

28 17 CFR 200.30–3(a)(12); 17 CFR 200.30– 

3(a)(57). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3The Price Discovery Policy uses the term 

‘‘instrument’’ to refer to the complete set of 

contractual terms that affect the value of a CDS 

contract. For single-name CDS contracts, these 

terms include the reference entity, currency, debt 

tier, document clause, coupon, and scheduled 

termination date. 

4Securities Exchange Act Release No. 34–83665 

(July 18, 2018), 83 FR 35048 (July 24, 2018) (SR– 

ICEEU–2018–009) (‘‘Notice’’). 

5Capitalized terms used herein but not otherwise 

defined have the meaning set forth in the ICE Clear 

Europe Clearing Rules, which is available at https:// 

www.theice.com/publicdocs/clear_europe/ 

rulebooks/rules/Clearing_Rules.pdf, or in the Price 

Discovery Policy. 

6Notice, 83 FR at 35049. 

Interested persons are invited to 

submit written data, views, and 

arguments regarding whether the 

proposed rule change should be 

approved or disapproved by October 2, 

2018. Any person who wishes to file a 

rebuttal to any other person’s 

submission must file that rebuttal by 

October 16, 2018. The Commission asks 

that commenters address the sufficiency 

and merit of the Exchange’s statements 

in support of the proposal, in addition 

to any other comments they may wish 

to submit about the proposed rule 

change. 

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 rule-comments@

sec.gov. Please include File No. SR– 

BOX–2018–14 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 No. 

SR–BOX–2018–14. The 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 (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 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 

a.m. and 3 p.m. Copies of the filing also 

will be available for inspection and 

copying at the principal office of the 

Exchange. All comments received will 

be posted without change. Persons 

submitting comments are cautioned that 

we do not redact or edit personal 

identifying information from comment 

submissions. You should submit only 

information that you wish to make 

available publicly. All submissions 

should refer to File No. SR–BOX–2018– 

14 and should be submitted by October 

2, 2018. Rebuttal comments should be 

submitted by October 16, 2018. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.28

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2018–19639 Filed 9–10–18; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

Sunshine Act Meetings 

TIME AND DATE: 2:00 p.m. on Thursday, 

September 13, 2018. 

PLACE: Closed Commission Hearing, 

Room 10800. 

STATUS: This meeting will be closed to 

the public. 

MATTERS TO BE CONSIDERED: 

Commissioners, Counsel to the 

Commissioners, the Secretary to the 

Commission, and recording secretaries 

will attend the closed meeting. Certain 

staff members who have an interest in 

the matters also may be present. 

The General Counsel of the 

Commission, or his designee, has 

certified that, in his opinion, one or 

more of the exemptions set forth in 5 

U.S.C. 552b(c)(3), (5), (6), (7), (8), 9(B) 

and (10) and 17 CFR 200.402(a)(3), 

(a)(5), (a)(6), (a)(7), (a)(8), (a)(9)(ii) and 

(a)(10), permit consideration of the 

scheduled matters at the closed meeting. 

Commissioner Peirce, as duty officer, 

voted to consider the items listed for the 

closed meeting in closed session. 

The subject matters of the closed 

meeting will be: 

Institution and settlement of 

injunctive actions; 

Institution and settlement of 

administrative proceedings; 

Resolution of litigation claims; and 

Other matters relating to enforcement 

proceedings. 

At times, changes in Commission 

priorities require alterations in the 

scheduling of meeting items. 

CONTACT PERSON FOR MORE INFORMATION: 

For further information and to ascertain 

what, if any, matters have been added, 

deleted or postponed; please contact 

Brent J. Fields from the Office of the 

Secretary at (202) 551–5400. 

Dated: September 6, 2018. 

Brent J. Fields, 

Secretary. 

[FR Doc. 2018–19791 Filed 9–7–18; 11:15 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–84033; File No. SR–ICEEU– 

2018–009] 

Self-Regulatory Organizations; ICE 

Clear Europe Limited; Order Approving 

Proposed Rule Change Relating to 

Amendments to the ICE Clear Europe 

CDS End-of-Day Price Discovery 

Policy (‘‘Price Discovery Policy’’) 

September 5, 2018. 

I. Introduction 

On July 11, 2018, ICE Clear Europe 

Limited (‘‘ICE Clear Europe’’) 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–ICEEU–2018–009) to revise 

ICE Clear Europe’s CDS End-of-Day 

Price Discovery Policy (‘‘Price Discovery 

Policy’’) related to the bid-offer width 

(‘‘BOW’’) methodology for pricing 

single-name credit default swap 

(‘‘CDS’’) instruments.3 The proposed 

rule change was published for comment 

in the Federal Register on July 24, 

2018.4 The Commission did not receive 

comments on the proposed rule change. 

For the reasons discussed below, the 

Commission is approving the proposed 

rule change. 

II. Description of the Proposed Rule 

Change 

Currently, ICE Clear Europe uses endof-day (‘‘EOD’’) price levels for risk 

management purposes.5 Each business 

day, ICE Clear Europe determines EOD 

prices in accordance with its Price 

Discovery Policy.6 Specifically, ICE 


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46006 Federal Register / Vol. 83, No. 176 / Tuesday, September 11, 2018 / Notices 

7 Id. 

8 Id. 

9 Id. 

10 Id. 

11 Id. 

12Notice, 83 FR at 35049. 

13 Id. 

14Notice, 83 FR at 35049. 

15 Id. 

16 Id. 

17 Id. 

18 Id. 

19 Id. 

20 Id. 

21 Id. 

22Notice, 83 FR at 35049. 

23 Id. 

24 Id. 25 Id. 26 Id. 27 Id. 28 Id. 29Notice, 83 FR at 35049. 30 Id. 31Notice, 83 FR at 35049 n.4. 

32Notice, 83 FR at 35049. 

Clear Europe uses BOWs to determine 

these EOD price levels.7 The BOW is 

intended to estimate the bid-offer width 

for the market available for each 

clearing-eligible instrument at a 

specified time on each business day.8

The BOWs are then used in ICE Clear 

Europe’s price discovery process as 

inputs in the determination of EOD 

levels and other risk management 

matters.9

ICE Clear Europe derives BOWs for 

single-name CDS instruments based on 

observed intraday spread-quotes for the 

most actively traded instrument 

(‘‘MATI’’) across the term structure and 

cleared coupons (otherwise known as 

‘‘consensus BOW’’).10 ICE Clear Europe 

calculates the consensus BOW for each 

relevant CDS instrument based on 

specified averages of the quotes 

provided by CDS Clearing Members. ICE 

Clear Europe adjusts consensus BOWs 

by a ‘‘scrape factor’’ to reflect 

differences between the BOWs provided 

by clearing members in intraday quotes 

and BOWs achieved in the market.11 ICE 

Clear Europe also applies various other 

adjustments to the consensus BOWs to 

reflect differences in instrument 

liquidity at longer and shorter 

maturities, and at higher and lower 

coupons.12 Moreover, ICE Clear Europe 

currently uses the ISDA CDS Standard 

Model to convert price submissions for 

single-name CDS instruments from the 

form of a yearly premium of a CDS in 

basis points, per amount insured 

(‘‘spread’’) to price submissions in the 

form of an upfront payment as a 

percentage of a fixed premium (‘‘price 

terms’’). 

The proposed rule change would 

enhance the methodology ICE Clear 

Europe uses to determine BOWs for 

single-name instruments by amending 

the Price Discovery Policy to (1) 

compute a consensus BOW for each 

benchmark single-name instrument; (2) 

determine the final EOD BOW as the 

greater of an instrument’s final 

systematic BOW and a dynamic BOW; 

(3) eliminate the use of the ISDA CDS 

Standard Model from the computation 

of BOWs for single-name instruments; 

and (4) update associated governance 

provisions. 

First, the proposed rule change would 

compute a consensus BOW for each 

benchmark single-name CDS 

instrument. Specifically, Ice Clear 

Europe would compute a consensus 

BOW for each benchmark instrument, as 

compared to how Ice Clear Europe 

currently only computes a consensus 

BOW for the most actively traded 

instrument.13 Likewise, rather than 

deriving consensus BOWs only from 

intraday quotes, ICE Clear Europe 

would compute consensus BOWs as a 

price-based floor plus a fraction of the 

single-name CDS instrument’s currently 

observed level (based on the average of 

price-space levels submitted by CDS 

Clearing Members as part of the EOD 

price discovery process).14 ICE Clear 

Europe would continue to apply various 

factors to the most actively traded 

instrument’s consensus BOW to reflect 

differences in liquidity at longer and 

shorter maturities and at higher and 

lower coupons.15 The proposed rule 

change would also extend the 

application of price-based BOW floors 

from the 0/3-month, 6-month and 1-year 

benchmark tenors to the entire set of 

benchmark tenors.16

ICE Clear Europe would then apply 

scaling factors to the consensus 

BOWs.17 The amended Price Discovery 

Policy would refer to the BOWs, after 

application of scaling factors, as 

‘‘systematic BOWs’’. 18 The scaling 

factors would reflect differences in 

instrument liquidity at longer and 

shorter maturities, and at higher and 

lower coupons.19 To determine 

systematic BOWs for each benchmark 

instrument at the most actively traded 

coupon (‘‘MATC’’), ICE Clear Europe 

would apply scaling factors based upon 

the remaining time left in the CDS 

(‘‘tenor scaling’’) to the corresponding 

consensus BOWs.20 The tenor scaling 

factors would reflect the BOW of each 

tenor relative to the BOW of the most 

actively traded tenor.21 ICE Clear 

Europe would determine systematic 

BOWs for each benchmark instrument at 

other coupons by applying a 

combination of tenor scaling factors and 

coupon scaling factors to the 

corresponding consensus BOWs.22

Coupon scaling factors would adjust the 

BOW to reflect decreased market 

activity at coupons larger or smaller 

than the MATC, and accordingly would 

produce a wider BOW for such coupons 

as compared to the MATC.23

ICE Clear Europe would also apply a 

variability factor, which would be an 

additional scaling factor to widen the 

BOW to account for volatile or fastmoving market conditions.24 The 

variability factor would be designed to 

reflect observed variability levels in 

intraday quotes.25 ICE Clear Europe 

would determine the amount of the 

variability factor on the basis of a 

market proxy variability band 

(numbering 0–3).26 ICE Clear Europe 

would assign a single-name instrument 

to a market proxy variability band based 

on the instrument’s market-proxy group, 

as determined by ICE Clear Europe. ICE 

Clear Europe may apply a similar 

variability factor under the current 

approach on a discretionary basis.27

After applying this variability factor, 

ICE Clear Europe would arrive at the 

final systematic EOD BOW based on the 

applicable variability band.28

Second, ICE Clear Europe would 

determine the final EOD BOW as the 

greater of a single-name CDS 

instrument’s final systematic EOD BOW, 

and a BOW established for the 

instrument based on the dispersion of 

price-based EOD submissions by CDS 

Clearing Members for the given 

instrument (such BOW the ‘‘dynamic 

BOW’’).29

Third, the proposed rule change 

would eliminate the use of the ISDA 

CDS Standard Model from the 

computation of BOWs for single-name 

CDS instruments. As ICE Clear Europe 

would now accept price submissions for 

single-name CDS instruments only in 

price terms, ICE Clear Europe would no 

longer need the ISDA CDS Standard 

Model to compute single-name BOWs.30

ICE Clear Europe would continue to use 

the ISDA CDS Standard Model for 

certain other purposes in which it may 

need to convert between spread and 

price terms, however, and therefore the 

proposed rule change would retain 

references to the model in the revised 

Price Discovery Policy.31 Similarly, 

because ICE Clear Europe would now 

accept price submissions for singlename CDS instruments only in price 

terms, the proposed rule change would 

remove the requirement for ICE Clear 

Europe to provide single-name BOWs in 

spread terms.32

Finally, the proposed rule change 

would revise the governance provisions 


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Federal Register / Vol. 83, No. 176 / Tuesday, September 11, 2018 / Notices 46007 

33 Id. 

34Notice, 83 FR at 35049. 

35 15 U.S.C. 78s(b)(2)(C). 

36 15 U.S.C. 78q–1(b)(3)(F). 

37 17 CFR 240.17Ad–22(e)(2)(i), (e)(6)(ii), and 

(e)(6)(iv). 

38 15 U.S.C. 78q–1(b)(3)(F). 

39 15 U.S.C. 78q–1(b)(3)(F). 

40 17 CFR 240.17Ad–22(e)(2)(i). 

of the Price Discovery Policy. Under the 

revisions, and consistent with the 

amendments to the methodology 

described above, ICE Clear Europe’s 

clearing risk department, in 

consultation with the trading advisory 

committee, would establish the 

parameters used in the EOD price 

discovery process.33 ICE Clear Europe’s 

clearing risk department would also be 

responsible for determining the pricebased floors and scaling factors used to 

establish BOWs.34

III. Discussion and Commission 

Findings 

Section 19(b)(2)(C) of the Act 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.35 For 

the reasons given below, the 

Commission finds that the proposed 

rule change is consistent with Section 

17A(b)(3)(F) of the Act,36 and Rules 

17Ad–22(e)(2)(i), (e)(6)(ii), and (e)(6)(iv) 

thereunder.37

A. Consistency With Section 

17A(b)(3)(F) of the Act 

Section 17A(b)(3)(F) of the Act 

requires, among other things, that the 

rules of ICE Clear Europe be designed to 

promote the prompt and accurate 

clearance and settlement of securities 

transactions and, to the extent 

applicable, derivative agreements, 

contracts, and transactions, as well as to 

assure the safeguarding of securities and 

funds which are in the custody or 

control of ICE Clear Europe or for which 

it is responsible, and, in general, to 

protect investors and the public 

interest.38

As discussed above, the proposed rule 

change would enhance ICE Clear 

Europe’s EOD price discovery process 

for single-name CDS instruments by 

amending the Price Discovery Policy to 

(1) compute a consensus BOW for each 

benchmark single-name instrument; (2) 

determine the final EOD BOW as the 

greater of an instrument’s final 

systematic BOW and a dynamic BOW; 

(3) eliminate the use of the ISDA CDS 

Standard Model from the computation 

of BOWs for single-name instruments; 

and (4) update associated governance 

provisions. 

Taken as a whole, the Commission 

believes the proposed rule change 

would enhance ICE Clear Europe’s 

ability to determine the EOD BOW for 

single-name CDS instruments. The 

Commission believes the proposed rule 

change would permit ICE Clear Europe 

to determine BOWs more consistently 

across single-name instruments on all 

reference entities, including those for 

which only sparse intraday data is 

available, by computing a consensus 

BOW for each benchmark single-name 

instrument. In addition, by extending 

the application of price-based BOW 

floors to the entire set of benchmark 

tenors instead of solely the 0/3 month, 

6 month, and 1-year benchmark tenors, 

the Commission believes that ICE Clear 

Europe would be able to more 

consistently compute the EOD BOW for 

a wider range of single-name CDS 

instruments. Moreover, the Commission 

believes that the adoption of a new 

dynamic BOW would help the BOW to 

better reflect current market conditions 

given that the dynamic BOW would 

widen BOWs in response to the 

observed dispersion of price-space 

levels submitted in the EOD price 

discovery process. Finally, the 

Commission believes that updating the 

associated governance provisions would 

help ensure that the EOD price 

discovery process remains effective by 

making clear the responsibilities for 

establishing the parameters, price-based 

floors, and scaling factors used in the 

EOD price discovery process. 

Consequently, the Commission 

believes that the proposed rule change 

would help improve ICE Clear Europe’s 

EOD pricing process as a whole by 

considering additional relevant 

information and a wider range of 

instruments. Based on these 

improvements, the Commission believes 

that the proposed rule change would 

also help improve the operation and 

effectiveness of ICE Clear Europe’s 

margin system because ICE Clear Europe 

uses EOD prices to calculate and collect 

such margin. Given that an effective 

margin system is necessary to manage 

ICE Clear Europe’s credit exposures to 

its Clearing Members and the risks 

associated with clearing security based 

swap-related portfolios, the Commission 

believes that the proposed rule change 

would help improve ICE Clear Europe’s 

ability to avoid losses that could result 

from the mismanagement of such credit 

exposures and risks. Because such 

losses could disrupt ICE Clear Europe’s 

ability to promptly and accurately clear 

security based swap transactions, the 

Commission believes that the proposed 

rule change, by improving the EOD 

price input to ICE Clear Europe’s margin 

system and thereby improving the 

operation and effectiveness of such 

margin system, would help promote the 

prompt and accurate clearance and 

settlement of securities transactions. 

Similarly, given that mismanagement 

of ICE Clear Europe’s credit exposures 

to its Clearing Members and the risks 

associated with clearing security based 

swap-related portfolios could cause ICE 

Clear Europe to realize losses on such 

portfolios and threaten ICE Clear 

Europe’s ability to operate, thereby 

threatening access to securities and 

funds in ICE Clear Europe’s control, the 

Commission believes that the proposed 

rule change would help assure the 

safeguarding of securities and funds 

which are in the custody or control of 

ICE Clear Europe or for which it is 

responsible. Finally, for both of these 

reasons, the Commission believes the 

proposed rule change is consistent with 

protecting investors and the public 

interest. 

Therefore, the Commission finds that 

the proposed rule change would 

promote the prompt and accurate 

clearance and settlement of securities 

transactions, assure the safeguarding of 

securities and funds in ICE Clear 

Europe’s custody and control, and, in 

general, protect investors and the public 

interest, consistent with the Section 

17A(b)(3)(F) of the Act.39

B. Consistency With Rule 17Ad– 

22(e)(2)(i) 

Rule 17Ad–22(e)(2)(i) requires that 

ICE Clear Europe establish, implement, 

maintain and enforce written policies 

and procedures reasonably designed to 

provide for governance arrangements 

that are clear and transparent.40

As discussed above, the proposed rule 

change would revise ICE Clear Europe’s 

Price Discovery Policy to update the 

responsibilities of ICE Clear Europe’s 

clearing risk department. Under the 

revised Price Discovery Policy, the 

clearing risk department, in 

consultation with the trading advisory 

committee, would establish the 

parameters used in the EOD price 

discovery process, including 

determining the price-based floors and 

scaling factors used to establish BOWs. 

The Commission believes that the 

proposed rule change would thus help 

ICE Clear Europe assign responsibility 

within ICE Clear Europe’s existing 

governance structure for important 

aspects of EOD price discovery, such as 

setting parameters and scaling factors. 

The Commission further believes that 


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46008 Federal Register / Vol. 83, No. 176 / Tuesday, September 11, 2018 / Notices 

41 17 CFR 240.17Ad–22(e)(2)(i). 

42 17 CFR 240.17Ad–22(e)(6)(ii). 

43 17 CFR 240.17Ad–22(e)(6)(ii). 

44 17 CFR 240.17Ad–22(e)(6)(iv). 

45 17 CFR 240.17Ad–22(e)(6)(iv). 

46 15 U.S.C. 78q–1. 

47 17 CFR 240.17Ad–22(e)(2)(i), (e)(6)(ii), and 

(e)(6)(iv). 

48 15 U.S.C. 78s(b)(2). 

49 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). 

50 17 CFR 200.30–3(a)(12). 

the proposed rule change would help 

improve the effectiveness of the EOD 

price discovery process by specifically 

requiring the clearing risk department to 

consult the trading advisory committee, 

which would provide insight into 

current market dynamics and 

conditions. 

Therefore, for the above reasons the 

Commission finds that the proposed 

rule change is consistent with Rule 

17Ad–22(e)(2)(i).41

C. Consistency With Rule 17Ad– 

22(e)(6)(ii) 

Rule 17Ad–22(e)(6)(ii) requires that 

ICE Clear Europe establish, implement, 

maintain and enforce written policies 

and procedures reasonably designed to 

cover its credit exposures to its 

participants by establishing a risk-based 

margin system that marks participant 

positions to market and collects margin, 

including variation margin or equivalent 

charges if relevant, at least daily and 

includes the authority and operational 

capacity to make intraday margin calls 

in defined circumstances.42

As discussed above, the proposed rule 

change would enhance ICE Clear 

Europe’s EOD price discovery by 

amending the Price Discovery Policy to 

(1) compute a consensus BOW for each 

benchmark single-name instrument; (2) 

determine the final EOD BOW as the 

greater of an instrument’s final 

systematic BOW and a dynamic BOW; 

and (3) eliminate the use of the ISDA 

CDS Standard Model from the 

computation of BOWs for single-name 

instruments. 

The Commission believes that these 

changes, taken together, would help 

enhance ICE Clear Europe’s ability to 

determine the EOD BOW for singlename CDS instruments. By eliminating 

the use of the ISDA CDS Standard 

Model from the computation of singlename BOWs, accepting submissions 

only in price terms, and computing a 

consensus BOW for each benchmark 

single-name CDS instrument, the 

Commission believes the proposed rule 

change would help ICE Clear Europe to 

determine BOWs more consistently 

across single-name instruments on all 

reference entities, including those for 

which little intraday data is available. In 

addition, as noted above, the dynamic 

BOW would widen BOWs in response 

to the observed dispersion of pricespace levels submitted in the EOD price 

discovery process. Thus, by determining 

the final EOD BOW as the greater of an 

instrument’s final systematic BOW and 

a dynamic BOW, the Commission 

believes the proposed rule change 

would help the BOW to better reflect 

current market conditions. 

Consequently, the Commission 

believes that the proposed rule change 

would help improve ICE Clear Europe’s 

EOD pricing process by taking into 

account additional relevant information 

and considering a wider range of 

instruments in the pricing process. 

Because ICE Clear Europe uses EOD 

prices to mark participant positions to 

market and establish and collect margin, 

including variation margin, the 

Commission believes that improvements 

to the EOD pricing process would also 

enhance ICE Clear Europe’s covering of 

credit exposures to its participants and 

collection of margin. Moreover, the 

Commission believes the governance 

enhancements described above would 

help ensure that ICE Clear Europe’s 

clearing risk department maintains an 

effective EOD price discovery process 

and takes into account current market 

conditions by consulting with the 

trading advisory committee. The 

Commission therefore believes that the 

proposed rule change would help 

establish and maintain written policies 

and procedures reasonably designed to 

cover ICE Clear Europe’s credit 

exposures to its participants by 

establishing a risk-based margin system 

that marks participant positions to 

market and collects margin, including 

variation margin. 

Therefore, for the above reasons the 

Commission finds that the proposed 

rule change is consistent with Rule 

17Ad–22(e)(6)(ii).43

D. Consistency With Rule 17Ad– 

22(e)(6)(iv) 

Rule 17Ad–22(e)(6)(iv) requires that 

ICE Clear Europe establish, implement, 

maintain and enforce written policies 

and procedures reasonably designed to 

cover its credit exposures to its 

participants by establishing a risk-based 

margin system that uses reliable sources 

of timely price data and uses procedures 

and sound valuation models for 

addressing circumstances in which 

pricing data are not readily available or 

reliable.44

As discussed above, the proposed rule 

change would help improve the pricing 

data that ICE Clear Europe uses in its 

margin system. Specifically, the 

proposed rule change would, as 

discussed above, enhance the 

computation of BOWs for single-name 

CDS instruments by amending the Price 

Discovery Policy to (1) compute a 

consensus BOW for each benchmark 

single-name instrument; (2) determine 

the final EOD BOW as the greater of an 

instrument’s final systematic BOW and 

a dynamic BOW; and (3) eliminate the 

use of the ISDA CDS Standard Model 

from the computation of BOWs for 

single-name instruments. Because ICE 

Clear Europe uses BOWs to determine 

EOD price levels, the Commission 

believes that improvements in the 

collection and calculation of BOWs 

would improve the accuracy and 

reliability of ICE Clear Europe’s EOD 

price levels. Finally, because ICE Clear 

Europe uses its EOD price levels to mark 

participant positions to market and 

establish and collect margin, including 

variation margin, the Commission 

believes that the proposed rule change 

would help ensure that the ICE Clear 

Europe’s margin system uses reliable 

sources of timely price data. 

Therefore, for the above reasons the 

Commission finds that the proposed 

rule change is consistent with Rule 

17Ad–22(e)(6)(iv).45

IV. Conclusion 

On the basis of the foregoing, the 

Commission finds that the proposed 

rule change is consistent with the 

requirements of the Act, and in 

particular with the requirements of 

Section 17A(b)(3)(F) of the Act 46 and 

Rules 17Ad–22(e)(2)(i), (e)(6)(ii), and 

(e)(6)(iv) thereunder.47

It is therefore ordered pursuant to 

Section 19(b)(2) of the Act 48 that the 

proposed rule change (SR–ICEEU–2018– 

009) be, and hereby is, approved.49

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.50

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2018–19640 Filed 9–10–18; 8:45 am] 

BILLING CODE 8011–01–P 

DEPARTMENT OF STATE 

[Public Notice: 10538] 

Notice of Determinations; Culturally 

Significant Objects Imported for 

Exhibition—Determinations: ‘‘Tomma 

Abts’’ Exhibition 

SUMMARY: Notice is hereby given of the 

following determinations: I hereby 


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