Federal Register / Vol. 80, No. 20 / Friday, January 30, 2015 / Notices 5169 

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

2 17 CFR 240.19b–4. 

3Current cross-currency haircuts are set out in 

the List of Permitted Cover and Limits on Collateral 

published on the Clearing House’s Web site, https:// 

www.theice.com/publicdocs/clear_europe/list-ofpermitted-covers.pdf. 

4 15 U.S.C. 78q–1. 

5 15 U.S.C. 78q–1(b)(3)(F). 

6 15 U.S.C. 78q–1(b)(3)(F). 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.21

Jill M. Peterson, 

Assistant Secretary. 

[FR Doc. 2015–01754 Filed 1–29–15; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–74133; File No. SR–ICEEU– 

2015–003] 

Self-Regulatory Organizations; ICE 

Clear Europe Limited; Notice of Filing 

and Order Granting Accelerated 

Approval of Proposed Rule Change 

Related to New Haircuts 

January 26, 2015. 

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 January 

23, 2015, ICE Clear Europe Limited 

(‘‘ICE Clear Europe’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change as described in Items I, II, and 

III below, which Items have been 

prepared primarily by ICE Clear Europe. 

The Commission is publishing this 

notice to solicit comments on the 

proposed rule change from interested 

persons and to approve the proposed 

rule change on an accelerated basis. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The principal purpose of the 

proposed rule change is to modify the 

cross-currency haircuts applied by ICE 

Clear Europe to Permitted Cover 

provided by Clearing Members in order 

to address recent volatility in Swiss 

franc (‘‘CHF’’) exchange rates. The 

Clearing House has determined to 

modify the CHF cross-currency haircuts 

as follows: 

PROPOSED CHF CROSS CURRENCY

HAIRCUTS

Currency pair 

Current 

haircut 

(%) 

Proposed 

haircut 

(%) 

CHF–CAD ................. 10.00 16.00 

CHF–CZK ................. 6.00 17.25 

CHF–DKK ................. 6.00 17.25 

CHF–EUR ................. 10.00 17.25 

CHF–GBP ................. 10.00 16.25 

CHF–HUF ................. 6.00 17.25 

CHF–JPY .................. 6.00 16.25 

CHF–NOK ................. 6.00 14.75 

PROPOSED CHF CROSS CURRENCY

HAIRCUTS—Continued 

Currency pair 

Current 

haircut 

(%) 

Proposed 

haircut 

(%) 

CHF–PLN ................. 6.00 18.50 

CHF–SEK ................. 8.00 16.00 

CHF–TRY ................. 6.00 17.50 

CHF–USD ................. 10.00 15.75 

CHF–ZAR ................. 6.00 19.75 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

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 III below. ICE 

Clear Europe has prepared summaries, 

set forth in sections A, B, and C below, 

of the most significant aspects of these 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

Under its existing margin and haircut 

methodology, ICE Clear Europe imposes 

an additional haircut, referred to as a 

‘‘cross-currency haircut,’’ with respect 

to assets provided by Clearing Members 

as Permitted Cover for margin 

obligations where the Permitted Cover is 

denominated in a different currency 

from that of the relevant margin 

requirement. The cross-currency haircut 

is designed to protect the Clearing 

House against exchange rate risk in the 

event it needs to liquidate the Permitted 

Cover and convert the proceeds into the 

currency of the relevant underlying 

obligation following a Clearing Member 

default.3

As has been publicly reported, on 

January 15, 2015, the Swiss central bank 

discontinued a policy establishing a 

minimum exchange rate of 1.20 Swiss 

francs per Euro. Very large moves in 

Swiss franc exchange rates followed that 

decision, with the result that the Swiss 

franc appreciated approximately 16– 

17% on that day against other major 

currencies such as the US dollar, Euro 

and British pound. Because that level of 

appreciation exceeded the existing 

cross-currency haircut of 10% applied 

by the Clearing House for those 

currency pairs, the Clearing House, 

consistent with its internal policies, 

reviewed the cross-currency haircut 

levels for all relevant Swiss franc 

currency pairs. As a result of that 

review, the Clearing House determined 

to modify the CHF cross-currency 

haircuts as set forth in Item I above. 

In reviewing the haircuts, the Clearing 

House applied, consistent with its 

policies and practices, a value at risk 

model under both parametric and 

historical simulation methods, taking 

into account both recent volatility and 

historical volatility, and looking at both 

one and two day liquidation period 

assumptions for the relevant Permitted 

Cover. 

2. Statutory Basis 

ICE Clear Europe believes that the 

change in CHF cross-currency haircuts 

is consistent with the requirements of 

Section 17A of the Act 4 and the 

regulations thereunder applicable to it, 

and in particular, is consistent with the 

prompt and accurate clearance of and 

settlement of securities transactions, the 

safeguarding of securities and funds in 

the custody or control of ICE Clear 

Europe and the protection of investors 

and the public interest, within the 

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

Act.5 ICE Clear Europe is proposing the 

change in response to a significant 

recent increase in the volatility of CHF 

exchange rates as observed in the 

market. The Clearing House has 

determined, based on the application of 

its internal policies and value at risk 

models, that the proposed increase in 

cross-currency haircuts is appropriate to 

protect the Clearing House against 

currency risk where Clearing Members 

provide Permitted Cover in one 

currency to cover margin obligations in 

a different currency. The change thus 

enhances the Clearing House’s risk 

management, margin framework and 

financial resources to support its 

clearing operations in the event of 

Clearing Member default. As a result, 

ICE Clear Europe believes that the 

change will facilitate the prompt and 

accurate clearance and settlement of 

securities and derivatives transactions, 

and promote the public interest and the 

protection of investors, within the 

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

Act.6


asabaliauskas on DSK5VPTVN1PROD with NOTICES
5170 Federal Register / Vol. 80, No. 20 / Friday, January 30, 2015 / Notices 

7 15 U.S.C. 78s(b)(2)(C). 

8 15 U.S.C. 78q–1(b)(3)(F). 

9 15 U.S.C. 78q–1. 

10 15 U.S.C. 78q–1(b)(3)(F). 

11 15 U.S.C. 78s(b)(2)(C)(iii). 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

ICE Clear Europe does not believe the 

proposed changes would have any 

impact, or impose any burden, on 

competition not necessary or 

appropriate in furtherance of the 

purposes of the Act. The proposed 

change will apply to all Clearing 

Members and market participants that 

provide Permitted Cover in 

circumstances where a CHF crosscurrency haircut applies. ICE Clear 

Europe does not believe the change will 

have a material effect on access to 

clearing or the ability of Clearing 

Members and other market participants 

to obtain clearing services, or limit 

market participants’ choices for clearing 

contracts. Although the increased 

haircuts may increase the cost of using 

certain types of Permitted Cover, ICE 

Clear Europe believes that such costs are 

warranted by the increased CHF 

exchange rate risk presented to the 

Clearing House. As a result, ICE Clear 

Europe believes that any impact on 

competition is appropriate in 

furtherance of the purposes of the Act. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants or Others 

Written comments relating to the 

proposed changes have not been 

solicited or received. ICE Clear Europe 

will notify the Commission of any 

written comments received by ICE Clear 

Europe. 

III. 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 rule-comments@

sec.gov. Please include File Number SR– 

ICEEU–2015–003 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–2015–003. 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 also will be available for 

inspection and copying at the principal 

office of ICE Clear Europe and on ICE 

Clear Europe’s Web site at https://

www.theice.com/clear-europe/

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–ICEEU–2015–003 and 

should be submitted on or before 

February 20, 2015. 

IV. Commission’s Findings and Order 

Granting Accelerated Approval of 

Proposed Rule Change 

Section 19(b)(2)(C) of the Act 7 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 8 requires, 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, and, in 

general, to protect investors and the 

public interest. 

The Commission finds that the 

proposed revisions to the Swiss franc 

cross-currency haircuts are consistent 

with the requirements of Section 17A of 

the Act 9 and the rules and regulations 

thereunder applicable to ICE Clear 

Europe. ICE Clear Europe proposes to 

revise the cross-currency haircut levels 

for all relevant Swiss franc currency 

pairs in response to increased volatility 

in Swiss franc exchange rates, which 

has resulted in appreciation of the Swiss 

franc exceeding the existing crosscurrency haircuts applied to its Swiss 

franc currency pairs. The revised 

haircuts, which were determined using 

risk-based models and parameters, are 

intended to protect ICE Clear Europe 

from exchange rate risk in the event it 

needs to liquidate relevant Permitted 

Cover and convert the proceeds into the 

currency of the relevant underlying 

obligation following the default of a 

Clearing Member. The Commission 

therefore believes that the proposed rule 

change is designed to promote the 

prompt and accurate clearance and 

settlement of securities and derivatives 

transactions, and, in general, to protect 

investors and the public interest, 

consistent with Section 17A(b)(3)(F) of 

the Act 10 and the rules and regulations 

thereunder. 

ICE Clear Europe has requested that 

the Commission approve the proposed 

rule change on an accelerated basis for 

good cause shown. ICE Clear Europe 

states that the proposed rule change is 

intended to address a recent market 

development resulting in substantially 

increased volatility in Swiss franc 

exchange rates. ICE Clear Europe 

believes that in light of these 

developments, it is necessary to increase 

the Swiss franc cross-currency haircuts 

as set forth herein in order to 

appropriately manage the currency risks 

from Permitted Cover provided to the 

Clearing House. ICE Clear Europe 

further believes that a delay in 

implementation of the proposed 

changes could adversely affect its risk 

management and unnecessarily expose 

the Clearing House to increased 

currency risk if it were necessary to 

liquidate Permitted Cover in the event 

of a Clearing Member default. 

Accordingly, the Commission finds 

good cause, pursuant to Section 

19(b)(2)(C)(iii) of the Act,11 for 

approving the proposed rule change on 

an accelerated basis. 

V. Conclusion 

On the basis of the foregoing, the 

Commission finds that the proposal is 

consistent with the requirements of the 

Act and in particular with the 

requirements of Section 17A of the 


asabaliauskas on DSK5VPTVN1PROD with NOTICES
Federal Register / Vol. 80, No. 20 / Friday, January 30, 2015 / Notices 5171 

12 15 U.S.C. 78q–1. 

13 15 U.S.C. 78s(b)(2). 

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). 

15 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3OCC also filed proposals in this proposed rule 

change as an advance notice under Section 

806(e)(1) of the Payment, Clearing, and Settlement 

Supervision Act of 2010. 12 U.S.C. 5465(e)(1). See 

File No. SR–OCC–2014–813. In Items I and II 

below, OCC states that the purpose of this proposal 

is in part to facilitate compliance with the SEC 

Proposed Rules (as defined below) and address 

Principle 15 of the Principles for Financial Market 

Infrastructures. The Commission notes that the SEC 

Proposed Rules are pending. The Commission will 

evaluate the proposed rule change under the Act 

and the rules currently in force thereunder. 

4The Capital Plan has also been filed with the 

Commission as an advance notice (SR–OCC–2014– 

813), which was amended and restated on January 

14, 2015. 

5The material features of the Capital Plan are 

summarized in the Term Sheet that is included as 

Exhibit 3 to this filing. Certain details of the Term 

Sheet may change as a result of negotiations 

between OCC and the Stockholder Exchanges or 

changes in financial figures, but OCC does not 

anticipate any material changes to the Capital Plan. 

6See Securities Exchange Act Release No. 71699 

(March 12, 2014), 79 FR 29507 (May 22, 2014) 

(‘‘SEC Proposed Rules’’). 

Act 12 and the rules and regulations 

thereunder. 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,13 that the 

proposed rule change (SR–ICEEU–2015– 

003) be, and hereby is, approved on an 

accelerated basis.14

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.15

Jill M. Peterson, 

Assistant Secretary. 

[FR Doc. 2015–01752 Filed 1–29–15; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–74136; File No. SR–OCC– 

2015–02] 

Self-Regulatory Organizations; The 

Options Clearing Corporation; Notice 

of Filing of a Proposed Rule Change 

Concerning a Proposed Capital Plan 

for Raising Additional Capital That 

Would Support the Options Clearing 

Corporation’s Function as a 

Systemically Important Financial 

Market Utility 

January 26, 2015. 

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 January 

14, 2015, The Options Clearing 

Corporation (‘‘OCC’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change as described in Items I and II 

below, which Items have been prepared 

OCC.3 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 

This proposed rule change is filed by 

OCC in order to set forth a proposed 

Capital Plan for raising additional 

capital that would support OCC’s 

function as a systemically important 

financial market utility and facilitate 

OCC’s compliance with new regulatory 

requirements applicable to systemically 

important financial market utilities that 

have been proposed by the Commission 

but have not yet been adopted. 

II. Clearing Agency’s Statement of the 

Purpose of, and Statutory Basis for, the 

Proposed Rule Change 

In its filing with the Commission, 

OCC 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. OCC 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 

1. Purpose 

OCC is proposing to amend its ByLaws and other governing documents, 

and to adopt certain policies, for the 

purpose of implementing a plan for 

raising additional capital (‘‘Capital 

Plan’’) under which the options 

exchanges that own equity in OCC 

(‘‘Stockholder Exchanges’’ or 

‘‘Stockholders’’) would make an 

additional capital contribution and 

commit to replenishment capital 

(‘‘Replenishment Capital’’) in 

circumstances discussed below, and 

would receive, among other things, the 

right to receive dividends from OCC.4 In 

addition to the additional capital 

contribution and Replenishment 

Capital, the main features of the Capital 

Plan are: (i) A policy establishing OCC’s 

fees at a level that would be sufficient 

to cover OCC’s estimated operating 

expenses plus a ‘‘Business Risk Buffer’’ 

as described below (‘‘Fee Policy’’), (ii) a 

policy establishing the amount of the 

annual refund to clearing members of 

OCC’s fees (‘‘Refund Policy’’), and (iii) 

a policy for calculating the amount of 

dividends to be paid to the Stockholder 

Exchanges (‘‘Dividend Policy’’). The 

Capital Plan is proposed to be 

implemented on or about February 27, 

2015, subject to all necessary regulatory 

approvals.5

The Capital Plan would significantly 

increase OCC’s capital in connection 

with its increased responsibilities as a 

systemically important financial market 

utility, and OCC believes that it would 

facilitate OCC’s compliance with new 

regulatory requirements applicable to 

such systemically important financial 

market utilities that have been proposed 

by the Commission but have not yet 

been adopted.6 For purposes of its 

capital planning, OCC has used the 

working assumption that the new 

requirements contained in the 

Commission’s proposed amendments to 

Rule 17Ad–22 of the SEC Proposed 

Rules will be adopted substantially as 

proposed, and the Capital Plan is 

intended to ensure OCC’s ability to 

comply with Rule 17Ad–22, specifically 

paragraph (e)(15) thereof, when the SEC 

Proposed Rules become effective. In 

addition, it is intended to address 

Principle 15 of the Principles for 

Financial Market Infrastructures 

published by the Bank for International 

Settlements and the International 

Organization of Securities Commissions, 

which provides, among other things, 

that a financial market utility should 

identify, monitor and manage its general 

business risk and hold sufficient liquid 

net assets funded by equity to cover 

potential general business losses so that 

it can continue to operate as a going 

concern. The Capital Plan calls for an 

infusion of substantial additional equity 

capital by the Stockholder Exchanges to 

be made prior to February 27, 2015, 

subject to regulatory approval, that 

when added to retained earnings 

accumulated by OCC in 2014 will 

significantly increase OCC’s capital 

levels as compared to historical levels. 

Additionally, the Capital Plan includes 

the Replenishment Capital commitment, 

which would provide OCC access to 

additional equity contributed by the 

Stockholder Exchanges should OCC’s 

equity fall close to or below the amount 

that OCC determines to be appropriate 

to support its business and manage 

business risk in compliance with Rule 

17Ad–22, as discussed more fully 

below. 


asabaliauskas on DSK5VPTVN1PROD with NOTICES