Federal Register / Vol. 80, No. 32 / Wednesday, February 18, 2015 / Notices 8729 

12 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3Securities Exchange Act Release No. 34–73951 

(Dec. 29, 2014), 80 FR 269 (Jan. 5, 2015) (SR–ICC– 

2014–23). 

4 15 U.S.C. 78s(b)(2)(C). 

5 15 U.S.C. 78q–1(b)(3)(F). 

6 15 U.S.C. 78q–1. 

7 15 U.S.C. 78q–1(b)(3)(F). 

• Send an email to rule-comments@

sec.gov. Please include File Number SR– 

NASDAQ–2015–010 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Brent J. Fields, Secretary, Securities 

and Exchange Commission, 100 F Street 

NE., Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–NASDAQ–2015–010. 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 

filing also will be available for 

inspection and copying at the principal 

offices of the Exchange. 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– 

NASDAQ–2015–010, and should be 

submitted on or before March 11, 2015. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.12

Brent J. Fields, 

Secretary. 

[FR Doc. 2015–03232 Filed 2–17–15; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–74257; File No. SR–ICC– 

2014–23] 

Self-Regulatory Organizations; ICE 

Clear Credit LLC; Order Granting 

Approval of Proposed Rule Change To 

Revise ICC End-of-Day Price Discovery 

Policies and Procedures 

February 11, 2015. 

I. Introduction 

On December 18, 2014, ICE Clear 

Credit LLC (‘‘ICC’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change SR–ICC–2014–23 pursuant to 

Section 19(b)(1) of the Securities 

Exchange Act of 1934 (‘‘Act’’) 1 and Rule 

19b–4 thereunder.2 The proposed rule 

change was published for comment in 

the Federal Register on January 5, 

2015.3 The Commission received no 

comment letters regarding the proposed 

change. For the reasons discussed 

below, the Commission is granting 

approval of the proposed rule change. 

II. Description of the Proposed Rule 

Change 

ICC is proposing this change to revise 

the ICC End-of-Day Price Discovery 

Policies and Procedures to remove the 

ability for Clearing Participants to 

submit end-of-day submissions for 

Single Name instruments in terms of 

spread and associated recovery rate. 

This revision does not require any 

changes to the ICC Clearing Rules. 

ICC requires all Clearing Participants 

to provide end-of-day submissions for 

specific instruments related to their 

cleared open interest. ICC states that it 

uses these submissions as inputs to its 

price discovery algorithm, which 

determines end-of-day levels. 

According to ICC, it computes margin 

and guaranty fund requirements, and all 

other money movements, in price terms, 

but currently supports Clearing 

Participant submissions in terms of 

price (or the equivalent points upfront), 

or spread and associated recovery rate. 

As a result, according to ICC, the first 

step in the price discovery algorithm for 

Single Name instruments is to convert 

any submissions in terms of spread and 

associated recovery rate to the 

equivalent submission in price terms 

using the ISDA standard model. 

ICC therefore proposes to revise its 

End-of-Day Price Discovery Policies and 

Procedures to remove the ability for 

Clearing Participants to provide end-ofday submissions for Single Name 

instruments in terms of spread and 

associated recovery rate. Rather, ICC 

will require price (or the equivalent 

points upfront) submissions for all 

Single Name instruments. According to 

ICC, this change will result in the 

elimination of the use of the ISDA 

standard model to determine end-of-day 

prices for Single Name instruments. 

Furthermore, ICC also proposes to add 

clarifying language regarding its 

determination of implied recovery rates. 

III. Discussion and Commission 

Findings 

Section 19(b)(2)(C) of the Act 4 directs 

the Commission to approve a proposed 

rule change of a self-regulatory 

organization if the Commission finds 

that such proposed rule change is 

consistent with the requirements of the 

Act and the rules and regulations 

thereunder applicable to such selfregulatory organization. Section 

17A(b)(3)(F) of the Act 5 requires, among 

other things, that the rules of a clearing 

agency are 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. 

The Commission finds that the 

proposed rule change is consistent with 

Section 17A of the Act 6 and the rules 

thereunder applicable to ICC. The 

revised ICC End-of-Day Price Discovery 

Policies and Procedures will ensure ICC 

uses data that reflect its Clearing 

Participants’ view of the price of a given 

Single Name instrument, without the 

use of a model to imply a given price, 

resulting in an end-of-day price that is 

not subject to any potential model 

limitations or assumptions. As such, the 

Commission believes that the proposed 

rule change will promote the prompt 

and accurate settlement of securities 

and derivatives transactions, and 

therefore is consistent with the 

requirements of the Act and the rules 

and regulations thereunder applicable to 

ICC, in particular, Section 17A(b)(3)(F).7


emcdonald on DSK67QTVN1PROD with NOTICES
8730 Federal Register / Vol. 80, No. 32 / Wednesday, February 18, 2015 / Notices 

8 15 U.S.C. 78q–1. 

9 15 U.S.C. 78s(b)(2). 

10 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). 

11 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3Securities Exchange Act Release No. 34–73941 

(Dec. 24, 2014), 80 FR 75 (Jan. 2, 2015) (File No. 

SR–ICC–2014–21). 

4See Comment from Anonymous, dated January 

23, 2015, available at http://www.sec.gov/

comments/sr-icc-2014-21/icc201421-1.htm (stating 

‘‘Good Idea’’). 

5See Exchange Act Release No. 34–72941(Nov. 5, 

2014), 79 FR 67213 (Nov. 12, 2014) (File No. SR– 

ICC–2014–14) (order approving rule change to clear 

other Western European sovereign CDS contracts) 

(the ‘‘Prior WES Order’’). 

6 15 U.S.C. 78s(b)(2)(C). 

7 15 U.S.C. 78q–1(b)(3)(F). 

8 15 U.S.C. 78q–1. 

9 17 CFR 240.17Ad–22. 

IV. 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 Act 8

and the rules and regulations 

thereunder. 

It Is Therefore Ordered, pursuant to 

Section 19(b)(2) of the Act,9 that the 

proposed rule change (File No. SR–ICC– 

2014–23) be, and hereby is, approved.10

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.11

Brent J. Fields, 

Secretary. 

[FR Doc. 2015–03230 Filed 2–17–15; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–74256; File No. SR–ICC– 

2014–21] 

Self-Regulatory Organizations; ICE 

Clear Credit LLC; Order Approving 

Proposed Rule Change To Provide for 

the Clearance of Additional Standard 

Western European Sovereign Single 

Names 

February 11, 2015. 

I. Introduction 

On December 16, 2014, ICE Clear 

Credit LLC (‘‘ICC’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change SR–ICC–2014–21 pursuant to 

Section 19(b)(1) of the Securities 

Exchange Act of 1934 (‘‘Act’’) 1 and Rule 

19b–4 thereunder.2 The proposed rule 

change was published for comment in 

the Federal Register on January 2, 

2015.3 The Commission received one 

comment.4 For the reasons discussed 

below, the Commission is approving the 

proposed rule change. 

II. Description of the Proposed Rule 

Change 

ICC proposes to adopt rules that will 

provide the basis for ICC to clear 

additional credit default swap (‘‘CDS’’) 

contracts. Specifically, ICC is proposing 

to amend Section 26I of its Rules to 

provide for the clearance of additional 

Standard Western European Sovereign 

CDS contracts (collectively, ‘‘SWES 

Contracts’’). ICC has been approved to 

clear four SWES Contracts: the Republic 

of Ireland, the Italian Republic, the 

Portuguese Republic, and the Kingdom 

of Spain.5 The proposed changes to the 

ICC Rules would provide for the 

clearance of additional SWES Contracts, 

specifically the Kingdom of Belgium 

and the Republic of Austria (the 

‘‘Additional SWES Contracts’’). 

ICC states that these Additional SWES 

Contracts will be offered on the 2003 

and 2014 ISDA Credit Derivatives 

Definitions. ICC believes that the 

addition of these SWES Contracts will 

benefit the market for credit default 

swaps on Western European sovereigns 

by providing market participants the 

benefits of clearing, including reduction 

in counterparty risk and safeguarding of 

margin assets pursuant to clearing house 

rules. According to ICC, the clearing of 

the additional SWES Contracts will not 

require any changes in ICC’s risk 

management framework (including 

relevant policies) or margin model. ICC 

represents that the Additional SWES 

Contracts have terms consistent with the 

other SWES Contracts which ICC has 

been approved to clear and which will 

be governed by Subchapter 26I of the 

ICC rules, namely the Republic of 

Ireland, the Italian Republic, the 

Portuguese Republic, and the Kingdom 

of Spain. 

ICC proposes minor revisions to 

Subchapter 26I (Standard Western 

European Sovereign (‘‘SWES’’) Single 

Name) to provide for clearing the 

additional SWES Contracts. Rule 26I– 

102 will be modified to include the 

Kingdom of Belgium and the Republic 

of Austria in the list of specific Eligible 

SWES Reference Entities to be cleared 

by ICC. Additionally, in ICC Rule 26D– 

102 (Definitions), the definition of 

‘‘Eligible SES Reference Entity’’ will be 

modified to correct a typographical error 

and correctly identify the reference 

entity for a cleared product as Hungary 

(as opposed to the Republic of 

Hungary). 

III. Comments 

The Commission received one 

comment supporting approval of the 

proposed rule change. In this 

anonymous comment, the author 

expressed general support for the 

proposal but did not opine on any 

particular aspects of the proposal or 

offer any specific comment beyond a 

statement of general support. 

IV. Discussion and Commission 

Findings 

Section 19(b)(2)(C) of the Act 6 directs 

the Commission to approve a proposed 

rule change of a self-regulatory 

organization if the Commission finds 

that such proposed rule change is 

consistent with the requirements of the 

Act and the rules and regulations 

thereunder applicable to such selfregulatory organization. Section 

17A(b)(3)(F) of the Act 7 requires, among 

other things, that the rules of a clearing 

agency are 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. 

The Commission finds that clearing of 

the Additional SWES Contracts is 

consistent with the requirements of 

Section 17A of the Act 8 and regulations 

thereunder applicable to it, including 

the standards under Rule 17Ad–22.9

The proposed change will provide for 

clearing of Additional SWES Contracts 

in the same manner as other SWES 

Contracts. Specifically, the new 

contracts will be cleared, and the risk 

associated with clearing the new 

contracts will be appropriately 

managed, pursuant to ICC’s existing 

margin and guaranty fund methodology, 

operational and managerial procedures, 

settlement procedures and default 

management policies. The Commission 

believes that the proposal is therefore 

designed to promote the prompt and 

accurate clearance and settlement of 

securities transactions and derivative 

agreements, contracts and transactions 

cleared by ICC, to assure the 

safeguarding of securities and funds in 

the custody or control of ICC, and to 

protect investors and the public interest, 

within the meaning of is designed to 

promote the prompt and accurate 


emcdonald on DSK67QTVN1PROD with NOTICES