65270 Federal Register / Vol. 79, No. 212 / Monday, November 3, 2014 / Notices 

11 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3Commission Delegated Regulation (EU) No. 153/ 

2013 of 19 December 2012 Supplementing 

Regulation (EU) No. 648/2012 of the European 

Parliament and of the Council with regard to 

Regulatory Technical Standards on Requirements 

for Central Counterparties (the ‘‘Regulatory 

Technical Standards’’). 

4 15 U.S.C. 78q–1(b)(3)(F). 

5 Id. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.11

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2014–26004 Filed 10–31–14; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–73444; File No. SR–ICC– 

2014–18] 

Self-Regulatory Organizations; ICE 

Clear Credit LLC; Notice of Filing of 

Proposed Rule Change To Revise the 

ICC Risk Management Framework 

October 28, 2014. 

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 October 

22, 2014, ICE Clear Credit LLC (‘‘ICC’’) 

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 ICC. 

The Commission is publishing this 

notice to solicit comments on the 

proposed rule change from interested 

persons. 

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 revise the 

ICC Risk Management Framework to 

incorporate certain risk model 

enhancements. These revisions do not 

require any changes to the ICC Clearing 

Rules (‘‘Rules’’). 

II. Self-Regulatory Organization’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. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

ICC proposes revising the ICC Risk 

Management Framework to incorporate 

risk model enhancements related to 

anti-procyclicality, devolatilization, 

liquidity charges, and concentration 

charges. ICC believes such revisions will 

facilitate the prompt and accurate 

clearance and settlement of securities 

transactions and derivative agreements, 

contracts, and transactions for which it 

is responsible. The proposed revisions 

are described in detail as follows. 

ICC proposes revising the ICC Risk 

Management Framework to facilitate 

compliance with requirements under 

the European Market Infrastructure 

Regulations, specifically antiprocyclicality conditions described in 

Article 28 of the Regulatory Technical 

Standards.3 Currently, ICC considers 

three levels of volatility in its Risk 

Management Framework to account for 

stable but prudent margin requirements. 

ICC proposes adding a fourth volatility 

scale that assigns a 25% weight to a 

stress period (currently the stress period 

is set to January 14, 2008 to December 

31, 2008) and the remaining 75% to the 

immediate most recent 250 

observations, consistent with Article 

28(b) of the Regulatory Technical 

Standards. The revised initial margin 

requirements are expected to result in 

more conservative initial margin figures 

for some risk factors. In addition, ICC 

proposes introducing devolatilization 

enhancements to describe spread logreturn time series that span market 

periods associated with different 

volatility regimes. 

Additionally, ICC proposes a revised 

approach to computing index liquidity 

charges. The enhancement consists of 

reducing the portfolio liquidity benefits 

across different index series. As part of 

its product offering, ICC clears credit 

default swap (‘‘CDS’’) index series. A 

new series of CDS indices is issued 

every six months, and the new series is 

referred to as being ‘‘on-the-run,’’ while 

previous series is referred to as being 

‘‘off-the-run.’’ The revised calculation 

establishes series-specific liquidity 

charges by considering the seriesspecific positions and establishing 

series-specific position directionality 

based on the corresponding 5-year 

equivalent notional amount 

directionality. Further, to capture the 

market behavior around index rolls 

when the bid/offer width for index-roll 

transactions (i.e., trading the on-the-run 

vs. first off-the-run indices) is typically 

smaller than the bid/offer width of each 

individual leg, ICC proposes 

implementing time-dependent long/

short liquidity charge portfolio benefits 

for the on-the-run and the first off-the 

run series. The proposed revisions to 

the liquidity charges are expected to 

result in more conservative 

requirements than the ones associated 

with the current approach. 

ICC also proposes enhancements to 

the calculation of its concentration 

charges by introducing index seriesspecific concentration charges. The 

revised calculation establishes seriesspecific concentration charges for 

positions exceeding series-specific 

concentration threshold limits based on 

the direction of the 5-year equivalent 

notional amount or the net notional 

amount. Under the revised calculation, 

ICC will estimate series-specific 

concentration charge threshold limits 

based on the distribution of seriesspecific open interest information at the 

Clearing House. The estimated seriesspecific concentration charge threshold 

limits reflect the average open interest 

over a 5-day period. The proposed 

revisions to the concentration charge are 

expected to result in more conservative 

requirements than the ones associated 

with the current approach. 

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 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 17(A)(b)(3)(F),5 because ICC 

believes that the proposed rule changes 

will promote the prompt and accurate 

clearance and settlement of securities 

transactions, derivatives agreements, 

contracts, and transactions, as the 

proposed risk model revisions enhance 

risk policies and are expected to impose 

more conservative initial margin 

requirements, which would enhance the 

financial resources available to ICC and 

thereby facilitate its ability to promptly 

and accurately clear and settle its 

mstockstill on DSK4VPTVN1PROD with NOTICES

Federal Register / Vol. 79, No. 212 / Monday, November 3, 2014 / Notices 65271 

6 Id. 7 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

cleared CDS contracts. In addition, the 

proposed revisions are consistent with 

the relevant requirements of Rule 17Ad– 

22. In particular, the amendments to the 

Risk Management Framework will 

enhance the financial resources 

available to the Clearing House by 

imposing a more conservative initial 

margin requirement, and are therefore 

reasonably designed to meet the margin 

and financial resource requirements of 

Rule 17Ad–22(b)(2–3). As such, the 

proposed rule changes are designed to 

promote the prompt and accurate 

clearance and settlement of securities 

transactions, derivatives agreements, 

contracts, and transactions within the 

meaning of Section 17A(b)(3)(F) 6 of the 

Act. 

B. Self-Regulatory Organization’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 risk model enhancements 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. Self-Regulatory Organization’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 rule-comments@

sec.gov. Please include File Number SR– 

ICC–2014–18 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–2014–18. 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–2014–18 and should 

be submitted on or before November 24, 

2014. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.7

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2014–26005 Filed 10–31–14; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–73446; File No. SR–BX– 

2014–050] 

Self-Regulatory Organizations; 

NASDAQ OMX BX, Inc.; Notice of Filing 

and Immediate Effectiveness of 

Proposed Rule Change Relating to 

Collection of Exchange Fees 

October 28, 2014. 

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 October 

16, 2014, NASDAQ OMX BX, Inc. (‘‘BX’’ 

or ‘‘Exchange’’) filed with the Securities 

and Exchange Commission (‘‘SEC’’ or 

‘‘Commission’’) the proposed rule 

change as described in Items I, II, and 

III below, which Items have been 

prepared by the Exchange. The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

change from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to amend 

Exchange Rule 7011, which is currently 

reserved, and entitle it ‘‘Collection of 

Exchange Fees and Other Claims’’ and 

require each BX member, and all 

applicants for registration as such, to 

provide a clearing account number for 

an account at the National Securities 

Clearing Corporation (‘‘NSCC’’) for 

purposes of permitting the Exchange to 

debit certain fees, fines, charges and/or 

other monetary sanctions or other 

monies due and owing to the Exchange. 

The text of the proposed rule change 

is available on the Exchange’s Web site 

at http://

nasdaqomxbx.cchwallstreet.com, at the 

principal office of the Exchange, and at 

the Commission’s Public Reference 

Room. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

Exchange 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. The 

Exchange has prepared summaries, set 

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

mstockstill on DSK4VPTVN1PROD with NOTICES