65268 Federal Register / Vol. 79, No. 212 / Monday, November 3, 2014 / Notices 

23 15 U.S.C. 78s(b)(3)(A). 

24 17 CFR 240.19b–4(f)(6). 

25 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3The Guide is available at http://www.dtcc.com/ 

∼/media/Files/Downloads/legal/service-guides/

Settlement.ashx. 

4Terms not otherwise defined herein have the 

meaning set forth in the Rules. 

5Securities Exchange Act Release No. 72576 (Jul. 

9, 2014); 79 FR 41335 (Jul. 15, 2014) (SR–DTC– 

2014–06). 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

The Exchange neither solicited nor 

received written comments on the 

proposed rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Because the foregoing proposed rule 

change does not: 

A. Significantly affect the protection 

of investors or the public interest; 

B. impose any significant burden on 

competition; and 

C. become operative for 30 days from 

the date on which it was filed, or such 

shorter time as the Commission may 

designate, it has become effective 

pursuant to Section 19(b)(3)(A) of the 

Act 23 and Rule 19b–4(f)(6) 24

thereunder. At any time within 60 days 

of the filing of the proposed rule change, 

the Commission summarily may 

temporarily suspend such rule change if 

it appears to the Commission that such 

action is necessary or appropriate in the 

public interest, for the protection of 

investors, or otherwise in furtherance of 

the purposes of the Act. If the 

Commission takes such action, the 

Commission will institute proceedings 

to determine whether the proposed rule 

change should be approved or 

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– 

CBOE–2014–081 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–CBOE–2014–081. 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 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; 

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–CBOE– 

2014–081, and should be submitted on 

or before November 24, 2014. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.25

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2014–26010 Filed 10–31–14; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–73443; File No. SR–DTC– 

2014–10] 

Self-Regulatory Organizations; The 

Depository Trust Company; Notice of 

Filing of Proposed Rule Change in 

Connection With the Modifications To 

Require Receiver Authorized Delivery 

Approval for DTC Processing of 

Institutional Delivery Transactions 

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, The Depository Trust 

Company (‘‘DTC’’) filed with the 

Securities Exchange Commission 

(‘‘Commission’’) the proposed rule 

change as described in Item I, II and III 

below, which Items have been prepared 

by DTC. The Commission is publishing 

this notice to solicit comments on the 

proposed change from interested 

persons. 

I. Clearing Agency’s Statement of the 

Terms of Substance of the Proposed 

Rule Change 

The proposed rule change consists of 

changes to the DTC Settlement Service 

Guide (the ‘‘Guide’’) 3 to require 

Participants to use the Receiver 

Authorized Delivery (‘‘RAD’’) function 

to accept (i.e., ‘‘match’’) any affirmed 

institutional delivery transaction (‘‘ID 

Transaction’’) prior to DTC processing 

of the related securities delivery.4

II. Clearing Agency’s Statement of the 

Purpose of, and Statutory Basis for, the 

Proposed Rule Change 

In its filing with the Commission, 

DTC 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. DTC 

has prepared summaries, set forth in 

sections A, B, and C below, of the most 

significant aspects of such statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

(1) Purpose 

DTC proposes to modify the Guide to 

require Participants to use RAD to 

accept any affirmed ID Transaction prior 

to DTC processing of the respective 

delivery of securities. 

RAD allows a receiver of valued 

deliveries of securities (‘‘Receiver’’) to 

manage which deliveries to accept, or to 

reject, prior to further processing by 

DTC. Prior to the proposed rule change, 

pursuant to a recent rule change (the 

‘‘Prior RAD Change’’) 5 DTC has 

instituted the requirement that all 

Deliver Orders and Payment Orders be 

approved through RAD for further 

processing at DTC. The purpose of the 

Prior RAD Change and this proposed 

rule change is to establish a consistent 

internal ‘‘matching’’ system for bookentry deliveries at DTC, by which the 

agreement of the Participant delivering 

securities (‘‘Deliverer’’) and Receiver is 

mstockstill on DSK4VPTVN1PROD with NOTICES

Federal Register / Vol. 79, No. 212 / Monday, November 3, 2014 / Notices 65269 

6Receivers may optionally set their DTC profile 

to route ID Transactions to RAD. 7For processing efficiency, the proposed change 

to the Guide would offer Participants the option to 

set their system profile to allow affirmed ID 

Transactions to be automatically accepted in RAD. 

However, Participants would no longer have an 

option to allow ID Transactions to bypass RAD. 

8 DTC risk management controls, including 

Collateral Monitor and Net Debit Cap (as defined in 

DTC Rule 1), are designed so that DTC may 

complete system-wide settlement notwithstanding 

the failure to settle of its largest Participant or 

affiliated family of Participants. The Collateral 

Monitor tests that a Receiver has adequate collateral 

to secure the amount of its net debit balance and 

the Net Debit Cap limits the net debit balance of a 

Participant so that it cannot exceed DTC liquidity 

resources for settlement. See DTC Rules, http://

dtcc.com/∼/media/Files/Downloads/legal/rules/

dtc_rules.ashx. 

9 15 U.S.C. 78q–1(b)(3)(F). 

10 17 CFR 240.17Ad–22(d)(12). 

confirmed with respect to each delivery 

for purposes of DTC settlement. 

ID Transactions generally have not 

required RAD approval, because these 

transactions are externally pre-matched 

through Omgeo, LLC: the Guide has 

permitted Participants, at their option, 

to apply RAD.6 Instead of RAD, a 

Participant may use the same-day 

reclaim process to return securities to 

the original Deliverer without the 

acceptance of the latter. This process 

creates uncertainty for Participants and 

DTC with respect to ID Transactions as 

to whether securities would be 

delivered or reclaimed on the same day 

without the prior acceptance of the 

Receiver or original Deliverer, as 

applicable. 

Pursuant to the proposed rule change, 

DTC would amend the Guide to 

eliminate this uncertainty by providing 

that ID Transactions would only be 

processed for delivery once the 

intended Receiver has approved the 

transaction in RAD.7 Same day reclaims 

would also be subject to RAD approval 

by the original Deliverer. As with any 

securities delivery, these transactions 

would be subject to risk management 

controls.8

Additionally, the Guide would be 

updated for technical changes to: (i) 

Update the text for consistency to reflect 

that all valued Deliver Orders, Payment 

Orders, ID Transactions, MMI 

transactions, reclaims, pledges and 

releases of pledged securities would be 

subject to RAD; (ii) update the text for 

consistency to reflect that all reclaims 

would be subject to risk management 

controls and remove references to 

system functions related to reclaims that 

have become obsolete; (iii) add an email 

address to which Settling Banks seeking 

to adjust Net Debit Caps may send their 

requests, in addition to via mail or 

overnight delivery to the existing 

mailing address; (iv) indicate where 

Participants may access certain system 

functions via Settlement Web either in 

addition to, or in lieu of, PBS/PTS; (v) 

eliminate references to fees, relating to 

the ID Net service, which are redundant 

since those fees are also listed in DTC’s 

fee schedule; and (vi) delete reference to 

the population of a ‘‘third party’’ field 

on DTC’s system screens for the ID Net 

service which is no longer applicable. 

Implementation. The effective date of 

the proposed rule change would be 

announced via a DTC Important Notice. 

(2) Statutory Basis 

The proposed rule change would 

reduce uncertainty relating to settlement 

of securities deliveries for ID 

transactions through DTC by requiring 

acceptance by the receiving party prior 

to delivery. Therefore, the proposed rule 

change is consistent with the provisions 

of Section 17A(b)(3)(F) 9 of the Act 

which requires that the rules of the 

clearing agency be designed, inter alia, 

to promote the prompt and accurate 

clearance and settlement of securities 

transactions. In addition, the proposed 

rule change is consistent with Rule 

17Ad–22(d)(12) of the Act 10 which 

requires that a clearing agency establish, 

implement, maintain and enforce 

written policies and procedures 

reasonably designed to ensure that final 

settlement occurs no later than the end 

of the settlement day and requires that 

intraday or real-time finality be 

provided where necessary to reduce 

risks. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

DTC does not believe that the 

proposed rule change would have any 

impact, or impose any burden, on 

competition. 

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 yet been 

solicited or received with respect to this 

filing. 

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 No. SR– 

DTC–2014–10 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–DTC–2014–10. 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 the 

filing also will be available for 

inspection and copying at the principal 

office of DTC and on DTC’s Web site at 

http://dtcc.com/legal/sec-rulefilings.aspx. 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 No. SR–DTC–2014– 

10 and should be submitted on or before 

November 24, 2014. 

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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