Federal Register / Vol. 79, No. 218 / Wednesday, November 12, 2014 / Notices 67213 

12The Exchange has fulfilled this requirement. 

13 15 U.S.C. 78s(b)(3)(A). 

14 17 CFR 240.19b–4(f)(6). 

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

16 17 CFR 240.19b–4(f)(6). 

17 17 CFR 240.19b–4(f)(6)(iii). 

18For purposes only of accelerating the operative 

date of this proposal, the Commission has 

considered the proposed rule’s impact on 

efficiency, competition, and capital formation. 15 

U.S.C. 78c(f). 

19 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. 34–72941 

(Aug. 28, 2014), 79 FR 52794 (Sep. 4, 2014) (SR– 

ICC–2014–14). 

4Securities Exchange Act Release No. 34–73384 

(Oct. 17, 2014), 79 FR 63453 (Oct. 23, 2014) (SR– 

ICC–2014–14). 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Because the foregoing proposed rule 

does not (i) significantly affect the 

protection of investors or the public 

interest; (ii) impose any significant 

burden on competition; and (iii) become 

operative for 30 days from the date on 

which it was filed, or such shorter time 

as the Commission may designate if 

consistent with the protection of 

investors and the public interest, 

provided that the self-regulatory 

organization has given the Commission 

written notice of its intent to file the 

proposed rule change at least five 

business days prior to the date of filing 

of the proposed rule change or such 

shorter time as designated by the 

Commission,12 the proposed rule 

change has become effective pursuant to 

Section 19(b)(3)(A) of the Act 13 and 

Rule 19b–4(f)(6) thereunder.14

At any time within 60 days of the 

filing of such 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 shall institute proceedings 

under Section 19(b)(2)(B) 15 of the Act to 

determine whether the proposed rule 

change should be approved or 

disapproved. 

A proposed rule change filed under 

Rule 19b–4(f)(6) 16 normally does not 

become operative prior to 30 days after 

the date of the filing. However, pursuant 

to Rule 19b–4(f)(6)(iii),17 the 

Commission may designate a shorter 

time if such action is consistent with the 

protection of investors and the public 

interest. The Exchange has asked the 

Commission to waive the 30-day 

operative delay so that the proposal may 

become operative immediately upon 

filing. The Exchange believes that 

waiving the 30-day delay is consistent 

with the protection of investors and the 

public interest because it would permit 

the Exchange to more promptly update 

its Market Data Fee Schedule about free 

product offerings, thereby promoting 

transparency regarding already-filed 

market data products. The Commission 

agrees and has determined to waive the 

five-day pre-filing requirement and the 

30-day operative date so that the 

proposal may take effect upon filing.18

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– 

NYSE–2014–57 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–NYSE–2014–57. 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 will also be available for 

inspection and copying at the NYSE’s 

principal office and on its Internet Web 

site at www.nyse.com. 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–NYSE– 

2014–57 and should be submitted on or 

before December 3, 2014. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.19

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2014–26687 Filed 11–10–14; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–73534; File No. SR–ICC– 

2014–14] 

Self-Regulatory Organizations; ICE 

Clear Credit LLC; Order Approving 

Proposed Rule Change To Add Rules 

Related to the Clearing of Standard 

Western European Sovereign CDS 

Contracts 

November 5, 2014. 

I. Introduction 

On August 25, 2014, ICE Clear Credit 

LLC (‘‘ICC’’) filed with the Securities 

and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change SR–ICC–2014–14 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 September 4, 

2014.3 The Commission did not receive 

comments on the proposed rule change. 

On October 17, 2014, the Commission 

extended the time period in which to 

either approve, disapprove, or institute 

proceedings to determine whether to 

disapprove the proposed rule change to 

December 3, 2014.4 For the reasons 

discussed below, the Commission is 

approving the proposed rule change. 

II. Description of the Proposed Rule 

Change 

ICC proposes to amend Chapter 26 of 

the ICC Clearing Rules (‘‘Rules’’) to add 

Subchapter 26I and to amend the ICC 

Risk Management Framework to provide 

for the clearance of Standard Western 

European Sovereign (‘‘SWES’’) credit 

default swap (‘‘CDS’’) contracts, 

specifically the Republic of Ireland, the 

Italian Republic, the Portuguese 

Republic, and the Kingdom of Spain 

(collectively, the ‘‘SWES Contracts’’). 


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67214 Federal Register / Vol. 79, No. 218 / Wednesday, November 12, 2014 / Notices 

5See Securities Exchange Act Release No. 34– 

72701 (Jul. 29, 2014); 79 FR 45565 (Aug. 5, 2014) 

(SR–ICC–2014–11). 6 ICC rule filing SR–ICC–2014–11 was approved 

by the Commission on September 5, 2014. See 

Securities Exchange Act Release No. 34–73007 

(Sep. 5, 2014), 79 FR 54331 (Sep. 11, 2014) (SR– 

ICC–2014–11). 

7The proposed changes to the ICC Rules are 

described in further detail in the notice of filing of 

the proposed rule change. See supra note 3. 

8 15 U.S.C. 78s(b)(2)(C). 

9 15 U.S.C. 78q–1(b)(3)(F). 

ICC states that the proposed rule 

change is dependent on the approval 

and implementation of the proposed 

rule change contained in ICC rule filing 

SR–ICC–2014–11,5 amending the ICC 

Rules, Restructuring Procedures, and 

Risk Management Framework to 

incorporate references to the revised 

Credit Derivatives Definitions, as 

published by the International Swaps 

and Derivatives Association, Inc. 

(‘‘ISDA’’) on February 21, 2014 (the 

‘‘2014 ISDA Definitions’’) and that 

SWES Contracts will only be offered on 

the 2014 ISDA Definitions.6

ICC represents that the SWES 

Contracts have similar terms to the 

Standard North American Corporate 

Single Name CDS contracts (‘‘SNAC 

Contracts’’) currently cleared by ICC and 

governed by Subchapter 26B of the ICC 

Rules, the Standard Emerging Sovereign 

CDS contracts (‘‘SES Contracts’’) 

currently cleared by ICC and governed 

by Subchapter 26D of the ICC Rules, and 

the Standard European Corporate Single 

Name CDS contracts (‘‘SDEC Contracts’’) 

currently cleared at ICC and governed 

by Subchapter 26G of the ICC Rules. 

Accordingly, ICC states that the 

proposed rules found in Subchapter 26I 

largely mirror the ICC Rules for SNAC 

Contracts in Subchapter 26B, SES 

Contracts in Subchapter 26D, and SDEC 

Contracts in Subchapter 26G, with 

certain modifications that reflect 

differences in terms and market 

conventions between those contracts 

and SWES Contracts.7 SWES Contracts 

will be denominated in United States 

Dollars. 

ICC represents that clearing SWES 

Contracts will not require any changes 

to ICC’s operational procedures, as the 

SWES Contracts operate similarly to the 

Standard Emerging European and 

Middle Eastern Sovereign Single Names, 

currently cleared by ICC. The addition 

of the SWES Contracts to ICC’s product 

offering requires risk specific changes to 

the ICC Risk Management Framework, 

which are described below. 

ICC’s Risk Management Framework 

would be revised to incorporate 

additional model features designed to 

generalize the currently established 

Specific Wrong Way Risk (‘‘SWWR’’) 

Initial Margin requirement. ICC states 

that the proposed changes to the ICC 

Risk Management Framework would 

generalize the SWWR relative to General 

Wrong Way Risk (‘‘GWWR’’), and that 

this generalization of Wrong Way Risk 

(‘‘WWR’’) is introduced to account for 

additional risk present in CDS 

instruments whose reference entities 

exhibit a high level of correlation with 

those Clearing Participants clearing the 

relevant name, or with an entity that is 

guaranteed by, or affiliated with, those 

Clearing Participants. ICC states that, 

accordingly, the offering of SWES 

Contracts introduces potential GWWR 

in the form of country/region of 

domicile WWR. ICC notes that examples 

of GWWR related to SWES include but 

are not limited to a Clearing Participant 

selling protection on its country of 

domicile, or a European domiciled 

Clearing Participant selling protection 

on European sovereign reference 

entities. To address such risks, ICC 

proposes to establish an additional 

Jump To Default Risk (‘‘JTDR’’) 

requirement. 

Accordingly, the Risk Management 

Framework contains revisions to the 

calculation of the portfolio JTDR 

requirement. Specifically, the 

calculations have been updated to 

incorporate the concept of WWR as 

described below in reference to the 

quantitative and qualitative approaches. 

ICC represents that these proposed 

revisions would have no material 

impact on the size of the Guaranty 

Fund. 

ICC’s proposed changes adopt a 

combination of qualitative and 

quantitative approaches to capture 

GWWR. Under the revised ICC Risk 

Management Framework, an additional 

contribution to the JTDR requirement 

would be required when Clearing 

Participants sell protection on SWES 

reference entities exhibiting a high 

degree of association with itself (based 

on a quantitative approach established 

by ICC to determine the degree of 

correlation) or by virtue of selling 

protection on its country of domicile 

(based on a qualitative approach 

established by ICC to determine a 

Clearing Participant’s country of 

domicile). 

For the qualitative case (i.e., a 

Clearing Participant selling protection 

on its own country of domicile), ICC 

would require full collateralization of 

the additional Jump To Default (‘‘JTD’’) 

loss. In determining a Clearing 

Participants’ country of domicile, ICC 

refers to the International Organization 

for Standardization (‘‘ISO’’) country 

code for the issuer’s ultimate parent 

country of risk. ICC states that the ISO 

methodology considers management 

location, country of primary listing, 

country of revenue and reporting 

currency of the issuer. 

The quantitative approach applies to 

the additional risk arising from Clearing 

Participants selling protection on SWES 

reference entities, other than the 

Clearing Participant’s country of 

domicile, on which the Clearing 

Participant’s domicile has a high degree 

of correlation. If the additional SWES 

JTD losses and the dependence levels 

breach specific quantitative threshold 

amounts, additional GWWR 

collateralization would be required. The 

additional collateralization is a function 

of the level of correlation between the 

Clearing Participants and the SWES 

reference entities and will become more 

conservative as the level of correlation 

increases. 

As a result of these enhancements to 

the ICC Risk Management Framework, 

Rule 26D–309 (Acceptance of SES 

Contracts by ICE Clear Credit), part (c) 

would be revised to remove language 

which prohibits the acceptance of 

Trades for clearance and settlement if at 

the time of submission or acceptance of 

the Trade or at the time of novation the 

Participant submitting the Trade is 

domiciled in the country of the Eligible 

Standard Emerging Sovereign (‘‘SES’’) 

Reference Entity for such SES contract. 

ICC states that the new GWWR 

methodology will apply to all sovereign 

contracts cleared by ICC, including SES 

contracts. 

III. Discussion and Commission 

Findings 

Section 19(b)(2)(C) of the Act 8 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 9 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 revisions to the ICC Rules and 

Risk Management Framework are 

consistent with the requirements of 


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Federal Register / Vol. 79, No. 218 / Wednesday, November 12, 2014 / Notices 67215 

10 15 U.S.C. 78q–1. 

11 15 U.S.C. 78q–1(b)(3)(F). 

12 Id. 

13 17 CFR 240.17Ad–22(b)(1)–(3). 

14 15 U.S.C. 78q–1. 

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

16 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). 

17 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3 In Amendment No. 1, the Exchange proposed 

non-substantive changes to amend Exhibits 5E 

(Form of Eurex Global Derivatives AG Corporate 

Resolutions) and 5F (Form of Agreement and 

Consent by and between Eurex Global Derivatives 

AG and Eurex Zu ̈rich AG) so that the text the 

Exchange proposes to delete accurately reflects the 

existing text of the resolutions previously submitted 

to, and approved by, the Commission. 

Section 17A of the Act 10 and the rules 

and regulations thereunder applicable to 

ICC. Specifically, the Commission 

believes that the proposed rules in 

Subchapter 26I to allow for the 

clearance of SWES Contracts, in 

conjunction with existing ICC Rules and 

procedures applicable to the clearing of 

CDS contracts, are designed to promote 

the prompt and accurate clearance and 

settlement of securities transactions, 

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

the Act.11

Additionally, the Commission 

believes that the proposed revisions to 

ICC’s Risk Management Framework to 

address the wrong way risk associated 

with clearing SWES Contracts are 

designed to promote the prompt and 

accurate clearance and settlement of 

securities 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, 

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

the Act.12 Specifically, the proposed 

changes to the ICC Risk Management 

Framework would require additional 

collateralization in the form of initial 

margin from Clearing Participants that 

sell protection on SWES reference 

entities exhibiting a high degree of 

association with itself or that sell 

protection on its country of domicile. 

These proposed margin model 

enhancements will provide additional 

resources to ICC to address the credit 

risks associated with the correlation 

between the risk of default of an 

underlying sovereign and the risk of 

default of a Clearing Participant that has 

written credit protection through SWES 

Contracts on such sovereign. 

Accordingly, the Commission believes 

that the proposed changes to the Risk 

Management Framework, in 

combination with ICC’s existing rules 

and procedures related to margin and 

guaranty fund, are reasonably designed 

to meet the requirements of Rules 

17Ad–22(b)(1)–(3) 13 related to the 

measurement and management of credit 

exposures, margin requirements, and 

the maintenance of sufficient financial 

resources required for a registered 

clearing agency acting as a central 

counterparty for security-based swaps. 

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 14 and the rules and regulations 

thereunder. 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,15 that the 

proposed rule change (SR–ICC–2014– 

14) be, and hereby is, approved.16

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.17

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2014–26692 Filed 11–10–14; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–73531; File No. SR– 

ISEGemini-2014–24] 

Self-Regulatory Organizations; ISE 

Gemini, LLC; Notice of Filing of 

Proposed Rule Change, as Modified by 

Amendment No. 1 Thereto, Relating to 

a Corporate Transaction Involving Its 

Indirect Parent 

November 5, 2014. 

Pursuant to Section 19(b)(1) of the 

Securities Exchange Act of 1934 (the 

‘‘Act’’),1 and Rule 19b–4 thereunder,2

notice is hereby given that, on October 

22, 2014, the ISE Gemini, LLC (the 

‘‘Exchange’’ or the ‘‘ISE Gemini’’) 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 by the self-regulatory 

organization. On October 31, 2014, the 

Exchange filed Amendment No. 1 to the 

proposal.3 The Commission is 

publishing this notice to solicit 

comments on the proposed rule change, 

as modified by Amendment No. 1, from 

interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of the Substance 

of the Proposed Rule Change 

The Exchange proposes to make 

changes to its indirect, non-U.S. 

upstream ownership structure (the 

‘‘Transactions’’), in connection with 

which the Series A Preferred Stock of 

the Exchange’s sole, direct parent, 

International Securities Exchange 

Holdings, Inc. (‘‘ISE Holdings’’), will be 

converted to shares of ISE Holdings 

common stock (the ‘‘Conversion’’). In 

order to consummate the Transactions, 

including the Conversion, the Exchange 

proposes to: (i) Amend and restate the 

Certificate of Designations of Series A 

Preferred Stock of ISE Holdings (the 

‘‘COD’’); (ii) amend and restate the 

Amended and Restated Certificate of 

Incorporation of ISE Holdings (the 

‘‘COI’’); and (iii) amend and restate the 

Second Amended and Restated Trust 

Agreement (the ‘‘Trust Agreement’’) that 

exists among ISE Holdings, U.S. 

Exchange Holdings, Inc. (‘‘U.S. 

Exchange Holdings’’), and the Trustees 

(as defined therein). The Exchange also 

proposes that certain corporate 

resolutions and agreements that were 

previously established or entered into 

by entities that will cease to be 

upstream owners of ISE Gemini after the 

Transactions will no longer be rules of 

the Exchange. In addition, the Exchange 

proposes to amend and restate the 

Amended and Restated Limited 

Liability Company Agreement of ISE 

Gemini (‘‘ISE Gemini LLC Agreement’’) 

with respect to distributions. Finally, 

the Exchange proposes to make a nonsubstantive, administrative change to 

the Second Amended and Restated 

Certificate of Incorporation of U.S. 

Exchange Holdings (‘‘U.S. Exchange 

Holdings COI’’), the direct U.S. 

upstream owner of ISE Holdings, to 

update a reference therein to the Trust 

Agreement. 

The text of the proposed rule change 

is available at the Commission’s Public 

Reference Room and on the Exchange’s 

Internet Web site at http://www.ise.com. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and the 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

self-regulatory organization 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 self-regulatory organization has 

prepared summaries, set forth in 


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