73126 Federal Register / Vol. 79, No. 236 / Tuesday, December 9, 2014 / Notices 

7 15 U.S.C. 78s(b)(3)(A). 

8 17 CFR 240.19b–4(f)(4)(ii). 

9See Securities Exchange Act Release No. 34– 

73615 (Nov. 17, 2014), 79 FR 69545 (Nov. 21, 2014) 

(SR–CME–2014–49). The only exception is with 

regards to Restructuring European Single Name 

CDS Contracts created following the occurrence of 

a Restructuring Credit Event in respect of an iTraxx 

Component Transaction. The clearing of 

Restructuring European Single Name CDS Contracts 

will be a necessary byproduct after such time that 

CME begins clearing iTraxx Europe index CDS. 10 15 U.S.C. 78s(b)(2)(B). 

11 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

fund deposits to cash and U.S. Treasury 

Bills, Notes and Bonds with time to 

maturity of ten years or less. These 

measures will strengthen CME’s existing 

default rules and procedures. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

CME has not solicited, and does not 

intend to solicit, comments regarding 

this proposed rule change. CME has not 

received any unsolicited written 

comments from interested parties. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

CME Inc. has filed the proposed rule 

change pursuant to Section 19(b)(3)(A) 7

of the Act and Rule 19b–4(f)(4)(ii) 8

thereunder. 

CME asserts that this proposal 

constitutes a change in an existing 

service of CME that (a) primarily affects 

the clearing operations of CME with 

respect to products that are not 

securities, including futures that are not 

security futures, and swaps that are not 

security-based swaps or mixed swaps, 

and forwards that are not security 

forwards; and (b) does not significantly 

affect any securities clearing operations 

of CME or any rights or obligations of 

CME with respect to securities clearing 

or persons using such securities-clearing 

service, which renders the proposed 

change effective upon filing. CME 

believes that the proposal does not 

significantly affect any securities 

clearing operations of CME because 

CME recently filed a proposed rule 

change that clarified that CME has 

decided not to clear security-based 

swaps, except in a very limited set of 

circumstances.9 The rule filing 

reflecting CME’s decision not to clear 

security-based swaps removed any 

ambiguity concerning CME’s ability or 

intent to perform the functions of a 

clearing agency with respect to securitybased swaps. Therefore, this proposal 

will have no effect on any securities 

clearing operations of CME. 

At any time within 60 days of the 

filing of the proposed 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) 10 of the Act 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 No. SR– 

CME–2014–15 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–CME–2014–15. 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 

office of CME and of CME’s Web site at 

http://www.cmegroup.com/marketregulation/rule-filings.html. 

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–CME–2014–15 and should 

be submitted on or before December 30, 

2014. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.11

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2014–28768 Filed 12–8–14; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–73731; File No. SR–ICEEU– 

2014–20] 

Self-Regulatory Organizations; ICE 

Clear Europe Limited; Notice of Filing 

of Proposed Rule Change Relating to 

CDS Pricing Policy 

December 3, 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 November 

24, 2014, ICE Clear Europe Limited 

(‘‘ICE Clear Europe’’ or ‘‘Clearing 

House’’) 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. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The principal purpose of the change 

is to revise ICE Clear Europe’s CDS Endof-Day Price Discovery Policy (the ‘‘CDS 

Pricing Policy’’) to incorporate 

enhancements to the price discovery 

process. 

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 


rljohnson on DSK3VPTVN1PROD with NOTICES
Federal Register / Vol. 79, No. 236 / Tuesday, December 9, 2014 / Notices 73127 

3See Exchange Act Release No. 34–73156 (Sept. 

19, 2014), 79 FR 57629 (Sept. 25, 2014) (SR–ICEEU– 

2014–13). 

4 15 U.S.C. 78q–1. 

5 17 CFR 240.17Ad–22. 

6 15 U.S.C. 78q–1(b)(3)(F). 

proposed rule change. The text of these 

statements may be examined at the 

places specified in Item IV 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 

ICE Clear Europe proposes revising 

the CDS Pricing Policy to incorporate 

enhancements to its end-of-day price 

discovery process for CDS Contracts. 

The proposed revisions are described in 

detail as follows: 

ICE Clear Europe currently uses a 

‘‘cross and lock’’ algorithm as part of its 

price discovery process for CDS 

Contracts. Under this algorithm, bids 

and offers derived from Clearing 

Member submissions are matched by 

sorting them from highest to lowest and 

lowest to highest levels, respectively. 

This sorting process pairs the Clearing 

Member submitting the highest bid 

price with the Clearing Member 

submitting the lowest offer price, the 

Clearing Member submitting the second 

highest bid price with the Clearing 

Member submitting the second-lowest 

offer price, and so on. The algorithm 

then identifies crossed and/or locked 

pairs (or ‘‘markets’’). Crossed markets 

are the Clearing Member pairs generated 

by the sorting process for which the bid 

price of one Clearing Member is above 

the offer price of the matched Clearing 

Member. Locked markets are the 

Clearing Member pairs where the bid 

and the offer are equal. The mid-point 

of the bid and offer of the first noncrossed, non-locked matched market is 

the final end-of-day level (with 

additional steps taken to remove offmarket submissions from influencing 

the final level). This process captures 

the market dynamics of trading; 

however, final pricing levels are 

ultimately determined by a single bid 

and a single offer, which results in the 

ability for one submission to influence 

the outcome. 

ICE Clear Europe proposes 

enhancements to this methodology to 

improve the consistency of prices and 

reduce the sensitivity of the final endof-day level to a single Clearing 

Member’s submission. Under the new 

‘‘cross and lock’’ methodology, the 

average of the mid-points of all noncrossed, non-locked matched markets 

for which the difference between the 

matched market bid and matched 

market offer is less than or equal to one 

bid-offer width is used as the final level 

(with additional steps taken to remove 

off-market submissions from influencing 

the final level). Under this approach, the 

end-of-day prices determined are less 

sensitive to outlying submissions. 

An additional clarification is made to 

the calculation of a Clearing Member’s 

open interest for purposes of the end-ofday price submission process to take 

into account the aggregate of both house 

and client positions carried by the 

Clearing Member. A correction is made 

in the policy to the minimum number 

of Clearing Members that need to have 

open interest in a particular instrument; 

this change conforms to current practice 

by the Clearing House. 

The amendments also clarify that 

notional limits applicable to firm trades 

that may be assigned to Clearing 

Members as a result of the end-of-day 

price submission process will be 

established at risk sub-factor and sector 

levels. The revised policy also clarifies 

the sequencing of firm trades in relation 

to the determination of breaches of 

those limits, including to take into 

account the applicable risk sub-factor 

and to address sequencing within a 

particular instrument that is part of a 

particular risk sub-factor, if necessary. 

The amendments also revise certain 

requirements applicable to the 

unwinding of firm trades entered into 

by Clearing Members. Although the 

existing policy does not require that 

firm trades be maintained for any 

particular period of time, it currently 

requires Clearing Members that elect to 

unwind a firm trade to do so at the thencurrent market price. There are practical 

difficulties with objectively determining 

whether an unwind transaction was 

executed at the then-current market 

price and therefore this requirement can 

be difficult to enforce. ICE Clear Europe 

proposes revising the policy to replace 

the requirement that unwind be 

executed at the then-current market 

price with the requirement that any 

unwind must be executed in a 

competitive manner. Further, ICE Clear 

Europe proposes adding the 

requirement that, upon request, Clearing 

Members be able to demonstrate to the 

Clearing House’s reasonable satisfaction 

that such unwind transaction was 

executed in a competitive manner. ICE 

Clear Europe proposes adding a nonexclusive list of examples of how 

Clearing Members may be able to 

demonstrate competitive execution of 

unwind transactions. Specifically, such 

examples include: (i) Execution on an 

available trading venue; (ii) multiple 

dealer quotes received and execution of 

the unwind transaction at the best 

quoted price; or (iii) placement of the 

unwind transaction with an interdealer 

broker with price terms and instructions 

commensurate with a competitive 

execution. 

In addition, the amendments make 

certain clarifications with respect to 

permissible reversing transactions with 

respect to firm trades, and the manner 

in which that Clearing House designates 

that actively traded benchmark 

instruments are not eligible for reversing 

transactions. 

Certain other changes are made in the 

CDS Pricing Policy in order to conform 

to changes that have recently been made 

to the CDS Risk Policy.3 Specifically, 

references to risk sub-factors, as that 

term is described in the CDS Risk 

Policy, have been added throughout the 

CDS Pricing Policy, as well as 

conforming changes to various 

references to risk factors. Various nonsubstantive drafting clarifications have 

also been made throughout the CDS 

Pricing Policy. 

The proposed changes are solely to 

the CDS Pricing Policy. No changes are 

proposed to ICE Clear Europe’s Clearing 

Rules or Procedures as a result of these 

enhancements. 

2. Statutory Basis 

ICE Clear Europe believes that the 

proposed changes are consistent with 

the requirements of Section 17A of the 

Act 4 and regulations thereunder 

applicable to it.5 Section 17A(b)(3)(F) of 

the Act 6 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, the 

safeguarding of securities and funds in 

the custody or control of ICE Clear 

Europe and the protection of investors 

and the public interest. The proposed 

rule change is principally designed to 

enhance the Clearing House’s end-ofday price discovery process for CDS 

Contracts, and in particular to result in 

more consistent day-over-day end-ofday price levels, as well as to make 

various other improvements to the 

policy as discussed above. 

The amendments regarding the 

unwind of firm trades are intended to 

make this aspect of the CDS Pricing 

Policy more readily enforceable, while 

maintaining the same or similar level of 

incentive for Clearing Members to 

provide accurate price submissions. ICE 


rljohnson on DSK3VPTVN1PROD with NOTICES
73128 Federal Register / Vol. 79, No. 236 / Tuesday, December 9, 2014 / Notices 

7 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. 73449 

(October 28, 2014), 79 FR 65277 (November 3, 2014) 

(SR–OCC–2014–19). 

4See OCC By-Laws, Article 1.H(1). See also, OCC 

By-Laws, Article V, Section 1, Interpretation and 

Policy .07. 

5See OCC By-Laws, Article 1.M(4). See also, OCC 

By-Laws, Article V, Section 1, Interpretation and 

Policy .07A. 

Clear Europe considers the proposed 

revision to further its goal in the 

existing policy of assuring that Clearing 

Members unwind firm trades on a 

competitive basis. If Clearing Members 

were permitted to unwind firm trades 

non-competitively at the original firm 

trade price, thereby alleviating the firm 

trade’s impact to their portfolio, the 

incentive to provide accurate price 

submissions would be diminished. 

Given the significance of accurate 

submission to the end-of-day pricing 

process, ICE Clear Europe believes the 

proposed revision both clarifies and 

enhances its CDS Pricing Policy. 

As such, the amendments will 

facilitate the prompt and accurate 

clearance and settlement of the CDS 

Contracts cleared by the Clearing House, 

and are therefore consistent with the 

requirements of 17A(b)(3)(F) of the Act 

and the rules thereunder. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

ICE Clear Europe does not believe the 

proposed amendments would have any 

impact, or impose any burden, on 

competition not necessary or 

appropriate in furtherance of the 

purpose of the Act. The enhancements 

to the end-of-day price discovery 

process apply uniformly across all CDS 

Clearing Members. ICE Clear Europe 

does not anticipate that these 

enhancements will materially affect the 

cost of clearing or adversely affect the 

ability of Clearing Members or other 

market participants to continue to clear 

CDS Contracts. ICE Clear Europe also 

does not believe the enhancements will 

limit the availability of clearing in CDS 

products for Clearing Members or their 

customers or otherwise limit market 

participants’ choices for selecting 

clearing services in CDS. Therefore, ICE 

Clear Europe does not believe the 

proposed rule change imposes any 

burden on competition that is not 

appropriate in furtherance of the 

purpose 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 

amendments to the CDS Pricing Policy 

have not been solicited or received. ICE 

Clear Europe will notify the 

Commission of any written comments 

received by ICE Clear Europe. 

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 

the 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– 

ICEEU–2014–20 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–2014–20. 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 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–2014–20 and 

should be submitted on or before 

December 30, 2014. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.7

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2014–28772 Filed 12–8–14; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–73725; File No. SR–OCC– 

2014–19] 

Self-Regulatory Organizations; The 

Options Clearing Corporation; Order 

Approving Proposed Rule Change To 

Permit the Executive Chairman, the 

President or a Delegate of Such Officer 

To Approve Requests by a Hedge 

Clearing Member To Become a Market 

Loan Clearing Member 

December 3, 2014. 

On October 24, 2014, The Options 

Clearing Corporation (‘‘OCC’’) filed with 

the Securities and Exchange 

Commission (‘‘Commission’’) the 

proposed rule change SR–OCC–2014–19 

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 November 3, 2014.3 The 

Commission did not receive any 

comments on the proposed rule change. 

This order approves the proposed rule 

change. 

I. Description 

The purpose of OCC’s rule change is 

permit OCC’s Executive Chairman, the 

President or their delegate to approve 

business expansion requests of Hedge 

Clearing Members 4 to become Market 

Loan Clearing Members.5 Delegates of 


rljohnson on DSK3VPTVN1PROD with NOTICES