1466 Federal Register / Vol. 80, No. 6 / Friday, January 9, 2015 / Notices 

13 15 U.S.C. 78s(b)(3)(A)(ii). 14 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will result in 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act, as amended. 

The proposed fees are applied 

uniformly among extranet providers, 

which are not compelled to establish a 

connection with the Exchange to offer 

access connectivity to market data feeds. 

For these reasons, any burden arising 

from the fees is necessary in the interest 

of promoting the equitable allocation of 

a reasonable fee. Additionally, firms 

make decisions on how much and what 

types of data to consume on the basis of 

the total cost of interacting with the 

Exchange or other exchanges and, of 

course, the Extranet Access Fee is but 

one factor in a total platform analysis. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

No written comments were either 

solicited or received. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Pursuant to section 19(b)(3)(A)(ii) of 

the Act,13 the Exchange has designated 

this proposal as establishing or changing 

a due, fee, or other charge imposed by 

the self-regulatory organization on any 

person, whether or not the person is a 

member of the self-regulatory 

organization, which renders the 

proposed rule change effective upon 

filing. 

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 shall institute proceedings 

to determine whether the proposed rule 

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– 

Phlx–2014–81 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–Phlx–2014–81. 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–Phlx– 

2014–81, and should be submitted on or 

before January 30, 2015.14

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority. 

Brent J. Fields, 

Secretary. 

[FR Doc. 2015–00134 Filed 1–8–15; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–73980; File No. SR–ICC– 

2014–24] 

Self-Regulatory Organizations; ICE 

Clear Credit LLC; Notice of Filing of 

Proposed Rule Change To Revise the 

ICC Risk Management Framework 

January 5, 2015. 

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 December 

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 

Recovery Rate Sensitivity Requirements 

(‘‘RRSR’’), anti-procyclicality, and ICC’s 

Guaranty Fund (‘‘GF’’) allocation 

methodology. ICC also proposes 

revisions which are intended to remove 

obsolete references and ensure 


rljohnson on DSK3VPTVN1PROD with NOTICES
Federal Register / Vol. 80, No. 6 / Friday, January 9, 2015 / Notices 1467 

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. 

consistency. 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 its Risk 

Management Framework to incorporate 

risk model parameter estimation 

enhancements related to the RRSR 

computations. Under the current ICC 

Risk Management Framework, recovery 

rate stress scenarios are explicitly 

incorporated in the RRSR computations 

and for Jump-to-Default (‘‘JTD’’) 

considerations. The quantity RRSR is 

designed to capture fluctuations due to 

potential changes of the market 

expected recovery rates. In calculating 

the RRSR, all instruments belonging to 

a Risk Factor (‘‘RF’’) or Risk Sub-Factor 

(‘‘RSF’’) are subjected to Recovery Rate 

(‘‘RR’’) stress scenarios to obtain 

resulting Profit/Loss (‘‘P/L’’) responses, 

and the worst scenario response is 

chosen for the estimation of the RF/RSF 

RRSR. The JTD analysis is designed to 

capture the unexpected potential losses 

associated with credit events for 

assumed SN-specific set of RR stress 

values. The JTD responses are 

determined by using minimum and 

maximum RR levels. Currently, the 

RRSR and JTD computations use the 

same RR stress levels. 

ICC proposes separating the RR stress 

levels for these two computations in 

order to introduce more dynamic and 

appropriate estimations of the RR stress 

levels for RRSR purposes. The RR levels 

for RRSR purposes will reflect a 5-day 

99% Expected Shortfall (‘‘ES’’) 

equivalent risk measure associated with 

RR fluctuations. The proposal will also 

eliminate index RRSR, as index RRs are 

not subject to market uncertainty, but 

rather driven by market conventions. 

The dynamic feature of the RR stress 

level estimations is achieved by 

analyzing historical time series of RRs 

in order to calibrate a statistical model 

with a time varying volatility. Under 

this approach, the RRSR will capture 

the exposure to RR fluctuations over a 

5-day risk horizon described by 99% ES 

equivalent risk measure. The proposed 

enhancements provide a robust and 

quantitative driven approach for 

establishing the RR stress scenarios. 

Additionally, ICC proposes revising 

its Risk Management Framework to 

incorporate a portfolio level antiprocyclicality analysis that features 

price changes observed during and 

immediately after the Lehman Brothers 

(‘‘LB’’) default. In order to achieve an 

anti-procyclicality of Spread Response 

requirements, ICC proposes 

considerations of explicit price 

scenarios derived from the greatest price 

decrease and increase during and 

immediately after the LB default. These 

scenarios capture the default of a major 

participant in the credit market and the 

market response to the event. The 

introduced scenarios are defined in 

price space to maintain the stress 

severity during periods of low credit 

spread levels (high price) when the 

Spread Response requirements, 

computed under the current framework, 

are expected to be lower. 

Further, the price scenarios, derived 

from the greatest price decrease and 

increase during and immediately after 

the LB default, are explicitly 

incorporated into the GF sizing to 

ensure an anti-procyclical GF size 

behavior. This enhancement also 

addresses a regulatory requirement as 

described in Article 30 of the Regulatory 

Technical Standards,3 European Market 

Infrastructure Regulations (‘‘EMIR’’). 

Furthermore, ICC proposes 

enhancements to its GF allocation 

methodology. Currently, the GF 

allocations reflect a risk ‘‘silo’’ 

approach, i.e. separate GF ‘‘silo’’ 

components reflecting the Clearing 

Participants’ (‘‘CPs’’) own ‘‘silo’’ 

riskiness and to the GF ‘‘silo’’ size. 

Under the current approach, GF 

allocations can significantly fluctuate in 

response to position changes in the 

portfolios of the CPs that drive the GF 

size, and in response to distribution of 

the total GF size across the GF ‘‘silos.’’ 

ICC proposes modifying its 

methodology, so that the GF allocations 

reflect the CPs’ total uncollateralized 

losses. Under the proposed approach, 

the GF allocations are independent of 

the distribution of the uncollateralized 

losses across the GF ‘‘silos.’’ The new 

GF allocation methodology reflects an 

improved and more stable approach 

which allows for easier attributions of 

GF contributions to individual CP/client 

portfolios. Additionally, ICC added 

clarifying language regarding how the 

GF computations are performed with 

explicit currency dependent 

expressions. 

ICC has also made some nonsubstantive changes to the Risk 

Management Framework to address 

CFTC recommendations. Specifically, 

ICC proposes amending the Risk 

Management Framework to reflect ICC’s 

current approach towards portfolio 

diversification. As such, ICC proposes 

unifying diversification and hedge 

thresholds, and explicitly setting both to 

be equal to the lowest estimated sector 

Kendall Tau correlation coefficient. 

Additionally, ICC clarified language 

regarding how ICC meets its liquidity 

requirements. 

Additionally, ICC has made nonsubstantive changes throughout the 

framework to correct obsolete 

references. ICC removed language 

stating that the Chief Risk Officer is a 

dual employee of both ICC and its sister 

company, The Clearing Corporation. 

Similarly, ICC removed language stating 

that The Clearing Corporation is the 

provider of risk management services to 

ICC. ICC has removed references to the 

‘‘U.K. Financial Services Authority’’ and 

replaced with reference to the ‘‘U.K. 

Prudential Regulatory Authority.’’ ‘‘The 

European Securities and Markets 

Authority’’ was added to the sample list 

of competent authorities for capital 

adequacy regulation listed in the 

framework. 

ICC has also made non-substantive 

changes throughout the Risk 

Management Framework to ensure 

consistency. ICC updated the mission 

statement contained within the 

document to be consistent with ICC’s 

Board-approved mission statement. 

Also, ICC has modified the frequency by 

which the Risk Department monitors 

various risk metrics from a quarterly 

basis to a monthly basis to reflect actual 

business practices. 

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 change is 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 change 

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 


rljohnson on DSK3VPTVN1PROD with NOTICES
1468 Federal Register / Vol. 80, No. 6 / Friday, January 9, 2015 / Notices 

6 17 CFR 240.17Ad–22. 

7 17 CFR 240.17Ad–22(b)(2–3). 

8 17 CFR 240.17Ad–22(b)(3). 

9 15 U.S.C. 78q–1(b)(3)(F). 10 17 CFR 200.30–3(a)(12). 

and accurately clear and settle its 

cleared CDS contracts. In addition, the 

proposed revisions are consistent with 

the relevant requirements of Rule 17Ad– 

22.6 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).7 Additionally, 

the amendments to the Risk 

Management Framework related to ICC’s 

GF allocation methodology further 

ensure ICC maintains sufficient 

financial resources consistent with the 

requirements of Rule 17Ad–22(b)(3).8

As such, the proposed rule change is 

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) 9 of the Act. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

ICC does not believe the proposed 

rule change 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 change imposes 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–2014–24 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–2014–24. 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–2014–24 and should 

be submitted on or before January 30, 

2015.10

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority. 

Brent J. Fields, 

Secretary. 

[FR Doc. 2015–00126 Filed 1–8–15; 8:45 am] 

BILLING CODE 8011–01–P 

DEPARTMENT OF TRANSPORTATION 

Federal Aviation Administration 

Notice of Availability for Draft 

Environmental Impact Statement (Draft 

EIS), Draft Section 4(f) Evaluation, 

Draft Subsistence Evaluation, and 

Schedule of Public Hearings for the 

Proposed Airport, Angoon, Alaska 

AGENCY: Federal Aviation 

Administration (FAA). 

ACTION: Notice of availability (NOA), 

notice of comment period, notice of 

public hearing. 

SUMMARY: In accordance with the 

National Environmental Policy Act of 

1969 (NEPA; 42 U.S.C. 4321 et seq.) and 

Council on Environmental Quality 

(CEQ) regulations (40 CFR parts 1500– 

1508), the FAA issues this notice to 

advise the public that a Draft EIS for the 

proposed airport in Angoon has been 

prepared and is available for public 

review and comment. Included in the 

Draft EIS are a subsistence evaluation 

consistent with Section 810 of the 

Alaska National Interest Lands 

Conservation Act (ANILCA) and a draft 

evaluation pursuant to Section 4(f) of 

the Department of Transportation Act of 

1966 (recodified as 49 U.S.C. 303(c)). 

DATES: Comments must be received on 

or before March 11, 2015. The public 

comment period will commence on 

January 9, 2015 and will close on March 

11, 2015. The FAA intends to host 

public information meetings and 

hearings on the Draft EIS/810 

Evaluation/4(f) Evaluation on the 

following dates: 

1. March 3, 2015 in Juneau, Alaska, at 

the Centennial Hall, 101 Egan Dr., 

Juneau, AK from 6:00 p.m. to 9:00 p.m. 

2. March 5, 2015 in Angoon, Alaska, 

at the Angoon Community Association 

Building, 315 Heendae Rd., Angoon, AK 

from 2:00 p.m. to 7:00 p.m. 

3. March 10, 2015 at the Holiday Inn, 

550 C St. SW., Washington, DC, from 

2:00 p.m. to 5:00 p.m. 

ADDRESSES: Copies of the Draft EIS and 

the evaluations are available at the 

following locations: 


rljohnson on DSK3VPTVN1PROD with NOTICES