51662 Federal Register / Vol. 82, No. 214 / Tuesday, November 7, 2017 / Notices 

6 15 U.S.C. 78s(b)(3)(A). 

7 17 CFR 240.19b–4(f)(2). 

8 15 U.S.C. 78s(b)(2)(B). 9 17 CFR 200.30–3(a)(12). 

mechanism of a free and open market 

and a national market system, and, in 

general, to protect investors and the 

public interest and is not designed to 

permit unfair discrimination between 

customers, issuers, brokers, or dealers. 

The Exchange believes that it is 

reasonable to increase the annual listing 

fees for common stocks and warrants 

because these fees have not been 

increased since 2015. In that regard, the 

Exchange notes that, since the fees were 

last amended, the Exchange has 

improved and increased the services it 

provides to listed companies. These 

improvements include the continued 

development and enhancement of an 

interactive web-based platform designed 

to improve communication between the 

Exchange and listed companies, the 

availability to listed companies of the 

Exchange’s new state-of-the-art 

conference facilities at 11 Wall Street, 

and continued development and content 

in an investor relations tool available to 

all listed companies which provides 

companies with information enabling 

them to better understand the trading 

and ownership of their securities. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will impose 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act. The 

proposed rule change is designed to 

ensure that the fees charged by the 

Exchange accurately reflect the services 

provided and benefits realized by listed 

companies. The market for listing 

services is extremely competitive. Each 

listing exchange has a different fee 

schedule that applies to issuers seeking 

to list securities on its exchange. Issuers 

have the option to list their securities on 

these alternative venues based on the 

fees charged and the value provided by 

each listing. Because issuers have a 

choice to list their securities on a 

different national securities exchange, 

the Exchange does not believe that the 

proposed fee changes impose a burden 

on competition. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

No written comments were solicited 

or received with respect to the proposed 

rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The foregoing rule change is effective 

upon filing pursuant to Section 

19(b)(3)(A) 6 of the Act and 

subparagraph (f)(2) of Rule 19b–4 7

thereunder, because it establishes a due, 

fee, or other charge imposed by the 

Exchange. 

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) 8 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 Number SR– 

NYSEAMER–2017–27 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–NYSEAMER–2017–27. 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 the Exchange. All comments 

received will be posted without change. 

Persons submitting comments are 

cautioned that we do not redact or edit 

personal identifying information from 

comment submissions. You should 

submit only information that you wish 

to make available publicly. All 

submissions should refer to File 

Number SR–NYSEAMER–2017–27, and 

should be submitted on or before 

November 28, 2017. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.9

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–24132 Filed 11–6–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

Sunshine Act Meetings 

TIME AND DATE: 2:00 p.m. on Thursday, 

November 9, 2017. 

PLACE: Closed Commission Hearing 

Room 10800. 

STATUS: This meeting will be closed to 

the public. 

MATTERS TO BE CONSIDERED: 

Commissioners, Counsel to the 

Commissioners, the Secretary to the 

Commission, and recording secretaries 

will attend the closed meeting. Certain 

staff members who have an interest in 

the matters also may be present. 

The General Counsel of the 

Commission, or his designee, has 

certified that, in his opinion, one or 

more of the exemptions set forth in 5 

U.S.C. 552b(c)(3), (5), (7), 9(B) and (10) 

and 17 CFR 200.402(a)(3), (a)(5), (a)(7), 

(a)(9)(ii) and (a)(10), permit 

consideration of the scheduled matters 

at the closed meeting. 

Commissioner Stein, as duty officer, 

voted to consider the items listed for the 

closed meeting in closed session. 

The subject matters of the closed 

meeting will be: 

Institution and settlement of 

injunctive actions; 

Institution and settlement of 

administrative proceedings; and 

Other matters relating to enforcement 

proceedings. 


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Federal Register / Vol. 82, No. 214 / Tuesday, November 7, 2017 / Notices 51663 

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

2 17 CFR 240.19b–4. 

3Regulation (EU) No 648/2012 of the European 

Parliament and of the Council of 4 July 2012 on 

OTC derivatives, central counterparties and trade 

repositories, as well as various implementing 

regulations and technical standards. 

4Article 28 of Commission 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. 

5The CPMI–IOSCO Principles for Financial 

Market Infrastructures (‘‘PFMIs’’) similarly provide 

that a clearing house should limit procyclicality for 

margin requirements and haircuts. See Principles 5 

(Collateral) and 6 (Margin). 

At times, changes in Commission 

priorities require alterations in the 

scheduling of meeting items. 

CONTACT PERSON FOR MORE INFORMATION: 

For further information and to ascertain 

what, if any, matters have been added, 

deleted or postponed; please contact 

Brent J. Fields from the Office of the 

Secretary at (202) 551–5400. 

Dated: November 2, 2017. 

Brent J. Fields, 

Secretary. 

[FR Doc. 2017–24260 Filed 11–3–17; 11:15 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81994; File No. SR–ICEEU– 

2017–013] 

Self-Regulatory Organizations; ICE 

Clear Europe Limited; Notice of Filing 

of Proposed Rule Change, SecurityBased Swap Submission or Advance 

Notice Relating to the ICE Clear 

Europe Procyclicality Framework 

November 1, 2017. 

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 

23, 2017, ICE Clear Europe Limited 

(‘‘ICE Clear Europe’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’) the proposed rule 

changes 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. Clearing Agency’s Statement of the 

Terms of Substance of the Proposed 

Rule Change 

The principal purpose of the changes 

is to adopt a new policy framework for 

addressing the procyclicality of its risk 

management policies by establishing 

such a framework that addresses the risk 

appetite, model design, monitoring and 

assessment and management of 

procyclicality in the risk models used 

by ICE Clear Europe to manage default 

risk. 

II. Clearing Agency’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 

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 

such statements. 

(A) Clearing Agency’s Statement of the 

Purpose of, and Statutory Basis for, the 

Proposed Rule Change 

(a) Purpose 

The purpose of the Procyclicality 

Framework is to establish an overall 

framework for the risk appetite, model 

design, monitoring and assessment and 

management of procyclicality in the risk 

models used by ICE Clear Europe to 

manage default risk. The European 

Market Infrastructure Regulation 3

(‘‘EMIR’’) and related implementing 

standards require that a central 

counterparty (‘‘CCP’’) ensure that its 

margin framework provides, among 

other matters, stable and prudent 

margin requirements that limit 

procyclicality to the extent that the 

soundness and financial security of the 

central counterparty is not negatively 

affected.4 Those standards also require 

that central counterparties implement at 

least one of several specified options for 

mitigating procyclicality with respect to 

margin requirements.5

Although ICE Clear Europe’s current 

margin policies incorporate the antiprocyclicality (‘‘APC’’) measures 

required by EMIR (and ICE Clear Europe 

does not propose to change such 

measures at this time), it is proposing to 

adopt the Procyclicality Framework in 

order to provide a more defined 

framework for considering the impact of 

procyclicality on margining, 

membership, collateral haircuts, stress 

testing and concentration risk policies. 

The framework is designed to set out (1) 

the aspects of ICE Clear Europe risk 

policies relevant to procyclicality 

considerations, (2) how the clearing 

house will assess procyclicality (both as 

a qualitative and a quantitative matter) 

and (3) how the clearing house will 

factor considerations of procyclicality 

into its response to emerging risks. 

Although ‘‘procyclicality’’ is not 

expressly defined in EMIR, ICE Clear 

Europe considers procyclicality for 

purposes of the proposed framework to 

be the extent to which changes in 

market conditions can have an effect on 

a clearing member’s ability to manage 

its liquidity to meet ICE Clear Europe’s 

changing margin requirements. For 

example, a typical initial margin model 

would require increased margin in 

stressed margin conditions, and such 

increases may potentially occur rapidly 

and/or over-react to the change in 

conditions. Such margin increases, in 

turn, may stress a clearing member’s 

ability to obtain liquidity to meet the 

increased requirements. 

The framework identifies sources of 

procyclicality, in particular in margin 

models, stress testing, and collateral 

haircut policies, and references existing 

mitigation strategies and stress testing 

arrangements used by the clearing 

house. Stress testing scenarios that are 

based on models similar to margin 

models but targeting a higher 

confidence quantile may also be 

procyclical due to changing market 

conditions, which may lead to increased 

stress shock results and therefore in 

default fund requirements. The 

framework also addresses how ICE Clear 

Europe intends to address procyclicality 

on an ongoing basis. Under the 

framework, ICE Clear Europe will assess 

procyclicality by monitoring the 95th 

percentile expected shortfall of the 5- 

day percentage change in initial margin 

(or other relevant risk mitigant) over a 

rolling 250-day window. ICE Clear 

Europe established this period, in 

consultation with Clearing Members, as 

an appropriate period to reflect shortterm spikes in margin. ICE Clear Europe 

will also monitor the largest percentage 

changes to facilitate observation of both 

the maximum and a tail estimate to 

remove extreme outliers. A red-ambergreen (‘‘R–A–G’’) escalation framework 

will be used with respect to 

implementing APC measures based on 

certain defined thresholds for expected 

95th percentile expected shortfall 

metric, which are detailed in an 

appendix to the framework. The 

escalation framework specifies 

appropriate responses where the 

expected shortfall level is at an amber 

or green level. ICE Clear Europe will 

assess procyclicality both on a regular 

basis in monitoring model performance 

and making margin rate adjustments as 

part of risk model design. 

The framework requires that the 

model design process take into 

consideration the procyclicality 


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