2017-04602. Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of Proposed Rule Change, Security-Based Swap Submission, or Advance Notice Relating to ICC's End-of-Day Price Discovery Policies and Procedures

March 3, 2017.

Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934,^[1] and Rule 19b-4 thereunder,^[2] notice is hereby given that on February 16, 2017, ICE Clear Credit LLC (“ICC”) filed with the Securities and Exchange Commission (“Commission”) the proposed rule change, security-based swap submission, or advance notice 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, security-based swap submission, or advance notice from interested persons.

I. Clearing Agency's Statement of the Terms of Substance of the Proposed Rule Change, Security-Based Swap Submission, or Advance Notice

The principal purpose of the proposed changes is to make changes to the ICC End-of-Day Price Discovery Policies and Procedures (“Pricing Policy”) related to the implementation of ICC's new Clearing Participant (“CP”) direct price submission process.

II. Clearing Agency's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change, Security-Based Swap Submission, or Advance Notice

In its filing with the Commission, ICC included statements concerning the purpose of and basis for the proposed rule change, security-based swap submission, or advance notice and discussed any comments it received on the proposed rule change, security-based swap submission, or advance notice. 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. Clearing Agency's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change, Security-Based Swap Submission, or Advance Notice

ICC proposes revising its Pricing Policy to make changes related to the implementation of ICC's new CP direct price submission process. Currently, ICC uses an intermediary agent to implement functions of its price discovery process. Specifically, under the current process, Clearing Participants submit required prices to the intermediary agent; these prices are then input into ICC's price settlement methodology to determine settlement prices. ICC proposes to enhance its price discovery process to remove the intermediary agent from the price settlement process. In doing so, ICC will require CPs to submit prices directly to the clearinghouse. The prices will continue to be input into ICC's price settlement methodology to determine settlement prices. There are no changes to the price settlement methodology as a result of the changes. The proposed revisions to the Pricing Policy are described in detail as follows.

ICC updated the Pricing Policy to note that ICC requires CPs to establish direct connectivity with the clearinghouse and use a FIX API to submit required prices. ICC revised the Pricing Policy to remove references to the intermediary agent and the Valuation Service API (and related message terminology), which will be decommissioned with the launch of the new CP direct price submission process, and to add reference to the new FIX API message terminology, which will be utilized under the new CP direct price submission process. Such changes are reflected throughout the Pricing Policy. ICC has also updated the Pricing Policy to specify that ICC will send the unsolicited FIX API messages directly to each CP.

Under the new CP direct price submission process, ICC will consolidate the price discovery process across indices and singles names; as such, new FIX API messages will include information for both Indices and Single Names. Previously, the price discovery process provided files separately for each product type.

ICC updated the Submission Requirements set forth in the Pricing Policy to include iTraxx Australia and iTraxx Asia Ex-Japan indices. For both indices, prices must be submitted in spread and either midpoint or bid-offer format. Further, ICC updated the Submission Requirements for CDX.NA.HY and CDX.EM indices to note that prices may be submitted in either price or upfront format; previously, only price format was accepted.

ICC has updated the Pricing Policy to reflect the replacement of existing firm trade data files with new FIX API firm trade messages. ICC also made minor changes to the timing of certain steps in the price settlement process; no changes were made to the actual settlement submission windows.

ICC also updated the Distribution of End-of-Day Prices process set forth in the Pricing Policy. Under the new CP direct price submission process, ICC will publish separate messages to CPs, listing end-of-day prices for single names and indices. The end-of-day prices provided will not change and will continue to be based on CPs' cleared positions. ICC will continue to publish end-of-day prices for every listed risk sub-factors' most actively traded instrument, and will distribute daily end-of-day prices for all cleared instruments through Markit.

Section 17A(b)(3)(F) of the Act ^[3] requires, among other things, that the rules of a clearing agency be designed to protect investors and the public interest 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),^[4] because ICC believes that the proposed rule changes will assure the prompt and accurate clearance and settlement of securities transactions, derivatives agreements, contracts, and transactions, as the proposed revisions simplify and increase the efficiency of ICC's price discovery process, which includes the determination of settlement prices and firm trades. As such, the proposed changes are 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) of the Act.^[5] Further, such changes are consistent with Rule 17Ad-22(d)(4),^[6] as the changes will decrease external operational risk, since ICC no longer would rely on the service of an intermediary agent to perform key aspects of its price discovery process.

B. Clearing Agency's Statement on Burden on Competition

ICC does not believe the proposed rule changes would have any impact, or impose any burden, on competition. The changes to ICC's price submission process apply uniformly across all market participants. Therefore, ICC does not believe the proposed rule changes impose any burden on competition that is inappropriate in furtherance of the purposes of the Act.

C. Clearing Agency's Statement on Comments on the Proposed Rule Change, Security-Based Swap Submission, or Advance Notice 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, Security-Based Swap Submission, or Advance Notice 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, security-based swap submission, or advance notice 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 [e-mail]. Please include File Number SR-ICC-2017-003 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-2017-003. 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, security-based swap submission, or advance notice that are filed with the Commission, and all written communications relating to the proposed rule change, security-based swap submission, or advance notice 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-2017-003 and should be submitted on or before March 30, 2017.

For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.^[7]

 

Eduardo A. Aleman,

Assistant Secretary.

Footnotes

1.  15 U.S.C. 78s(b)(1).

2.  17 CFR 240.19b-4.

3.  15 U.S.C. 78q-1(b)(3)(F).

4.  Id.

5.  Id.

6.  17 CFR 240.17Ad-22(d)(4).

7.  17 CFR 200.30-3(a)(12).