Notice2021-24414
Self-Regulatory Organizations; ICE Clear Europe Limited; Notice of Filing and Immediate Effectiveness of Proposed Rule Change Relating to Amendments to the ICE Clear Europe Clearing Rules
Primary source
Metadata and text below are from the Federal Register, a public-domain U.S. government work. Always verify the official published version before relying on it for any legal matter.
Published
November 9, 2021
Issuing agencies
Securities and Exchange Commission
Full Text
<html>
<head>
<title>Federal Register, Volume 86 Issue 214 (Tuesday, November 9, 2021)</title>
</head>
<body><pre>
[Federal Register Volume 86, Number 214 (Tuesday, November 9, 2021)]
[Notices]
[Pages 62224-62229]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[FR Doc No: 2021-24414]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-93512; File No. SR-ICEEU-2021-021]
Self-Regulatory Organizations; ICE Clear Europe Limited; Notice
of Filing and Immediate Effectiveness of Proposed Rule Change Relating
to Amendments to the ICE Clear Europe Clearing Rules
November 3, 2021.
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 20, 2021, ICE Clear Europe Limited (``ICE Clear Europe'' or
the ``Clearing House'') 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. ICE Clear Europe filed the proposed rule change
pursuant to Section 19(b)(3)(A) of the Act \3\ and Rule 19b-4(f)(4)
thereunder,\4\ such that the proposed rule change was immediately
effective upon filing with the Commission. The Commission is publishing
this notice to solicit comments on the proposed rule change from
interested persons.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ 15 U.S.C. 78s(b)(3)(A).
\4\ 17 CFR 240.19b-4(f)(4).
---------------------------------------------------------------------------
I. Clearing Agency's Statement of the Terms of Substance of the
Proposed Rule Change
(a) The principal purpose of the proposed amendments is for ICE
Clear Europe to add a new Part 24 to the ICE
[[Page 62225]]
Clear Europe Clearing Rules (the ``Rules'') which would set out certain
procedures relating to LIBOR transition for affected interest rate
futures and option contracts cleared by the Clearing House (such Part
24, the ``LIBOR Transition Rules''). The LIBOR Transition Rules would
address certain matters occurring in advance of the transition of
Sterling and Swiss Franc LIBOR to other replacement rates, with impacts
on the existing ICE Futures Europe Three Month Sterling LIBOR
Contracts, Three Month EuroSwiss Contracts and Options on Three Month
Sterling LIBOR Contracts.\5\
---------------------------------------------------------------------------
\5\ Capitalized terms used but not defined herein have the
meanings specified in the Rules.
---------------------------------------------------------------------------
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
ICE Clear Europe is proposing to adopt the LIBOR Transition Rules
in advance of the expected transition of Sterling and Swiss Franc LIBOR
rates, which are currently referenced in certain ICE Futures Europe
interest rate futures and option contracts cleared by the Clearing
House, to other replacement rates. As has been widely publicized, the
UK Financial Conduct Authority (the ``FCA'') in July 2017 announced
that it would no longer compel LIBOR panel banks to make LIBOR
submissions after December 31, 2021. Since July 2017, the FCA, other
regulators in various jurisdictions, industry groups and market
participants have worked to develop and adopt various risk-free rates
as alternatives to LIBOR, including the Sterling Over Night Index
Average, or ``SONIA,'' for Sterling, and the Swiss Average Rate
Overnight, or ``SARON,'' for Swiss Francs. In the derivative markets,
industry groups and market participants have generally concluded that
LIBOR-based contracts should be converted into contracts referencing a
new risk-free rate, with a fallback spread adjustment reflecting the
deemed difference in value between the relevant LIBOR rate and the
replacement risk free rate. On March 5, 2021, following further
consultations, the FCA announced the cessation dates for all LIBOR
panels, which will be December 31, 2021 for the Sterling and Swiss
Franc LIBORs underlying the relevant ICE Futures Europe interest rate
futures and options. In the wake of that announcement, industry groups
have established the fallback spreads expected to be used for
transitioning derivatives contracts referencing such rates, which have
been widely disseminated.\6\ In light of these developments, the
Clearing House has determined to transition the Three Month Sterling
LIBOR Contracts, Three Month EuroSwiss Contracts and Options on Three
Month Sterling LIBOR Contracts to replacement rates ahead of the
cessation dates for the Sterling and Swiss Franc LIBOR panels.
---------------------------------------------------------------------------
\6\ See Bloomberg, IBOR Fallbacks (5 March 2021), available at
<a href="https://assets.bbhub.io/professional/sites/10/IBOR-Fallbacks-LIBOR-Cessation_Announcement_20210305.pdf">https://assets.bbhub.io/professional/sites/10/IBOR-Fallbacks-LIBOR-Cessation_Announcement_20210305.pdf</a>.
---------------------------------------------------------------------------
ICE Futures Europe has already launched trading of new futures and
option contracts referencing SONIA and SARON, which are already cleared
by ICE Clear Europe. Market participants may currently trade in such
contracts alongside contracts referencing LIBOR. Accordingly, it is
possible for market participants, on a voluntary basis, to close out of
positions in LIBOR-referencing contracts and enter into new positions
in SONIA or SARON-referencing contracts through market transactions
under ICE Futures Europe rules. ICE Clear Europe is proposing to adopt
new Part 24 of the Rules, which would provide for the mandatory
conversion or (in certain circumstances) cash settlement of any
remaining LIBOR-referencing contracts that have not been voluntarily
closed out as of a specified date in advance of the cessation of LIBOR
publication of the Sterling and Swiss Franc LIBOR panels, as discussed
in further detail herein.
Specifically, the proposed amendments would provide, upon a defined
LIBOR Transition Time to be determined and communicated by Circular by
the Clearing House, for (i) the amendment and restatement of
Transitioning Three Month Sterling LIBOR Contracts into three-month
SONIA contracts, (ii) the amendment and restatement of Transitioning
Three Month EuroSwiss Contracts into three-month SARON contracts, and
(iii) the amendment and restatement of options on Transitioning Three
Month Sterling LIBOR Contracts into options on three-month SONIA
contracts.
LIBOR Transition Rules
Rule 2401 would provide an introduction to the LIBOR Transition
Rules and a general description of the LIBOR Transition Rules and their
purpose. The introduction would clarify that the LIBOR Transition Rules
would prevail in the event of any conflict with the remainder of the
ICE Clear Europe Clearing Rules on matters to which the LIBOR
Transition Rules relate.
Rule 2402 would provide the key additional definitions used in the
LIBOR Transition Rules, including ``LIBOR Settlement Time'' and ``LIBOR
Transition Time,'' ``Transitioning Three Month Sterling Contracts,''
``Transitioning Three Month Euro Swiss Contracts,'' ``SONIA
Contracts,'' ``SARON Contracts'', as discussed in further detail below.
Rule 2403 would provide that nothing in the LIBOR Transition Rules
would prevent or restrict ICE Futures Europe or the Clearing House from
clarifying or providing guidance on the application of the LIBOR
Transition Rules or any related Circular.
LIBOR Settlement Time and LIBOR Transition Time
As set out in Rule 2403, the Clearing House would designate and
communicate by Circular a LIBOR Settlement Time and LIBOR Transition
Time for purposes of the settlement and transition of the Three Month
Sterling LIBOR Contracts, Three Month EuroSwiss Contracts and Options
on Three Month Sterling LIBOR Contracts. The LIBOR Settlement Time will
be the time as of which the final pre-transition end-of-day settlement
will be calculated (as discussed below in connection with Rule 2404)
and will also be used to determine the contracts subject to transition.
Pursuant to Rule 2403(b), contracts that are still open at the LIBOR
Settlement Time but which are scheduled to expire on a later date will
be transitioned under the LIBOR Transition Rules; those contracts that
expire before the LIBOR Settlement Time will not be subject to the
LIBOR Transition Rules, since they will already have settled in
accordance with their existing terms. This wording would also exclude
from the LIBOR Transition any LIBOR Contacts that have been the subject
of a voluntary close out. The LIBOR Transition Time would be the time
as of which the amendment and restatement of remaining transitioning
contracts into SONIA Contracts, SARON Contracts or Options on SONIA
Contracts will occur. It is expected that
[[Page 62226]]
the LIBOR Transition Time and the LIBOR Settlement Time would both
occur after the market has closed on a business day and prior to market
opening the next business day. The Clearing House would be entitled to
delay either such time (or to unwind the LIBOR Transition) at any time
prior to the regular Margin call on the Business Day following the
scheduled LIBOR Transition Time. Any such delays would be communicated
to Clearing Members by Circular.
Pursuant to proposed Rule 2403(c), Options referencing Three Month
Sterling LIBOR Contracts that expire prior to the LIBOR Settlement Time
would expire and be exercised or abandoned and settle in the ordinary
way, without being affected by the LIBOR Transition Rules. However,
where such Contracts would be exercised prior to the LIBOR Settlement
Time into Three Month Sterling LIBOR Contracts that expire after the
LIBOR Settlement Time, transition would occur under the LIBOR
Transition Rules for the resulting Three Month Sterling LIBOR
Contracts.
LIBOR Transition Settlement Prices
Rule 2404 would describe the procedure for determining and using
LIBOR Transition Settlement Prices. Following the LIBOR Settlement
Time, the LIBOR Transition Settlement Prices would be used for
calculating the regular end of day Margin call in respect of any Set of
Three Month Sterling LIBOR Contracts, Three Month EuroSwiss Contracts
or Options on the Three Month Sterling LIBOR Contracts.
Rule 2404 would also describe the manner in which the LIBOR
Transition Settlement Prices would be determined for each Set of Three
Month Sterling LIBOR Contracts, each Set of Three Month EuroSwiss
Contracts, and each Option on the Three Month Sterling LIBOR Contracts
of a particular Set. For the transitioning futures contracts, the LIBOR
Transition Settlement Price would be the applicable daily settlement
price for the corresponding SONIA or SARON contract, minus the
applicable fallback spread. For the transitioning option contracts, the
transition settlement price would be the settlement price of the
corresponding SONIA option contract for the same delivery month and
with a flex strike price equal to the strike price for the
transitioning LIBOR contract plus the applicable fallback spread.
In addition, in relation to Options on the Three Month Sterling
LIBOR Contracts for which the corresponding Option on the SONIA
Contracts has a different expiry date, Rule 2404(c) would provide that
the Clearing House would direct that a one-off irreversible payment be
paid to the Clearing Member by the Clearing House or vice versa in
order to address the change in value resulting from the change in
expiry date.\7\ The amount of such payment would be calculated as at
the LIBOR Settlement Time by the Clearing House and included within the
next regular Margin call or payment following the LIBOR Transition
Time, unless otherwise directed by the Clearing House. Rule 2404
includes an acknowledgment that the methodology for calculating the
LIBOR Transition Settlement Prices (including the Three Month Sterling
LIBOR Spread and Three Month Swiss Franc LIBOR Spread) and the use of
such prices as the Exchange Delivery Settlement Price are matters of
which the market as a whole has had sufficient notice (in light of the
extensive market consultation and discussion around LIBOR transition
issues, including with respect to the fallback spread methodology and
calculation).
---------------------------------------------------------------------------
\7\ The Clearing House may direct such a payment under its
existing powers pursuant to Rule 109(k) when changes to the contract
terms ``materially affects'' the Exchange Delivery Settlement Price,
as is considered to be the case in respect of this element of the
LIBOR Transition Rules.
---------------------------------------------------------------------------
Amendment and Restatement of Transition Three Month Sterling LIBOR
Contracts
Rule 2405 would describe the process for the amendment and
restatement of Transitioning Three Month Sterling LIBOR Contracts into
SONIA Contracts. Because two lots of a Sterling LIBOR Contract will
convert into a single lot of a SONIA contract in order to deal with
differences in the sizes of lots under such contracts, Rule 2405(a)
would provide for rounding down of odd numbers of lots in the
conversion to the nearest even number of lots, with the remaining
portion to be excluded from the transition and terminated with cash
settlement in accordance with the Rule. A similar process to exclude,
terminate and cash settle transactions in lieu of transition would be
used as necessary to balance the number of buy and sell positions in
transitioning contracts following the rounding of odd lots as described
above.
Rule 2405(b) would provide that, at the LIBOR Transition Time, in
respect of each Account of each Clearing Member, every two lots of a
Set of Transitioning Three Month Sterling LIBOR Contracts (which are
not otherwise excluded from the Sterling LIBOR Transition and
terminated and cash settled as discussed above) would be amended and
restated as a single lot of a SONIA Contract with an identical delivery
month. Such SONIA Contracts would be treated as being of the same Set
as any other SONIA Contracts of the same delivery month held by the
Clearing Member at the Transition Time, and if they are in the same
Account may be subject to netting pursuant to Rule 406, thereby
creating fungibility between all SONIA Contacts, whether resulting from
prior trading or from the LIBOR Transition. The Rule would also clarify
that such SONIA Contracts would also remain ICE Futures Europe
Contracts to bolster this outcome. Finally, open Contract Positions in
respect of any Set of Transitioning Three Month Sterling LIBOR
Contracts that would be excluded from the Sterling LIBOR Transition
pursuant to Rule 2405(a) (as described above) would be terminated and
cash settled at the relevant LIBOR Transition Futures Settlement Price
announced by the Clearing House pursuant to Rule 2404(b)(i).
Rule 2405(c) would state that the Clearing House would not provide
for any one-off payment in respect of the amendment and restatement of
Transitioning Three Month Sterling LIBOR Contracts contemplated by
these LIBOR Transition Rules. The Rule would include an acknowledgment
that the proposed transition arrangements would be matters of which the
market as a whole would have sufficient notice, in light of the
extensive market consultation and discussion around LIBOR transition
issues, including with respect to the fallback spread methodology and
calculation, and in light of the ability of market participants to
voluntarily close out of positions prior to the LIBOR Transition Time.
Rule 2405(d) would also clarify certain matters that apply in
respect of Transitioning Three Month Sterling LIBOR Contracts following
the LIBOR Transition Time. After such time, the Clearing House would be
able to apply contractual netting of offsetting SONIA Contracts of the
same Set that are recorded in the same Account in accordance with the
ordinary Rules applicable to netting. The Rule would also provide that
there may be additional ad hoc or regular Margin payments or calls
including related to the amendment and restatement of Transitioning
Three Month Sterling LIBOR Contracts subject to Sterling LIBOR
Transition as SONIA Contracts or any consequent netting and increase or
decrease in Open Contract Positions or changes in valuations. The
Clearing House would also reserve the right to correct or amend an
Exchange Delivery
[[Page 62227]]
Settlement Price under Part 7 of the Rules.
Amendment and Restatement of Transitioning Three Month EuroSwiss
Contracts
Rule 2406 would provide substantially similar procedures for the
amendment and restatement of Transitioning Three Month EuroSwiss
Contracts into SARON Contracts (with the exception that each single lot
of a Transitioning Three Month EuroSwiss Contract would become a single
lot of the corresponding SARON Contract, and accordingly no rounding or
similar adjustment to open positions or payments in respect of odd lots
or balanced positions which are excluded from the LIBOR Transition will
be required).
Amendment and Restatement of Options on Transitioning Three Month
Sterling LIBOR Contracts
Rule 2407 would set out the process for the amendment and
restatement of Options on Transitioning Three Month Sterling LIBOR
Contracts. As with the underlying Three Month Sterling Contract, in the
transition, two lots of Options on Transitioning Three month Sterling
LIBOR Contracts would be converted into a single lot of SONIA Options.
As a result, Rule 2407(a) would set out a procedure for rounding odd
numbered positions and balancing the remaining buy and sell positions
(with termination and cash settlement for any positions excluded from
the transition), similar to the procedure in Rule 2405(a) as discussed
above.
Rule 2407(b) would set out the transition arrangements for Options
on Transitioning Three Month Sterling LIBOR Contracts at the LIBOR
Transition Time. Specifically, in respect of each Account of each
Clearing Member, every two lots of Options on any Transitioning Three
Month Sterling LIBOR Contract (which are not excluded from the Sterling
LIBOR Transition as described above) would be amended and restated as a
single lot of an Option on a SONIA Contract where the relevant Three
Month Sterling LIBOR Contract and SONIA Contract have an identical
delivery month. This amendment and restatement would result in the
adjustment of the expiry date of certain Options on Transitioning Three
Month Sterling LIBOR Contracts to the Friday prior to the third
Wednesday of the expiry month, consistent with the existing convention
for SONIA Contracts. The Strike Price of each Option on a SONIA
Contract arising under Rule 2407 would be amended and restated as the
Strike Price for the Option on the Transitioning Three Month Sterling
LIBOR Contract plus the Three Month Sterling LIBOR Spread. Rule 2407
would clarify that Options on SONIA Contracts arising under Rule 2407
would remain ICE Futures Europe Contracts. Any Open Contract Position
in respect of any Set of Options on any Transitioning Three Month
Sterling LIBOR Contracts that is excluded from the Sterling LIBOR
Transition pursuant to Rule 2407 would be terminated and cash settled
at the relevant LIBOR Transition Options Settlement Price previously
published by the Clearing House pursuant to Rule 2404(b)(iii).
Rule 2407(c) would provide that, other than the payment described
above under Rule 2404(c), the Clearing House would not require any one-
off payment in respect of the amendment and restatement of Options on
any Transitioning Three Month Sterling LIBOR Contracts under Rule 2407.
The Rule would include an acknowledgment, similar to those described
above, that market participants have had sufficient notice of the
transition terms.
Finally, Rule 2407(d) would address certain matters that would
apply following the LIBOR Transition Time. After such time, the
Clearing House would be able to apply contractual netting of offsetting
Options on SONIA Contracts of the same Set that are recorded in the
same Account, in accordance with Rule 406(a). SONIA Contracts (i.e.,
SONIA Futures) that would arise upon exercise of any Options converted
under Rule 2407 would be treated as being of the same Set as any other
SONIA Contracts of the same delivery month held by the Clearing Member
at the LIBOR Transition Time, and if they are in the same Account may
be subject to netting pursuant to Rule 406. The Clearing House would
clarify that additional ad hoc or regular Margin payments or calls
could be made, including related to the amendment and restatement of
the Options on Transitioning Three Month Sterling LIBOR Contracts as
Options on SONIA Contracts or any consequent netting and increase or
decrease in Open Contract Positions or changes in valuations. The
Clearing House would also reserve its rights under Part 8 to correct or
amend an Exchange Delivery Settlement Price under Part 8 of the Rules.
(b) Statutory Basis
ICE Clear Europe believes that LIBOR Transition Rules are
consistent with the requirements of Section 17A of the Act \8\ and the
regulations thereunder applicable to it, including the standards under
Rule 17Ad-22.\9\ In particular, Section 17A(b)(3)(F) of the Act \10\
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 the clearing agency or for which
it is responsible, and the protection of investors and the public
interest. The amendments in the LIBOR Transition Rules are intended to
facilitate the transition of certain contracts in advance of the
cessation of the Sterling and Swiss Franc LIBOR panels on 31 December
2021, consistent with ongoing discussions among regulators, industry
groups and market participants more generally. The addition of the
LIBOR Transition Rules will provide a procedure for the transition of
Sterling and Swiss Franc LIBOR futures and options that would otherwise
expire after the expected LIBOR cessation into SONIA and SARON
Contracts, including applicable adjustments as appropriate. ICE Clear
Europe also notes that prior to the transition, market participants are
able on a voluntary basis to close out of Sterling and Swiss Franc
LIBOR contracts, and/or enter into SONIA or SARON Contracts, through
market transactions. The amendments thus provide a fallback to the
extent market participants have not voluntarily adjusted their
positions as of the transition time. As such, the amendments will
facilitate continued clearing by the Clearing House of the
transitioning contracts notwithstanding the cessation of the Sterling
and Swiss Franc LIBOR panels, and avoid the disruption to the market
that might otherwise occur upon LIBOR cessation. The amendments are
also consistent with, and support, the overall market transition away
from LIBOR-based contracts, which has been supported and indeed
initiated and required by regulators and market participants, both in
the UK and the US. In ICE Clear Europe's view, the amendments will thus
promote the prompt and accurate clearance and settlement of
transactions and the protections of investors within the meaning of
Section 17A(b)(3)(F) of the Act. In facilitating the transition away
from LIBOR-based contracts, consistent with the approach throughout the
derivatives, securities
[[Page 62228]]
and other markets, the amendments will also further the public
interest, within the meaning of that section. (ICE Clear Europe does
not believe the amendments would affect the safeguarding of securities
and funds in the custody or control of the clearing agency or for which
it is responsible, within the meaning of that section.)
---------------------------------------------------------------------------
\8\ 15 U.S.C. 78q-1.
\9\ 17 CFR 240.17Ad-22.
\10\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------
For similar reasons, the LIBOR Transition Rules also are consistent
with relevant requirements of Rule 17Ad-22. Rule 17Ad-22(e)(3)(i) \11\
requires clearing agencies to maintain a sound risk management
framework that identifies, measures, monitors and manages the range of
risks that it faces. The LIBOR Transition Rules will provide for the
transition of existing LIBOR-based contracts into SONIA and SARON
Contracts that are currently cleared by the Clearing House. As such,
the contracts, upon transition, will be subject to the existing risk
management framework and procedures of the Clearing House applicable to
SONIA and SARON Contracts. The LIBOR Transition Rules also contain
certain other arrangements to facilitate the transition, including
addressing odd lots of existing contracts or unbalanced books via
appropriate cash settlement at market value under a pre-determined
methodology, and providing for a one-time adjustment payment to reflect
the change in value resulting from a change in the expiration date of
some option contracts. Taken together, these arrangements further the
Clearing House's ability to manage the risk of the LIBOR transition,
and as such are consistent with the requirements of Rule 17Ad-
22(e)(3).\12\
---------------------------------------------------------------------------
\11\ 17 CFR 240.17Ad-22(e)(3)(i).
\12\ 17 CFR 240.17 Ad-22(e)(3)(i).
---------------------------------------------------------------------------
Rule 17Ad-22(e)(21) requires that a clearing agency ``be efficient
and effective in meeting the requirements of its participants and the
markets it serves, and have the covered clearing agency's management
regularly review the efficiency and effectiveness of its . . . scope of
products cleared or settled.'' \13\ The amendments are intended to be
consistent with, and facilitate, the market-wide transition away from
LIBOR-based contracts to so-called ``risk-free'' rates such as SONIA
and SARON, in light of the expressed positions of relevant regulators
and the commitments made by industry groups and market participants.
The amendments, which have already been consulted upon and give effect
to the output of broader consultations which have been undertaken by
the ICE Futures Europe exchange, will provide market participants
notice of the effect of the LIBOR Transition Rules on their contracts,
in the event they have not otherwise taken steps in the market to
address such contracts. As such, the amendments are, in ICE Clear
Europe's view, consistent with the requirements of its participants and
the markets it serves in light of the LIBOR transition, and will
facilitate compliance with Rule 17Ad-22(e)(21).
---------------------------------------------------------------------------
\13\ 17 CFR 240.17Ad-22(e)(21)(iii).
---------------------------------------------------------------------------
(B) Clearing Agency'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 purposes of the Act. The LIBOR
Transition Rules are intended to update the Clearing House's
instructions and practices with respect to certain Sterling and Swiss
Franc futures and option contracts that reference LIBOR, to address the
cessation of the Sterling and Swiss Franc LIBOR panels. (Although the
LIBOR Transition Rules will result in market participants ceasing to be
able to clear the Sterling and Swiss Franc LIBOR contracts, that is the
result of the de-listing of the contracts at the exchange level, and is
consistent with the movement of the broader market away from LIBOR-
based contracts given the anticipated cessation of publication.) The
amendments will provide for transition of remaining Sterling and Swiss
Franc LIBOR futures and options contracts as of the transition date to
SONIA or SARON contracts as applicable (contracts that are already
cleared by the Clearing House). Such changes are thus not intended to
impose new requirements on Clearing Members. As a result, ICE Clear
Europe does not expect that the proposed changes will adversely affect
access to clearing or the ability of Clearing Members, their customers
or other market participants to continue to clear contracts. ICE Clear
Europe also does not believe the amendments would materially affect the
cost of clearing or otherwise impact competition among Clearing Members
or other market participants or limit market participants' choices for
selecting clearing services. The LIBOR Transition Rules provide for a
one-off irreversible payment resulting from the change of value due to
the change of the expiry date upon the conversion of certain options.
Otherwise, as set forth above, the Clearing House does not believe that
the amendments require any additional compensation payments to be made
to any party to a transitioning contract, as the methodology for spread
adjustment that is being used has been the subject of extensive
industry consultation and discussion, and given that market
participants are able to close out and replace positions themselves
prior to the transition. Accordingly, ICE Clear Europe does not believe
the amendments would impose any burden on competition not necessary or
appropriate in furtherance of the purpose of the Act.
(C) Clearing Agency's Statement on Comments on the Proposed Rule Change
Received From Members, Participants or Others
ICE Clear Europe conducted a 14-day public consultation with
respect to the LIBOR Transition Rules on 27 September 2021 pursuant to
ICE Clear Europe Circular no. C21113.\14\ Written comments relating to
the proposed amendments have not been received by ICE Clear Europe. ICE
Clear Europe will notify the Commission of any written comments
received with respect to the proposed rule change.
---------------------------------------------------------------------------
\14\ ICE Clear Europe Circular C21/113 (27 Sept. 2021),
available at <a href="https://www.theice.com/publicdocs/clear_europe/circulars/C21113.pdf">https://www.theice.com/publicdocs/clear_europe/circulars/C21113.pdf</a>. Prior to such LIBOR Transition Rules being
developed, a LIBOR transition plan was published by ICE Futures
Europe on 22 March 2021 and distributed to its members.
---------------------------------------------------------------------------
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
The foregoing rule change has become effective pursuant to Section
19(b)(3)(A) of the Act \15\ and paragraph (f) of Rule 19b-4 \16\
thereunder. 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.
---------------------------------------------------------------------------
\15\ 15 U.S.C. 78s(b)(3)(A).
\16\ 17 CFR 240.19b-4(f).
---------------------------------------------------------------------------
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
<bullet> Use the Commission's internet comment form (<a href="http://www.sec.gov/rules/sro.shtml">http://www.sec.gov/rules/sro.shtml</a>) or
<bullet> Send an email to <a href="/cdn-cgi/l/email-protection#d0a2a5bcb5fdb3bfbdbdb5bea4a390a3b5b3feb7bfa6"><span class="__cf_email__" data-cfemail="81f3f4ede4ace2eeecece4eff5f2c1f2e4e2afe6eef7">[email protected]</span></a>. Please include
File Number SR-ICEEU-2021-021 on the subject line.
[[Page 62229]]
Paper Comments
<bullet> 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-2021-021. 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 website (<a href="http://www.sec.gov/rules/sro.shtml">http://www.sec.gov/rules/sro.shtml</a>).
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 website 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 website at <a href="https://www.theice.com/clear-credit/regulation">https://www.theice.com/clear-credit/regulation</a>.
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-ICEEU-2021-021 and should be
submitted on or before November 30, 2021.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\17\
---------------------------------------------------------------------------
\17\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021-24414 Filed 11-8-21; 8:45 am]
BILLING CODE 8011-01-P
</pre><script data-cfasync="false" src="/cdn-cgi/scripts/5c5dd728/cloudflare-static/email-decode.min.js"></script></body>
</html>Indexed from Federal Register on November 9, 2021.
This is legal information, not legal advice. Laws vary by jurisdiction and change frequently. Always verify current law with official sources and consult a licensed attorney in your jurisdiction for advice on your specific situation.