SUBMISSION COVER SHEET
Transcription
SUBMISSION COVER SHEET
SUBMISSION COVER SHEET Registered Entity Identifier Code (optional) ICC Date: January 17, 2014 I M P O R T A N T : CHECK BOX IF CONFIDENTIAL TREATMENT IS REQUESTED. ORGANIZATION FILING AS A: ICE Clear Credit LLC DCM SEF DCO SDR ECM/SPDC TYPE OF FILING Rules and Rule Amendments Certification under § 40.6 (a) or § 41.24 (a) “Non-Material Agricultural Rule Change” under § 40.4 (b)(5) Notification under § 40.6 (d) Request for Approval under § 40.4 (a) or § 40.5 (a) Advance Notice of SIDCO Rule Change under § 40.10 (a) Products Certification under § 39.5(b), § 40.2 (a), or § 41.23 (a) Swap Class Certification under § 40.2 (d) Request for Approval under § 40.3 (a) Novel Derivative Product Notification under § 40.12 (a) RULE NUMBERS Risk parameters established by ICC DESCRIPTION The purpose of this notification is to provide notice of any changes to the risk parameters established by ICC in consultation with the ICC Risk Committee, ICC Trading Advisory Committee and/or ICC Risk Working Group. www.theice e.com Michelle We eiler Assistant Ge eneral Counsel January 17,, 2014 Re: Weekly Notification of R Rule Amendm ments pdates to Ris sk Parameters Establishe ed by – Up ICC Pursuant to Section 5c(c)(1) off the Com mmodity Exc change Act and Commis ssion Reg ulation 40.6((d) VIA E-MA AIL Ms. Melissa Jurgens Secretary y Commodity Futures Trading Commission Three Laffayette Centre e 1155 21st Street, NW Washingto on, D.C. 2058 81 Dear Ms. Jurgens: ICE Clearr Credit (“ICC C”) hereby su ubmits, pursuant to Sectio on 5c(c)(1) off the Commo odity Exchang ge Act and Com mmodity Futures Trading Commission n (“Commiss ion”) Regula ation 40.6(d),, a notification of changes to risk param meters established by ICC C in consulta ation with the ICC Risk C Committee, Trrading Advisory Committee C and/or Risk Working W Group p. ICC is regisstered with th he Commissio on as a derivatives clearing organization. o The purpo ose of this notification is to o report any changes to the e risk parame eters establish hed by ICC. D During the week ending Janua ary 17, 2014, changes werre made to the e following pa arameters: s for NA credit indices bid/offer widths K ran nk-order corre elations for NA and Europe ean risk facto ors KendallTau MAD M estimates s (inclusive off EWMA) for NA and Euro pean risk facttors le eft and right ta ail parameters s for NA and European riskk factors minimum, m max ximum and im mplied recoverry rates for Eu uropean singlle names ICC has posted p a copy y of this subm mission on its website w conc urrent with this filling. ICC would d be pleased to respond to t any questio ons the Comm mission or the staff may h have regardin ng this submissio on. Please dirrect any ques stions or requests for inform mation to the e attention of tthe undersign ned at michelle.w weiler@theice e.com or (312 2) 836-6884. Sincerely,, Michelle Weiler W Assistant General Counsel cc: Ju ulie Mohr, Co ommodity Futu ures Trading Commission (by email) Kate K Meyer, Commodity Fu utures Trading g Commission n (by email) Stan Ivanov, IC CE Clear Credit (by email) Jo ose Marquez, ICE Clear Credit C (by ema ail) Eric Nield, ICE E Clear Creditt (by email) s, ICE Clear Credit C (by email) Sarah Williams Interco ontinentalExch hange 353 North h Clark, Suite e 3100 Chicago, IL 6 60654