Self-Regulatory Organizations; ICE Clear Credit LLC; Order Approving Proposed Rule Change To Revise the ICC End-of-Day Price Discovery Policies and Procedures, 53530-53531 [2016-19170]
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Federal Register / Vol. 81, No. 156 / Friday, August 12, 2016 / Notices
application to approximately $200,000
to prepare a complex or novel
application. We estimate that the
Commission receives 1 of the most timeconsuming applications annually, 2
applications of medium difficulty, and 9
of the least difficult applications subject
to rule 0–4.1 This distribution gives a
total estimated annual cost burden to
applicants of filing all applications of
$402,200 [(1 × $200,000) + (2 × $43,500)
+ (9 × $12,800)]. The estimate of annual
cost burden is made solely for the
purposes of the Paperwork Reduction
Act, and is not derived from a
comprehensive or even representative
survey or study of the costs of
Commission rules and forms.
The requirements of this collection of
information are required to obtain or
retain benefits. Responses will not be
kept confidential. An agency may not
conduct or sponsor, and a person is not
required to respond to a collection of
information unless it displays a
currently valid control number.
Written comments are invited on: (a)
Whether the proposed collection of
information is necessary for the proper
performance of the functions of the
agency, including whether the
information will have practical utility;
(b) the accuracy of the agency’s estimate
of the burden of the collection of
information; (c) ways to enhance the
quality, utility, and clarity of the
information collected; and (d) ways to
minimize the burden of the collection of
information on respondents, including
through the use of automated collection
techniques or other forms of information
technology. Consideration will be given
to comments and suggestions submitted
in writing within 60 days of this
publication.
Please direct your written comments
to Pamela Dyson, Chief Information
Officer, Securities and Exchange
Commission, 100 F Street NE.,
Washington, DC 20549; or send an email
to: PRA_Mailbox@sec.gov.
Dated: August 9, 2016.
Robert W. Errett,
Deputy Secretary.
[FR Doc. 2016–19207 Filed 8–11–16; 8:45 am]
mstockstill on DSK3G9T082PROD with NOTICES
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–78501; File No. SR–ICC–
2016–007]
Self-Regulatory Organizations; ICE
Clear Credit LLC; Order Approving
Proposed Rule Change To Revise the
ICC End-of-Day Price Discovery
Policies and Procedures
August 8, 2016
I. Introduction
On April 22, 2016, ICE Clear Credit
LLC (‘‘ICC’’) filed with the Securities
and Exchange Commission
(‘‘Commission’’), pursuant to Section
19(b)(1) of the Securities Exchange Act
(‘‘Act’’) 1 and Rule 19b–4 thereunder,2 a
proposed rule change relating to ICC’s
End-of-Day Price Discovery Policies and
Procedures (the ‘‘EOD Policy’’). The
proposed rule change was published for
comment in the Federal Register on
May 11, 2016.3 On June 23, 2016, the
Commission extended the time period
in which to either approve, disapprove,
or institute proceedings to determine
whether to disapprove the proposed
rule change to August 9, 2016.4 The
Commission did not receive comments
on the proposed rule change. For the
reasons discussed below, the
Commission is approving the proposed
rule change.
II. Description of the Proposed Rule
Change
The principal purpose of the
proposed rule change is to revise the
EOD Policy to change the calculation of
single name firm trade (‘‘Firm Trade’’)
notional limits to be at a Clearing
Participant (‘‘CP’’) affiliate group level.
As part of ICC’s end-of-day price
discovery process, ICC CPs are required
to submit end-of-day prices for specific
instruments related to their open
interest at ICC. ICC determines end-ofday levels directly from these CP price
submissions using a proprietary
algorithm. To encourage CPs to provide
high quality end-of-day submissions, on
random days, ICC selects a subset of
instruments which are eligible for Firm
Trades. In order to determine Firm
Trade requirements, the algorithm sorts
and ranks all CP submissions and
identifies ‘‘crossed and/or locked
markets.’’ Crossed markets are pairs of
1 15
U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 Securities Exchange Act Release No. 34–77771
(May 5, 2016), 81 FR 29309 (May 11, 2016) (SR–
ICC–2016–007).
4 Securities Exchange Act Release No. 34–78144
(June 23, 2016), 81 FR 42018 (June 28, 2016) (SR–
ICC–2016–007).
2 17
1 The estimated 9 least difficult applications
include the estimated 9 applications per year
submitted under Advisers Act rule 206(4)–5.
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18:42 Aug 11, 2016
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Frm 00136
Fmt 4703
Sfmt 4703
CP submitted prices generated by the
sorting and ranking process for which
the bid price of one CP is above the offer
price of the matched CP. The algorithm
identifies locked markets, where the bid
and the offer are equal, in a similar
fashion.
ICC designates certain crossed and/or
locked markets as Firm Trades and CPs
are entered into cleared transactions.
ICC establishes pre-defined notional
amounts for Firm Trades. According to
ICC, no single Firm Trade can have a
larger notional amount than specified by
the pre-defined notional amount for the
relevant instrument. On a given Firm
Trade day, all potential-trades resulting
from the cross-and-lock algorithm in
any Firm Trade eligible instrument are
designated Firm Trades, unless they
breach a CP’s notional limits.
Currently single name Firm Trade
notional limits are set at the CP level.
According to ICC, it designed the Firm
Trade system to incentivize trading
desks to provide quality end-of-day
price submissions for use in its end-ofday price discovery process, while
limiting the total overnight risk that a
given institution may be required to
manage in case of submission errors or
outlying pricing submissions which
may lead to Firm Trades. One
mechanism introduced to provide these
protections was single name Firm Trade
notional limits per CP. ICC believes that
at the time of its introduction, this
mechanism achieved its goal of limiting
overnight risk limits per institution.
However, with the increase in client
clearing and in multiple CP
memberships per holding company, ICC
asserts that the limit provided to a given
institution is multiples of that originally
contemplated.
In addition, because of recent changes
to the EOD Policy to extend the process
for determining Firm Trades to include
all submissions, including those
classified as outlying pricing
submissions (or ‘‘obvious errors’’),5 ICC
asserts that CPs are eligible to receive
Firm Trades on a wider range of price
submissions. Due to the broadened
scope of the Firm Trade process, ICC
asserts a heightened interest in adjusting
the allocation process so that CPs are
not over-penalized for Firm Trades in
terms of overnight risk exposure.
In order to maintain the original
intent of the end-of-day price discovery
process, ICC has proposed changes to its
EOD Policy to implement single name
Firm Trade notional limits at the CP
affiliate group level, as opposed to the
5 See Securities Exchange Act Release No. 34–
74053 (January 14, 2015), 80 FR 2985 (January 21,
2015) (SR–ICC–2015–001).
E:\FR\FM\12AUN1.SGM
12AUN1
Federal Register / Vol. 81, No. 156 / Friday, August 12, 2016 / Notices
mstockstill on DSK3G9T082PROD with NOTICES
CP level. ICC represents that the
proposed changes will return the
process to its original design and limit
the total overnight risk that a given
institution may be required to manage
in the case of submission errors or
outlying pricing submissions which
may lead to Firm Trades.
A ‘‘CP affiliate group’’ will be defined
as the set of all affiliated CPs (i.e. any
CPs that own, are owned by, or are
under common ownership with another
CP). According to ICC, as the sequence
of crosses is considered, the executed
single name Firm Trade notional value
will be tracked for all CPs in a CP
affiliate group. ICC states that no
additional single name Firm Trades will
be executed against any CP in a CP
affiliate group once the CP affiliate
group notional limit for single name
Firm Trades is reached. ICC asserts
there are no changes to the Firm Trade
algorithm as a result of these changes.
ICC further asserts that setting single
name Firm Trade notional limits on an
affiliate group basis is consistent with
price submission practices where endof-day submissions from multiple
affiliated entities often reflect the
institution’s overall view on the market.
ICC states that the proposal returns
single name Firm Trade notional limits
to the original design while maintaining
the system’s price submission
incentives. ICC represents that all CPs
within an affiliate group will still be
subject to potential Firm Trades for any
given submission, on a randomized
basis. ICC also asserts that though Firm
Trade notional limits will be
implemented at the CP affiliate group
level, the potential implication for a
given trading desk of providing an offmarket submission for a given
instrument remains the same. ICC
believes there will be no change in price
submission behavior as a result of the
changes, and the Firm Trade process
will remain an effective tool for
ensuring quality price submissions.
III. Discussion and Commission
Findings
Section 19(b)(2)(C) of the Act 6 directs
the Commission to approve a proposed
rule change of a self-regulatory
organization if the Commission finds
that the proposed rule change is
consistent with the requirements of the
Act and the rules and regulations
thereunder applicable to such selfregulatory organization. Section
17A(b)(3)(F) of the Act 7 requires, among
other things, that the rules of a clearing
agency be designed to promote the
6 15
U.S.C. 78s(b)(2)(C).
7 15 U.S.C. 78q–1(b)(3)(F).
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18:42 Aug 11, 2016
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prompt and accurate clearance and
settlement of securities transactions,
and to the extent applicable, derivative
agreements, contracts and transactions,
to assure the safeguarding of securities
and funds which are in the custody or
control of the clearing agency or for
which it is responsible and, in general,
to protect investors and the public
interest. Section 17A(b)(3)(F) 8 of the
Act also requires that the rules of a
clearing agency are not designed to
permit unfair discrimination among
participants in the use of the clearing
agency.
The proposed application of the Firm
Trade notional limit to CP affiliate
groups is intended to manage what is,
in ICC’s view, an inappropriate
overnight risk to its members without
negatively impacting the integrity of its
price discovery process. Moreover, the
proposed rule change is intended to
apply the EOD Policy fairly to
participants, and ICC has represented
that the proposed rule change is
consistent with price submission
practices where end-of-day submissions
from multiple affiliated entities often
reflect the institution’s overall view on
the market. As such, the Commission
believes that 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.
IV. Conclusion
On the basis of the foregoing, the
Commission finds that the proposal is
consistent with the requirements of the
Act and in particular with the
requirements of Section 17A of the
Act 10 and the rules and regulations
thereunder.11
IT IS THEREFORE ORDERED,
pursuant to Section 19(b)(2) of the
Act,12 that the proposed rule change
(File No. SR–ICC–2016–007) be, and
hereby is, approved.13
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.14
Robert W. Errett,
Deputy Secretary.
[FR Doc. 2016–19170 Filed 8–11–16; 8:45 am]
BILLING CODE 8011–01–P
8 Id.
9 Id.
10 15
U.S.C. 78q-1.
CFR 240.17Ad-22.
12 15 U.S.C. 78s(b)(2).
13 In approving the proposed rule change, the
Commission considered the proposal’s impact on
efficiency, competition and capital formation. 15
U.S.C. 78c(f).
14 17 CFR 200.30–3(a)(12).
11 17
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53531
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–78498; File No. SR–NYSE–
2016–52]
Self-Regulatory Organizations; New
York Stock Exchange LLC; Notice of
Filing and Immediate Effectiveness of
Proposed Rule Change To Amend Rule
19 To Specify in Exchange Rules the
Exchange’s Use of Data Feeds From
Investors’ Exchange, LLC for Order
Handling and Execution, Order
Routing, and Regulatory Compliance
August 8, 2016.
Pursuant to Section 19(b)(1) 1 of the
Securities Exchange Act of 1934 (the
‘‘Act’’) 2 and Rule 19b–4 thereunder,3
notice is hereby given that on July 26,
2016, New York Stock Exchange LLC
(‘‘NYSE’’ or the ‘‘Exchange’’) filed with
the Securities and Exchange
Commission (the ‘‘Commission’’) the
proposed rule change as described in
Items I, and II below, which Items have
been prepared by the self-regulatory
organization. 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 Exchange proposes to amend
Rule 19 to specify in Exchange rules the
Exchange’s use of data feeds from
Investors’ Exchange, LLC for order
handling and execution, order routing,
and regulatory compliance. The
proposed rule change is available on the
Exchange’s Web site at www.nyse.com,
at the principal office of the Exchange,
and at the Commission’s Public
Reference Room.
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission, the
self-regulatory organization 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 those statements may be examined at
the places specified in Item IV below.
The Exchange has prepared summaries,
set forth in sections A, B, and C below,
of the most significant parts of such
statements.
1 15
U.S.C. 78s(b)(1).
U.S.C. 78a.
3 17 CFR 240.19b–4.
2 15
E:\FR\FM\12AUN1.SGM
12AUN1
]]>Agencies
[Federal Register Volume 81, Number 156 (Friday, August 12, 2016)]
[Notices]
[Pages 53530-53531]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2016-19170]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-78501; File No. SR-ICC-2016-007]
Self-Regulatory Organizations; ICE Clear Credit LLC; Order
Approving Proposed Rule Change To Revise the ICC End-of-Day Price
Discovery Policies and Procedures
August 8, 2016
I. Introduction
On April 22, 2016, ICE Clear Credit LLC (``ICC'') filed with the
Securities and Exchange Commission (``Commission''), pursuant to
Section 19(b)(1) of the Securities Exchange Act (``Act'') \1\ and Rule
19b-4 thereunder,\2\ a proposed rule change relating to ICC's End-of-
Day Price Discovery Policies and Procedures (the ``EOD Policy''). The
proposed rule change was published for comment in the Federal Register
on May 11, 2016.\3\ On June 23, 2016, the Commission extended the time
period in which to either approve, disapprove, or institute proceedings
to determine whether to disapprove the proposed rule change to August
9, 2016.\4\ The Commission did not receive comments on the proposed
rule change. For the reasons discussed below, the Commission is
approving the proposed rule change.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ Securities Exchange Act Release No. 34-77771 (May 5, 2016),
81 FR 29309 (May 11, 2016) (SR-ICC-2016-007).
\4\ Securities Exchange Act Release No. 34-78144 (June 23,
2016), 81 FR 42018 (June 28, 2016) (SR-ICC-2016-007).
---------------------------------------------------------------------------
II. Description of the Proposed Rule Change
The principal purpose of the proposed rule change is to revise the
EOD Policy to change the calculation of single name firm trade (``Firm
Trade'') notional limits to be at a Clearing Participant (``CP'')
affiliate group level.
As part of ICC's end-of-day price discovery process, ICC CPs are
required to submit end-of-day prices for specific instruments related
to their open interest at ICC. ICC determines end-of-day levels
directly from these CP price submissions using a proprietary algorithm.
To encourage CPs to provide high quality end-of-day submissions, on
random days, ICC selects a subset of instruments which are eligible for
Firm Trades. In order to determine Firm Trade requirements, the
algorithm sorts and ranks all CP submissions and identifies ``crossed
and/or locked markets.'' Crossed markets are pairs of CP submitted
prices generated by the sorting and ranking process for which the bid
price of one CP is above the offer price of the matched CP. The
algorithm identifies locked markets, where the bid and the offer are
equal, in a similar fashion.
ICC designates certain crossed and/or locked markets as Firm Trades
and CPs are entered into cleared transactions. ICC establishes pre-
defined notional amounts for Firm Trades. According to ICC, no single
Firm Trade can have a larger notional amount than specified by the pre-
defined notional amount for the relevant instrument. On a given Firm
Trade day, all potential-trades resulting from the cross-and-lock
algorithm in any Firm Trade eligible instrument are designated Firm
Trades, unless they breach a CP's notional limits.
Currently single name Firm Trade notional limits are set at the CP
level. According to ICC, it designed the Firm Trade system to
incentivize trading desks to provide quality end-of-day price
submissions for use in its end-of-day price discovery process, while
limiting the total overnight risk that a given institution may be
required to manage in case of submission errors or outlying pricing
submissions which may lead to Firm Trades. One mechanism introduced to
provide these protections was single name Firm Trade notional limits
per CP. ICC believes that at the time of its introduction, this
mechanism achieved its goal of limiting overnight risk limits per
institution. However, with the increase in client clearing and in
multiple CP memberships per holding company, ICC asserts that the limit
provided to a given institution is multiples of that originally
contemplated.
In addition, because of recent changes to the EOD Policy to extend
the process for determining Firm Trades to include all submissions,
including those classified as outlying pricing submissions (or
``obvious errors''),\5\ ICC asserts that CPs are eligible to receive
Firm Trades on a wider range of price submissions. Due to the broadened
scope of the Firm Trade process, ICC asserts a heightened interest in
adjusting the allocation process so that CPs are not over-penalized for
Firm Trades in terms of overnight risk exposure.
---------------------------------------------------------------------------
\5\ See Securities Exchange Act Release No. 34-74053 (January
14, 2015), 80 FR 2985 (January 21, 2015) (SR-ICC-2015-001).
---------------------------------------------------------------------------
In order to maintain the original intent of the end-of-day price
discovery process, ICC has proposed changes to its EOD Policy to
implement single name Firm Trade notional limits at the CP affiliate
group level, as opposed to the
[[Page 53531]]
CP level. ICC represents that the proposed changes will return the
process to its original design and limit the total overnight risk that
a given institution may be required to manage in the case of submission
errors or outlying pricing submissions which may lead to Firm Trades.
A ``CP affiliate group'' will be defined as the set of all
affiliated CPs (i.e. any CPs that own, are owned by, or are under
common ownership with another CP). According to ICC, as the sequence of
crosses is considered, the executed single name Firm Trade notional
value will be tracked for all CPs in a CP affiliate group. ICC states
that no additional single name Firm Trades will be executed against any
CP in a CP affiliate group once the CP affiliate group notional limit
for single name Firm Trades is reached. ICC asserts there are no
changes to the Firm Trade algorithm as a result of these changes. ICC
further asserts that setting single name Firm Trade notional limits on
an affiliate group basis is consistent with price submission practices
where end-of-day submissions from multiple affiliated entities often
reflect the institution's overall view on the market.
ICC states that the proposal returns single name Firm Trade
notional limits to the original design while maintaining the system's
price submission incentives. ICC represents that all CPs within an
affiliate group will still be subject to potential Firm Trades for any
given submission, on a randomized basis. ICC also asserts that though
Firm Trade notional limits will be implemented at the CP affiliate
group level, the potential implication for a given trading desk of
providing an off-market submission for a given instrument remains the
same. ICC believes there will be no change in price submission behavior
as a result of the changes, and the Firm Trade process will remain an
effective tool for ensuring quality price submissions.
III. Discussion and Commission Findings
Section 19(b)(2)(C) of the Act \6\ directs the Commission to
approve a proposed rule change of a self-regulatory organization if the
Commission finds that the proposed rule change is consistent with the
requirements of the Act and the rules and regulations thereunder
applicable to such self-regulatory organization. Section 17A(b)(3)(F)
of the Act \7\ 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, to
assure the safeguarding of securities and funds which are in the
custody or control of the clearing agency or for which it is
responsible and, in general, to protect investors and the public
interest. Section 17A(b)(3)(F) \8\ of the Act also requires that the
rules of a clearing agency are not designed to permit unfair
discrimination among participants in the use of the clearing agency.
---------------------------------------------------------------------------
\6\ 15 U.S.C. 78s(b)(2)(C).
\7\ 15 U.S.C. 78q-1(b)(3)(F).
\8\ Id.
---------------------------------------------------------------------------
The proposed application of the Firm Trade notional limit to CP
affiliate groups is intended to manage what is, in ICC's view, an
inappropriate overnight risk to its members without negatively
impacting the integrity of its price discovery process. Moreover, the
proposed rule change is intended to apply the EOD Policy fairly to
participants, and ICC has represented that the proposed rule change is
consistent with price submission practices where end-of-day submissions
from multiple affiliated entities often reflect the institution's
overall view on the market. As such, the Commission believes that 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.
---------------------------------------------------------------------------
\9\ Id.
---------------------------------------------------------------------------
IV. Conclusion
On the basis of the foregoing, the Commission finds that the
proposal is consistent with the requirements of the Act and in
particular with the requirements of Section 17A of the Act \10\ and the
rules and regulations thereunder.\11\
---------------------------------------------------------------------------
\10\ 15 U.S.C. 78q-1.
\11\ 17 CFR 240.17Ad-22.
---------------------------------------------------------------------------
IT IS THEREFORE ORDERED, pursuant to Section 19(b)(2) of the
Act,\12\ that the proposed rule change (File No. SR-ICC-2016-007) be,
and hereby is, approved.\13\
---------------------------------------------------------------------------
\12\ 15 U.S.C. 78s(b)(2).
\13\ In approving the proposed rule change, the Commission
considered the proposal's impact on efficiency, competition and
capital formation. 15 U.S.C. 78c(f).
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\14\
---------------------------------------------------------------------------
\14\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
Robert W. Errett,
Deputy Secretary.
[FR Doc. 2016-19170 Filed 8-11-16; 8:45 am]
BILLING CODE 8011-01-P
