13414 Federal Register / Vol. 86, No. 43 / Monday, March 8, 2021 / Notices 

17 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 89197 

(June 30, 2020), 85 FR 40720 (‘‘Notice’’). 

4 15 U.S.C. 78s(b)(2). 

5See Securities Exchange Act Release No. 89584, 

85 FR 51817 (Aug. 21, 2020). 

6See Securities Exchange Act Release No. 90075, 

85 FR 63597 (Oct. 8, 2020) (‘‘OIP’’). 

7See Securities Exchange Act Release No. 90672, 

85 FR 83135 (Dec. 21, 2020). 

8The comment on the proposed rule change can 

be found on the Commission’s website at: https:// 

www.sec.gov/comments/sr-nysearca-2020-56/ 

srnysearca202056-8163217-226939.pdf. 

9 15 U.S.C. 78f(b)(5). 

10See NYSE Arca Rules 5.2–E(j)(3) and 5.5– 

E(g)(2) (Investment Company Units); 5.2–E(j)(8) 

(Exchange-Traded Fund Shares); 8.600–E (Managed 

Fund Shares); and 8.900–E (Managed Portfolio 

Shares). 

11See Commentary .01(d) to NYSE Arca Rule 5.2– 

E(j)(3) (requiring a minimum of 100,000 shares of 

a series of Investment Company Units to be 

outstanding at commencement of trading); NYSE 

Arca Rule 5.2–E(j)(8)(e)(1)(A) (requiring the 

Exchange to establish a minimum number of 

Exchange-Traded Fund Shares to be outstanding at 

the time of commencement of trading); NYSE Arca 

Rule 8.600–E(d)(1)(A) (requiring the Exchange to 

establish a minimum number of Managed Fund 

Shares to be outstanding at the time of 

commencement of trading); and NYSE Arca Rule 

8.900–E(d)(1)(A) (requiring the Exchange to 

establish a minimum number of Managed Portfolio 

Shares to be outstanding at the time of 

commencement of trading). 

12The Exchange represents that the term 

‘‘creation unit’’ would have the same meaning as 

defined in Rule 6c–11(a)(1) under the Investment 

Company Act of 1940 (‘‘1940 Act’’). 

Commission takes such action, the 

Commission will institute proceedings 

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 SRCboeBZX–2021–017 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–CboeBZX-2021–017. 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 (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 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 the 

filing also will be available for 

inspection and copying at the principal 

office of the Exchange. 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– 

CboeBZX–2021–017 and should be 

submitted on or before March 29, 2021. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.17

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2021–04677 Filed 3–5–21; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–91236; File No. SR– 

NYSEArca–2020–56] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Order Disapproving a 

Proposed Rule Change To Amend 

NYSE Arca Rules 5.2–E(j)(3), 5.2– 

E(j)(8), 5.5–E(g)(2), 8.600–E, and 8.900– 

E 

March 2, 2021. 

I. Introduction 

On June 18, 2020, NYSE Arca, Inc. 

(‘‘Exchange’’ or ‘‘NYSE Arca’’) filed 

with the Securities and Exchange 

Commission (‘‘Commission’’), pursuant 

to Section 19(b)(1) of the Securities 

Exchange Act of 1934 (‘‘Exchange 

Act’’) 1 and Rule 19b–4 thereunder,2 a 

proposed rule change to amend certain 

listing requirements relating to 

maintaining a minimum number of 

beneficial holders and minimum 

number of shares outstanding. The 

proposed rule change was published for 

comment in the Federal Register on July 

7, 2020.3

On August 17, 2020, pursuant to 

Section 19(b)(2) of the Exchange Act,4

the Commission designated a longer 

period within which to approve the 

proposed rule change, disapprove the 

proposed rule change, or institute 

proceedings to determine whether to 

disapprove the proposed rule change.5

On October 2, 2020, the Commission 

instituted proceedings to determine 

whether to approve or disapprove the 

proposed rule change.6 On December 

15, 2020, the Commission designated a 

longer period for Commission action on 

the proposed rule change.7 The 

Commission received one comment 

letter on the proposed rule change.8

This order disapproves the proposed 

rule change because, as discussed 

below, NYSE Arca has not met its 

burden under the Exchange Act and the 

Commission’s Rules of Practice to 

demonstrate that its proposal is 

consistent with the requirements of 

Exchange Act Section 6(b)(5), and, in 

particular, the requirement that the 

rules of a national securities exchange 

be designed ‘‘to prevent fraudulent and 

manipulative acts and practices’’ and 

‘‘to protect investors and the public 

interest.’’ 9

II. Description of the Proposal 

As described in detail in the Notice 

and OIP, the Exchange proposes to 

amend the listing standards governing 

the listing and trading of Investment 

Company Units, Exchange-Traded Fund 

Shares, Managed Fund Shares, and 

Managed Portfolio Shares (collectively, 

‘‘Fund Shares’’).10 Specifically, NYSE 

Arca proposes to: (1) Remove the listing 

requirement that, following the initial 

twelve-month period after 

commencement of trading of a series of 

Fund Shares on the Exchange, such 

series have at least 50 beneficial holders 

(‘‘Beneficial Holders Rule’’); and (2) 

replace the existing minimum number 

of shares requirements (‘‘Minimum 

Shares Outstanding Rules’’) 11 with a 

requirement that a series of Fund Shares 

have at least one creation unit 

outstanding on an initial and continued 

listing basis.12

The Exchange states that Beneficial 

Holders Rule as it pertains to Fund 

Shares listed on NYSE Arca is no longer 

necessary. The Exchange contends that 

the requirements of Rule 6c–11 under 

the 1940 Act and, in particular, the 

website disclosure requirements of Rule 


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Federal Register / Vol. 86, No. 43 / Monday, March 8, 2021 / Notices 13415 

13The portfolio holdings underlying Managed 

Portfolio Shares must be disclosed within at least 

60 days following the end of every fiscal quarter. 

See NYSE Arca Rule 8.900–E(c)1.d. As a result, the 

requirements of Rule 6c–11 upon which the 

Exchange relies to mitigate manipulation risk and 

illiquidity do not apply to Managed Portfolio 

Shares. See Investment Company Act Release No. 

33646 (September 25, 2019), 84 FR 57162, 57163 

(October 24, 2019) (‘‘Because these non-transparent 

ETFs do not provide daily portfolio transparency, 

they would not meet the conditions of rule 6c–11’’). 

14See Letter to Secretary, Commission, from 

Timothy W. Cameron, Asset Management Group— 

Head, and Lindsey Weber Keljo, Asset Management 

Group—Managing Director and Associate General 

Counsel, SIFMA AMG (Dec. 18, 2020) (‘‘SIFMA 

Letter’’). 

15SIFMA Letter, id. at 3. 

16See id. 

17See id. at 3–4. The commenter also states that 

the Beneficial Holders Rule puts newer and smaller 

sponsors at an unnecessary disadvantage to larger 

sponsors having the enterprise-wide scale and 

distribution reach to gather assets in the months 

after launch. See id. 

18See id. 

19 15 U.S.C. 78f(b)(5). Pursuant to Section 19(b)(2) 

of the Exchange Act, 15 U.S.C. 78s(b)(2), the 

Commission must disapprove a proposed rule 

change filed by a national securities exchange if it 

does not find that the proposed rule change is 

consistent with the applicable requirements of the 

Exchange Act. Exchange Act Section 6(b)(5) states 

that an exchange shall not be registered as a 

national securities exchange unless the Commission 

determines that ‘‘[t]he rules of the exchange are 

designed to prevent fraudulent and manipulative 

acts and practices, to promote just and equitable 

principles of trade, to foster cooperation and 

coordination with persons engaged in regulating, 

clearing, settling, processing information with 

respect to, and facilitating transactions in securities, 

to remove impediments to and perfect the 

mechanism of a free and open market and a 

national market system, and, in general, to protect 

investors and the public interest; and are not 

designed to permit unfair discrimination between 

customers, issuers, brokers, or dealers, or to regulate 

by virtue of any authority conferred by this title 

matters not related to the purposes of this title or 

the administration of the exchange.’’ 15 U.S.C. 

78(f)(b)(5). 

20Rule 700(b)(3), Commission Rules of Practice, 

17 CFR 201.700(b)(3). 

21See id. 

22See id. 

23Susquehanna Int’l Group, LLP v. Securities and 

Exchange Commission, 866 F.3d 442, 447 (DC Cir. 

2017). 

6c–11(c), together with the existing 

creation and redemption process, serve 

to mitigate the risks of manipulation 

and lack of liquidity that the Beneficial 

Holders Rule was intended to address.13

The Exchange also asserts that 

requiring at least one creation unit to be 

outstanding at all times, together with 

the enhanced disclosure requirements of 

Rule 6c–11 under the 1940 Act, will 

facilitate an effective arbitrage 

mechanism that, with respect to 

Investment Company Units, Managed 

Fund Shares, and Exchange-Traded 

Fund Shares, will provide investors 

with sufficient transparency into the 

holdings of the underlying portfolio and 

help ensure that the trading price in the 

secondary market remains in line with 

the net asset value-per-share of a fund’s 

portfolio. In support of this assertion, 

the Exchange cites to Rule 6c– 

11(c)(1)(vi) under the 1940 Act, which 

requires additional disclosures if the 

premium or discount with respect to a 

fund’s trading price in the secondary 

market and the net asset value-per-share 

of a fund’s portfolio is in excess of 2% 

for more than seven consecutive days. 

NYSE Arca asserts that such enhanced 

disclosure would provide transparency 

to investors in the event there are 

indications of an inefficient arbitrage 

mechanism. With respect to Managed 

Portfolio Shares, while these securities 

do not publicly disclose their portfolio 

holdings daily and are not eligible to 

rely on Rule 6c–11 under the 1940 Act, 

the Exchange argues that the applicable 

Verified Intraday Indicative Value and 

other information required to be 

disseminated in connection with the 

listing and trading of Managed Portfolio 

Shares ensures transparency of key 

values and information, and that such 

information is sufficient to support an 

effective arbitrage process, independent 

of any Beneficial Holders Rule. 

The Exchange states that the arbitrage 

mechanism generally causes the market 

price and the net asset value-per-share 

to align, and the functioning of the 

arbitrage mechanism helps to ensure 

that the trading price in the secondary 

market is at fair value. The Exchange 

further states that the existence of the 

creation and redemption process, as 

well as the proposed requirement that at 

least one creation unit is always 

outstanding, would ensure that market 

participants are able to redeem Fund 

Shares and, thereby, allow the arbitrage 

mechanism to function properly. The 

Exchange concludes, therefore, that 

such arbitrage mechanism would 

obviate the need for a Beneficial Holders 

Rule to support a fair and orderly 

market in Fund Shares. In addition, the 

Exchange contends that its surveillance 

procedures for Fund Shares and its 

ability to halt trading in Fund Shares in 

specified circumstances provide for 

additional investor protections by 

further mitigating any abnormal trading 

that would affect the Fund Shares’ 

prices. 

The Commission received one 

comment in support of the proposal.14

The commenter states that the 

Beneficial Holders Rule ‘‘does not 

appear to provide any meaningful 

investor-protection benefits.’’ 15

Specifically, the commenter expresses 

the view that the liquidity of shares of 

an exchange-traded fund (‘‘ETF’’) is 

primarily a function of the liquidity of 

the ETF’s underlying securities, that the 

marketplace taps into this liquidity 

through the creation and redemption 

and arbitrage processes, and that this 

mitigates potential price manipulation 

concerns.16 In addition, the commenter 

believes that the enhanced disclosure 

requirements of Rule 6c-11 under the 

1940 Act,17 including those relating to 

an ETF’s portfolio holdings and when 

an ETF’s premium or discount exceeds 

2% for more than seven consecutive 

days, will help facilitate effective 

arbitrage. The commenter conducted a 

survey of its members that sought 

information on level of assets, number 

of beneficial holders, and various 

trading measures of newly-listed ETFs 

over different periods following initial 

listing, and concluded that the number 

of shareholders in an ETF does not 

appear to be a significant consideration 

in an ETF’s sponsor’s decision to delist 

and terminate an ETF and that this 

requirement does not appear to offer 

investor protection benefits.18

III. Discussion and Commission 

Findings 

The Commission must consider 

whether NYSE Arca’s proposal is 

consistent with Section 6(b)(5) of the 

Exchange Act, which requires, in 

relevant part, that the rules of a national 

securities exchange be designed ‘‘to 

prevent fraudulent and manipulative 

acts and practices’’ and ‘‘to protect 

investors and the public interest.’’ 19

Under the Commission’s Rules of 

Practice, the ‘‘burden to demonstrate 

that a proposed rule change is 

consistent with the Exchange Act and 

the rules and regulations issued 

thereunder . . . is on the self-regulatory 

organization [‘SRO’] that proposed the 

rule change.’’ 20

The description of a proposed rule 

change, its purpose and operation, its 

effect, and a legal analysis of its 

consistency with applicable 

requirements must all be sufficiently 

detailed and specific to support an 

affirmative Commission finding,21 and 

any failure of an SRO to provide this 

information may result in the 

Commission not having a sufficient 

basis to make an affirmative finding that 

a proposed rule change is consistent 

with the Exchange Act and the 

applicable rules and regulations.22

Moreover, ‘‘unquestioning reliance’’ on 

an SRO’s representations in a proposed 

rule change is not sufficient to justify 

Commission approval of a proposed rule 

change.23

The Commission has consistently 

recognized the importance of the 


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13416 Federal Register / Vol. 86, No. 43 / Monday, March 8, 2021 / Notices 

24The Commission considers distribution 

standards, including minimum number of holders 

and number of shares outstanding requirements, to 

be important means of promoting fair and orderly 

markets. See, e.g., Securities Exchange Act Release 

No. 57785 (May 6, 2008), 73 FR 27597 (May 13, 

2008) (SR–NYSE–2008–17) (stating that the 

distribution standards, which include exchange 

holder and number of shares outstanding 

requirements ‘‘. . . should help to ensure that the 

[Special Purpose Acquisition Company’s] securities 

have sufficient public float, investor base, and 

liquidity to promote fair and orderly markets’’); 

Securities Exchange Act Release No. 86117 (June 

14, 2019), 84 FR 28879 (June 20, 2018) (SR–NYSE– 

2018–46) (disapproving a proposal to reduce the 

minimum number of public holders continued 

listing requirement applicable to Special Purpose 

Acquisition Companies from 300 to 100). 

25See Notice, supra note 3, 85 FR at 40722. See 

also SIFMA Letter, supra note 14, at 3 

(acknowledging that the Beneficial Holders Rule 

was intended to address ‘‘potential price 

manipulation,’’ among other things). 

26See supra note 24 and accompanying text. 

27See OIP, supra note 6. The commenter asserts 

that the creation and redemption processes, which 

tap into the liquidity of the underlying holdings, 

coupled with the enhanced disclosures mandated 

under Rule 6c–11 under the 1940 Act, mitigate 

manipulation concerns. See SIFMA Letter, supra 

note 14, at 3. However, neither the Exchange nor 

the commenter explains why arbitrage 

opportunities would sufficiently mitigate 

manipulation concerns for the full range of ETFs, 

including ETFs overlying a portfolio of instruments 

that are themselves illiquid, or where market 

interest in the ETF is not sufficient to attract 

effective arbitrage activity. While the Exchange and 

the commenter assert that certain disclosures under 

Rule 6c–11 under the 1940 Act provide investors 

with transparency into the holdings of the 

underlying portfolio and additional insight into the 

effectiveness of an ETF’s arbitrage (see Notice, 

supra note 3, 85 FR at 40721; SIFMA Letter, supra 

note 14, at 3–4), neither the Exchange nor the 

commenter sufficiently explains how such 

disclosures might prevent manipulation. In 

addition, while the commenter states that its survey 

data showed that an ETF’s number of shareholders, 

level of assets and liquidity tended to improve after 

three years of operation as compared to one year, 

the commenter does not assert that the survey 

addressed the concerns about potential 

minimum number of holders and other 

similar requirements, stating that such 

listing standards help ensure that 

exchange listed securities have 

sufficient public float, investor base, 

and trading interest to provide the depth 

and liquidity necessary to promote fair 

and orderly markets.24 As stated by the 

Exchange, the minimum number of 

holders requirement is intended to 

address the risks of manipulation.25

As discussed above, the Exchange is 

proposing to (1) remove the Beneficial 

Holders Rule applicable to Fund Shares 

listed on NYSE Arca, and (2) replace the 

existing Minimum Shares Outstanding 

Rules with a requirement that a series of 

Fund Shares have at least one creation 

unit outstanding on an initial and 

continued listing basis. In support of its 

proposal, the Exchange asserts that the 

requirements of Rule 6c–11 under the 

1940 Act, and in particular the website 

disclosure requirements of Rule 6c– 

11(c) and, for Managed Portfolio Shares, 

the information required to be 

disseminated (including the verified 

intraday indicative value) in connection 

with the listing and trading of those 

Shares, together with the existing 

creation and redemption process and 

proposed requirement that at least one 

creation unit is always outstanding, 

would serve to mitigate the risks of 

manipulation and the lack of liquidity 

that the Beneficial Holders Rule was 

intended to address. However, the 

Exchange does not sufficiently support 

its assertions, particularly where a series 

of Fund Shares is permitted to have a 

very small number of beneficial holders. 

For example, the Exchange does not 

sufficiently address how the arbitrage 

mechanism will ensure Fund Shares 

with very few beneficial holders would 

be sufficiently liquid to support fair and 

orderly markets. The Exchange also 

does not discuss in sufficient detail the 

potential inefficiencies in the arbitrage 

mechanism that might occur with 

illiquid Fund Shares that have very few 

holders, and the impact that would have 

on the ability of the arbitrage 

mechanism to effectively mitigate the 

risks of manipulation. In addition, the 

Exchange does not sufficiently explain 

how an efficient and effective arbitrage 

mechanism and sufficient liquidity 

could result for a series of Fund Shares 

held only by a very few number of buyand-hold investors and thereby mitigate 

manipulation risks. Further, the 

Exchange does not sufficiently address 

the impact of creation unit size on the 

efficiency of the arbitrage mechanism. 

For example, with respect to a series of 

illiquid Fund Shares with very few 

beneficial holders, the Exchange does 

not describe how the proposal is 

designed to mitigate the risks of 

manipulation if the creation unit size for 

the Fund Shares is large in comparison 

to the total number of Fund Shares 

outstanding. The Exchange provides no 

data or analysis to support its position, 

other than noting the number and size 

of the creation units for existing series 

of Fund Shares. As discussed above, the 

Beneficial Holders Rule and other 

minimum number of holders 

requirements are important to ensure 

that trading in exchange listed securities 

is fair and orderly and not susceptible 

to manipulation, and the Exchange does 

not sufficiently explain why its 

proposed modification of these 

requirements is consistent with the 

Exchange Act. 

While the Exchange also proposes to 

replace the existing Minimum Shares 

Outstanding Rules with a requirement 

that a series of Fund Shares have a 

number of shares outstanding equal to at 

least one creation unit, the Exchange 

does not sufficiently explain why this is 

an appropriate substitute for its existing 

standards. Creation unit sizes could be 

highly variable, since they are 

determined at the discretion of the 

issuer of Fund Shares, and the Exchange 

has not articulated how this new 

standard would effectively support fair 

and orderly markets, address the risks of 

manipulation, and otherwise be 

consistent with Section 6(b)(5) and 

other relevant provisions of the Act. The 

Exchange argues that requiring at least 

one creation unit to be outstanding at all 

times, together with the enhanced 

disclosure requirements of Rule 6c–11, 

would facilitate an effective arbitrage 

mechanism that would provide 

investors with sufficient transparency 

into the holdings of the underlying 

portfolio and help ensure that the 

trading price in the secondary market 

remains in line with the value per share 

of a fund’s portfolio. The Exchange, 

however, fails to explain in sufficient 

detail how an efficient and effective 

arbitrage mechanism could result for an 

illiquid series of Fund Shares held by 

very few beneficial holders and with 

only one creation unit of Fund Shares 

outstanding. The Exchange also does 

not provide any explanation as to how 

such series of Fund Shares with only a 

single creation unit outstanding is 

therefore less susceptible to 

manipulation risks on a continued 

listing basis. 

Finally, while the Exchange asserts 

that its surveillance procedures and 

trading halt authority would provide for 

additional investor protections by 

further mitigating any abnormal trading 

that would affect the Fund Shares’ 

prices, it does not offer any explanation 

of the basis for that view or provide any 

supporting information or evidence to 

support its conclusion. Notably, the 

Exchange does not explain how any of 

its specific existing surveillance 

procedures or administration of its 

trading halt authority effectively 

address, in the absence of the Beneficial 

Holders Rule 26 and the Minimum 

Shares Outstanding Rules, manipulation 

concerns and other regulatory risks to 

fair and orderly markets, investor 

protection, and the public interest. 

Accordingly, the Commission is unable 

to assess whether the Exchange’s 

assertion has merit. 

The Commission identified all of 

these concerns in the OIP, but the 

Exchange has not responded or 

provided additional data addressing 

these concerns.27 As stated above, under 


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Federal Register / Vol. 86, No. 43 / Monday, March 8, 2021 / Notices 13417 

manipulation that the proposal raises, as described 

above. 

28Rule 700(b)(3), Commission Rules of Practice, 

17 CFR 201.700(b)(3). 

29See id. 

30 In disapproving this proposed rule change, the 

Commission has considered the proposed rule’s 

impact on efficiency, competition, and capital 

formation. See 15 U.S.C. 78c(f). Although the 

commenter (see SIFMA Letter, supra note 14, at 4) 

asserts that the current Beneficial Holders Rule puts 

newer and smaller sponsors at an unnecessary 

disadvantage to larger sponsors having the 

enterprise-wide scale and distribution reach to 

gather assets in the months after launch, neither the 

commenter nor the Exchange has provided data to 

support this conclusion. 

31 15 U.S.C. 78s(b)(2). 

32 15 U.S.C. 78f(b)(5). 

33 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

the Commission’s Rules of Practice, the 

‘‘burden to demonstrate that a proposed 

rule change is consistent with the 

Exchange Act and the rules and 

regulations issued thereunder . . . is on 

the self-regulatory organization [‘SRO’] 

that proposed the rule change.’’ 28 The 

description of a proposed rule change, 

its purpose and operation, its effect, and 

a legal analysis of its consistency with 

applicable requirements must all be 

sufficiently detailed and specific to 

support an affirmative Commission 

finding, and any failure of an SRO to 

provide this information may result in 

the Commission not having a sufficient 

basis to make an affirmative finding that 

a proposed rule change is consistent 

with the Exchange Act and the 

applicable rules and regulations.29 The 

Commission concludes that, because 

NYSE Arca has not demonstrated that 

its proposal is designed to prevent 

fraudulent and manipulative acts and 

practices or to protect investors and the 

public interest, the Exchange has not 

met its burden to demonstrate that its 

proposal is consistent with Section 

6(b)(5) of the Exchange Act.30 For this 

reason, the Commission must 

disapprove the proposal. 

IV. Conclusion 

For the reasons set forth above, the 

Commission does not find, pursuant to 

Section 19(b)(2) of the Exchange Act,31

that the proposed rule change is 

consistent with the requirements of the 

Exchange Act and the rules and 

regulations thereunder applicable to a 

national securities exchange, and in 

particular, with Section 6(b)(5) of the 

Exchange Act.32

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Exchange Act, 

that proposed rule change SR– 

NYSEArca–2020–56 is disapproved. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.33

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2021–04676 Filed 3–5–21; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–91240; File No. SR–ICEEU– 

2021–006] 

Self-Regulatory Organizations; ICE 

Clear Europe Limited; Notice of Filing 

of Proposed Rule Change Relating to 

the ICE Clear Europe CDS Clearing 

Stress Testing Policy, CDS End of Day 

Price Discovery Policy, CDS Risk 

Model Description and CDS Risk 

Policy and CDS Parameters Review 

Procedures 

March 2, 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 February 

23, 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 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 

ICE Clear Europe Limited proposes to 

modify certain provisions of its CDS 

Clearing Stress Testing Policy, CDS End 

of Day Price Discovery Policy, CDS Risk 

Model Description and CDS Risk Policy 

(together, the ‘‘Documents’’) and to 

adopt a new document titled CDS 

Parameters Review Procedures (the 

‘‘Parameters Procedures’’). 

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 

amend the Documents and institute the 

new Parameters Procedures principally 

to describe more fully certain existing 

Clearing House practices, as discussed 

herein. ICE Clear Europe is also 

proposing to make certain 

enhancements to CDS stress testing, 

specifically to incorporate the impact of 

the COVID–19 pandemic into its stress 

testing framework. 

CDS End of Day Price Discovery Policy 

The amendments to this policy would 

generally clarify the process to 

determine prices for a particular 

instrument when fewer than three 

Clearing Members have open interest in 

that instrument, in order to provide 

more reliable pricing in that scenario. 

The amendments would also make 

minor terminology updates to conform 

uses of defined terms, correctly 

reference various ICE Clear Europe 

personnel and operations and make 

similar typographical corrections 

throughout the document and add a 

new table. 

Currently, the CDS End of Day Price 

Discovery Policy states that if fewer 

than three CDS Clearing Members have 

cleared open interest in an instrument, 

ICE Clear Europe may require all CDS 

Clearing Members to provide a price 

submission for that instrument. ICE 

Clear Europe proposes to supplement 

this concept to provide more flexibility 

to ensure enough submissions to enable 

effective determination of reliable endof-day prices and thereby facilitate an 

accurate and stable variation margin 

process. Specifically, the amendments 

are designed to produce more reliable 

prices by increasing the probability of 

receiving multiple submissions. As 

amended, the policy would state that 

ICE Clear Europe believes that tradeable 

quotes submitted by CDS Clearing 

Members are the preferred source of 

data and should be used where possible 

and reliable, meaning where there is 

more than one CDS Clearing Member 

with which the quote could be crossed. 

Where there are not enough CDS 

Clearing Members to enable tradeable 

quotes (i.e., quotes at which a member 

would transact) to be crossed with more 

than one CDS Clearing Member (i.e., 

fewer than three CDS Clearing Members 


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