Federal Register / Vol. 80, No. 15 / Friday, January 23, 2015 / Notices 3699 

further notes that a June 2, 2009 sustained message 

traffic peak of 852,350 messages per second 

reported by OPRA is still well below OPRA’s 

current messages per second capacity limit of 

2,050,000. Moreover, NYSE Arca has adopted and 

will continue to utilize quote mitigation strategies 

that should continue to mitigate the expected 

increase in quotation traffic.’’ Id. The Exchange 

extended and expanded its participation the Penny 

Pilot Program and made other changes to its Penny 

Pilot Program consistent with the changes proposed 

by its affiliate exchange, NYSE Arca, Inc. See 

Securities and Exchange Release No. 61106 

(December 3, 2009), 74 FR 65193 (December 9, 

2009) (citing Securities and Exchange Release No. 

60711 (September 23, 2009), 74 FR 49419 

(September 28, 2009)). 

32See supra notes 13–18 and accompanying text. 33 17 CFR 200.30–3(a)(57). 

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

2 17 CFR 240.19b–4. 

3Securities Exchange Act Release No. 34–73731 

(Dec. 3, 2014), 79 FR 73126 (Dec. 9, 2014) (SR– 

ICEEU–2014–20). 

As noted above, the Exchange 

believes that its quote mitigation 

strategy is no longer necessary because: 

(1) The Exchange has incorporated 

select provisions of the OLPP in 

Exchange Rule 930A, which the 

Exchange believes limits the number of 

series eligible to be listed; (2) current 

Exchange Rule 925.1NY Commentary 

.01 removes certain options series from 

market makers’ continuous quoting 

obligations, which the Exchange 

believes reduces the number of quote 

messages that the Exchange sends to 

OPRA; and (3) both the Exchange’s 

systems capacity and OPRA’s systems 

capacity are more than sufficient to 

accommodate any additional increase in 

quote traffic that might be sent to OPRA 

as a result of the deletion of the quote 

mitigation strategy.32 Do commenters 

believe that reliance on the Exchange’s 

current rules and the existing systems 

capacity of the Exchange and OPRA are 

sufficient or insufficient means to 

mitigate quote message traffic from the 

Exchange to OPRA? Please explain. 

2. What are commenters’ views on the 

impact, if any, that might result from the 

Exchange’s proposal to remove its 

current quote mitigation plan as 

provided in Exchange Rule 970.1NY? 

For example, what are commenters’ 

views on the impact the Exchange’s 

proposal would have, if any, on OPRA’s 

system capacity? Please explain. Or, 

what are commenters’ views on the 

impact the Exchange’s proposal would 

have on market participants using 

OPRA and/or the Exchange’s quotation 

message feeds? Please explain. 

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 SR– 

NYSEMKT–2014–86 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–NYSEMKT–2014–86. This 

file number should be included on the 

subject line if email is used. To help the 

Commission process and review your 

comments more efficiently, please use 

only one method. The Commission will 

post all comments on the Commission’s 

Internet Web site (http://www.sec.gov/

rules/sro.shtml). Copies of the 

submission, all subsequent 

amendments, all written statements 

with respect to the proposed rule 

change 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 Web site viewing and 

printing in the Commission’s Public 

Reference Room, 100 F Street NE., 

Washington, DC 20549, on official 

business days between the hours of 

10:00 a.m. and 3:00 p.m. Copies of such 

filings 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– 

NYSEMKT–2014–86 and should be 

submitted on or before February 13, 

2015. Rebuttal comments should be 

submitted by February 27, 2015. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.33

Brent J. Fields, 

Secretary. 

[FR Doc. 2015–01107 Filed 1–22–15; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–74085; File No. SR–ICEEU– 

2014–20] 

Self-Regulatory Organizations; ICE 

Clear Europe Limited; Order Granting 

Approval of Proposed Rule Change 

Relating to CDS Pricing Policy 

January 16, 2015. 

I. Introduction 

On November 24, 2014, ICE Clear 

Europe Limited (‘‘ICE Clear Europe’’) 

filed with the Securities and Exchange 

Commission (‘‘Commission’’) the 

proposed rule change SR–ICEEU–2014– 

20 pursuant to Section 19(b)(1) of the 

Securities Exchange Act of 1934 

(‘‘Act’’) 1 and Rule 19b–4 thereunder.2

The proposed rule change was 

published for comment in the Federal 

Register on December 9, 2014.3 The 

Commission received no comment 

letters regarding the proposed change. 

For the reasons discussed below, the 

Commission is granting approval of the 

proposed rule change. 

II. Description of the Proposed Rule 

Change 

ICE Clear Europe is proposing this 

change to revise the ICE Clear Europe 

CDS End-of-Day Price Discovery Policy 

(‘‘CDS Pricing Policy’’) to incorporate 

enhancements to its price discovery 

process. The revisions do not require 

any changes to ICE Clear Europe’s 

Clearing Rules or Procedures. 

According to ICE Clear Europe, it 

currently uses a ‘‘cross and lock’’ 

algorithm as part of its price discovery 

process for CDS Contracts. As described 

by ICE Clear Europe, under this 

algorithm, bids and offers derived from 

Clearing Member submissions are 

matched by sorting them from highest to 

lowest and lowest to highest levels, 

respectively. This sorting process pairs 

the Clearing Member submitting the 

highest bid price with the Clearing 

Member submitting the lowest offer 

price, the Clearing Member submitting 

the second highest bid price with the 

Clearing Member submitting the secondlowest offer price, and so on. The 

algorithm then identifies crossed and/or 

locked pairs (or ‘‘markets’’). Crossed 

markets are the Clearing Member pairs 

generated by the sorting process for 

which the bid price of one Clearing 

Member is above the offer price of the 

matched Clearing Member. Locked 


tkelley on DSK3SPTVN1PROD with NOTICES
3700 Federal Register / Vol. 80, No. 15 / Friday, January 23, 2015 / Notices 

4See Exchange Act Release No. 34–73156 (Sept. 

19, 2014), 79 FR 57629 (Sept. 25, 2014) (SR–ICEEU– 

2014–13). 

5 15 U.S.C. 78s(b)(2)(C). 

6 15 U.S.C. 78q–1(b)(3)(F). 

7 15 U.S.C. 78q–1. 

markets are the Clearing Member pairs 

where the bid and the offer are equal. 

The mid-point of the bid and offer of the 

first non-crossed, non-locked matched 

market is the final end-of-day level 

(with additional steps taken to remove 

off-market submissions from influencing 

the final level). As stated by ICE Clear 

Europe, this process captures the market 

dynamics of trading; however, final 

pricing levels are ultimately determined 

by a single bid and a single offer, which 

results in the ability for one submission 

to influence the outcome. 

ICE Clear Europe proposes 

enhancements to this methodology to 

improve the consistency of prices and 

reduce the sensitivity of the final endof-day level to a single Clearing 

Member’s submission. ICE Clear Europe 

proposes that, under the new ‘‘cross and 

lock’’ methodology, the average of the 

mid-points of all non-crossed, nonlocked matched markets for which the 

difference between the matched market 

bid and matched market offer is less 

than or equal to one bid-offer width is 

used as the final level (with additional 

steps taken to remove off-market 

submissions from influencing the final 

level). According to ICE Clear Europe, 

this approach would make end-of-day 

price determinations less sensitive to 

outlying submissions. 

In addition, ICE Clear Europe 

proposes a clarification to the 

calculation of a Clearing Member’s open 

interest for purposes of the end-of-day 

price submission process to take into 

account the aggregate of both house and 

client positions carried by the Clearing 

Member. ICE Clear Europe also proposes 

revisions to the CDS Pricing Policy to 

correct the minimum number of 

Clearing Members that need to have 

open interest in a particular instrument; 

this change, as stated by ICE Clear 

Europe, conforms to current practice by 

the Clearing House. 

ICE Clear Europe further proposes 

revisions to clarify that notional limits 

for firm trades that may be assigned to 

Clearing Members as a result of the endof-day price submission process will be 

established at risk sub-factor and sector 

levels, and to clarify the sequencing of 

firm trades for determining breaches of 

those limits, including accounting for 

the applicable risk sub-factor and 

addressing sequencing within a 

particular instrument that is part of a 

particular risk sub-factor, if necessary. 

Additionally, ICE Clear Europe 

proposes amendments to certain 

requirements applicable to the 

unwinding of firm trades entered into 

by Clearing Members. ICE Clear Europe 

states that its current policy does not 

require firm trades to be maintained for 

any particular period of time, but it 

requires Clearing Members that elect to 

unwind a firm trade to do so at the thencurrent market price. ICE Clear Europe 

contends that there are practical 

difficulties with objectively determining 

whether an unwind transaction was 

executed at the then-current market 

price and therefore this requirement can 

be difficult to enforce. ICE Clear Europe 

proposes revising the policy to replace 

the requirement that unwinds be 

executed at the then-current market 

price with the requirement that any 

unwind be executed in a competitive 

manner. Further, ICE Clear Europe 

proposes adding the requirement that, 

upon request, Clearing Members be able 

to demonstrate to the Clearing House’s 

reasonable satisfaction that such 

unwind transaction was executed in a 

competitive manner. ICE Clear Europe 

proposes adding a non-exclusive list of 

examples of how Clearing Members may 

be able to demonstrate competitive 

execution of unwind transactions. Such 

examples would include: (i) Execution 

on an available trading venue; (ii) 

multiple dealer quotes received and 

execution of the unwind transaction at 

the best quoted price; or (iii) placement 

of the unwind transaction with an 

interdealer broker with price terms and 

instructions commensurate with a 

competitive execution. 

In addition, ICE Clear Europe 

proposes amendments to make certain 

clarifications with respect to 

permissible reversing transactions with 

respect to firm trades and the manner in 

which the Clearing House designates 

that actively traded benchmark 

instruments are not eligible for reversing 

transactions. 

Furthermore, ICE Clear Europe 

proposes certain other conforming 

changes to the CDS Pricing Policy as a 

consequence of a prior rule change.4

Specifically, ICE Clear Europe proposes 

adding references to risk sub-factors (as 

that term is described in the CDS Risk 

Policy) throughout the CDS Pricing 

Policy, as well as conforming changes to 

various references to risk factors. 

Finally, ICE Clear Europe proposes 

various non-substantive drafting 

clarifications throughout the CDS 

Pricing Policy. 

III. Discussion and Commission 

Findings 

Section 19(b)(2)(C) of the Act 5 directs 

the Commission to approve a proposed 

rule change of a self-regulatory 

organization if the Commission finds 

that such 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 6 requires, among 

other things, that the rules of a clearing 

agency are designed to promote the 

prompt and accurate clearance and 

settlement of securities transactions 

and, to the extent applicable, derivative 

agreements, contracts, and transactions. 

The Commission finds that the 

proposed rule change is consistent with 

Section 17A of the Act 7 and the rules 

thereunder applicable to ICE Clear 

Europe. The proposed revisions to the 

‘‘cross and lock’’ methodology are 

expected to reduce the sensitivity of the 

final price level to a single Clearing 

Member’s submission, resulting in more 

consistent day-over-day end-of-day 

levels. Furthermore, the proposed 

revisions that would require Clearing 

Members to execute unwinds in a 

competitive manner and, upon request, 

demonstrate to ICE Clear Europe’s 

reasonable satisfaction that the Clearing 

Member complied with this 

requirement, are expected to make the 

CDS Pricing Policy more readily 

enforceable, while maintaining the 

incentive for Clearing Members to 

provide accurate price submissions. 

ICE Clear Europe’s clarifications 

concerning (1) the referencing of risk 

sub-factors, including the clarifications 

concerning the notional limits 

applicable to firm trades, (2) permissible 

reversing transactions and (3) 

calculations of a Clearing Member’s 

open interest each clarify or conform the 

text of the CDS Pricing Policy in 

accordance with ICE Clear Europe’s 

existing practice. All other revisions 

proposed by ICE Clear Europe as a result 

of this proposed rule change are 

conforming changes to other rule 

changes previously filed by ICE Clear 

Europe. The proposed rule change is 

therefore reasonably expected to 

provide a pricing methodology that 

more accurately reflects the market level 

and existing practice. The proposed rule 

change is also reasonably expected to be 

more readily enforceable and to enhance 

incentives for Clearing Members to 

provide accurate pricing information. 

As such, the Commission believes that 

the changes are designed to promote the 

prompt and accurate settlement of 

securities and derivatives transactions, 

and, therefore, are consistent with the 

requirements of the Act and the rules 

and regulations thereunder applicable to 


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Federal Register / Vol. 80, No. 15 / Friday, January 23, 2015 / Notices 3701 

8 15 U.S.C. 78q–1(b)(3)(F). 

9 15 U.S.C. 78q–1. 

10 15 U.S.C. 78s(b)(2). 

11 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). 

12 17 CFR 200.30–3(a)(12). 

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

2 15 U.S.C. 78a. 

3 17 CFR 240.19b–4. 

4This information appears at the end of the 

current Fee Schedule, right before the Endnotes. 

ICE Clear Europe, in particular, Section 

17(A)(b)(3)(F).8

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 9

and the rules and regulations 

thereunder. 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,10 that the 

proposed rule change (File No. SR– 

ICEEU–2014–20) be, and hereby is, 

approved.11

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.12

Brent J. Fields, 

Secretary. 

[FR Doc. 2015–01071 Filed 1–22–15; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–74086; File No. SR– 

NYSEMKT–2015–04] 

Self-Regulatory Organizations; NYSE 

MKT LLC; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change Amending the NYSE 

Amex Options Fee Schedule 

January 16, 2015. 

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

Securities Exchange Act of 1934 

(‘‘Act’’),2 and Rule 19b–4 thereunder,3

notice is hereby given that on January 

14, 2015, NYSE MKT LLC (the 

‘‘Exchange’’ or ‘‘NYSE MKT’’) filed with 

the Securities and Exchange 

Commission (‘‘SEC’’ or ‘‘Commission’’) 

the proposed rule change as described 

in Items I, II, and III below, which Items 

have been prepared by the Exchange. 

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 the 

NYSE Amex Options Fee Schedule 

(‘‘Fee Schedule’’) to: (1) Make certain 

changes to transaction fees for Standard 

Options; (2) provide a discount to NYSE 

Amex Options Market Makers for 

transaction fees based on a sliding 

volume scale; (3) offer to NYSE Amex 

Options Market Makers the opportunity 

to prepay a portion of certain 

transaction fees; (4) eliminate the Order 

Flow Provider (‘‘OFP’’) Electronic 

average daily volume (‘‘ADV’’) Tiers as 

well as the Customer Electronic 

Complex Order ADV Tiers and replace 

them with a new Amex Customer 

Engagement Program, which would 

provide credits payable to an OFP for 

certain Electronic Customer volume; 

and (5) reformat and reorganize the Fee 

Schedule. The Exchange proposes to 

implement the changes on January 2, 

2015. The text of 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. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and the 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to: (1) Make 

certain changes to transaction fees for 

Standard Options; (2) provide a 

discount to NYSE Amex Options Market 

Makers for transaction fees based on a 

sliding volume scale; (3) offer to NYSE 

Amex Options Market Makers the 

opportunity to prepay a portion of 

certain transaction fees; (4) eliminate 

the OFP Electronic ADV Tiers as well as 

the Customer Electronic Complex Order 

ADV Tiers and replace them with a new 

Amex Customer Engagement Program, 

which would provide credits payable to 

an OFP solely for certain Electronic 

Customer volume; and (5) reformat and 

reorganize the Fee Schedule. The 

Exchange proposes to implement the 

changes on January 2, 2015. 

As a general matter, the Exchange 

notes that it has proposed to reorganize 

certain content within and reorder 

certain sections of the current Fee 

Schedule. For example, as will be 

discussed further below, the Exchange 

has proposed to eliminate Endnotes and 

instead include notes relevant to each 

Section within that Section, often using 

the text that is contained in the current 

Endnotes within each new Section. If 

the Exchange revises any text in the 

Endnotes when moving it to notes 

within relevant Sections, including for 

non-substantive reasons, we will 

explain in more detail below. The 

Exchange believes this structure will 

make the Fee Schedule easier to 

comprehend. 

The Exchange describes below each of 

the sections, together with any changes, 

in the proposed Fee Schedule. 

Table of Contents, Preface, Definitions 

and Terms 

The Exchange proposes to amend its 

Fee Schedule by adding a Table of 

Contents, using numbered and lettered 

headings and subheadings that list the 

various transaction fees and credits 

offered by the Exchange. The Exchange 

believes that including a Table of 

Contents would make the Fee Schedule 

easier to navigate and assist market 

participants in locating fees and/or 

credits related to those transactions in 

which they may be most interested. 

Following the Table of Contents, the 

Exchange proposes to add a Preface that 

includes information about the 

Exchange’s billing and rounding 

practices and that sets forth key terms 

and definitions. First, the Exchange 

proposes to include information about 

Billing Disputes, as the first part of the 

Preface. The current Fee Schedule 

describes how the Exchange handles 

Billing Disputes under ‘‘NYSE Amex 

Options General,’’ 4 and this description 

will be incorporated into the proposed 

Preface verbatim. 

Second, the Exchange proposes to add 

a description of its rounding practices. 

Specifically, the Exchange proposes to 

include the following language. 

Any per contract fees that are less 

than $0.01 will be handled in the 

following manner. All volume for the 

month will be summed and the 

applicable rate applied. In those cases 

where a fractional cent occurs, the 

Exchange will round up to the nearest 

whole cent for purposes of computing 

the invoice. For example, if the monthly 

volume is 3,001 contracts and the 

applicable rate is $0.055 per contract, 


tkelley on DSK3SPTVN1PROD with NOTICES