13046 Federal Register / Vol. 80, No. 48 / Thursday, March 12, 2015 / Notices 

16 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3Securities Exchange Act Release No. 34–74053 

(Jan. 14, 2015), 80 FR 2985 (January 21, 2015) (File 

No. SR–ICC–2015–001). 

Commission shall institute proceedings 

to determine whether the proposed rule 

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 SR– 

BATS–2015–17 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–BATS–2015–17. 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 

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–BATS– 

2015–17 and should be submitted on or 

before April 2, 2015. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.16

Jill M. Peterson, 

Assistant Secretary. 

[FR Doc. 2015–05603 Filed 3–11–15; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–74449; File No. SR–ICC– 

2015–001] 

Self-Regulatory Organizations; ICE 

Clear Credit LLC; Order Approving 

Proposed Rule Change To Revise ICC 

End-of-Day Price Discovery Policies 

and Procedures 

March 6, 2015. 

I. Introduction 

On January 5, 2015 ICE Clear Credit 

LLC (‘‘ICC’’) filed with the Securities 

and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change SR–ICC–2015–001 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 January 21, 

2015.3 The Commission did not receive 

any comments. For the reasons 

discussed below, the Commission is 

approving the proposed rule change. 

II. Description of the Proposed Rule 

Change 

ICC proposed revising its End-of-Day 

Price Discovery Policies and Procedures 

to incorporate enhancements to its price 

discovery process. ICC currently utilizes 

a ‘‘cross and lock’’ algorithm as part of 

its price discovery process. Under this 

algorithm, standardized bids and offers 

derived from Clearing Participant 

(‘‘CP’’) submissions are matched by 

sorting them from highest to lowest and 

lowest to highest levels, respectively. 

This sorting process pairs the CP 

submitting the highest bid price with 

the CP submitting the lowest offer price, 

the CP submitting the second highest 

bid price with the CP submitting the 

second-lowest offer price, and so on. 

The algorithm then identifies crossed 

and/or locked markets. Crossed markets 

are the CP pairs 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. 

Whenever there are crossed and/or 

locked matched markets, the algorithm 

applies a set of rules designed to 

identify standardized submissions that 

are ‘‘obvious errors.’’ The algorithm sets 

a high bid threshold equal to the 

preliminary end-of-day (‘‘EOD’’) level 

plus one EOD bid offer width (‘‘BOW’’), 

and a low offer threshold equal to the 

preliminary EOD level minus one EOD 

BOW. The algorithm considers a CP’s 

standardized submission to be an 

‘‘obvious error’’ if the bid is higher than 

the high bid threshold, or the offer is 

lower than the low offer threshold. 

CP pairs identified by the algorithm as 

crossed or locked markets are required 

from time to time, under the End-of-Day 

Price Discovery Policies and 

Procedures, to enter into cleared trades 

with each other as part of the ICC EOD 

price discovery process (‘‘Firm Trade’’). 

Currently, ICC excludes standardized 

submissions it identifies as obvious 

errors from Firm Trades and does not 

use these submissions in its 

determination of published EOD levels. 

ICC has proposed to include all 

standardized submissions, including 

those classified as obvious errors, in the 

process of determining Firm Trades. 

Further, ICC asserts that it will 

effectively execute its current EOD 

algorithm twice, initially in the same 

way it does today, by eliminating 

obvious errors, to generate the final EOD 

levels, and again, without excluding 

obvious errors, to generate Firm Trades 

and reversing transactions. 

To limit the potential exposure 

created through Firm Trades that 

include a bid or offer from an obvious 

error submission, ICC proposes to adjust 

trade prices, where appropriate, to fall 

within a predefined band on either side 

of the EOD price such that the potential 

profit or loss (‘‘P/L’’) realized by 

unwinding the trade at the EOD level is 

capped. 

To prevent CPs from receiving Firm 

Trades with large P/L impact in Index 

instruments that are less actively traded, 

and therefore more difficult and/or more 

expensive to manage the associated risk, 

ICC proposes to have the ability to 

automatically generate reversing 

transactions at the EOD level for specific 

Index instruments (i.e., for specific 

index risk sub-factors as defined by 

specific combinations of index/subindex and series) based on liquidity. 

Currently, reversing transactions are 

only available for Single Name 

instruments. ICC represents that there 

are no changes to ICC’s Clearing Rules 

as a result of these changes. 


asabaliauskas on DSK5VPTVN1PROD with NOTICES
Federal Register / Vol. 80, No. 48 / Thursday, March 12, 2015 / Notices 13047 

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

5 15 U.S.C. 78q–1(b)(3)(F). 

6 15 U.S.C. 78q–1. 

7 17 CFR 240.17Ad–22. 

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 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 72625 

(July 16, 2014), 79 FR 42566 (July 22, 2014) (SR– 

NYSEMKT–2014–60). 

4See Securities Exchange Act Release No. 67347 

(July 3, 2012), 77 FR 40673 (July 10, 2012) (‘‘RLP 

Approval Order’’) (SR–NYSEAmex–2011–84). 

III. Discussion and Commission 

Findings 

Section 19(b)(2)(C) of the Act 4 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 5 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, 

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. 

The Commission finds that ICC’s 

proposed revisions to its End-of-Day 

Price Discovery Policies and Procedures 

is consistent with the requirements of 

Section 17A of the Act 6 and regulations 

thereunder applicable to it, including 

the standards under Rule 17Ad–22.7

The proposed rule change is designed to 

enhance ICC’s price discovery process 

by including all price submissions 

(including those classified as obvious 

errors) in the process of determining 

Firm Trades, thereby reducing price 

submissions that may be classified as 

obvious errors. In addition, the 

proposed rule change would adjust the 

trading prices of Firm Trades that 

include a bid or offer classified as an 

obvious error to fall within a predefined 

range on either side of the EOD price, 

thereby limiting CPs’ potential P/L 

exposure to obvious errors from the risk 

management perspective, while holding 

them accountable for their price 

submissions. Finally, the proposed rule 

change would assist CPs in unwinding 

Firm Trades in certain index products 

by generating reversing trades at the 

EOD level based on liquidity. The 

Commission believes that the proposal 

is therefore designed to promote the 

prompt and accurate clearance and 

settlement of securities transactions and 

derivative agreements, contracts and 

transactions cleared by ICC, consistent 

with Section 17A(b)(3)(F) of the Act.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 (SR–ICC–2015– 

001) be, and hereby is, approved.11

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.12

Jill M. Peterson, 

Assistant Secretary. 

[FR Doc. 2015–05602 Filed 3–11–15; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–74455; File No. SR– 

NYSEMKT–2015–14] 

Self-Regulatory Organizations; NYSE 

MKT LLC; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change To Extend the Pilot 

Period for the Exchange’s Retail 

Liquidity Program, Which Is Currently 

Scheduled To Expire on March 31, 

2015, Until September 30, 2015 

March 6, 2015. 

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 

27, 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 extend the 

pilot period for the Exchange’s Retail 

Liquidity Program (the ‘‘Retail Liquidity 

Program’’ or the ‘‘Program’’), which is 

currently scheduled to expire on March 

31, 2015, until September 30, 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 purpose of this filing is to extend 

the pilot period of the Retail Liquidity 

Program,3 currently scheduled to expire 

on March 31, 2015, until September 30, 

2015. 

Background 

In July 2012, the Commission 

approved the Retail Liquidity Program 

on a pilot basis.4 The Program is 

designed to attract retail order flow to 

the Exchange, and allows such order 

flow to receive potential price 

improvement. The Program is currently 

limited to trades occurring at prices 

equal to or greater than $1.00 per share. 

Under the Program, Retail Liquidity 

Providers (‘‘RLPs’’) are able to provide 

potential price improvement in the form 

of a non-displayed order that is priced 

better than the Exchange’s best 

protected bid or offer (‘‘PBBO’’), called 

a Retail Price Improvement Order 

(‘‘RPI’’). When there is an RPI in a 

particular security, the Exchange 

disseminates an indicator, known as the 

Retail Liquidity Identifier, indicating 

that such interest exists. Retail Member 

Organizations (‘‘RMOs’’) can submit a 

Retail Order to the Exchange, which 

would interact, to the extent possible, 

with available contra-side RPIs. 


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