12508 Federal Register / Vol. 87, No. 43 / Friday, March 4, 2022 / Notices 

36 17 CFR 200.30–3(a)(12). 1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3 15 U.S.C. 78s(b)(3)(A). 

4 17 CFR 240.19b–4(f)(2). 

5Pursuant to an Index Option, one party (the 

‘‘Swaption Buyer’’) has the right (but 

not the obligation) to cause the other party (the 

‘‘Swaption Seller’’) to enter into an index credit 

default swap transaction at a pre-determined strike 

price on a specified expiration date on specified 

terms. In the case of Index Options that may be 

cleared by ICC, the underlying index credit default 

swap is limited to certain CDX and iTraxx index 

credit default swaps that are accepted for clearing 

by ICC, and which would be automatically cleared 

by ICC upon exercise of the Index Option by the 

Swaption Buyer in accordance with its terms. 

6CP fee details available at: https://

www.theice.com/publicdocs/clear_credit/ICE_

Clear_Credit_Fees_Clearing_Participant.pdf. 7Client fee details available at: https://

www.theice.com/publicdocs/clear_credit/ICE_

Clear_Credit_Fees.pdf. As specified, all fees are 

charged directly to a client’s CP. 

8A description of these incentive programs is 

included in prior filings. SEC Release No. 34–90524 

(November 27, 2020) (notice), 85 FR 78157 

(December 3, 2020) (SR–ICC–2020–013); SEC 

Release No. 34–91922 (May 18, 2021) (notice), 86 

FR 27938 (May 24, 2021) (SR–ICC–2021–014). 

should be submitted on or before March 

25, 2022. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.36

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–04561 Filed 3–3–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94330; File No. SR–ICC– 

2022–001] 

Self-Regulatory Organizations; ICE 

Clear Credit LLC; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change Relating to ICC’s Fee 

Schedules 

February 28, 2022. 

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

Securities Exchange Act of 1934,1 and 

Rule 19b–4 thereunder,2 notice is 

hereby given that on February 17, 2022, 

ICE Clear Credit LLC (‘‘ICC’’) filed with 

the Securities and Exchange 

Commission the proposed rule change, 

as described in Items I, II and III below, 

which Items have been prepared 

primarily by ICC. ICC filed the proposed 

rule change pursuant to Section 

19(b)(3)(A) of the Act 3 and Rule 19b– 

4(f)(2) thereunder,4 such that the 

proposed rule change was immediately 

effective upon filing with the 

Commission. 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 

The principal purpose of the 

proposed rule change is to modify ICC’s 

fee schedules to implement reduced fees 

for credit default index swaptions 

(‘‘Index Options’’) through calendar year 

2022. These revisions do not require any 

changes to the ICC Clearing Rules. 

II. Clearing Agency’s Statement of the 

Purpose of, and Statutory Basis for, the 

Proposed Rule Change 

In its filing with the Commission, ICC 

included statements concerning the 

purpose of and basis for the proposed 

rule change, security-based swap 

submission, or advance notice and 

discussed any comments it received on 

the proposed rule change, securitybased swap submission, or advance 

notice. The text of these statements may 

be examined at the places specified in 

Item IV below. ICC has prepared 

summaries, set forth in sections (A), (B), 

and (C) below, of the most significant 

aspects of these statements. 

(A) Clearing Agency’s Statement of the 

Purpose of, and Statutory Basis for, the 

Proposed Rule Change 

(a) Purpose 

The proposed changes are intended to 

modify ICC’s fee schedules to 

implement reduced fees for Index 

Options through calendar year 2022.5

ICC maintains a Clearing Participant 

(‘‘CP’’) fee schedule 6 and client fee 

schedule 7 (collectively, the ‘‘fee 

schedules’’) that are publicly available 

on its website, which ICC proposes to 

update. Clearing fees are due by CPs and 

clients in accordance with the product, 

amount and currency set out in the fee 

schedules and subject to any incentive 

program described in the fee schedules. 

The proposed changes to the fee 

schedules are set forth in Exhibit 5A 

and Exhibit 5B and described in detail 

as follows. ICC proposes to make such 

changes effective March 1, 2022 (the 

‘‘Effective Date’’), subject to the 

completion of any applicable regulatory 

review process. 

The amended CP fee schedule would 

reduce Index Option fees to $1/million 

or Ö1/million through calendar year 

2022. Under the current CP fee 

schedule, Index Option fees are $3/ 

million or Ö3/million, subject to an 

incentive program that provides a tiered 

discount schedule based on U.S. Dollar 

equivalent, non-discounted Index 

Option fees billed since the start of the 

year. ICC also offered certain other 

incentive programs that discounted 

Index Option fees as part of the CP fee 

schedule, which expired at the end of 

calendar year 2021 and are removed 

from Exhibit 5A.8 Under the proposed 

changes, in addition to updating the fee 

table, ICC would include a footnote to 

indicate that the listed fees of $1/ 

million or Ö1/million are applicable 

from the Effective Date through calendar 

year 2022 and reflect a discount from 

ICC’s regular Index Option fees of $3/ 

million or Ö3/million. On the first 

business day of 2023, ICC would remove 

this discount and the listed fees would 

revert to ICC’s regular Index Option fees 

on this schedule dated January 2023. 


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Federal Register / Vol. 87, No. 43 / Friday, March 4, 2022 / Notices 12509 

9A description of this incentive program is 

included in a prior filing. SEC Release No. 34– 

91922 (May 18, 2021) (notice), 86 FR 27938 (May 

24, 2021) (SR ICC–2021–014). 

10 15 U.S.C. 78q–1. 

11 15 U.S.C. 78s(b)(3)(A)(ii). 

12 17 CFR 240.19b–4(f)(2). 

13 15 U.S.C. 78q–1(b)(3)(D). 

14Supporting detail and additional data, 

including clearing statistics for Index Options is 

included in confidential Exhibit 3. 15 15 U.S.C. 78q–1(b)(3)(D). 16 15 U.S.C. 78q–1. 

17 15 U.S.C. 78s(b)(3)(A). 

18 17 CFR 240.19b–4(f)(2). 

19 15 U.S.C. 78s(b)(3)(A). 

20 17 CFR 240.19b–4(f)(2). 

The amended client fee schedule 

would also reduce Index Option fees to 

$1/million or Ö1/million through 

calendar year 2022. Under the current 

client fee schedule, Index Option fees 

are $4/million or Ö4/million. ICC also 

offered an incentive program that 

discounted Index Option fees as part of 

the client fee schedule, which expired at 

the end of calendar year 2021 and is 

removed from Exhibit 5B.9 Under the 

proposed changes, in addition to 

updating the fee table, ICC would 

indicate in a footnote that the listed fees 

of $1/million or Ö1/million are 

applicable from the Effective Date 

through calendar year 2022 and reflect 

a discount from ICC’s regular Index 

Option fees of $4/million or Ö4/million. 

On the first business day of 2023, ICC 

would remove this discount and the 

listed fees would revert to ICC’s regular 

Index Option fees on this schedule 

dated January 2023. 

(b) Statutory Basis 

ICC believes that the proposed rule 

change is consistent with the 

requirements of the Act, including 

Section 17A of the Act 10 and the 

regulations thereunder applicable to it. 

More specifically, the proposed rule 

change establishes or changes a member 

due, fee or other charge imposed by ICC 

under Section 19(b)(3)(A)(ii) of the 

Act 11 and Rule 19b–4(f)(2) 12

thereunder. ICC believes the proposed 

rule change is consistent with the 

requirements of the Act and the rules 

and regulations thereunder applicable to 

ICC, in particular, to Section 

17A(b)(3)(D),13 which requires that the 

rules of the clearing agency provide for 

the equitable allocation of reasonable 

dues, fees, and other charges among its 

participants. 

ICC believes that the proposed 

discounts in the fee schedules have 

been set at an appropriate level. In 

determining the appropriate discount 

level, ICC considered factors such as 

volume, revenue, and market 

participation in the clearing service, 

including based on different fee levels. 

ICC also considered costs and expenses 

in offering clearing of Index Options, 

taking into account the investments that 

ICC has made in clearing such products 

and the level of investment and 

development needed for this clearing 

service at this time. In ICC’s view, the 

fees are reasonable as the discounts 

correspond with anticipated volumes, 

costs and expenses, and revenues, and 

they consider current and past market 

activity as well as anticipated market 

activity with respect to clearing Index 

Options at ICC.14 Furthermore, the 

proposed discounts are in line with past 

Index Option incentive programs that 

ICC offered, which similarly temporarily 

reduced Index Option fees without any 

further action required by CPs or clients. 

Under the proposed changes, the same 

discounted rate would apply to both 

CPs and clients. These reduced fees are 

designed to incentivize the clearing of 

Index Options by CPs and clients to 

grow this clearing service. 

Moreover, the proposed fee changes 

will apply equally to all market 

participants clearing Index Options. The 

reduced fees for Index Options through 

calendar year 2022 apply to all CPs and 

clients. ICC’s fee schedules will 

continue to be transparent and to apply 

equally to market participants clearing 

indexes, single names, and Index 

Options at ICC. Therefore, the proposed 

rule change provides for the equitable 

allocation of reasonable dues, fees and 

other charges among participants, 

within the meaning of Section 

17A(b)(3)(D) of the Act.15 ICC therefore 

believes that the proposed rule change 

is consistent with the requirements of 

Section 17A of the Act 16 and the 

regulations thereunder applicable to it 

and is appropriately filed pursuant to 

Section 19(b)(3)(A) of the Act 17 and 

paragraph (f)(2) of Rule 19b–4 18

thereunder. 

(B) Clearing Agency’s Statement on 

Burden on Competition 

ICC does not believe the proposed 

rule change would have any impact, or 

impose any burden, on competition not 

necessary or appropriate in furtherance 

of the purpose of the Act. As discussed 

above, the proposed changes modify 

ICC’s fee schedules to temporarily 

reduce fees for Index Options and will 

apply uniformly across all market 

participants. The implementation of 

such changes does not preclude other 

market participants from offering such 

instruments for clearing or offering 

incentive programs. Moreover, ICC does 

not believe that the amendments would 

adversely affect the ability of market 

participants to access clearing services. 

Accordingly, ICC does not believe the 

amendments impose any burden on 

competition not necessary or 

appropriate in furtherance of the 

purpose of the Act. 

(C) Clearing Agency’s Statement on 

Comments on the Proposed Rule 

Change Received From Members, 

Participants or Others 

Written comments relating to the 

proposed rule change have not been 

solicited or received. ICC will notify the 

Commission of any written comments 

received by ICC. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The foregoing rule change has become 

effective pursuant to Section 19(b)(3)(A) 

of the Act 19 and paragraph (f) of Rule 

19b–4 20 thereunder. At any time within 

60 days of the filing of the proposed rule 

change, the Commission summarily may 

temporarily suspend such rule change if 

it appears to the Commission that such 

action is necessary or appropriate in the 

public interest, for the protection of 

investors, or otherwise in furtherance of 

the purposes of the Act. 

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 (https://www.sec.gov/ 

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include File Number SR– 

ICC–2022–001 on the subject line. 

Paper Comments 

Send paper comments in triplicate to 

Secretary, Securities and Exchange 

Commission, 100 F Street NE, 

Washington, DC 20549. 

All submissions should refer to File 

Number SR–ICC–2022–001. 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 (https://www.sec.gov/ 

rules/sro.shtml). Copies of the 

submission, all subsequent 

amendments, all written statements 

with respect to the proposed rule 


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12510 Federal Register / Vol. 87, No. 43 / Friday, March 4, 2022 / Notices 

21 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3 15 U.S.C. 78s(b)(3)(A)(iii). 

4 17 CFR 240.19b–4(f)(6). 

5The term ‘‘User’’ shall mean any Member or 

Sponsored Participant who is authorized to obtain 

access to the System pursuant to Rule 11.3. See 

Rule 1.5(cc). 

6A ‘‘Stop Order’’ is an order that becomes a BZX 

market order when the stop price is elected. A Stop 

Order to buy is elected when the consolidated last 

sale in the security occurs at, or above, the specified 

stop price. A Stop Order to sell becomes a limit 

order when the consolidated last sale in the security 

occurs at, or below, the specified stop price. See 

Rule 11.9(c)(16). 

7A ‘‘Stop-Limit Order’’ is an order that becomes 

a limit order when the stop price is elected. A Stop 

Limit Order to buy is elected when the consolidated 

last sale in the security occurs at, or above, the 

specified stop price. A Stop Limit Order to sell 

becomes a sell limit order when the consolidated 

last sale in the security occurs at, or below, the 

specified stop price. See Rule 11.9(c)(17). 

8See Rule 21.17(d). 

9 ‘‘System’’ means the electronic communications 

and trading facility designated by the Board through 

which securities orders of Users are consolidated 

for ranking, execution and, when applicable, 

routing away. See Rule 1.5(aa). 

10 ‘‘BZX Book’’ means the System’s electronic file 

of orders. See Rule 1.5.(e). 

11See Rule 5.34(a)(4)(A). 

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 such 

filings will also be available for 

inspection and copying at the principal 

office of ICE Clear Credit and on ICE 

Clear Credit’s website at https://

www.theice.com/clear-credit/regulation. 

All comments received will be posted 

without change. Persons submitting 

comments are cautioned that we do not 

redact or edit personal identifying 

information from comment submissions. 

You should submit only information 

that you wish to make available 

publicly. All submissions should refer 

to File Number SR–ICC–2022–001 and 

should be submitted on or before March 

25, 2022. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.21

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–04567 Filed 3–3–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94328; File No. SR– 

CboeBZX–2022–009] 

Self-Regulatory Organizations; Cboe 

BZX Exchange, Inc.; Notice of Filing 

and Immediate Effectiveness of a 

Proposed Rule Change Relating To 

Modify How Drill-Through Price 

Protection Applies to Users’ Orders 

When Multiple Stop Order and StopLimit Orders Are Triggered by the 

Same Price 

February 28, 2022. 

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

Securities Exchange Act of 1934 (the 

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

notice is hereby given that on February 

17, 2022, Cboe BZX Exchange, Inc. (the 

‘‘Exchange’’ or ‘‘BZX’’) 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 Exchange. The Exchange filed the 

proposal as a ‘‘non-controversial’’ 

proposed rule change pursuant to 

Section 19(b)(3)(A)(iii) of the Act 3 and 

Rule 19b–4(f)(6) thereunder.4 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 

Cboe BZX Exchange, Inc. (‘‘BZX’’ or 

the ‘‘Exchange’’) is filing with the 

Securities and Exchange Commission 

(the ‘‘Commission’’) a proposal to 

modify how drill-through price 

protection applies to Users’ 5 orders 

when multiple Stop Order and StopLimit Orders are triggered by the same 

price. The text of the proposed rule 

change is provided in Exhibit 5. 

The text of the proposed rule change 

is also available on the Exchange’s 

website (https://markets.cboe.com/us/ 

equities/regulation/rule_filings/bzx/), at 

the Exchange’s Office of the Secretary, 

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 

Exchange 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. The 

Exchange has prepared summaries, set 

forth in sections A, B, and C below, of 

the most significant aspects of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The purpose of this rule filing is to 

amend current Rule 21.17, Additional 

Price Protection Mechanisms and Risk 

Controls, to add new Rule 21.17(d)(3), 

which modifies what the drill-through 

price will be for Stop Orders 6 and StopLimit Orders 7 when multiple Stop 

Orders and Stop-Limit Orders are 

triggered by the same stop price 

specified by Users. 

Drill-through price protection is 

currently described in Exchange Rule 

21.17(d). Rule 21.17(d) provides that if 

a buy (sell) order enters the BZX 

Options Book at the conclusion of the 

opening auction process or would 

execute or post to the BZX Book at the 

time of order entry, the System executes 

the orders up to a buffer amount (the 

Exchange determines the buffer amount 

on a class and premium basis) above 

(below) the offer (bid) limit of the 

Opening Collar or the NBO (NBB) that 

existed at the time of order entry, 

respective (the, ‘‘Drill Through Price’’).8

Currently, when multiple Stop Orders 

or Stop-Limit Orders are triggered by the 

same price, the System 9 considers them 

separate orders received in sequence 

and enters them sequentially into the 

BZX Book.10 As such, when 

determining the Drill-Through Price for 

each order, the System uses the contra 

side NBBO that existed at the time each 

of the orders was entered into the BZX 

Book.11 By applying drill-through price 

protection in this manner, the Exchange 

has observed, particularly in thinly 

traded markets, that the first order 

triggered will trade with the best priced 

contra-side order, while the second 

triggered order can trade at prices that 

may be multiple price levels away, as it 

is using the NBBO that existed after the 

first triggered order executed. 

Accordingly, the Exchange seeks to 

enhance the drill-through price 

functionality as it relates to Stop Orders 

and Stop Limit Orders, through the 

addition of proposed Rule 21.17(d)(3). 

Under proposed Rule 21.17(d)(3), rather 

than using separate Drill-Through Prices 

for each individual Stop Order and 

Stop-Limit Order, the System will 

instead use the contra-side NBBO that 

existed at the time the first order in 


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