Federal Register / Vol. 80, No. 13 / Wednesday, January 21, 2015 / Notices 2985 

15 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

investors, or otherwise in furtherance of 

the purposes of the Act. If the 

Commission takes such action, the 

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– 

FINRA–2015–001 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Brent J. Fields, Secretary, Securities 

and Exchange Commission, 100 F Street 

NE., Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–FINRA–2015-001. 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 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 FINRA. 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–FINRA– 

2015–001 and should be submitted on 

or before February 11, 2015. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.15

Brent J. Fields, 

Secretary. 

[FR Doc. 2015–00834 Filed 1–20–15; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–74053; File No. SR–ICC– 

2015–001] 

Self-Regulatory Organizations; ICE 

Clear Credit LLC; Notice of Filing of 

Proposed Rule Change To Revise ICC 

End-of-Day Price Discovery Policies 

and Procedures 

January 14, 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 January 5, 

2015, ICE Clear Credit LLC (‘‘ICC’’) filed 

with the Securities and Exchange 

Commission (‘‘Commission’’) the 

proposed rule change as described in 

Items I, II, and III below, which Items 

have been prepared primarily by ICC. 

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 principal purpose of the 

proposed rule change is to revise the 

ICC End-of-Day Price Discovery Policies 

and Procedures to incorporate 

enhancements to its price discovery 

process. This revision does not require 

any changes to the ICC Rules. 

II. Self-Regulatory Organization’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 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. ICC has prepared 

summaries, set forth in sections A, B, 

and C below, of the most significant 

aspects of these statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

ICC proposes revising the ICC End-ofDay Price Discovery Policies and 

Procedures to incorporate 

enhancements to its price discovery 

process. 

ICC believes such revisions will 

facilitate the prompt and accurate 

clearance and settlement of securities 

transactions and derivative agreements, 

contracts, and transactions for which it 

is responsible. The proposed revisions 

are described in detail as follows. 

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 secondlowest 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 proposes implementing 

consequences for CPs providing price 

discovery submissions deemed to be 


asabaliauskas on DSK5VPTVN1PROD with NOTICES
2986 Federal Register / Vol. 80, No. 13 / Wednesday, January 21, 2015 / Notices 

3A reversing transaction is a second Firm Trade 

with identical attributes to the initial Firm Trade, 

but with the buyer and seller counterparties 

reversed, and at that day’s EOD price rather than 

the original Firm Trade price. 

4The ICC Risk Department, in conjunction with 

the ICC Trading Advisory Committee, specifies the 

index risk sub-factors that are eligible for automatic 

reversing transactions. 

5 15 U.S.C. 78q–1(b)(3)(F). 

6 Id. 7 Id. 8 17 CFR 200.30–3(a)(12). 

obvious errors. Effectively, ICC is 

extending the process for determining 

Firm Trades to include all standardized 

submissions, including those classified 

as obvious errors. ICC 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.3

To limit the potential exposure 

created through Firm Trades that 

include a bid or offer from an obvious 

error submission, ICC will 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 will 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.4

Currently, reversing transactions are 

only available for Single Name 

instruments. There are no changes to 

ICC’s Clearing Rules as a result of these 

changes. 

Section 17A(b)(3)(F) of the Act 5

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 and to 

comply with the provisions of the Act 

and the rules and regulations 

thereunder. ICC believes that 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)(F),6 because ICC 

believes that the proposed rule change 

will assure the prompt and accurate 

clearance and settlement of securities 

transactions, derivatives agreements, 

contracts, and transactions, as the 

proposed revisions enhance ICC’s price 

discovery process, by ensuring traders 

are accountable for all price discovery 

submissions to ICC, not just those 

submissions nearer to ICC’s final EOD 

level. As such, the proposed 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) of the Act.7

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

ICC does not believe the proposed 

rule change would have any impact, or 

impose any burden, on competition. 

The enhancements to ICC’s price 

discovery process apply uniformly 

across all market participants. 

Therefore, ICC does not believe the 

proposed rule change imposes any 

burden on competition that is 

inappropriate in furtherance of the 

purposes of the Act. 

C. Self-Regulatory Organization’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 

Within 45 days of the date of 

publication of this notice in the Federal 

Register or within such longer period 

up to 90 days (i) as the Commission may 

designate if it finds such longer period 

to be appropriate and publishes its 

reasons for so finding or (ii) As to which 

the self-regulatory organization 

consents, the Commission will: 

(A) By order approve or disapprove 

such proposed rule change, or 

(B) institute proceedings to determine 

whether the proposed rule change 

should be 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– 

ICC–2015–001 on the subject line. 

Paper Comments 

Send paper comments in triplicate to 

Secretary, Securities and Exchange 

Commission, 100 F Street NE., 

Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–ICC–2015–001. 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 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 will also be available for 

inspection and copying at the principal 

office of ICE Clear Credit and on ICE 

Clear Credit’s Web site at https://

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

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–ICC–2015–001 and should 

be submitted on or before February 11, 

2015. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.8

Brent J. Fields, 

Secretary. 

[FR Doc. 2015–00838 Filed 1–20–15; 8:45 am] 

BILLING CODE 8011–01–P 


asabaliauskas on DSK5VPTVN1PROD with NOTICES