[Federal Register Volume 79, Number 212 (Monday, November 3, 2014)]
[Notices]
[Pages 65280-65282]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2014-26011]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-73451; File No. SR-ICC-2014-17]


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

October 28, 2014.
    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 October 17, 2014, 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.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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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 Clearing Rules (``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-of-Day Price Discovery Policies 
and Procedures to incorporate enhancements to its price discovery 
process.
    ICC believes such revisions will facilitate the prompt and accurate

[[Page 65281]]

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, bids and offers 
derived from Clearing Participant 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 Clearing Participant pairs generated by the 
sorting and ranking process for which the bid price of one Clearing 
Participant is above the offer price of the matched Clearing 
Participant. The algorithm identifies locked markets, where the bid and 
the offer are equal, in a similar fashion. The mid-point 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). 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.
    ICC proposes enhancements to its methodology to improve the 
consistency of prices and reduce the sensitivity of the final level to 
a single Clearing Participant's submission. Under the new ``cross and 
lock'' methodology, the average of the mid-points of all non-crossed, 
non-locked matched markets that are 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). As a result, 
prices are less sensitive to outlying submissions. ICC also proposes 
additional language in the ICC End-of-Day Price Discovery Policies and 
Procedures to clarify existing policies and practices, including, but 
not limited to, language to clarify the existing pricing methodology's 
treatment of identical crossed or locked matched market bids or 
offers.\3\ There are no changes to ICC's Rules as a result of these 
enhancements.
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    \3\ Pursuant to a teleconference with ICC's in-house counsel on 
October 27, 2014, staff in the Division of Trading and Markets has 
added this sentence to more completely describe the proposed textual 
changes as a result of this proposed rule change.
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    Section 17A(b)(3)(F) of the Act \4\ 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 changes 
are consistent with the requirements of the Act and the rules and 
regulations thereunder applicable to ICC, in particular, to Section 
17(A)(b)(3)(F),\5\ because ICC believes that the proposed rule changes 
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, resulting in more consistent day-over-day end-of-day levels. 
As such, the proposed changes are 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) \6\ of the Act.
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    \4\ 15 U.S.C. 78q-1(b)(3)(F).
    \5\ Id.
    \6\ Id.
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B. Self-Regulatory Organization's Statement on Burden on Competition

    ICC does not believe the proposed rule changes 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 changes impose 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 [email protected]. Please include 
File Number SR-ICC-2014-17 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-ICC-2014-17. 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 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

[[Page 65282]]

submissions should refer to File Number SR-ICC-2014-17 and should be 
submitted on or before November 24, 2014.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\7\
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    \7\ 17 CFR 200.30-3(a)(12).
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Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2014-26011 Filed 10-31-14; 8:45 am]
BILLING CODE 8011-01-P