80_FR_59397 80 FR 59207 - Self-Regulatory Organizations; ICE Clear Europe Limited; Order Approving Proposed Rule Change Relating to CDS End-of-Day Price Discovery Policy

80 FR 59207 - Self-Regulatory Organizations; ICE Clear Europe Limited; Order Approving Proposed Rule Change Relating to CDS End-of-Day Price Discovery Policy

SECURITIES AND EXCHANGE COMMISSION

Federal Register Volume 80, Issue 190 (October 1, 2015)

Page Range59207-59208
FR Document2015-24881

Federal Register, Volume 80 Issue 190 (Thursday, October 1, 2015)
[Federal Register Volume 80, Number 190 (Thursday, October 1, 2015)]
[Notices]
[Pages 59207-59208]
From the Federal Register Online  [www.thefederalregister.org]
[FR Doc No: 2015-24881]


-----------------------------------------------------------------------

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-75983; File No. SR-ICEEU-2015-013]


Self-Regulatory Organizations; ICE Clear Europe Limited; Order 
Approving Proposed Rule Change Relating to CDS End-of-Day Price 
Discovery Policy

September 25, 2015.

I. Introduction

    On July 24, 2015, ICE Clear Europe Limited (``ICE Clear Europe'') 
filed with the Securities and Exchange Commission (``Commission''), 
pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act'') \1\ and Rule 19b-4 thereunder,\2\ a proposed rule change to 
amend its end-of-day price discovery policies and procedures for credit 
default swap (``CDS'') contracts to incorporate certain enhancements 
(SR-ICEEU-2015-013). The proposed rule change was published for comment 
in the Federal Register on August 12, 2015.\3\ The Commission did not 
receive comments on the proposed rule change. The Commission is 
approving the proposed rule change.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ Securities Exchange Act Release No. 34-75624 (Aug. 6, 2015), 
80 FR 48369 (Aug. 12, 2015) (SR-ICEEU-2015-013).
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II. Description of the Proposed Rule Change

    ICE Clear Europe has proposed to amend its CDS End-of-Day Price 
Discovery Policy (the ``EOD Price Discovery Policy'') to make certain 
enhancements to the end-of-day submission and firm trade process for 
CDS contracts. ICE Clear Europe also proposed to adopt a new Price 
Submission Disciplinary Framework (the ``Disciplinary Framework'') that 
addresses missed price submissions by Clearing Members for CDS 
contracts. ICE Clear Europe did not otherwise propose to change its 
Clearing Rules or Procedures in connection with these amendments.
    As described by ICE Clear Europe, under the EOD Price Discovery 
Policy, ICE Clear Europe currently utilizes a ``cross and lock'' 
algorithm as part of its CDS price discovery process. Under this 
algorithm, standardized 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 second-lowest offer price, and so on. The algorithm then 
identifies crossed and/or locked markets. Crossed markets are the 
Clearing Member pairs generated by the sorting and ranking process for 
which the bid price of one Clearing Member is above the offer price of 
the matched Clearing Member. The algorithm identifies locked markets, 
where the bid and the offer are equal, in a similar fashion.
    According to ICE Clear Europe, 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 bid-offer width (``BOW''), and a low offer 
threshold equal to the preliminary EOD level minus one BOW. The 
algorithm considers a Clearing Member'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.
    Clearing Member pairs identified by the algorithm as crossed or 
locked markets may be required from time to time, under the EOD Price 
Discovery Policy, to enter into cleared CDS trades with each other 
(``Firm Trades''). Currently, ICE Clear Europe excludes standardized 
submissions it identifies as obvious errors from potential Firm Trades 
and does not use these submissions in its determination of published 
EOD levels.
    ICE Clear Europe has proposed to impose certain consequences under 
the Firm Trade methodology for Clearing Members providing price 
discovery submissions deemed to be obvious errors. ICE Clear Europe has 
represented that, as revised, the process for determining potential 
Firm Trades will now include all standardized submissions, including 
those classified as obvious errors (and as a result submissions that 
are obvious errors may result in Firm Trades). However, obvious errors 
will not be used in the calculation of the final EOD level, as under 
the current framework. Thus, ICE Clear Europe has represented that it 
will effectively execute its current EOD algorithm twice: initially in 
the same way it does today (eliminating obvious errors) to generate the 
final EOD levels, and again, without excluding obvious errors, to 
generate Firm Trades and related reversing transactions.\4\
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    \4\ A reversing transaction is a second cleared transaction 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 initial Firm Trade price.
---------------------------------------------------------------------------

    To limit the potential exposure created through Firm Trades that 
include a bid or offer from an obvious error submission, ICE Clear 
Europe has represented that it will adjust Firm 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 Clearing Members from receiving Firm Trades with large 
P/L impact in certain index instruments that are less actively traded, 
and for which it is therefore more difficult and/or more expensive to 
manage the associated risk, ICE Clear Europe has represented that it 
will automatically generate reversing transactions at the end-of-day 
price level for specific index CDS instruments (i.e., for specific 
combinations of index/sub-index and series determined by the ICE Clear 
Europe risk department in consultation with the trading advisory 
committee). Currently, reversing transactions are only available for 
eligible single name CDS instruments.
    ICE Clear Europe has also proposed revising the EOD Price Discovery 
Policy to remove the option for Clearing Members to provide end-of-day 
price submissions for single name CDS instruments in terms of spread 
and associated recovery rate. Under the revised approach, Clearing 
Members will be required to provide price submissions (or equivalent 
``points upfront'' submissions) for all single name CDS instruments. 
Clearing

[[Page 59208]]

Members may provide a recovery rate, which ICE Clear Europe will use 
for purposes of its own analysis. Accordingly, ICE Clear Europe will no 
longer need to convert spread submissions for single name instruments 
into a price level for purposes of the EOD price determination process. 
Various conforming changes will be made throughout the policy as a 
result.
    ICE Clear Europe has also proposed to implement a new Disciplinary 
Framework, which addresses failures by a Clearing Member to provide 
required EOD price submissions for CDS Contracts in which they hold 
cleared open interest with ICE Clear Europe (``Missed Submissions''). 
For purposes of the Disciplinary Framework, obvious errors (as 
described above) with respect to CDX index CDS contracts will also be 
treated as Missed Submissions (since such instruments are not subject 
to Firm Trade requirements). ICE Clear Europe has represented that it 
will impose a cash assessment on Clearing Members for each Missed 
Submission, generally ranging from $1,000 to $4,000, depending on 
whether the Missed Submission related to an index or single-name, 
whether it occurred on an announced firm trade date and whether the 
related contract is actively traded. For single name CDS contracts, the 
framework will also specify an aggregate daily maximum assessment per 
Clearing Member for multiple Missed Submissions and a daily maximum 
assessment per Clearing Member per risk sub-factor.
    As part of a new summary assessment process, ICE Clear Europe has 
represented that it will determine on a monthly basis whether a 
Clearing Member has any Missed Submissions and provide the Clearing 
Member a notice of assessment with details of such Missed Submissions. 
The notice of assessment will include information about the date, type, 
quantity and assessment amount for the relevant Missed Submission(s). 
The Disciplinary Framework will also provide a procedure for a Clearing 
Member to dispute a notice of assessment. ICE Clear Europe has 
represented that a Clearing Member will have fifteen days from the 
notice of assessment to dispute the notice or seek to have it waived or 
rescinded. ICE Clear Europe has represented that it may grant a waiver 
of an assessment for certain specified reasons. A conditional waiver 
may be granted for the first instance of a Missed Submission for a 
particular instrument, provided that the Clearing Member does not have 
another Missed Submission in that instrument within 90 days. ICE Clear 
Europe has represented that it may grant an unconditional waiver where 
Missed Submissions result from extraordinary circumstances outside of 
the Clearing Member's control, such as market-wide disruptions. ICE 
Clear Europe has represented the imposition of a cash assessment on a 
Clearing Member does not preclude ICE Clear Europe from taking any 
other disciplinary action against a Clearing Member under the Rules and 
Procedures, including for persistent failures to meet the requirements 
of the EOD Price Discovery 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 self-regulatory 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 and, in 
general, to protect investors and the public interest.
---------------------------------------------------------------------------

    \5\ 15 U.S.C. 78s(b)(2)(C).
    \6\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------

    The Commission finds that ICE Clear Europe's proposed revisions to 
its EOD Price Discovery Policy and its proposed new Disciplinary 
Framework are consistent with the requirements of Section 17A of the 
Act \7\ and rules thereunder applicable to ICE Clear Europe. The 
proposed revisions are intended to enhance ICE Clear Europe's price 
discovery process by including all price submissions (including those 
classified as obvious errors) in the process of determining Firm 
Trades, thereby strengthening the incentives for Clearing Members to 
provide accurate end-of-day price submissions. 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 Clearing Members' potential P/L exposure to obvious errors 
from the risk management perspective, while holding them accountable 
for their price submissions. The proposed rule change would also assist 
Clearing Members in unwinding Firm Trades in certain less actively 
traded index products by automatically generating reversing trades at 
the EOD level. Finally, the proposed rule change further incentivizes 
accurate price submissions by imposing financial consequences on 
Clearing Members for Missed Submissions, through cash assessments under 
the new Disciplinary Framework. The Disciplinary Framework is intended 
to further enhance compliance with the EOD Price Discovery Policy and 
provides Clearing Members with notice and a mechanism to dispute any 
Missed Submissions or seek a waiver of any assessments.
---------------------------------------------------------------------------

    \7\ 15 U.S.C. 78q-1.
---------------------------------------------------------------------------

    The Commission therefore believes that the proposal is designed to 
promote the prompt and accurate clearance and settlement of securities 
transactions and derivative agreements, contracts and transactions 
cleared by ICE Clear Europe and, in general, to protect investors and 
the public interest, consistent with Section 17A(b)(3)(F) of the 
Act.\8\ The Commission further believes that the proposed Disciplinary 
Framework is designed to subject participants to appropriate discipline 
for violation of ICE Clear Europe's end-of-day price submission 
requirements, consistent with section 17A(b)(3)(G) of the Act.\9\ 
Finally, the Commission believes that the proposed Disciplinary 
Framework provides a fair procedure with respect to the disciplining of 
participants, consistent with section 17A(b)(3)(H) of the Act.\10\
---------------------------------------------------------------------------

    \8\ 15 U.S.C. 78q-1(b)(3)(F).
    \9\ 15 U.S.C. 78q-1(b)(3)(G).
    \10\ 15 U.S.C. 78q-1(b)(3)(H).
---------------------------------------------------------------------------

IV. Conclusion

    On the basis of the foregoing, the Commission finds that the 
proposed rule change is consistent with the requirements of the Act and 
in particular with the requirements of Section 17A of the Act \11\ and 
the rules and regulations thereunder.
---------------------------------------------------------------------------

    \11\ 15 U.S.C. 78q-1.
---------------------------------------------------------------------------

    It is therefore ordered, pursuant to Section 19(b)(2) of the 
Act,\12\ that the proposed rule change (SR-ICEEU-2015-013), is 
approved.\13\
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    \12\ 15 U.S.C. 78s(b)(2).
    \13\ In approving the proposed rule change, the Commission 
considered the proposed rule change's impact on efficiency, 
competition and capital formation. 15 U.S.C. 78c(f).

For the Commission, by the Division of Trading and Markets, pursuant 
to delegated authority.\14\
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    \14\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Robert W. Errett,
Deputy Secretary.
[FR Doc. 2015-24881 Filed 9-30-15; 8:45 am]
BILLING CODE 8011-01-P



                                                                               Federal Register / Vol. 80, No. 190 / Thursday, October 1, 2015 / Notices                                                   59207

                                                   Washington, DC 20549 on official                        Discovery Policy’’) to make certain                      ICE Clear Europe has proposed to
                                                   business days between the hours of                      enhancements to the end-of-day                        impose certain consequences under the
                                                   10:00 a.m. and 3:00 p.m. Copies of such                 submission and firm trade process for                 Firm Trade methodology for Clearing
                                                   filing also will be available for                       CDS contracts. ICE Clear Europe also                  Members providing price discovery
                                                   inspection and copying at the principal                 proposed to adopt a new Price                         submissions deemed to be obvious
                                                   office of the Exchange. All comments                    Submission Disciplinary Framework                     errors. ICE Clear Europe has represented
                                                   received will be posted without change;                 (the ‘‘Disciplinary Framework’’) that                 that, as revised, the process for
                                                   the Commission does not edit personal                   addresses missed price submissions by                 determining potential Firm Trades will
                                                   identifying information from                            Clearing Members for CDS contracts.                   now include all standardized
                                                   submissions. You should submit only                     ICE Clear Europe did not otherwise                    submissions, including those classified
                                                   information that you wish to make                       propose to change its Clearing Rules or               as obvious errors (and as a result
                                                   available publicly. All submissions                     Procedures in connection with these                   submissions that are obvious errors may
                                                   should refer to File No. SR–MIAX–                       amendments.                                           result in Firm Trades). However,
                                                   2015–55, and should be submitted on or                     As described by ICE Clear Europe,                  obvious errors will not be used in the
                                                   before October 22, 2015.                                under the EOD Price Discovery Policy,                 calculation of the final EOD level, as
                                                                                                           ICE Clear Europe currently utilizes a                 under the current framework. Thus, ICE
                                                   For the Commission, by the Division of
                                                   Trading and Markets, pursuant to delegated
                                                                                                           ‘‘cross and lock’’ algorithm as part of its           Clear Europe has represented that it will
                                                   authority.16                                            CDS price discovery process. Under this               effectively execute its current EOD
                                                   Robert W. Errett,
                                                                                                           algorithm, standardized bids and offers               algorithm twice: initially in the same
                                                                                                           derived from Clearing Member                          way it does today (eliminating obvious
                                                   Deputy Secretary.
                                                                                                           submissions are matched by sorting                    errors) to generate the final EOD levels,
                                                   [FR Doc. 2015–24883 Filed 9–30–15; 8:45 am]             them from highest to lowest and lowest                and again, without excluding obvious
                                                   BILLING CODE 8011–01–P                                  to highest levels, respectively. This                 errors, to generate Firm Trades and
                                                                                                           sorting process pairs the Clearing                    related reversing transactions.4
                                                                                                           Member submitting the highest bid                        To limit the potential exposure
                                                   SECURITIES AND EXCHANGE                                 price with the Clearing Member                        created through Firm Trades that
                                                   COMMISSION                                              submitting the lowest offer price, the                include a bid or offer from an obvious
                                                   [Release No. 34–75983; File No. SR–ICEEU–               Clearing Member submitting the second                 error submission, ICE Clear Europe has
                                                   2015–013]                                               highest bid price with the Clearing                   represented that it will adjust Firm
                                                                                                           Member submitting the second-lowest                   Trade prices, where appropriate, to fall
                                                   Self-Regulatory Organizations; ICE                      offer price, and so on. The algorithm                 within a predefined band on either side
                                                   Clear Europe Limited; Order Approving                   then identifies crossed and/or locked                 of the EOD price such that the potential
                                                   Proposed Rule Change Relating to                        markets. Crossed markets are the                      profit or loss (‘‘P/L’’) realized by
                                                   CDS End-of-Day Price Discovery                          Clearing Member pairs generated by the                unwinding the trade at the EOD level is
                                                   Policy                                                  sorting and ranking process for which                 capped.
                                                                                                           the bid price of one Clearing Member is                  To prevent Clearing Members from
                                                   September 25, 2015.                                                                                           receiving Firm Trades with large P/L
                                                                                                           above the offer price of the matched
                                                   I. Introduction                                         Clearing Member. The algorithm                        impact in certain index instruments that
                                                                                                           identifies locked markets, where the bid              are less actively traded, and for which
                                                     On July 24, 2015, ICE Clear Europe                                                                          it is therefore more difficult and/or more
                                                                                                           and the offer are equal, in a similar
                                                   Limited (‘‘ICE Clear Europe’’) filed with                                                                     expensive to manage the associated risk,
                                                                                                           fashion.
                                                   the Securities and Exchange                                According to ICE Clear Europe,                     ICE Clear Europe has represented that it
                                                   Commission (‘‘Commission’’), pursuant                   whenever there are crossed and/or                     will automatically generate reversing
                                                   to Section 19(b)(1) of the Securities                   locked matched markets, the algorithm                 transactions at the end-of-day price
                                                   Exchange Act of 1934 (‘‘Act’’) 1 and Rule               applies a set of rules designed to                    level for specific index CDS instruments
                                                   19b–4 thereunder,2 a proposed rule                      identify standardized submissions that                (i.e., for specific combinations of index/
                                                   change to amend its end-of-day price                    are ‘‘obvious errors.’’ The algorithm sets            sub-index and series determined by the
                                                   discovery policies and procedures for                   a high bid threshold equal to the                     ICE Clear Europe risk department in
                                                   credit default swap (‘‘CDS’’) contracts to              preliminary end-of-day (‘‘EOD’’) level                consultation with the trading advisory
                                                   incorporate certain enhancements (SR–                   plus one bid-offer width (‘‘BOW’’), and               committee). Currently, reversing
                                                   ICEEU–2015–013). The proposed rule                      a low offer threshold equal to the                    transactions are only available for
                                                   change was published for comment in                     preliminary EOD level minus one BOW.                  eligible single name CDS instruments.
                                                   the Federal Register on August 12,                      The algorithm considers a Clearing                       ICE Clear Europe has also proposed
                                                   2015.3 The Commission did not receive                   Member’s standardized submission to                   revising the EOD Price Discovery Policy
                                                   comments on the proposed rule change.                   be an ‘‘obvious error’’ if the bid is higher          to remove the option for Clearing
                                                   The Commission is approving the                         than the high bid threshold, or the offer             Members to provide end-of-day price
                                                   proposed rule change.                                   is lower than the low offer threshold.                submissions for single name CDS
                                                   II. Description of the Proposed Rule                       Clearing Member pairs identified by                instruments in terms of spread and
                                                   Change                                                  the algorithm as crossed or locked                    associated recovery rate. Under the
                                                                                                           markets may be required from time to                  revised approach, Clearing Members
                                                     ICE Clear Europe has proposed to                      time, under the EOD Price Discovery                   will be required to provide price
mstockstill on DSK4VPTVN1PROD with NOTICES6




                                                   amend its CDS End-of-Day Price                          Policy, to enter into cleared CDS trades              submissions (or equivalent ‘‘points
                                                   Discovery Policy (the ‘‘EOD Price                       with each other (‘‘Firm Trades’’).                    upfront’’ submissions) for all single
                                                                                                           Currently, ICE Clear Europe excludes                  name CDS instruments. Clearing
                                                     16 17 CFR 200.30–3(a)(12).
                                                     1 15
                                                                                                           standardized submissions it identifies as
                                                          U.S.C. 78s(b)(1).
                                                     2 17 CFR 240.19b–4.
                                                                                                           obvious errors from potential Firm                       4 A reversing transaction is a second cleared

                                                                                                           Trades and does not use these                         transaction with identical attributes to the initial
                                                     3 Securities Exchange Act Release No. 34–75624                                                              Firm Trade, but with the buyer and seller
                                                   (Aug. 6, 2015), 80 FR 48369 (Aug. 12, 2015) (SR–        submissions in its determination of                   counterparties reversed, and at that day’s EOD price
                                                   ICEEU–2015–013).                                        published EOD levels.                                 rather than the initial Firm Trade price.



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                                                   59208                       Federal Register / Vol. 80, No. 190 / Thursday, October 1, 2015 / Notices

                                                   Members may provide a recovery rate,                    Clear Europe has represented that it may              actively traded index products by
                                                   which ICE Clear Europe will use for                     grant an unconditional waiver where                   automatically generating reversing
                                                   purposes of its own analysis.                           Missed Submissions result from                        trades at the EOD level. Finally, the
                                                   Accordingly, ICE Clear Europe will no                   extraordinary circumstances outside of                proposed rule change further
                                                   longer need to convert spread                           the Clearing Member’s control, such as                incentivizes accurate price submissions
                                                   submissions for single name                             market-wide disruptions. ICE Clear                    by imposing financial consequences on
                                                   instruments into a price level for                      Europe has represented the imposition                 Clearing Members for Missed
                                                   purposes of the EOD price                               of a cash assessment on a Clearing                    Submissions, through cash assessments
                                                   determination process. Various                          Member does not preclude ICE Clear                    under the new Disciplinary Framework.
                                                   conforming changes will be made                         Europe from taking any other                          The Disciplinary Framework is intended
                                                   throughout the policy as a result.                      disciplinary action against a Clearing                to further enhance compliance with the
                                                      ICE Clear Europe has also proposed to                Member under the Rules and                            EOD Price Discovery Policy and
                                                   implement a new Disciplinary                            Procedures, including for persistent                  provides Clearing Members with notice
                                                   Framework, which addresses failures by                  failures to meet the requirements of the              and a mechanism to dispute any Missed
                                                   a Clearing Member to provide required                   EOD Price Discovery Policy.                           Submissions or seek a waiver of any
                                                   EOD price submissions for CDS                                                                                 assessments.
                                                   Contracts in which they hold cleared                    III. Discussion and Commission
                                                                                                           Findings                                                 The Commission therefore believes
                                                   open interest with ICE Clear Europe                                                                           that the proposal is designed to promote
                                                   (‘‘Missed Submissions’’). For purposes                     Section 19(b)(2)(C) of the Act 5 directs           the prompt and accurate clearance and
                                                   of the Disciplinary Framework, obvious                  the Commission to approve a proposed                  settlement of securities transactions and
                                                   errors (as described above) with respect                rule change of a self-regulatory                      derivative agreements, contracts and
                                                   to CDX index CDS contracts will also be                 organization if the Commission finds                  transactions cleared by ICE Clear Europe
                                                   treated as Missed Submissions (since                    that such proposed rule change is                     and, in general, to protect investors and
                                                   such instruments are not subject to Firm                consistent with the requirements of the               the public interest, consistent with
                                                   Trade requirements). ICE Clear Europe                   Act and the rules and regulations                     Section 17A(b)(3)(F) of the Act.8 The
                                                   has represented that it will impose a                   thereunder applicable to such self-                   Commission further believes that the
                                                   cash assessment on Clearing Members                     regulatory organization. Section                      proposed Disciplinary Framework is
                                                   for each Missed Submission, generally                   17A(b)(3)(F) of the Act 6 requires, among             designed to subject participants to
                                                   ranging from $1,000 to $4,000,                          other things, that the rules of a clearing            appropriate discipline for violation of
                                                   depending on whether the Missed                         agency are designed to promote the
                                                                                                                                                                 ICE Clear Europe’s end-of-day price
                                                   Submission related to an index or                       prompt and accurate clearance and
                                                                                                                                                                 submission requirements, consistent
                                                   single-name, whether it occurred on an                  settlement of securities transactions
                                                                                                                                                                 with section 17A(b)(3)(G) of the Act.9
                                                   announced firm trade date and whether                   and, to the extent applicable, derivative
                                                                                                                                                                 Finally, the Commission believes that
                                                   the related contract is actively traded.                agreements, contracts, and transactions
                                                                                                                                                                 the proposed Disciplinary Framework
                                                   For single name CDS contracts, the                      and, in general, to protect investors and
                                                                                                                                                                 provides a fair procedure with respect to
                                                   framework will also specify an aggregate                the public interest.
                                                                                                              The Commission finds that ICE Clear                the disciplining of participants,
                                                   daily maximum assessment per Clearing                                                                         consistent with section 17A(b)(3)(H) of
                                                   Member for multiple Missed                              Europe’s proposed revisions to its EOD
                                                                                                           Price Discovery Policy and its proposed               the Act.10
                                                   Submissions and a daily maximum
                                                   assessment per Clearing Member per                      new Disciplinary Framework are                        IV. Conclusion
                                                   risk sub-factor.                                        consistent with the requirements of
                                                                                                                                                                   On the basis of the foregoing, the
                                                      As part of a new summary assessment                  Section 17A of the Act 7 and rules
                                                                                                                                                                 Commission finds that the proposed
                                                   process, ICE Clear Europe has                           thereunder applicable to ICE Clear
                                                                                                                                                                 rule change is consistent with the
                                                   represented that it will determine on a                 Europe. The proposed revisions are
                                                                                                                                                                 requirements of the Act and in
                                                   monthly basis whether a Clearing                        intended to enhance ICE Clear Europe’s
                                                                                                                                                                 particular with the requirements of
                                                   Member has any Missed Submissions                       price discovery process by including all
                                                                                                                                                                 Section 17A of the Act 11 and the rules
                                                   and provide the Clearing Member a                       price submissions (including those
                                                                                                                                                                 and regulations thereunder.
                                                   notice of assessment with details of                    classified as obvious errors) in the
                                                                                                                                                                   It is therefore ordered, pursuant to
                                                   such Missed Submissions. The notice of                  process of determining Firm Trades,
                                                                                                                                                                 Section 19(b)(2) of the Act,12 that the
                                                   assessment will include information                     thereby strengthening the incentives for
                                                                                                                                                                 proposed rule change (SR–ICEEU–2015–
                                                   about the date, type, quantity and                      Clearing Members to provide accurate
                                                   assessment amount for the relevant                                                                            013), is approved.13
                                                                                                           end-of-day price submissions. In
                                                   Missed Submission(s). The Disciplinary                  addition, the proposed rule change                    For the Commission, by the Division of
                                                   Framework will also provide a                           would adjust the trading prices of Firm               Trading and Markets, pursuant to delegated
                                                   procedure for a Clearing Member to                                                                            authority.14
                                                                                                           Trades that include a bid or offer
                                                   dispute a notice of assessment. ICE                     classified as an obvious error to fall                Robert W. Errett,
                                                   Clear Europe has represented that a                     within a predefined range on either side              Deputy Secretary.
                                                   Clearing Member will have fifteen days                  of the EOD price, thereby limiting                    [FR Doc. 2015–24881 Filed 9–30–15; 8:45 am]
                                                   from the notice of assessment to dispute                Clearing Members’ potential P/L                       BILLING CODE 8011–01–P
                                                   the notice or seek to have it waived or                 exposure to obvious errors from the risk
                                                   rescinded. ICE Clear Europe has                         management perspective, while holding                   8 15 U.S.C. 78q–1(b)(3)(F).
mstockstill on DSK4VPTVN1PROD with NOTICES6




                                                   represented that it may grant a waiver                  them accountable for their price                        9 15 U.S.C. 78q–1(b)(3)(G).
                                                   of an assessment for certain specified                  submissions. The proposed rule change                   10 15 U.S.C. 78q–1(b)(3)(H).

                                                   reasons. A conditional waiver may be                    would also assist Clearing Members in
                                                                                                                                                                   11 15 U.S.C. 78q–1.
                                                                                                                                                                   12 15 U.S.C. 78s(b)(2).
                                                   granted for the first instance of a Missed              unwinding Firm Trades in certain less                   13 In approving the proposed rule change, the
                                                   Submission for a particular instrument,
                                                                                                                                                                 Commission considered the proposed rule change’s
                                                   provided that the Clearing Member does                    5 15 U.S.C. 78s(b)(2)(C).                           impact on efficiency, competition and capital
                                                   not have another Missed Submission in                     6 15 U.S.C. 78q–1(b)(3)(F).                         formation. 15 U.S.C. 78c(f).
                                                   that instrument within 90 days. ICE                       7 15 U.S.C. 78q–1.                                    14 17 CFR 200.30–3(a)(12).




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Document Created: 2015-12-15 08:41:14
Document Modified: 2015-12-15 08:41:14
CategoryRegulatory Information
CollectionFederal Register
sudoc ClassAE 2.7:
GS 4.107:
AE 2.106:
PublisherOffice of the Federal Register, National Archives and Records Administration
SectionNotices
FR Citation80 FR 59207 

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