82 FR 14922 - Self-Regulatory Organizations; MIAX PEARL, LLC; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Amend MIAX PEARL Rules 517A, Aggregate Risk Manager for EEMs (“ARM-E”), and 517B, Aggregate Risk Manager for Market Makers (“ARM-M”)
SECURITIES AND EXCHANGE COMMISSION Federal Register Volume 82, Issue 55 (March 23, 2017)
Federal Register Volume 82, Issue 55 (March 23, 2017)
| Page Range | 14922-14925 | |
| FR Document | 2017-05737 |
[Federal Register Volume 82, Number 55 (Thursday, March 23, 2017)] [Notices] [Pages 14922-14925] From the Federal Register Online [www.thefederalregister.org] [FR Doc No: 2017-05737] [[Page 14922]] ======================================================================= ----------------------------------------------------------------------- SECURITIES AND EXCHANGE COMMISSION [Release No. 34-80266; File No. SR-PEARL-2017-12] Self-Regulatory Organizations; MIAX PEARL, LLC; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Amend MIAX PEARL Rules 517A, Aggregate Risk Manager for EEMs (``ARM-E''), and 517B, Aggregate Risk Manager for Market Makers (``ARM-M'') March 17, 2017. Pursuant to the provisions of 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 March 6, 2017, MIAX PEARL, LLC (``MIAX PEARL'' or ``Exchange'') filed with the Securities and Exchange Commission (``Commission'') a proposed rule change as described in Items I, II, and III below, which Items have been prepared by the Exchange. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. --------------------------------------------------------------------------- \1\ 15 U.S.C. 78s(b)(1). \2\ 17 CFR 240.19b-4. --------------------------------------------------------------------------- I. Self-Regulatory Organization's Statement of the Terms of Substance of the Proposed Rule Change The Exchange is filing a proposal to amend Exchange Rules Rule 517A, Aggregate Risk Manager for EEMs (``ARM-E''), and 517B, Aggregate Risk Manager for Market Makers (``ARM-M''). The text of the proposed rule change is available on the Exchange's Web site at http://www.miaxoptions.com/rule-filings/pearl at MIAX PEARL's principal office, 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 Exchange proposes to amend Exchange Rules 517A, ARM-E, and 517B, ARM-M by adopting and adding proposed Interpretations and Policies .01 to Rule 517A to state that the MIAX PEARL System \3\ does not include in a specific Electronic Exchange Member's (``EEM'') \4\ EEM Counting Program (described below) contracts executed as a result of an immediate-or-cancel (``IOC'') order \5\ submitted by such EEM, and to adopt and add Interpretations and Policies .02 to Rule 517B, stating that the System does not include in a specific Market Maker's'' \6\ MM Counting Program (described below) contracts executed as a result of an immediate-or-cancel (``IOC'') order submitted by such MM. --------------------------------------------------------------------------- \3\ The term ``System'' means the automated trading system used by the Exchange for the trading of securities. See Exchange Rule 100. \4\ The term ``Electronic Exchange Member'' or ``EEM'' means the holder of a Trading Permit who is a Member representing as agent Public Customer Orders or Non-Customer Orders on the Exchange and those non-Market Maker Members conducting proprietary trading. Electronic Exchange Members are deemed ``members'' under the Exchange Act. See Exchange Rule 100. \5\ An IOC order is an order that is to be executed in whole or in part upon receipt. Any portion not so executed is cancelled. An IOC order is not valid during the Opening Process described in Rule 503. See Exchange Rule 516(e). \6\ The term ``Market Maker'' or ``MM'' means a Member registered with the Exchange for the purpose of making markets in options contracts traded on the Exchange and that is vested with the rights and responsibilities specified in Chapter VI of these Rules. See Exchange Rule 100. --------------------------------------------------------------------------- ARM-E ARM-E protects MIAX PEARL EEMs and assists them in managing risk by maintaining a counting program (``EEM Counting Program'') for each participating EEM who has submitted an order in an EEM Specified Option Class \7\ using a specified market participant identifier (``MPID'') \8\ of the EEM and delivered via the MEO Interface \9\ as described herein (an ``EEM ARM Eligible Order''). The EEM Counting Program counts the number of contracts executed by an EEM from an EEM ARM Eligible Order (the ``EEM ARM Contracts'') within a specified time period that has been established by the EEM (the ``EEM Specified Time Period''). The EEM Specified Time Period cannot exceed 15 seconds. --------------------------------------------------------------------------- \7\ An ``EEM Specified Option Class'' is a class which the EEM has designated as a class to be protected via ARM-E. See Exchange Rule 517A(a). \8\ The term ``MPID'' means unique market participant identifier. See Exchange Rule 100. \9\ The term ``MEO Interface'' means a binary order interface for certain order types as set forth in Rule 516 into the MIAX PEARL System. See Exchange Rule 100. --------------------------------------------------------------------------- The EEM may also establish for each EEM Specified Option Class an EEM Allowable Engagement Percentage (the ``Allowable Engagement Percentage''), which is a number of contracts, divided by the size of the orders, executed within the Specified Time Period, equal to or over which the ARM-E will be triggered. When an execution of an EEM ARM Contract from an EEM ARM Eligible Order occurs, the System will look back over the EEM Specified Time Period to determine whether the sum of contract executions from such EEM ARM Eligible Order during such EEM Specified Time Period triggers the ARM-E. The System will engage ARM-E in a particular EEM Specified Option Class when the EEM Counting Program has determined that an EEM has executed during the EEM Specified Time Period a number of EEM ARM Contracts from an EEM ARM Eligible Order equal to or above their EEM Allowable Engagement Percentage. ARM-E will then, until the EEM sends a notification to the System of the intent to reengage and submits a new order in the EEM Specified Option Class: (i) Automatically cancel the EEM ARM Eligible Orders in all series of that particular EEM Specified Option Class and (ii) reject new orders by the EEM in all series of that particular EEM Specified Option Class submitted using the MEO Interface ARM-M ARM-M protects MIAX PEARL Market Makers and assists them in managing risk by maintaining a counting program (``MM Counting Program'') for each Market Maker who has submitted an order in an option class (an ``MM Option Class'') delivered via the MEO Interface (an ``MM ARM Eligible Order''). The MM Counting Program counts the number of contracts executed by a Market Maker from an MM ARM Eligible Order (the ``MM ARM Contracts'') within a specified time period that has been established by the Market Maker or as a default setting, as defined below (the ``MM Specified Time Period''). The MM Specified Time Period cannot exceed 15 seconds whether established by the Market Maker or as a default setting as described below. The Market Maker may also establish for each MM Option Class an MM Allowable Engagement Percentage. Unlike ARM-E, under which there is no default setting, the Exchange will establish a default MM Specified Time [[Page 14923]] Period and a default Allowable Engagement Percentage (``default settings'') on behalf of a Market Maker that has not established an MM Specified Time Period and/or an MM Allowable Engagement Percentage. The default MM Allowable Engagement Percentage shall not be less than 100%. The default settings will be determined by the Exchange on an Exchange- wide basis and announced to Members via Regulatory Circular. When an execution of an MM ARM Contract from an MM ARM Eligible Order occurs, the System will look back over the MM Specified Time Period to determine whether the sum of contract executions from such MM ARM Eligible Order during such MM Specified Time Period triggers the ARM-M. The System will engage ARM-M in a particular MM Option Class when the MM Counting Program has determined that a Market Maker has executed during the MM Specified Time Period a number of MM ARM Contracts from an MM ARM Eligible Order equal to or above their MM Allowable Engagement Percentage. ARM-M will then, until the Market Maker sends a notification to the System of the intent to reengage and submits a new order in the MM Option Class: (i) Automatically cancel the MM ARM Eligible Orders in all series of that particular MM Option Class and (ii) reject new orders by the Market Maker in all series of that particular MM Option Class submitted using the MEO Interface. The Proposal The Exchange is proposing to adopt and add Interpretations and Policies .01 to Rule 517A, to state that the System will not include in a specific EEM's EEM Counting Program contracts executed as a result of an IOC order submitted by such EEM. In a parallel proposal, the Exchange is also proposing to adopt and add Interpretations and Policies .02 to Rule 517B, to state that the System will not include in a specific Market Maker's MM Counting Program contracts executed as a result of an IOC submitted by such Market Maker. ARM-E and ARM-M are designed to assist MIAX PEARL EEMs and Market Makers in managing their risk associated with liquidity they send to the Exchange. Thus, the EEM and MM Counting Programs will include all contracts executed from orders, other than those orders designated as IOC, whether the EEM or MM is acting as maker or taker, in the calculation of the Allowable Engagement Percentage applicable to the affected EEM Specified Option Class or Market Maker in the MM Option Class. If, however, the same EEM or Market Maker submits an IOC order in the EEM Specified Option Class or MM Option Class that is executed against another order resting on the MIAX PEARL Book, the number of contracts executed from such IOC order would not be included in the calculation of the submitting EEM or Market Maker's Allowable Engagement Percentage in the EEM Specified Option Class or MM Option Class, as applicable. In such a situation, the affected EEM or Market Maker is not at any undue or unintended risk caused by the EEM or Market Maker's submission of the IOC order. The number of contracts executed from an order resting on the Book, is, however, included in the calculation of the Allowable Engagement Percentage applicable to the EEM or Market Maker that submitted that order. A resting order is subject to the risk of exposure that ARM-E and ARM-M are designed to mitigate. Therefore the Exchange believes that it is reasonable to include contracts executed from a resting order, which has a longer time-in-force than an IOC order and is thus a greater risk than an IOC order submitted for execution against it. Additionally, in the case of a partial execution, the remaining contracts in a resting order are still at market risk, while remaining contracts from the partial execution of an IOC order are cancelled if not executed, thus obviating the need for ARM-E or ARM-M protection. Conversely, in the Exchange's experience, an IOC order is an order that is designed to target specific, identifiable liquidity resting on the Book that the entering Member desires to trade with (remove), and thus the Member entering the IOC order does not require the risk management protection of the ARM, as the Member entering the IOC order made an affirmative decision to attempt to executed that transaction. The Exchange therefore believes that the inclusion of the number of contracts executed by way of an IOC order submitted by an EEM or Market Maker would unnecessarily and artificially inflate the calculation of the Allowable Engagement Percentage, and thus ARM-E or ARM-M could serve to preclude or prevent the further execution of contracts from orders resting on the MIAX PEARL Book (for which ARM-E or ARM-M has been triggered unnecessarily by an IOC order they submitted) that were submitted by the affected EEM or Market Maker and otherwise remain intended for execution. The purpose of the proposed rule change is to enable individual EEMs and Market Makers to enhance their risk management for an individual option class or for multiple classes as market conditions warrant, based on their own risk tolerance level and order submission or quoting behavior. EEMs and Market Makers will be able to more precisely customize their risk management within the MIAX PEARL System through the use of IOC orders without triggering ARM-E or ARM-M before their actual risk tolerance levels relating to the number of contracts executed within a specified time period have been reached. The proposed rule change will provide greater ability for EEMs and Market Makers to adapt more exact and precise risk controls based on the EEM or Market Maker's risk tolerance levels. The Exchange notes that the proposed rule is similar to a rule that is currently operative on MIAX Options (``MIAX Options''). Specifically, Interpretations and Policies .01 to MIAX Options Rule 612, Aggregate Risk Manager, states that the System does not include contracts traded through the use of an eQuote \10\ that is not a Day eQuote \11\ in the counting program for purposes of this Rule. eQuotes will remain in the System available for trading when the Aggregate Risk Manager is engaged. --------------------------------------------------------------------------- \10\ An eQuote is a quote with a specific time in force that does not automatically cancel and replace a previous Standard quote or eQuote. An eQuote can be cancelled by the Market Maker at any time, or can be replaced by another eQuote that contains specific instructions to cancel an existing eQuote. See MIAX Options Rule 517(a)(2). \11\ A Day eQuote is a quote submitted by a Market Maker that does not automatically cancel or replace the Market Maker's previous Standard quote or eQuote. Day eQuotes will expire at the close of trading each trading day. The Exchange reserves the right to limit the number of Day eQuotes that a single Market Maker may place on the same side of an individual option. The same limit will apply to all types of Market Makers. If the Exchange determines to establish a limit, it will be no more ten Day eQuotes on the same side of an individual option. The Exchange will publish the limit through the issuance of a Regulatory Circular. See MIAX Options Rule 517(a)(2)(i). --------------------------------------------------------------------------- The inclusion of the number of contracts executed by way of an IOC order, which is substantially similar to an IOC eQuote with respect to its time-in-force, would unnecessarily and artificially inflate the calculation of the Allowable Engagement Percentage in ARM-E and ARM-M in the same manner in which an IOC eQuote affects the ARM calculation on MIAX Options. This is a similar rationale for the instant proposal to exclude IOC orders on MIAX PEARL from the calculation of the Allowable Engagement Percentage in ARM-E and ARM-M. [[Page 14924]] The Exchange will announce the implementation date of the proposed rule change by Regulatory Circular to be published no later than 60 days following the operative date of the proposed rule. The implementation date will be no later than 60 days following the issuance of the Regulatory Circular. 2. Statutory Basis MIAX PEARL believes that its proposed rule change is consistent with Section 6(b) of the Act \12\ in general, and furthers the objectives of Section 6(b)(5) of the Act \13\ in particular, in that it is designed to prevent fraudulent and manipulative acts and practices, to promote just and equitable principles of trade, to foster cooperation and coordination with persons engaged in regulating, clearing, settling, processing information with respect to, and facilitating transactions in, securities, to remove impediments to and perfect the mechanisms of a free and open market and a national market system and, in general, to protect investors and the public interest. --------------------------------------------------------------------------- \12\ 15 U.S.C. 78f(b). \13\ 15 U.S.C. 78f(b)(5). --------------------------------------------------------------------------- Significantly, the proposed rule change removes impediments to and perfects the mechanisms of a free and open market and a national market system and, in general, protects investors and the public interest because it enhances a risk management tool that is currently available to MIAX PEARL EEMs and Market Makers. The exclusion of contracts executed from IOC orders submitted by an EEM or Market Maker from the calculation of their Allowable Engagement Percentage will enable MIAX PEARL EEMs and Market Makers to more efficiently tailor the risk management tools provided by the Exchange by ensuring them that contracts executed from orders that are not part of their risk management strategy will not artificially inflate their Allowable Engagement Percentage. This tailored approach further protects investors and the public interest by enabling the maximum number of contracts in an EEM Specified Option Class or an MM Option Class to be executed without unnecessary interruption, all within the EEM or Market Maker's risk tolerance level based upon the actual Allowable Engagement Percentage. As stated above, the proposed exclusion of IOC orders from the calculation of the Allowable Engagement Percentage is substantially similar to the exclusion of IOC eQuotes from that calculation in the MIAX Options ARM protection feature.\14\ --------------------------------------------------------------------------- \14\ See MIAX Options Rule 612.01. --------------------------------------------------------------------------- The exclusion of the number of contracts executed by way of IOC orders from the calculation of the Allowable Engagement Percentage also serves to remove impediments to and perfect the mechanisms of a free and open market and a national market system by enhancing EEMs' and Market Makers' confidence in the Exchange's ability to assist them in the accurate measuring of their management of risk, which may result in deeper liquidity on the Exchange's Book, serving to benefit and protect investors and the public interest. B. Self-Regulatory Organization's Statement on Burden on Competition The Exchange does not believe that the proposed rule change will impose any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Act. On the contrary, the Exchange believes that the proposed rule change will foster competition by providing Exchange EEMs and Market Makers with the ability to enhance and specifically customize their use of the Exchange's risk management tools in order to compete for executions and order flow. As to inter-market competition, the Exchange believes that the proposed rule change should promote competition because it is designed to provide Exchange EEMs and Market Makers with accuracy and flexibility to modify their risk exposure in order to protect them from unusual market conditions or events that may increase their exposure in the market. For all the reasons stated, the Exchange does not believe that the proposed rule change will impose any burden on competition not necessary or appropriate in furtherance of the purposes of the Act, and believes the proposed change will in fact enhance competition. C. Self-Regulatory Organization's Statement on Comments on the Proposed Rule Change Received From Members, Participants, or Others Written comments were neither solicited nor received. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action Because the foregoing proposed rule change does not: (i) Significantly affect the protection of investors or the public interest; (ii) impose any significant burden on competition; and (iii) become operative for 30 days after the date of the filing, or such shorter time as the Commission may designate, it has become effective pursuant to 19(b)(3)(A) of the Act\15\ and Rule 19b-4(f)(6) \16\ thereunder. --------------------------------------------------------------------------- \15\ 15 U.S.C. 78s(b)(3)(A). \16\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6) requires a self-regulatory organization to give the Commission written notice of its intent to file the proposed rule change at least five business days prior to the date of filing of the proposed rule change, or such shorter time as designated by the Commission. The Exchange has satisfied this requirement. --------------------------------------------------------------------------- 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. 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 CommentsUse 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-PEARL-2017-12 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-PEARL-2017-12. 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 [[Page 14925]] 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 the filing also will be available for inspection and copying at the principal office of the Exchange. All comments received will be posted without change; the Commission does not edit personal identifying information from submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number SR-PEARL-2017-12 and should be submitted on or before April 13, 2017. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.\17\ --------------------------------------------------------------------------- \17\ 17 CFR 200.30-3(a)(12). --------------------------------------------------------------------------- Eduardo A. Aleman, Assistant Secretary. [FR Doc. 2017-05737 Filed 3-22-17; 8:45 am] BILLING CODE 8011-01-P
![14922 Federal Register / Vol. 82, No. 55 / Thursday, March 23, 2017 / Notices
SECURITIES AND EXCHANGE A. Self-Regulatory Organization’s time period that has been established by
COMMISSION Statement of the Purpose of, and the EEM (the ‘‘EEM Specified Time
Statutory Basis for, the Proposed Rule Period’’). The EEM Specified Time
[Release No. 34–80266; File No. SR– Change Period cannot exceed 15 seconds.
PEARL–2017–12]
The EEM may also establish for each
1. Purpose EEM Specified Option Class an EEM
Self-Regulatory Organizations; MIAX The Exchange proposes to amend Allowable Engagement Percentage (the
PEARL, LLC; Notice of Filing and Exchange Rules 517A, ARM–E, and ‘‘Allowable Engagement Percentage’’),
Immediate Effectiveness of a Proposed 517B, ARM–M by adopting and adding which is a number of contracts, divided
Rule Change To Amend MIAX PEARL proposed Interpretations and Policies by the size of the orders, executed
Rules 517A, Aggregate Risk Manager .01 to Rule 517A to state that the MIAX within the Specified Time Period, equal
for EEMs (‘‘ARM–E’’), and 517B, PEARL System 3 does not include in a to or over which the ARM–E will be
Aggregate Risk Manager for Market specific Electronic Exchange Member’s triggered. When an execution of an EEM
Makers (‘‘ARM–M’’) (‘‘EEM’’) 4 EEM Counting Program ARM Contract from an EEM ARM
(described below) contracts executed as Eligible Order occurs, the System will
March 17, 2017. a result of an immediate-or-cancel look back over the EEM Specified Time
(‘‘IOC’’) order 5 submitted by such EEM, Period to determine whether the sum of
Pursuant to the provisions of Section
and to adopt and add Interpretations contract executions from such EEM
19(b)(1) of the Securities Exchange Act ARM Eligible Order during such EEM
and Policies .02 to Rule 517B, stating
of 1934 (‘‘Act’’) 1 and Rule 19b–4 Specified Time Period triggers the
that the System does not include in a
thereunder,2 notice is hereby given that ARM–E.
specific Market Maker’s’’ 6 MM
on March 6, 2017, MIAX PEARL, LLC The System will engage ARM–E in a
Counting Program (described below)
(‘‘MIAX PEARL’’ or ‘‘Exchange’’) filed particular EEM Specified Option Class
contracts executed as a result of an
with the Securities and Exchange when the EEM Counting Program has
immediate-or-cancel (‘‘IOC’’) order
Commission (‘‘Commission’’) a determined that an EEM has executed
submitted by such MM.
proposed rule change as described in during the EEM Specified Time Period
Items I, II, and III below, which Items ARM–E a number of EEM ARM Contracts from
have been prepared by the Exchange. ARM–E protects MIAX PEARL EEMs an EEM ARM Eligible Order equal to or
The Commission is publishing this and assists them in managing risk by above their EEM Allowable Engagement
notice to solicit comments on the maintaining a counting program (‘‘EEM Percentage. ARM–E will then, until the
proposed rule change from interested Counting Program’’) for each EEM sends a notification to the System
persons. participating EEM who has submitted of the intent to reengage and submits a
I. Self-Regulatory Organization’s an order in an EEM Specified Option new order in the EEM Specified Option
Statement of the Terms of Substance of Class 7 using a specified market Class: (i) Automatically cancel the EEM
the Proposed Rule Change participant identifier (‘‘MPID’’) 8 of the ARM Eligible Orders in all series of that
EEM and delivered via the MEO particular EEM Specified Option Class
The Exchange is filing a proposal to Interface 9 as described herein (an ‘‘EEM and (ii) reject new orders by the EEM in
amend Exchange Rules Rule 517A, ARM Eligible Order’’). The EEM all series of that particular EEM
Aggregate Risk Manager for EEMs Counting Program counts the number of Specified Option Class submitted using
(‘‘ARM–E’’), and 517B, Aggregate Risk contracts executed by an EEM from an the MEO Interface
Manager for Market Makers (‘‘ARM– EEM ARM Eligible Order (the ‘‘EEM ARM–M
M’’). ARM Contracts’’) within a specified
ARM–M protects MIAX PEARL
The text of the proposed rule change Market Makers and assists them in
3 The term ‘‘System’’ means the automated
is available on the Exchange’s Web site managing risk by maintaining a
trading system used by the Exchange for the trading
at http://www.miaxoptions.com/rule- of securities. See Exchange Rule 100. counting program (‘‘MM Counting
filings/pearl at MIAX PEARL’s principal 4 The term ‘‘Electronic Exchange Member’’ or
Program’’) for each Market Maker who
office, and at the Commission’s Public ‘‘EEM’’ means the holder of a Trading Permit who
has submitted an order in an option
Reference Room. is a Member representing as agent Public Customer
Orders or Non-Customer Orders on the Exchange class (an ‘‘MM Option Class’’) delivered
II. Self-Regulatory Organization’s and those non-Market Maker Members conducting via the MEO Interface (an ‘‘MM ARM
proprietary trading. Electronic Exchange Members Eligible Order’’). The MM Counting
Statement of the Purpose of, and are deemed ‘‘members’’ under the Exchange Act.
Statutory Basis for, the Proposed Rule See Exchange Rule 100.
Program counts the number of contracts
Change 5 An IOC order is an order that is to be executed executed by a Market Maker from an
in whole or in part upon receipt. Any portion not MM ARM Eligible Order (the ‘‘MM
In its filing with the Commission, the so executed is cancelled. An IOC order is not valid ARM Contracts’’) within a specified
Exchange included statements during the Opening Process described in Rule 503. time period that has been established by
See Exchange Rule 516(e).
concerning the purpose of and basis for 6 The term ‘‘Market Maker’’ or ‘‘MM’’ means a
the Market Maker or as a default setting,
the proposed rule change and discussed Member registered with the Exchange for the as defined below (the ‘‘MM Specified
any comments it received on the purpose of making markets in options contracts Time Period’’). The MM Specified Time
proposed rule change. The text of these traded on the Exchange and that is vested with the Period cannot exceed 15 seconds
statements may be examined at the rights and responsibilities specified in Chapter VI
of these Rules. See Exchange Rule 100.
whether established by the Market
places specified in Item IV below. The
sradovich on DSK3GMQ082PROD with NOTICES
7 An ‘‘EEM Specified Option Class’’ is a class Maker or as a default setting as
Exchange has prepared summaries, set which the EEM has designated as a class to be described below.
forth in sections A, B, and C below, of protected via ARM–E. See Exchange Rule 517A(a). The Market Maker may also establish
the most significant aspects of such 8 The term ‘‘MPID’’ means unique market
for each MM Option Class an MM
statements. participant identifier. See Exchange Rule 100. Allowable Engagement Percentage.
9 The term ‘‘MEO Interface’’ means a binary order
interface for certain order types as set forth in Rule
Unlike ARM–E, under which there is no
1 15 U.S.C. 78s(b)(1). 516 into the MIAX PEARL System. See Exchange default setting, the Exchange will
2 17 CFR 240.19b–4. Rule 100. establish a default MM Specified Time
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![Federal Register / Vol. 82, No. 55 / Thursday, March 23, 2017 / Notices 14925
those that may be withheld from the Discovery Policy (the ‘‘EOD Price new Clearing Member direct price
public in accordance with the Discovery Policy’’). submission process. The revisions also
provisions of 5 U.S.C. 552, will be add references to the new FIX API
II. Clearing Agency’s Statement of the
available for Web site viewing and message terminology which will be
Purpose of, and Statutory Basis for, the
printing in the Commission’s Public utilized under the new Clearing Member
Proposed Rule Change, Security-Based direct price submission process. Such
Reference Room, 100 F Street NE.,
Washington, DC 20549, on official Swap Submission or Advance Notice changes are reflected throughout the
business days between the hours of In its filing with the Commission, ICE EOD Price Discovery Policy. ICE Clear
10:00 a.m. and 3:00 p.m. Copies of the Clear Europe included statements Europe has also updated the EOD Price
filing also will be available for concerning the purpose of and basis for Discovery Policy to specify that ICE
inspection and copying at the principal the proposed rule change and discussed Clear Europe will send the unsolicited
office of the Exchange. All comments any comments it received on the FIX API messages directly to each
received will be posted without change; proposed rule change. The text of these Clearing Member.
the Commission does not edit personal statements may be examined at the Under the new Clearing Member
identifying information from places specified in Item IV below. ICE direct price submission process, ICE
submissions. You should submit only Clear Europe has prepared summaries, Clear Europe will consolidate the price
information that you wish to make set forth in sections A, B, and C below, discovery process across index and
available publicly. All submissions of the most significant aspects of such single-name CDS. As such, new FIX API
should refer to File Number SR– statements. messages will include information for
PEARL–2017–12 and should be both index and single-name CDS.
submitted on or before April 13, 2017. A. Clearing Agency’s Statement of the Previously, the price discovery process
Purpose of, and Statutory Basis for, the provided files separately for each
For the Commission, by the Division of Proposed Rule Change, Security-Based
Trading and Markets, pursuant to delegated product type. ICE Clear Europe has also
Swap Submission or Advance Notice updated the submission requirements
authority.17
Eduardo A. Aleman, 1. Purpose for the CDX.NA.HY index to note that
Assistant Secretary. prices may be submitted in either price
The purpose of the rule change is to
or upfront format; previously, only price
[FR Doc. 2017–05737 Filed 3–22–17; 8:45 am] incorporate certain enhancements to the
format was accepted.
BILLING CODE 8011–01–P EOD Price Discovery Policy. These ICE Clear Europe has updated the
revisions do not require any changes to EOD Price Discovery Policy to reflect
the ICE Clear Europe Clearing Rules. the replacement of existing firm trade
SECURITIES AND EXCHANGE ICE Clear Europe proposes revising its
COMMISSION data files with new FIX API firm trade
EOD Price Discovery Policy to messages. ICE Clear Europe also made
[Release No. 34–80269; File No. SR–ICEEU– implement a new direct price minor changes to the timings of certain
2017–003] submission process for Clearing steps in the price settlement process; no
Members. Currently, ICE Clear Europe changes were made to the actual
Self-Regulatory Organizations; ICE uses an intermediary agent to
Clear Europe Limited; Notice of Filing settlement submission windows.
implement functions of its price ICE Clear Europe has also updated the
of a Proposed Rule Change, Security- discovery process. Under the current process for distribution of end-of-day
Based Swap Submission or Advance process, Clearing Members make prices set forth in the EOD Price
Notice Relating to the CDS End-of-Day required price submissions to the Discovery Policy. Under the new
Price Discovery Policy intermediary agent. These prices are process, ICE Clear Europe will publish
March 17, 2017.
then input into ICE Clear Europe’s price separate messages for Clearing
Pursuant to Section 19(b)(1) of the settlement methodology to determine Members, listing end-of-day prices for
Securities Exchange Act of 1934 settlement prices. ICE Clear Europe is single-name and index CDS. The end-of-
(‘‘Act’’),1 and Rule 19b–4 thereunder,2 proposing to remove the intermediary day prices provided will not change and
notice is hereby given that on March 10, agent from the price settlement process. will continue to be based on a Clearing
2017, ICE Clear Europe Limited (‘‘ICE In doing so, ICE Clear Europe will Members’ cleared positions. ICE Clear
Clear Europe’’) filed with the Securities require Clearing Members to submit Europe will continue to publish end-of-
and Exchange Commission prices directly to the clearing house. day prices for every listed risk sub-
(‘‘Commission’’) the proposed rule The prices will continue to be input into factor’s most actively traded instrument,
change described in Items I, II, and III ICE Clear Europe’s price settlement and to distribute daily end-of-day prices
below, which Items have been prepared methodology to determine settlement for all cleared instruments through
primarily by ICE Clear Europe. The prices. ICE Clear Europe is not Markit.
Commission is publishing this notice to otherwise changing the price settlement
methodology itself. 2. Statutory Basis
solicit comments on the proposed rule
The proposed revisions to the EOD ICE Clear Europe believes that the
change from interested persons.
Price Discovery Policy are described in changes described herein are consistent
I. Clearing Agency’s Statement of the detail as follows: Under the revised with the requirements of Section 17A of
Terms of Substance of the Proposed policy, ICE Clear Europe requires the Act 3 and the regulations thereunder
Rule Change, Security-Based Swap Clearing Members to establish direct applicable to it, including the standards
Submission, or Advance Notice connectivity with the clearing house
sradovich on DSK3GMQ082PROD with NOTICES
under Rule 17Ad–22,4 and are
The principal purpose of the changes and use a FIX API to submit required consistent with the prompt and accurate
is to modify certain aspects of ICE Clear prices. ICE Clear Europe is revising the clearance of and settlement of securities
Europe’s CDS End-of-Day Price EOD Price Discovery Policy to remove transactions and, to the extent
references to the intermediary agent and applicable, derivative agreements,
17 17 CFR 200.30–3(a)(12). the Valuation Service API (and related
1 15 U.S.C. 78s(b)(1). message terminology), which will be 3 15 U.S.C. 78q–1.
2 17 CFR 240.19b–4. decommissioned with the launch of the 4 17 CFR 240.17Ad–22.
VerDate Sep<11>2014 17:13 Mar 22, 2017 Jkt 241001 PO 00000 Frm 00061 Fmt 4703 Sfmt 4703 E:\FR\FM\23MRN1.SGM 23MRN1](https://thefederalregister.org/doc/82_FR_14977/page/4.svg)
Document Created: 2017-03-23 02:45:22
Document Modified: 2017-03-23 02:45:22
| Category | Regulatory Information | |
| Collection | Federal Register | |
| sudoc Class | AE 2.7: GS 4.107: AE 2.106: | |
| Publisher | Office of the Federal Register, National Archives and Records Administration | |
| Section | Notices | |
| FR Citation | 82 FR 14922 |
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