83 FR 14300 - Self-Regulatory Organizations; ICE Clear Credit LLC; Order Approving Proposed Rule Change Relating to ICC's End-of-Day Price Discovery Policies and Procedures
SECURITIES AND EXCHANGE COMMISSION Federal Register Volume 83, Issue 64 (April 3, 2018)
Federal Register Volume 83, Issue 64 (April 3, 2018)
| Page Range | 14300-14302 | |
| FR Document | 2018-06691 |
[Federal Register Volume 83, Number 64 (Tuesday, April 3, 2018)] [Notices] [Pages 14300-14302] From the Federal Register Online [www.thefederalregister.org] [FR Doc No: 2018-06691] ----------------------------------------------------------------------- SECURITIES AND EXCHANGE COMMISSION [Release No. 34-82960; File No. SR-ICC-2018-002] Self-Regulatory Organizations; ICE Clear Credit LLC; Order Approving Proposed Rule Change Relating to ICC's End-of-Day Price Discovery Policies and Procedures March 28, 2018. I. Introduction On January 26, 2018, ICE Clear Credit LLC (``ICC'') filed with the Securities and Exchange Commission (``Commission''), pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act''),\1\ a proposed rule change (SR-ICC-2018-002) to revise its End-of-Day Price Discovery Policies and Procedures (``Pricing Policy'') with respect to the bid-offer width (``BOW'') methodology applicable to single-name (``SN'') instruments. The proposed rule change was published for comment in the Federal Register on February 12, 2018.\2\ The Commission did not receive comments on the proposed rule change. For the reasons discussed below, the Commission is approving the proposed rule change.\3\ --------------------------------------------------------------------------- \1\ 15 U.S.C. 78s(b)(1). \2\ Securities Exchange Act Release No. 34-82641 (February 6, 2018), 83 FR 6078 (February 12, 2016) (SR-ICC-2018-002) (``Notice''). \3\ Capitalized terms used herein but not otherwise defined have the meaning set forth in the ICC rulebook, which is available at https://www.theice.com/publicdocs/clear_credit/ICE_Clear_Credit_Rules.pdf, or in the Pricing Policy. --------------------------------------------------------------------------- II. Description of the Proposed Rule Change ICC proposes to revise its Pricing Policy to amend the methodology used to calculate end-of-day BOWs for its SN instruments. As part of its end-of-day pricing process, ICC calculates a BOW for each clearing- eligible instrument. These BOWs are then used as an input in determining end-of-day levels, which are used for mark-to-market and risk [[Page 14301]] management purposes, including calculation of certain margin requirements, and for firm trade determinations.\4\ ICC's current approach to calculating a BOW for SN instruments starts by calculating a ``Consensus BOW,'' which is a spread-based BOW derived from intraday quotes (taken from trader emails) for the most actively traded instrument for a given SN instrument. Once the Consensus BOW has been determined, ICC applies a ``scrape factor'' to the Consensus BOW to capture differences between BOWs provided in intraday quotes taken from trader emails and BOWs achieved in the market. Thereafter, ICC applies additional scaling factors to capture differences in instrument liquidity for longer and shorter maturities, and for higher and lower coupons.\5\ Scaling across maturities is performed in spread terms, while scaling across coupons is performed in price terms.\6\ ICC uses the ISDA Standard Model for the transformations from spread to price.\7\ --------------------------------------------------------------------------- \4\ Notice, 83 FR at 6078. According to ICC, to encourage Clearing Participants to provide the best possible EOD submissions, ICC selects a sub-set of the potential-trades generated by the cross-and-lock algorithm and designates them as firm-trades, which Clearing Participants are entered into as cleared transactions. See Notice of Filing of Proposed Rule Change to Revise ICC End-of-Day Price Discovery Policies and Procedures, Securities Exchange Act Release No. 34-77771 (May 5, 2016), 81 FR 29309, 29310 (May 11, 2016) (SR-ICC-2016-007). \5\ Id. \6\ Id. \7\ Id. --------------------------------------------------------------------------- Under the proposed revisions, ICC would still start its calculation of end-of-day BOWs for SN instruments by calculating a Consensus BOW, but it would change the calculation of the Consensus BOW from being based on intraday quotes taken from trader emails to being computed as (i) a price-based floor, plus (ii) a relative BOW that is multiplied by the average of price-space mid-levels submitted by Clearing Participants through the end-of-day price discovery process.\8\ --------------------------------------------------------------------------- \8\ Id. at 6079. ICC would no longer apply a scrape factor to the Consensus BOW as the determination of Consensus BOWs would no longer rely on ``scraped'' intraday quotes. Id. at 6078. --------------------------------------------------------------------------- The relative BOW would be determined by ICC's Risk Management Department in consultation with ICC's Trade Advisory Committee, and would be designed to reflect observed variability in SN instrument levels for the most actively traded instruments. The price-based floor would reflect BOWs established for index products representing baskets of the most distressed SN instruments.\9\ In addition, ICC proposes to extend the application of the price-based BOW floors from the 0/3- month, 6-month, and 1-year benchmark tenors to cover the entire set of benchmark tenors from 0 month to 10 years.\10\ --------------------------------------------------------------------------- \9\ Id. at 6079. In addition, because ICC accepts SN instrument submissions from Clearing Participants only in price terms under the Pricing Policy, rather than in both spread and price terms, the need for spread-based BOWs would be eliminated, as would the need to use the ISDA Standard Model to achieve the transformations from spread to price during the scaling process. See id. at 6078. \10\ Id. at 6078. --------------------------------------------------------------------------- Under the proposed enhancements, ICC would continue to apply certain scaling factors, other than the scrape factor, to the Consensus BOW. Specifically, ICC would apply a tenor scaling factor to the Consensus BOW for each benchmark instrument at the most actively traded coupon.\11\ For benchmark instruments at other coupons, ICC would apply a combination of tenor and coupon scaling factors. The coupon and tenor scaling factors would be determined by the ICC Risk Management Department in consultation with the Trading Advisory Committee.\12\ Once the applicable scaling factor or factors have been applied, ICC would then apply a Single Name Variability Factor, with the resulting BOW being deemed the ``systematic BOW.'' \13\ --------------------------------------------------------------------------- \11\ Id. at 6079. \12\ Id. \13\ Id. --------------------------------------------------------------------------- ICC also proposes to introduce a new component to its Pricing Policy: The ``dynamic BOW,'' which would be the dispersion of price- space mid-levels submitted as part of its end-of-day price discovery process.\14\ As the last step of its process, ICC would compare the systematic BOW with the dynamic BOW and would select the greater of the two as the end-of-day BOW for a given SN instrument.\15\ --------------------------------------------------------------------------- \14\ Id. \15\ Id. --------------------------------------------------------------------------- In addition to the proposed changes regarding the computation of the end-of-day BOW for SN instruments, ICC also proposes changes to the Governance section of its Pricing Policy. Specifically, ICC proposes to amend the Governance section to provide that the responsibilities of the ICC Risk Management Department include determining the price-based floors, relative BOWs, and tenor and coupon scaling factors used as inputs into the BOW determination.\16\ ICC also proposes to amend language in the Governance section to provide that the ICC Risk Management Department has the responsibility of ensuring that appropriate end-of-day levels are determined, and to clarify that the parameters used in the end-of-day pricing process are to be established by the Risk Management Department in consultation with the Trading Advisory Committee.\17\ ICC also proposes revisions to the Governance section that would provide that the Trading Advisory Committee would review and provide input regarding revisions to the BOW price-based floors.\18\ --------------------------------------------------------------------------- \16\ Id. \17\ Id. \18\ Id. --------------------------------------------------------------------------- Finally, ICC proposes certain clarifying edits. Specifically, ICC proposes to remove references to scrape factors, and to remove the requirement that the Trading Advisory Committee review scrape factors, as the scrape factors, which are applied to the Consensus BOW under ICC's current approach to account for differences between BOWs obtained from intraday quotes taken from trader emails and those achieved in the market, would no longer be applicable under the proposed changes as the Consensus BOW under the proposed amendments would not rely on such intraday quotes.\19\ Other clarifying edits include the addition of a footnote to the Pricing Policy describing ICC's use of the ISDA Standard Model, the removal of outdated references, correcting certain typographical errors, and updates to section numbering, as well as certain other minor edits as described in greater detail in the Notice.\20\ --------------------------------------------------------------------------- \19\ Id. \20\ Id. --------------------------------------------------------------------------- III. Discussion and Commission Findings Section 19(b)(2)(C) of the Act directs the Commission to approve a proposed rule change of a self-regulatory organization if it finds that such proposed rule change is consistent with the requirements of the Act and the rules and regulations thereunder applicable to such organization.\21\ For the reasons given below, the Commission finds that the proposed rule change is consistent with Section 17A(b)(3)(F) of the Act,\22\ and Rules 17Ad-22(b)(2) and (d)(8) thereunder.\23\ --------------------------------------------------------------------------- \21\ 15 U.S.C. 78s(b)(2)(C). \22\ 15 U.S.C. 78q-1(b)(3)(F). \23\ 17 CFR 240.17Ad-22(b)(2) and (d)(8). --------------------------------------------------------------------------- A. Consistency With Section 17A(b)(3)(F) of the Act Section 17A(b)(3)(F) of the Act requires, among other things, that the rules of a registered clearing agency be designed to promote the prompt and accurate clearance and settlement of [[Page 14302]] securities transactions and, to the extent applicable, derivative agreements, contracts and transactions, and to assure the safeguarding of securities and funds which are in the custody or control of the clearing agency or for which it is responsible.\24\ As discussed above, the proposed rule change would enhance ICC's end-of-day price discovery process for SN instruments in a number of ways, including but not limited to incorporating a price-based floor which would be applied to a wider range of instruments, adopting a new dynamic BOW component, and taking into consideration the dispersion of price-space mid-levels received from Clearing Participants, all while continuing to apply scaling tenor, coupon, and variability scaling factors. --------------------------------------------------------------------------- \24\ 15 U.S.C. 78q-1(b)(3)(F). --------------------------------------------------------------------------- Taken as a whole, the Commission believes the proposed changes should enhance ICC's ability to determine the end-of-day BOW for SN instruments. First, the proposed changes should permit ICC to determine BOWs consistently across SN instruments on all reference entities, including those for which only sparse intraday data is available.\25\ In addition, by extending the application of the price-based BOW floor component to the entire set of benchmark tenors from the 0 month to 10 years instead of solely the \0/3\ month, 6 month, and 1-year benchmark tenors, the Commission believes that ICC will be able to more consistently compute the end-of-day BOW for a wider range of SN instruments. --------------------------------------------------------------------------- \25\ Notice, 83 FR at 6078. --------------------------------------------------------------------------- Consequently, the Commission believes that the proposed changes will improve ICC's end-of-day pricing process as a whole as additional relevant information will be taken into consideration and a wider range of instruments will be considered in the pricing process. Based on these improvements, the Commission believes that ICC's risk management processes related to the end-of-day pricing process, including the calculation and collection of certain margin requirements, will also be improved, resulting in an improved ability to safeguard the positions that ICC maintains from the default of a Clearing Participant. As a result, the Commission believes that the proposed changes will promote the prompt and accurate clearance and settlement of the products cleared by ICC, and will enhance ICC's ability to assure the safeguarding of securities and funds which are in the custody or control of ICC or for which it is responsible. Therefore, the Commission finds that the proposed rule change is consistent with the requirements of Section 17A(b)(3)(F) of the Act.\26\ --------------------------------------------------------------------------- \26\ Id. --------------------------------------------------------------------------- B. Consistency With Rule 17Ad-22(b)(2) Rule 17Ad-22(b)(2) requires, in relevant part, a registered clearing agency that performs central counterparty services to establish implement, maintain, and enforce written policies and procedures reasonably designed to use margin requirements to limit its credit exposures to participants under normal market conditions. As noted above, ICC uses the end-of-day BOWs as part of its mark-to-market and risk management purposes, including the computation of certain margin requirements.\27\ --------------------------------------------------------------------------- \27\ 17 CFR 240.17Ad-22(b)(2). --------------------------------------------------------------------------- The Commission believes that by improving the end-of-day pricing process, as described above, ICC will also improve its ability to calculate margin requirements that use the end-of-day BOWs as an input. Consequently, an improved margin calculation should lead to the collection of margin levels that enhance ICC's ability to limit its credit exposures to participants under normal market conditions. As a result, the Commission finds that the proposed rule change is consistent with the requirements of Rule 17Ad-22(b)(2).\28\ --------------------------------------------------------------------------- \28\ Id. --------------------------------------------------------------------------- C. Consistency With Rule 17Ad-22(d)(8) Rule 17Ad-22(d)(8) requires, in relevant part, that a registered clearing agency that is not a covered clearing agency to establish, implement, maintain, and enforce written policies and procedures reasonably designed to, as applicable, have governance arrangements that promote the effectiveness of the clearing agency's risk management procedures.\29\ ICC proposed to amend the Governance section of its Pricing policy to clarify the responsibilities of the ICC Risk Management Department and the Trading Advisory Committee with respect to the determination of price-based floors, relative BOWs, and scaling factors. By updating the Governance section of the Pricing Policy to delineate the roles of the ICC Risk Management Department and the Trading Advisory Committee, the Commission believes that ICC will improve the governance structure surrounding the end-of-day pricing process. --------------------------------------------------------------------------- \29\ 17 CFR 240.17Ad-22(d)(8). --------------------------------------------------------------------------- Because the output of the end-of-day pricing process is used for mark-to-market and risk management purposes, the Commission believes that improvements to the governance structure of the end-of-day pricing process will have the effect of promoting greater effectiveness of ICC's risk management procedures overall. Therefore, the Commission finds that the proposed rule change is consistent with the requirements of Rule 17Ad-22(d)(8).\30\ --------------------------------------------------------------------------- \30\ Id. --------------------------------------------------------------------------- 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 \31\ and Rules 17Ad-22(b)(2) and (d)(8) \32\ thereunder. --------------------------------------------------------------------------- \31\ 15 U.S.C. 78q-1. \32\ 17 CFR 240.17Ad-22(b)(2) and (d)(8). --------------------------------------------------------------------------- It is therefore ordered pursuant to Section 19(b)(2) of the Act \33\ that the proposed rule change (SR-ICC-2018-002) be, and hereby is, approved.\34\ --------------------------------------------------------------------------- \33\ 15 U.S.C. 78s(b)(2). \34\ In approving the proposed rule change, the Commission considered the proposal's impact on efficiency, competition, and capital formation. 15 U.S.C. 78c(f). \35\ 17 CFR 200.30-3(a)(12). For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.\35\ Jill Peterson, Assistant Secretary. [FR Doc. 2018-06691 Filed 4-2-18; 8:45 am] BILLING CODE 8011-01-P
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the loans’ duration will be no more than participating Funds and each Fund proposed is consistent with the
7 days.2 would have an equal opportunity to provisions, policies and purposes of the
2. Applicants anticipate that the borrow and lend on equal terms based Act and the extent to which such
proposed facility would provide a on an interest rate formula that is participation is on a basis different from
borrowing Fund with a source of objective and verifiable. With respect to or less advantageous than that of the
liquidity at a rate lower than the bank the relief from section 17(a)(2) of the other participants.
borrowing rate at times when the cash Act, applicants note that any collateral For the Commission, by the Division of
position of the Fund is insufficient to pledged to secure an interfund loan Investment Management, under delegated
meet temporary cash requirements. In would be subject to the same conditions authority.
addition, Funds making short-term cash imposed by any other lender to a Fund Robert Errett,
loans directly to other Funds would that imposes conditions on the quality Deputy Secretary.
earn interest at a rate higher than they of or access to collateral for a borrowing [FR Doc. 2018–06661 Filed 4–2–18; 8:45 am]
otherwise could obtain from investing (if the lender is another Fund) or the BILLING CODE 8011–01–P
their cash in repurchase agreements or same or better conditions (in any other
certain other short-term money market circumstance).5
instruments. Thus, applicants assert that 5. Applicants also believe that the SECURITIES AND EXCHANGE
the facility would benefit both limited relief from section 18(f)(1) of the COMMISSION
borrowing and lending Funds. Act that is necessary to implement the
3. Applicants agree that any order facility (because the lending Funds are [Release No. 34–82960; File No. SR–ICC–
granting the requested relief will be not banks) is appropriate in light of the 2018–002]
subject to the terms and conditions conditions and safeguards described in
stated in the application. Among others, Self-Regulatory Organizations; ICE
the application and because the Funds
the Adviser, through a designated Clear Credit LLC; Order Approving
would remain subject to the
committee, would administer the Proposed Rule Change Relating to
requirement of section 18(f)(1) that all
facility as a disinterested fiduciary as ICC’s End-of-Day Price Discovery
borrowings of a Fund, including
part of its duties under the investment Policies and Procedures
combined interfund loans and bank
management agreements with the Funds borrowings, have at least 300% asset March 28, 2018.
and would receive no additional fee as coverage.
compensation for its services in 6. Section 6(c) of the Act permits the I. Introduction
connection with the administration of Commission to exempt any persons or On January 26, 2018, ICE Clear Credit
the facility. The facility would be transactions from any provision of the LLC (‘‘ICC’’) filed with the Securities
subject to oversight and certain Act if such exemption is necessary or and Exchange Commission
approvals by the Funds’ Board, appropriate in the public interest and (‘‘Commission’’), pursuant to Section
including, among others, approval of the consistent with the protection of 19(b)(1) of the Securities Exchange Act
interest rate formula and of the method investors and the purposes fairly of 1934 (‘‘Act’’),1 a proposed rule
for allocating loans across Funds, as intended by the policy and provisions of change (SR–ICC–2018–002) to revise its
well as review of the process in place to the Act. Section 12(d)(1)(J) of the Act End-of-Day Price Discovery Policies and
evaluate the liquidity implications for provides that the Commission may Procedures (‘‘Pricing Policy’’) with
the Funds. A Fund’s aggregate exempt any person, security, or respect to the bid-offer width (‘‘BOW’’)
outstanding interfund loans will not transaction, or any class or classes of methodology applicable to single-name
exceed 15% of its net assets, and the persons, securities, or transactions, from (‘‘SN’’) instruments. The proposed rule
Fund’s loans to any one Fund will not any provision of section 12(d)(1) if the change was published for comment in
exceed 5% of the lending Fund’s net exemption is consistent with the public the Federal Register on February 12,
assets.3 interest and the protection of investors. 2018.2 The Commission did not receive
4. Applicants assert that the facility Section 17(b) of the Act authorizes the comments on the proposed rule change.
does not raise the concerns underlying Commission to grant an order For the reasons discussed below, the
section 12(d)(1) of the Act given that the permitting a transaction otherwise Commission is approving the proposed
Funds are part of the same group of prohibited by section 17(a) if it finds rule change.3
investment companies and there will be that (a) the terms of the proposed
no duplicative costs or fees to the II. Description of the Proposed Rule
transaction are fair and reasonable and
Funds.4 Applicants also assert that the Change
do not involve overreaching on the part
proposed transactions do not raise the of any person concerned; (b) the ICC proposes to revise its Pricing
concerns underlying sections 17(a)(1), proposed transaction is consistent with Policy to amend the methodology used
17(a)(3), 17(d) and 21(b) of the Act as the policies of each registered to calculate end-of-day BOWs for its SN
the Funds would not engage in lending investment company involved; and (c) instruments. As part of its end-of-day
transactions that unfairly benefit the proposed transaction is consistent pricing process, ICC calculates a BOW
insiders or are detrimental to the Funds. with the general purposes of the Act. for each clearing-eligible instrument.
Applicants state that the facility will Rule 17d–1(b) under the Act provides These BOWs are then used as an input
offer both reduced borrowing costs and that in passing upon an application filed in determining end-of-day levels, which
enhanced returns on loaned funds to all under the rule, the Commission will are used for mark-to-market and risk
consider whether the participation of
2 Any Fund, however, will be able to call a loan 1 15U.S.C. 78s(b)(1).
the registered investment company in a
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on one business day’s notice. 2 SecuritiesExchange Act Release No. 34–82641
3 Under certain circumstances, a borrowing Fund
joint enterprise, joint arrangement or (February 6, 2018), 83 FR 6078 (February 12, 2016)
will be required to pledge collateral to secure the profit sharing plan on the basis (SR–ICC–2018–002) (‘‘Notice’’).
loan. 3 Capitalized terms used herein but not otherwise
4 Applicants state that the obligation to repay an 5 Applicants state that any pledge of securities to defined have the meaning set forth in the ICC
interfund loan could be deemed to constitute a secure an interfund loan could constitute a rulebook, which is available at https://
security for the purposes of sections 17(a)(1) and purchase of securities for purposes of section www.theice.com/publicdocs/clear_credit/ICE_
12(d)(1) of the Act. 17(a)(2) of the Act. Clear_Credit_Rules.pdf, or in the Pricing Policy.
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securities transactions and, to the extent rule change is consistent with the improvements to the governance
applicable, derivative agreements, requirements of Section 17A(b)(3)(F) of structure of the end-of-day pricing
contracts and transactions, and to assure the Act.26 process will have the effect of
the safeguarding of securities and funds promoting greater effectiveness of ICC’s
B. Consistency With Rule 17Ad–22(b)(2)
which are in the custody or control of risk management procedures overall.
the clearing agency or for which it is Rule 17Ad–22(b)(2) requires, in Therefore, the Commission finds that
responsible.24 As discussed above, the relevant part, a registered clearing the proposed rule change is consistent
proposed rule change would enhance agency that performs central with the requirements of Rule 17Ad–
ICC’s end-of-day price discovery process counterparty services to establish 22(d)(8).30
for SN instruments in a number of ways, implement, maintain, and enforce
including but not limited to written policies and procedures IV. Conclusion
incorporating a price-based floor which reasonably designed to use margin On the basis of the foregoing, the
would be applied to a wider range of requirements to limit its credit Commission finds that the proposed
instruments, adopting a new dynamic exposures to participants under normal rule change is consistent with the
BOW component, and taking into market conditions. As noted above, ICC requirements of the Act, and in
consideration the dispersion of price- uses the end-of-day BOWs as part of its particular with the requirements of
space mid-levels received from Clearing mark-to-market and risk management Section 17A of the Act 31 and Rules
Participants, all while continuing to purposes, including the computation of
17Ad–22(b)(2) and (d)(8) 32 thereunder.
apply scaling tenor, coupon, and certain margin requirements.27
variability scaling factors. The Commission believes that by It is therefore ordered pursuant to
Taken as a whole, the Commission improving the end-of-day pricing Section 19(b)(2) of the Act 33 that the
believes the proposed changes should process, as described above, ICC will proposed rule change (SR–ICC–2018–
enhance ICC’s ability to determine the also improve its ability to calculate 002) be, and hereby is, approved.34
end-of-day BOW for SN instruments. margin requirements that use the end- For the Commission, by the Division of
First, the proposed changes should of-day BOWs as an input. Consequently, Trading and Markets, pursuant to delegated
permit ICC to determine BOWs an improved margin calculation should authority.35
consistently across SN instruments on lead to the collection of margin levels Jill Peterson,
all reference entities, including those for that enhance ICC’s ability to limit its Assistant Secretary.
which only sparse intraday data is credit exposures to participants under
[FR Doc. 2018–06691 Filed 4–2–18; 8:45 am]
available.25 In addition, by extending normal market conditions. As a result,
the application of the price-based BOW the Commission finds that the proposed BILLING CODE 8011–01–P
floor component to the entire set of rule change is consistent with the
benchmark tenors from the 0 month to requirements of Rule 17Ad–22(b)(2).28
10 years instead of solely the 0⁄3 month, SECURITIES AND EXCHANGE
6 month, and 1-year benchmark tenors, C. Consistency With Rule 17Ad–22(d)(8) COMMISSION
the Commission believes that ICC will Rule 17Ad–22(d)(8) requires, in
be able to more consistently compute relevant part, that a registered clearing [Release 34–82961; File No. SR–ISE–2018–
the end-of-day BOW for a wider range agency that is not a covered clearing 21]
of SN instruments. agency to establish, implement,
Consequently, the Commission maintain, and enforce written policies Self-Regulatory Organizations; Nasdaq
believes that the proposed changes will and procedures reasonably designed to, ISE, LLC; Notice of Filing and
improve ICC’s end-of-day pricing as applicable, have governance Immediate Effectiveness of a Proposed
process as a whole as additional arrangements that promote the Rule Change To Extend the Delay for
relevant information will be taken into effectiveness of the clearing agency’s Re-Introduction of Legging
consideration and a wider range of risk management procedures.29 ICC Functionality for Stock-Option Orders
instruments will be considered in the proposed to amend the Governance on INET by an Additional Year
pricing process. Based on these section of its Pricing policy to clarify the March 28, 2018.
improvements, the Commission believes responsibilities of the ICC Risk
that ICC’s risk management processes Management Department and the Pursuant to Section 19(b)(1) of the
related to the end-of-day pricing Trading Advisory Committee with Securities Exchange Act of 1934
process, including the calculation and respect to the determination of price- (‘‘Act’’),1 and Rule 19b–4 thereunder,2
collection of certain margin based floors, relative BOWs, and scaling notice is hereby given that on March 16,
requirements, will also be improved, factors. By updating the Governance 2018, Nasdaq ISE, LLC (‘‘ISE’’ or
resulting in an improved ability to section of the Pricing Policy to delineate ‘‘Exchange’’) filed with the Securities
safeguard the positions that ICC the roles of the ICC Risk Management and Exchange Commission
maintains from the default of a Clearing Department and the Trading Advisory (‘‘Commission’’) the proposed rule
Participant. As a result, the Commission Committee, the Commission believes change as described in Items I and II,
believes that the proposed changes will that ICC will improve the governance below, which Items have been prepared
promote the prompt and accurate structure surrounding the end-of-day
clearance and settlement of the products pricing process. 30 Id.
cleared by ICC, and will enhance ICC’s Because the output of the end-of-day 31 15 U.S.C. 78q–1.
ability to assure the safeguarding of pricing process is used for mark-to-
32 17 CFR 240.17Ad–22(b)(2) and (d)(8).
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33 15 U.S.C. 78s(b)(2).
securities and funds which are in the market and risk management purposes, 34 In approving the proposed rule change, the
custody or control of ICC or for which the Commission believes that Commission considered the proposal’s impact on
it is responsible. Therefore, the efficiency, competition, and capital formation. 15
Commission finds that the proposed 26 Id. U.S.C. 78c(f).
27 17 CFR 240.17Ad–22(b)(2). 35 17 CFR 200.30–3(a)(12).
24 15U.S.C. 78q–1(b)(3)(F). 28 Id. 1 15 U.S.C. 78s(b)(1).
25 Notice, 83 FR at 6078. 29 17 CFR 240.17Ad–22(d)(8). 2 17 CFR 240.19b–4.
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Document Created: 2018-04-03 00:50:31
Document Modified: 2018-04-03 00:50:31
| Category | Regulatory Information | |
| Collection | Federal Register | |
| sudoc Class | AE 2.7: GS 4.107: AE 2.106: | |
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| Section | Notices | |
| FR Citation | 83 FR 14300 |
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