83 FR 56107 - Self-Regulatory Organizations; ICE Clear Europe Limited; Notice of Filing of Proposed Rule Change Relating to Amendments to the ICE Clear Europe Limited Liquidity Plan

SECURITIES AND EXCHANGE COMMISSION

Federal Register Volume 83, Issue 218 (November 9, 2018)

Page Range		56107-56109
FR Document		2018-24521
Federal Register, Volume 83 Issue 218 (Friday, November 9, 2018)
[Federal Register Volume 83, Number 218 (Friday, November 9, 2018)]
[Notices]
[Pages 56107-56109]
From the Federal Register Online  [www.thefederalregister.org]
[FR Doc No: 2018-24521]



[[Page 56107]]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-84533; File No. SR-ICEEU-2018-015]


Self-Regulatory Organizations; ICE Clear Europe Limited; Notice 
of Filing of Proposed Rule Change Relating to Amendments to the ICE 
Clear Europe Limited Liquidity Plan

November 5, 2018.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that 
on October 22, 2018, ICE Clear Europe Limited (``ICE Clear Europe'' or 
the ``Clearing House'') filed with the Securities and Exchange 
Commission (``Commission'') the proposed rule change as described in 
Items I, II, and III below, which Items have been prepared primarily by 
ICE Clear Europe. The Commission is publishing this notice to solicit 
comments on the proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Clearing Agency's Statement of the Terms of Substance of the 
Proposed Rule Change

    ICE Clear Europe proposes to amend its Liquidity Plan to reflect 
changes in its treasury arrangements and certain other enhancements. 
The amendments do not involve any changes to ICE Clear Europe's 
Clearing Rules or Procedures.\3\
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    \3\ Capitalized terms used but not defined herein have the 
meanings specified in the ICE Clear Europe Clearing Rules (the 
``Rules'').
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II. Clearing Agency's Statement of the Purpose of, and Statutory Basis 
for, the Proposed Rule Change

    In its filing with the Commission, ICE Clear Europe 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. ICE Clear Europe has prepared summaries, 
set forth in sections (A), (B), and (C) below, of the most significant 
aspects of such statements.

(A) Clearing Agency's Statement of the Purpose of, and Statutory Basis 
for, the Proposed Rule Change

(a) Purpose
    ICE Clear Europe is proposing to make certain amendments to its 
Liquidity Plan to address changes in its treasury activities and to 
make certain enhancements to liquidity risk stress testing scenarios 
and other clarifications.
    The approved financial institution (``AFI'') default and AFI plus 
Member default liquidity stress testing scenarios have been revised to 
refer to AFIs (such as investment agents and custodians) more 
generally, rather than to specific institutions. For example, in the 
AFI default liquidity stress testing scenario, sources used for risk 
tolerance and risk appetite evaluation have been revised to refer to 
non-defaulting investment agents, rather than a specific bank. In the 
AFI plus member default scenario, the scenario has been revised to be 
based on a default of an AFI (investment agent or custodian) as 
liquidity provider and clearing member, and sources used for evaluation 
would look at a non-defaulting service provider. These changes reflect 
that the Clearing House may use a number of different AFIs, and thus 
will assist the Clearing House in keeping the Liquidity Plan up to date 
as service providers change. The amendments also facilitate use by the 
Clearing House of additional treasury service providers, consistent 
with its other policies and procedures, which will help the Clearing 
House appropriately manage risks from treasury operations.
    The amendments also add a new Central Securities Depository (CSD) 
default scenario. This is defined as the relevant CSD (the Federal 
Reserve (for USD securities), Euroclear Bank (for Euro securities) or 
Euroclear UK & Ireland (for GBP securities)) being unable to process 
settlements. Under this scenario, available liquidity is assessed 
against the expected net cash payment outflow for a single day on a per 
currency basis, to determine if such a default could result in a delay 
in payment to clearing members.
    Certain other updates and clarifications have been made to the 
liquidity stress testing scenarios and related sources used in risk 
tolerance and risk appetite evaluations. These include amendments to 
address reliance on intra-day overdraft facilities and eliminate 
references to an ICE Inc. (the parent company of ICE Clear Europe) 
credit facility. In calculating the investment loss component of 
liquidity stress losses in clearing member default scenario, the 
amendments clarify that time deposits are assumed to have a 100% 
liquidity loss, similar to other unsecured investments. The amendments 
also clarify certain arrangements with respect to cross-currency 
investment for purposes of liquidity stress testing. U.S. dollar cash 
can, in certain circumstances, be invested through reverse repurchase 
agreements in assets denominated in Euro or pounds sterling, but for 
scenarios that look at cash invested with a one-day maturity, such 
investments will be excluded from available liquidity resources. The 
amended plan notes that cross-currency investments for Euro and British 
pounds sterling balances are not permitted.
    The amendments update a table of key risk and performance 
indicators (KRPIs) used by the Clearing House to determine if 
investments meet the credit and liquidity standards set out in Clearing 
House investment policies. Additional KRPIs included in the Liquidity 
Plan address such indicators as rating checks for unsecured 
investments, repo counterparties and sovereigns; the level of sovereign 
purchases; matching of the currency of investment and underlying 
collateral; collateral coverage; and repo balance per counterparty by 
rating. The KRPI for unsecured investment tenor is reduced to one 
business day. The KRPI for aggregate reverse repo balance is reduced 
from 55% of total investments to 50%. The KRPI for reverse repo tenor 
is revised to be less than or equal to 37 days. Certain other 
clarifications and typographical corrections are also made.
    The amendments also update cross-references to various treasury 
standard operating procedures used by the Clearing House.
    Certain internal reporting processes have been streamlined. A 
number of weekly and monthly reports would no longer be provided on a 
routine basis to the Board Risk Committee and the Board. New governance 
reporting requirements have been added instead, with (i) certain 
liquidity metrics (including breaches) being provided to the Audit 
Committee, (ii) collateral and investment data, APS performance and 
exposure, liquidity metrics and assessments, and KRPI data being 
provided to the Board, and (iii) a liquidity management summary and 
certain other summary data being provided to the Business Risk 
Committee. ICE Clear Europe believes that these amendments will enhance 
oversight of Clearing House liquidity risk management.
    Certain clarifications are made to provisions relating to the 
annual testing of the Liquidity Plan. In addition, the amendments also 
provide that at least on an annual basis, the Liquidity Plan will be 
reviewed by the Executive Risk Committee (instead of the Business 
Control Committee).
    The appendices have been edited to remove an unnecessary list of 
risk default scenarios.

[[Page 56108]]

(b) Statutory Basis
    ICE Clear Europe believes that the proposed rule changes are 
consistent with the requirements of Section 17A of the Act \4\ and the 
regulations thereunder applicable to it, including the standards under 
Rule 17Ad-22.\5\ Section 17A(b)(3)(F) of the Act \6\ requires, among 
other things, that the rules of a clearing agency be designed to 
promote the prompt and accurate clearance and settlement of securities 
transactions, and to the extent applicable, derivative agreements, 
contracts and transactions, the safeguarding of securities and funds in 
the custody or control of the clearing agency or for which it is 
responsible, and the protection of investors and the public interest. 
In addition, Rule 17Ad-22(e)(7) \7\ requires covered clearing agencies 
to effectively measure, monitor and manage their liquidity risk, 
including through liquidity stress testing.\8\
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    \4\ 15 U.S.C. 78q-1.
    \5\ 17 CFR 240.17Ad-22.
    \6\ 15 U.S.C. 78q-1(b)(3)(F).
    \7\ 17 CFR 240.17Ad-22(e)(7).
    \8\ Specifically, Rule 17Ad-22(e)(7)(vi) requires that the 
covered clearing agency:
    ``(vi) Determin[e] the amount and regularly testing the 
sufficiency of the liquid resources held for purposes of meeting the 
minimum liquid resource requirement under paragraph (e)(7)(i) of 
this section by, at a minimum:
    (A) Conducting stress testing of its liquidity resources at 
least once each day using standard and predetermined parameters and 
assumptions. . . .'' 17 CFR 240.17Ad-22(e)(7).
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    The proposed amendments to the Liquidity Plan are designed to 
update and strengthen the clearing house's policies and procedures 
relating to liquidity risk management, in light of these requirements. 
In particular, the revised policies will enhance certain liquidity 
stress testing scenarios, by more readily taking into account relevant 
changes in treasury service providers in AFI failure scenarios and 
addressing the possibility of a CSD failure through the CSD default 
scenario. The amendments also update monitoring metrics and standards, 
including through revised KRPIs. In addition, the revisions improve 
internal reporting and oversight of liquidity risk management, and 
specify the appropriate governance framework for review of liquidity 
stress testing and related metrics and parameters, among other matters. 
In ICE Clear Europe's view, the amendments thereby enhance the ability 
of the clearing house to assess potential liquidity events that may 
affect its ability to conduct settlements for cleared transactions, 
which in turn will strengthen its ability to manage such events in 
order to continue clearing house operations. As such, ICE Clear Europe 
believes that the changes will promote the prompt and accurate 
settlement of securities and derivatives transactions and, in general, 
protect investors and the public interest within the meaning of Section 
17A(b)(3)(F) .\9\ Furthermore, and for similar reasons, ICE Clear 
Europe believes that the amendments are consistent with the specific 
liquidity testing and monitoring requirements of Rule 17Ad-
22(e)(7).\10\
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    \9\ 15 U.S.C. 78q-1(b)(3)(F).
    \10\ 17 CFR 240.17Ad-22(e)(7).
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(B) Clearing Agency's Statement on Burden on Competition

    ICE Clear Europe does not believe the proposed amendments would 
have any impact, or impose any burden, on competition not necessary or 
appropriate in furtherance of the purposes of the Act. The amendments 
are being adopted to enhance the Clearing House's own liquidity stress 
testing procedures. The amendments are not expected to change the 
rights or obligations of Clearing Members or the terms or conditions of 
any cleared contract. In addition, the amendments should not materially 
affect the cost of clearing for Clearing Members or other market 
participants, and should not otherwise affect accessing to clearing for 
any market participants. As a result, the amendments should not affect 
competition among Clearing Members or other market participants.

(C) Clearing Agency's Statement on Comments on the Proposed Rule Change 
Received From Members, Participants or Others

    Written comments relating to the proposed amendments have not been 
solicited or received by ICE Clear Europe. ICE Clear Europe will notify 
the Commission of any comments received with respect to the proposed 
rule change.

III. Date of Effectiveness of the Proposed Rule Change

    Within 45 days of the date of publication of this notice in the 
Federal Register or within such longer period up to 90 days (i) as the 
Commission may designate if it finds such longer period to be 
appropriate and publishes its reasons for so finding or (ii) as to 
which the self-regulatory organization consents, the Commission will:
    (A) By order approve or disapprove such proposed rule change, or
    (B) institute proceedings to determine whether the proposed rule 
change should be disapproved.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Act. Comments may be submitted by any of 
the following methods:

Electronic Comments

     Use the Commission's internet comment form (http://www.sec.gov/rules/sro.shtml) or
     Send an email to [email protected]. Please include 
File Number SR-ICEEU-2018-015 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-ICEEU-2018-015. 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 website (http://www.sec.gov/rules/sro.shtml). 
Copies of the submission, all subsequent amendments, all written 
statements with respect to the proposed rule change that are filed with 
the Commission, and all written communications relating to the proposed 
rule change between the Commission and any person, other than those 
that may be withheld from the public in accordance with the provisions 
of 5 U.S.C. 552, will be available for website 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 a.m. and 3 
p.m. Copies of such filings will also be available for inspection and 
copying at the principal office of ICE Clear Europe and on ICE Clear 
Europe's website at https://www.theice.com/clear-europe/regulation#rule-filing. All comments received will be posted without 
change. Persons submitting comments are cautioned that we do not redact 
or edit personal identifying information from comment submissions. You 
should submit only information that you wish to make available 
publicly. All submissions should refer to File Number SR-ICEEU-2018-015 
and should be submitted on or before November 30, 2018.


[[Page 56109]]


    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\11\
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    \11\ 17 CFR 200.30-3(a)(12).
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Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2018-24521 Filed 11-8-18; 8:45 am]
 BILLING CODE 8011-01-P
56108 Federal Register / Vol. 83, No. 218 / Friday, November 9, 2018 / Notices

(b) Statutory Basis such, ICE Clear Europe believes that the IV. Solicitation of Comments
ICE Clear Europe believes that the changes will promote the prompt and
accurate settlement of securities and Interested persons are invited to
proposed rule changes are consistent submit written data, views, and
with the requirements of Section 17A of derivatives transactions and, in general,
protect investors and the public interest arguments concerning the foregoing,
the Act 4 and the regulations thereunder
within the meaning of Section including whether the proposed rule
applicable to it, including the standards
17A(b)(3)(F) .9 Furthermore, and for change is consistent with the Act.
under Rule 17Ad–22.5 Section
17A(b)(3)(F) of the Act 6 requires, among similar reasons, ICE Clear Europe Comments may be submitted by any of
other things, that the rules of a clearing believes that the amendments are the following methods:
agency be designed to promote the consistent with the specific liquidity Electronic Comments
prompt and accurate clearance and testing and monitoring requirements of
settlement of securities transactions, Rule 17Ad–22(e)(7).10 • Use the Commission’s internet
and to the extent applicable, derivative (B) Clearing Agency’s Statement on comment form (http://www.sec.gov/
agreements, contracts and transactions, Burden on Competition rules/sro.shtml) or
the safeguarding of securities and funds • Send an email to rule-comments@
in the custody or control of the clearing ICE Clear Europe does not believe the
sec.gov. Please include File Number SR–
agency or for which it is responsible, proposed amendments would have any
ICEEU–2018–015 on the subject line.
and the protection of investors and the impact, or impose any burden, on
public interest. In addition, Rule 17Ad– competition not necessary or Paper Comments
22(e)(7) 7 requires covered clearing appropriate in furtherance of the
agencies to effectively measure, monitor purposes of the Act. The amendments • Send paper comments in triplicate
and manage their liquidity risk, are being adopted to enhance the to Secretary, Securities and Exchange
including through liquidity stress Clearing House’s own liquidity stress Commission, 100 F Street NE,
testing.8 testing procedures. The amendments are Washington, DC 20549–1090.
The proposed amendments to the not expected to change the rights or All submissions should refer to File
Liquidity Plan are designed to update obligations of Clearing Members or the Number SR–ICEEU–2018–015. This file
and strengthen the clearing house’s terms or conditions of any cleared
number should be included on the
policies and procedures relating to contract. In addition, the amendments
subject line if email is used. To help the
liquidity risk management, in light of should not materially affect the cost of
Commission process and review your
these requirements. In particular, the clearing for Clearing Members or other
revised policies will enhance certain comments more efficiently, please use
market participants, and should not
liquidity stress testing scenarios, by only one method. The Commission will
otherwise affect accessing to clearing for
more readily taking into account any market participants. As a result, the post all comments on the Commission’s
relevant changes in treasury service amendments should not affect internet website (http://www.sec.gov/
providers in AFI failure scenarios and competition among Clearing Members rules/sro.shtml). Copies of the
addressing the possibility of a CSD or other market participants. submission, all subsequent
failure through the CSD default amendments, all written statements
scenario. The amendments also update (C) Clearing Agency’s Statement on with respect to the proposed rule
monitoring metrics and standards, Comments on the Proposed Rule change that are filed with the
including through revised KRPIs. In Change Received From Members, Commission, and all written
addition, the revisions improve internal Participants or Others communications relating to the
reporting and oversight of liquidity risk Written comments relating to the proposed rule change between the
management, and specify the proposed amendments have not been Commission and any person, other than
appropriate governance framework for solicited or received by ICE Clear those that may be withheld from the
review of liquidity stress testing and Europe. ICE Clear Europe will notify the public in accordance with the
related metrics and parameters, among Commission of any comments received provisions of 5 U.S.C. 552, will be
other matters. In ICE Clear Europe’s with respect to the proposed rule available for website viewing and
view, the amendments thereby enhance change. printing in the Commission’s Public
the ability of the clearing house to Reference Room, 100 F Street NE,
assess potential liquidity events that III. Date of Effectiveness of the Washington, DC 20549, on official
may affect its ability to conduct Proposed Rule Change business days between the hours of 10
settlements for cleared transactions, Within 45 days of the date of a.m. and 3 p.m. Copies of such filings
which in turn will strengthen its ability publication of this notice in the Federal will also be available for inspection and
to manage such events in order to Register or within such longer period copying at the principal office of ICE
continue clearing house operations. As up to 90 days (i) as the Commission may Clear Europe and on ICE Clear Europe’s
designate if it finds such longer period website at https://www.theice.com/
4 15 U.S.C. 78q–1.
5 17
to be appropriate and publishes its clear-europe/regulation#rule-filing. All
CFR 240.17Ad–22.
6 15 U.S.C. 78q–1(b)(3)(F).
reasons for so finding or (ii) as to which comments received will be posted
7 17 CFR 240.17Ad–22(e)(7). the self-regulatory organization without change. Persons submitting
8 Specifically, Rule 17Ad–22(e)(7)(vi) requires consents, the Commission will: comments are cautioned that we do not
that the covered clearing agency: (A) By order approve or disapprove redact or edit personal identifying
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‘‘(vi) Determin[e] the amount and regularly such proposed rule change, or information from comment submissions.
testing the sufficiency of the liquid resources held
for purposes of meeting the minimum liquid (B) institute proceedings to determine You should submit only information
resource requirement under paragraph (e)(7)(i) of whether the proposed rule change that you wish to make available
this section by, at a minimum: should be disapproved. publicly. All submissions should refer
(A) Conducting stress testing of its liquidity to File Number SR–ICEEU–2018–015
resources at least once each day using standard and
predetermined parameters and assumptions. . . .’’ 9 15 U.S.C. 78q–1(b)(3)(F). and should be submitted on or before
17 CFR 240.17Ad–22(e)(7). 10 17 CFR 240.17Ad–22(e)(7). November 30, 2018.

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Federal Register / Vol. 83, No. 218 / Friday, November 9, 2018 / Notices 56109

For the Commission, by the Division of A. Self-Regulatory Organization’s Proposed Rule 1101A(g) would add
Trading and Markets, pursuant to delegated Statement of the Purpose of, and an exception and would state that when
authority.11 Statutory Basis for, the Proposed Rule the primary market for a security
Change underlying the current index value of an
Eduardo A. Aleman, index option does not open for trading
Assistant Secretary. 1. Purpose
on a given day which is an expiration
[FR Doc. 2018–24521 Filed 11–8–18; 8:45 am] The purpose of the proposed rule day, for the purposes of calculating the
BILLING CODE 8011–01–P change is to adopt new Exchange Rules settlement price at expiration, the last
1101A(e)(I), 1101A(f) and 1101A(g). reported sale price of the security from
Proposed Rules 1101A(e)(I) and the previous trading day shall be used.
SECURITIES AND EXCHANGE 1101A(g) would establish the manner of Proposed new Rule 1101A(g) would
COMMISSION determining an underlying index permit market participants the certainty
[Release No. 34–84536; File No. SR–Phlx– component security’s price for purposes of knowing the settlement value on the
2018–63] of calculating the current index value at day on which the primary market fails
expiration of an overlying index option to open. Additionally, the provision
Self-Regulatory Organizations; Nasdaq when (i) the primary market for that would eliminate the potential
PHLX LLC; Notice of Filing and security does not open for trading on a difficulties that could arise if the
Immediate Effectiveness of Proposed given day, and (ii) the Options Clearing reporting authority for the index were
Rule Change To Amend Rule 1101A, Corporation (‘‘OCC’’) does not exercise unwilling or unable to calculate the
Terms of Option Contracts its authority to establish the index settlement value using prices for the
option settlement value.3 They also relevant security(ies) on the next day
November 5, 2018.
acknowledge OCC’s authority under its that its primary market is open for
Pursuant to Section 19(b)(1) of the
own rules and by-laws to establish trading.5
Securities Exchange Act of 1934
settlement prices in certain The new rule would also state that
(‘‘Act’’) 1 and Rule 19b–4 thereunder,2
circumstances. Proposed new Rule this procedure shall not be used if the
notice is hereby given that on October
1101A(f) clarifies an issue relating to the current index value at expiration is
23, 2018, Nasdaq PHLX LLC (‘‘Phlx’’ or
level of indexes underlying A.M.-settled fixed in accordance with OCC rules and
the ‘‘Exchange’’) filed with the
index options at expiration. by-laws. This language recognizes that
Securities and Exchange Commission
(‘‘SEC’’ or ‘‘Commission’’) the proposed Proposed Rules 1101A(e)(I) and (g) OCC is authorized under its rules and
rule change as described in Items I and by-laws to take certain actions relating
Exchange Rule 1101A(e) currently to settlement in the event of the
II below, which Items have been states that the current index value at the
prepared by the Exchange. The unavailability or inaccuracy of the
expiration of an A.M.-settled index current underlying interest value.6 The
Commission is publishing this notice to option shall be determined, for all
solicit comments on the proposed rule proposed language makes clear that
purposes under Exchange rules and Rule 1101A(g) would not apply in the
change from interested persons. OCC rules, on the last day of trading in event that OCC exercises its authority to
I. Self-Regulatory Organization’s the underlying securities prior to determine settlement prices. Rather, the
Statement of the Terms of Substance of expiration, by reference to the reported proposed new language would apply
the Proposed Rule Change level of such index as derived from first only when a primary market does not
The Exchange proposes to amend reported sale (opening) prices of the open and OCC elects not to exercise its
Exchange Rule 1101A, Terms of Option underlying securities on such day, authority to intervene and take action to
Contracts. except that in the event that the primary establish a settlement price. The
The text of the proposed rule change market for an underlying security is Exchange would otherwise defer to
is available on the Exchange’s website at open for trading on that day, but that
http://nasdaqphlx.cchwallstreet.com/, particular security does not open for options contract is exercised in accordance with
at the principal office of the Exchange, trading on that day, the price of that OCC rules or, if such day is not a business day, for
security, for the purposes of calculating the most recent business day. See Phlx Rule
and at the Commission’s Public 1101A(d).
Reference Room. the current index value at expiration, 5 The index calculator for the NDX, MNX and
shall be the last reported sale price of BKX indexes, which are products traded on Nasdaq
II. Self-Regulatory Organization’s the security. The Exchange now affiliated exchanges, uses the previous day’s closing
Statement of the Purpose of, and proposes to add new Rule 1101A(g) to price if components of the index do not open.
Statutory Basis for, the Proposed Rule deal expressly with cases where the 6 See OCC By-Laws Article XVII, Section 4(a),

Change entire primary market for an underlying which provides in relevant part that if OCC shall
determine that the primary market for one or more
In its filing with the Commission, the component security is not open on that index components did not open or remain open for
Exchange included statements day. Rule 1101A(g) would apply to both trading (or that any such components did not open
concerning the purpose of and basis for A.M.-settled and P.M.-settled index or remain open for trading on such market(s)) on
a trading day at or before the time when the current
the proposed rule change and discussed options.4 index value for that trading day would ordinarily
any comments it received on the be determined, or that a current index value or
proposed rule change. The text of these 3 Three of the Exchange’s affiliated options
other value or price to be used as, or to determine,
statements may be examined at the exchanges, Nasdaq ISE, LLC (‘‘ISE’’), The Nasdaq the exercise settlement amount (a ‘‘required value’’)
Stock Market LLC (‘‘Nasdaq’’) and Nasdaq BX, Inc. for a trading day is otherwise unreported,
places specified in Item IV below. The (‘‘BX’’), will also be proposing rule changes relating inaccurate, unreliable, unavailable or inappropriate
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Exchange has prepared summaries, set to the manner of determining an underlying index for purposes of calculating the exercise settlement
forth in sections A, B, and C below, of component security’s price for purposes of amount, then, in addition to any other actions that
the most significant aspects of such calculating the current index value at expiration of OCC may be entitled to take under OCC’s bylaws
an index option under these circumstances. See and rules, the, OCC is empowered to take any or
statements. SR–NASDAQ–2018–081, SR–BX–2018–049, and all of a range of permitted actions with respect to
SR–ISE–2018–88. The Exchange desires its rules to any series of options on such index, including
11 17 CFR 200.30–3(a)(12). be aligned with those of the affiliated exchanges. fixing the exercise settlement amount. Proposed
1 15 U.S.C. 78s(b)(1). 4 P.M.-settled options are settled based upon the Rule 1101A(g) would apply to both A.M.-settled
2 17 CFR 240.19b–4. closing index value for the day on which the index and P.M.-settled index options.

VerDate Sep<11>2014 17:36 Nov 08, 2018 Jkt 247001 PO 00000 Frm 00064 Fmt 4703 Sfmt 4703 E:\FR\FM\09NON1.SGM 09NON1
Document Created: 2018-11-09 03:34:11
Document Modified: 2018-11-09 03:34:11
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		83 FR 56107