[Federal Register Volume 82, Number 98 (Tuesday, May 23, 2017)]
[Notices]
[Pages 23684-23690]
[FR Doc No: 2017-10465]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-80709; File No. SR-BatsBZX-2017-35]

Self-Regulatory Organizations; Bats BZX Exchange, Inc.; Notice of
Filing of a Proposed Rule Change To Amend Rule 20.6, Nullification and
Adjustment of Options Transactions Including Obvious Errors

May 17, 2017.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(the ``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given
that on May 5, 2017, Bats BZX Exchange, Inc. (the ``Exchange'' or
``BZX'') filed with the Securities and Exchange Commission
(``Commission'') the proposed rule change as described in Items I and
II 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.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change

    The Exchange filed a proposal to amend Rule 20.6, entitled
``Nullification and Adjustment of Options Transactions including
Obvious Errors.'' Rule 20.6 relates to the adjustment and nullification
of transactions that occur on the Exchange's equity options platform
(``BZX Options'').
    The text of the proposed rule change is available at the Exchange's
Web site at www.bats.com, at the principal office of the Exchange, 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 parts of such
statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change

1. Purpose
Background
    The Exchange and other options exchanges recently adopted a new,
harmonized rule related to the adjustment and nullification of
erroneous options transactions, including a specific provision related
to coordination in connection with large-scale events involving
erroneous options transactions.\3\ The Exchange believes that the
changes the options exchanges implemented with the new, harmonized rule
have led to increased transparency and finality with respect to the
adjustment and nullification of erroneous options transactions.
However, as part of the initial initiative, the Exchange and other
options exchanges deferred a few specific matters for further
discussion. Specifically, as described in the Initial Filing, the
Exchange and all other options exchanges have been working to

further improve the review of potentially erroneous transactions as
well as their subsequent adjustment by creating an objective and
universal way to determine Theoretical Price in the event a reliable
NBBO is not available. Because this initiative required additional
exchange and industry discussion as well as additional time for
development and implementation, the Exchange and the other options
exchanges determined to proceed with the Initial Filing and to undergo
a secondary initiative to complete any additional improvements to the
applicable rule. In this filing, the Exchange proposes to adopt
procedures that will lead to a more objective and uniform way to
determine Theoretical Price in the event a reliable NBBO is not
available. In addition to this change, the Exchange has proposed two
additional minor changes to its rules. The Exchange understands that
other options exchanges intend to file changes substantially similar to
this proposal, if approved. Finally, the Exchange notes that options
exchanges that offer complex orders on their options platforms have
also been working on and have filed proposals related to rules for
handling the adjustment and nullification of erroneous complex order
transactions, which proposals have recently been approved by the
Commission or filed on an immediately effective basis.\4\
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    \3\ See Securities Exchange Act Release No. 74556 (March 20,
2015), 80 FR 16031 (March 26, 2015) (SR-BATS-2014-067); see also
Securities Exchange Act Release No. 73884 (December 18, 2014), 79 FR
77557 (December 24, 2014) (the ``Initial Filing'').
    \4\ See e.g., Securities Exchange Act Release Nos. 80040
(February 14, 2017), 82 FR 11248 (February 21, 2017) (SR-CBOE-2016-
088) (granting approval of CBOE proposal related to the
nullification and adjustment of complex orders); 80298 (March 22,
2017), 82 FR 15393 (March 28, 2017) (SR-C2-2017-011) (notice of
filing and immediate effectiveness of C2 proposal related to the
nullification and adjustment of complex orders); 80284 (March 21,
2017), 82 FR 15251 (March 27, 2017) (SR-MIAX-2017-13) (notice of
filing and immediate effectiveness of MIAX proposal related to the
nullification and adjustment of complex orders).
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Calculation of Theoretical Price Using a Third Party Provider
    Under the harmonized rule, when reviewing a transaction as
potentially erroneous, the Exchange needs to first determine the
``Theoretical Price'' of the option, i.e., the Exchange's estimate of
the correct market price for the option. Pursuant to Rule 20.6, if the
applicable option series is traded on at least one other options
exchange, then the Theoretical Price of an option series is the last
national best bid (``NBB'') just prior to the trade in question with
respect to an erroneous sell transaction or the last national best
offer (``NBO'') just prior to the trade in question with respect to an
erroneous buy transaction unless one of the exceptions described below
exists. Thus, whenever the Exchange has a reliable NBB or NBO, as
applicable, just prior to the transaction, then the Exchange uses this
NBB or NBO as the Theoretical Price.
    The Rule also contains various provisions governing specific
situations where the NBB or NBO is not available or may not be
reliable. Specifically, the Rule specifies situations in which there
are no quotes or no valid quotes for comparison purposes, when the
national best bid or offer (``NBBO'') is determined to be too wide to
be reliable, and at the open of trading on each trading day. In each of
these circumstances, in turn, because the NBB or NBO is not available
or is deemed to be unreliable, the Exchange determines Theoretical
Price. Under the current Rule, when determining Theoretical Price,
Exchange personnel generally consult and refer to data such as the
prices of related series, especially the closest strikes in the option
in question. Exchange personnel may also take into account the price of
the underlying security and the volatility characteristics of the
option as well as historical pricing of the option and/or similar
options. Although the Rule is administered by experienced personnel and
the Exchange believes the process is currently appropriate, the
Exchange recognizes that it is also subjective and could lead to
disparate results for a transaction that spans multiple options
exchanges.
    The Exchange proposes to adopt Interpretation and Policy .03 to
specify how the Exchange will determine Theoretical Price when required
by sub-paragraphs (b)(1)-(3) of the Rule (i.e., at the open, when there
are no valid quotes or when there is a wide quote). In particular, the
Exchange has been working with other options exchanges to identify and
select a reliable third party vendor (``TP Provider'') that would
provide Theoretical Price to the Exchange whenever one or more
transactions is under review pursuant to Rule 20.6 and the NBBO is
unavailable or deemed unreliable pursuant to Rule 20.6(b). The Exchange
and other options exchanges have selected CBOE Livevol, LLC
(``Livevol'') as the TP Provider, as described below. As further
described below, proposed Interpretation and Policy .03 would codify
the use of the TP Provider as well as limited exceptions where the
Exchange would be able to deviate from the Theoretical Price given by
the TP Provider.
    Pursuant to proposed Interpretation and Policy .03, when the
Exchange must determine Theoretical Price pursuant to the sub-
paragraphs (b)(1)-(3) of the Rule, the Exchange will request
Theoretical Price from the third party vendor to which the Exchange and
all other options exchanges have subscribed. Thus, as set forth in this
proposed language, Theoretical Price would be provided to the Exchange
by the TP Provider on request and not through a streaming data feed.\5\
This language also makes clear that the Exchange and all other options
exchanges will use the same TP Provider. As noted above, the proposed
TP Provider selected by the Exchange and other options exchanges is
Livevol. The Exchange proposes to codify this selection in proposed
paragraph (d) to Interpretation and Policy .03. As such, the Exchange
would file a rule proposal and would provide notice to the options
industry of any proposed change to the TP Provider.
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    \5\ Though the Exchange and other options exchanges considered a
streaming feed, it was determined that it would be more feasible to
develop and implement an on demand service and that such a service
would satisfy the goals of the initiative.
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    The Exchange and other options exchanges have selected Livevol as
the proposed TP Provider after diligence into various alternatives.
Livevol has, since 2009, been the options industry leader in providing
equity and index options market data and analytics services.\6\ The
Exchange believes that Livevol has established itself within the
options industry as a trusted provider of such services and notes that
it and all other options exchanges already subscribe to various Livevol
services. In connection with this proposal, Livevol will develop a new
tool based on its existing technology and services that will supply
Theoretical Price to the Exchange and other options exchanges upon
request. The Theoretical Price tool will leverage current market data
and surrounding strikes to assist in a relative value pricing approach
to generating a Theoretical Price. When relative value methods are
incapable of generating a valid Theoretical Price, the Theoretical
Price tool will utilize historical trade and quote data to calculate
Theoretical Price.
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    \6\ The Exchange notes that in 2015, Livevol was acquired by
CBOE Holdings, Inc., the ultimate parent company of the Chicago
Board Options Exchange (``CBOE'') and C2 Options Exchange (``C2'').
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    Because the purpose of the proposal is to move away from a
subjective determination by Exchange personnel when the NBBO is
unavailable or unreliable, the Exchange intends to use the Theoretical
Price provided by the TP Provider in all such circumstances. However,
the Exchange believes it is necessary to retain the ability to contact
the TP Provider if it believes that the

Theoretical Price provided is fundamentally incorrect and to determine
the Theoretical Price in the limited circumstance of a systems issue
experienced by the TP Provider, as described below.
    As proposed, to the extent an Official \7\ of the Exchange believes
that the Theoretical Price provided by the TP Provider is fundamentally
incorrect and cannot be used consistent with the maintenance of a fair
and orderly market, the Official shall contact the TP Provider to
notify the TP Provider of the reason the Official believes such
Theoretical Price is inaccurate and to request a review and correction
of the calculated Theoretical Price. For example, if an Official
received from the TP Provider a Theoretical Price of $80 in a series
that the Official might expect to be instead in the range of $8 to $10
because of a recent corporate action in the underlying, the Official
would request that the TP Provider review and confirm its calculation
and determine whether it had appropriately accounted for the corporate
action. In order to ensure that other options exchanges that may
potentially be relying on the same Theoretical Price that, in turn, the
Official believes to be fundamentally incorrect, the Exchange also
proposes to promptly provide notice to other options exchanges that the
TP Provider has been contacted to review and correct the calculated
Theoretical Price at issue and to include a brief explanation of the
reason for the request.\8\ Although not directly addressed by the
proposed Rule, the Exchange expects that all other options exchanges
once in receipt of this notification would await the determination of
the TP Provider and would use the corrected price as soon as it is
available. The Exchange further notes that it expects the TP Provider
to cooperate with, but to be independent of, the Exchange and other
options exchanges.\9\
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    \7\ For purposes of the Rule, an Official is an Officer of the
Exchange or such other employee designee of the Exchange that is
trained in the application of Rule 20.6.
    \8\ See proposed paragraph (b) to Interpretation and Policy .03.
    \9\ The Exchange expects any TP Provider selected by the
Exchange and other options exchanges to act independently in its
determination and calculation of Theoretical Price. With respect to
Livevol specifically, the Exchange again notes that Livevol is a
subsidiary of CBOE Holdings, Inc., which is also the ultimate parent
company of multiple options exchanges. The Exchange expects Livevol
to calculate Theoretical Price independent of its affiliated
exchanges in the same way it will calculate Theoretical Price
independent of non-affiliated exchanges.
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    The Exchange believes that the proposed provision to allow an
Official to contact the TP Provider if he or she believes the provided
Theoretical Price is fundamentally incorrect is necessary, particularly
because the Exchange and other options exchanges will be using the new
process for the first time. Although the exchanges have conducted
thorough diligence with respect to Livevol as the selected TP Provider
and would do so with any potential replacement TP Provider, the
Exchange is concerned that certain scenarios could arise where the
Theoretical Price generated by the TP Provider does not take into
account relevant factors and would result in an unfair result for
market participants involved in a transaction. The Exchange notes that
if such situations do indeed arise, to the extent practicable the
Exchange will also work with the TP Provider and other options
exchanges to improve the TP Provider's calculation of Theoretical Price
in future situations. For instance, if the Exchange determines that a
particular type of corporate action is not being appropriately captured
by the TP Provider when such provider is generating Theoretical Price,
while the Exchange believes that it needs the ability to request a
review and correction of the Theoretical Price in connection with a
specific review in order to provide a timely decision to market
participants, the Exchange would share information regarding the
specific situation with the TP Provider and other options exchanges in
an effort to improve the Theoretical Price service for future use. The
Exchange notes that it does not anticipate needing to rely on this
provision frequently, if at all, but believes the provision is
necessary nonetheless to best prepare for all potential circumstances.
Further, the Theoretical Price used by the Exchange in connection with
its rulings will always be that received from the TP Provider and the
Exchange has not proposed the ability to deviate from such price.\10\
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    \10\ To the extent the TP Provider has been contacted by an
Official of the Exchange, reviews the Theoretical Price provided but
disagrees that there has been any error, then the Exchange would be
bound to use the Theoretical Price provided by the TP Provider.
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    Pursuant to proposed paragraph (c) to Interpretation and Policy
.03, an Official of the Exchange may determine the Theoretical Price if
the TP Provider has experienced a systems issue that has rendered its
services unavailable to accurately calculate Theoretical Price and such
issue cannot be corrected in a timely manner. The Exchange notes that
it does not anticipate needing to rely on this provision frequently, if
at all, but believes the provision is necessary nonetheless to best
prepare for all potential circumstances. Further, consistent with
existing text in Rule 20.6(e)(4), the Exchange has not proposed a
specific time by which the service must be available in order to be
considered timely.\11\ The Exchange expects that it would await the TP
Provider's services becoming available again so long as the Exchange
was able to obtain information regarding the issue and the TP Provider
had a reasonable expectation of being able to resume normal operations
within the next several hours based on communications with the TP
Provider. More specifically with respect to Livevol, Livevol has
business continuity and disaster recovery procedures that will help to
ensure that the Theoretical Price tool remains available or, in the
event of an outage, that service is restored in a timely manner.
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    \11\ In the context of a Significant Market Event, the Exchange
may determine, ``in consultation with other options exchanges . . .
that timely adjustment is not feasible due to the extraordinary
nature of the situation.'' See Rule 20.6(e)(4).
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    The Exchange also notes that if a wide-scale event occurred, even
if such event did not qualify as a ``Significant Market Event''
pursuant to Rule 20.6(e), and the TP Provider was unavailable or
otherwise experiencing difficulty, the Exchange believes that it and
other options exchanges would seek to coordinate to the extent
possible. In particular, the Exchange and other options exchanges now
have a process, administered by the Options Clearing Corporation, to
invoke a discussion amongst all options exchanges in the event of any
widespread or significant market events. The Exchange believes that
this process could be used in the event necessary if there were an
issue with the TP Provider.
    The Exchange also proposes to adopt language in paragraph (d) of
Interpretation and Policy .03 to Rule 20.6 to disclaim the liability of
the Exchange and the TP Provider in connection with the proposed Rule,
the TP Provider's calculation of Theoretical Price, and the Exchange's
use of such Theoretical Price. Specifically, the proposed rule would
state that neither the Exchange, the TP Provider, nor any affiliate of
the TP Provider (the TP Provider and its affiliates are referred to
collectively as the ``TP Provider''), makes any warranty, express or
implied, as to the results to be obtained by any person or entity from
the use of the TP Provider pursuant to Interpretation .03. The proposed
rule would further state that the TP Provider does not guarantee the
accuracy or completeness of the calculated Theoretical Price and that
the

TP Provider disclaims all warranties of merchantability or fitness for
a particular purpose or use with respect to such Theoretical Price.
Finally, the proposed Rule would state that neither the Exchange nor
the TP Provider shall have any liability for any damages, claims,
losses (including any indirect or consequential losses), expenses, or
delays, whether direct or indirect, foreseen or unforeseen, suffered by
any person arising out of any circumstance or occurrence relating to
the use of such Theoretical Price or arising out of any errors or
delays in calculating such Theoretical Price. This proposed language is
modeled after existing language in Exchange Rules regarding ``reporting
authorities'' that calculate indices.\12\
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    \12\ See, e.g., Rule 29.13, which relates to index options
potentially listed and traded on the Exchange and disclaims
liability for a reporting authority and their affiliates; see also,
e.g., Rules 14.11(b)(10), 14.11(c)(10), which relate to certain
types of equity securities potentially listed and traded on the
Exchange and disclaim liability for the Exchange, a reporting
authority and any agent of the Exchange.
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    In connection with the proposed change described above, the
Exchange proposes to modify Rule 20.6 to state that the Exchange will
rely on paragraph (b) and Interpretation and Policy .03 when
determining Theoretical Price.
No Valid Quotes--Market Participant Quoting on Multiple Exchanges
    As described above, one of the times where the NBB or NBO is deemed
to be unreliable for purposes of Theoretical Price is when there are no
quotes or no valid quotes for the affected series. In addition to when
there are no quotes, the Exchange does not consider the following to be
valid quotes: (i) All quotes in the applicable option series published
at a time where the last NBB is higher than the last NBO in such series
(a ``crossed market''); (ii) quotes published by the Exchange that were
submitted by either party to the transaction in question; and (iii)
quotes published by another options exchange against which the Exchange
has declared self-help. In recognition of today's market structure
where certain participants actively provide liquidity on multiple
exchanges simultaneously, the Exchange proposes to add an additional
category of invalid quotes. Specifically, in order to avoid a situation
where a market participant has established the market at an erroneous
price on multiple exchanges, the Exchange proposes to consider as
invalid the quotes in a series published by another options exchange if
either party to the transaction in question submitted the quotes in the
series representing such options exchange's best bid or offer. Thus,
similar to being able to ignore for purposes of the Rule the quotes
published by the Exchange if submitted by either party to the
transaction in question, the Exchange would be able to ignore for
purposes of the rule quotations on other options exchanges by that same
market participant.
    In order to continue to apply the Rule in a timely and organized
fashion, however, the Exchange proposes to initially limit the scope of
this proposed provision in two ways. First, because the process will
take considerable coordination with other options exchanges to confirm
that the quotations in question on an away options exchange were indeed
submitted by a party to a transaction on the Exchange, the Exchange
proposes to limit this provision to apply to up to twenty-five (25)
total options series (i.e., whether such series all relate to the same
underlying security or multiple underlying securities). Second, the
Exchange proposes to require the party that believes it established the
best bid or offer on one or more other options exchanges to identify to
the Exchange the quotes which were submitted by such party and
published by other options exchanges. In other words, as proposed, the
burden will be on the party seeking that the Exchange disregard their
quotations on other options exchanges to identify such quotations. In
turn, the Exchange will verify with such other options exchanges that
such quotations were indeed submitted by such party.
    Below are examples of both the current rule and the rule as
proposed to be amended.
Example 1--Current Rule, Member Erroneously Quotes on One Exchange
Assumptions
    For purposes of this example, assume the following:
     A Member acting as a Market Maker on the Exchange
(``Market Maker A'') is quoting in twenty series of options underlying
security ABCD on the Exchange (and only the Exchange).
     Market Maker A makes an error in calculating the market
for options on ABCD, and publishes quotes in all twenty series to buy
options at $1.00 and to sell options at $1.05.
     In fact, options on ABCD in these series are nearly
worthless and no other market participant is quoting in such series.
     Therefore, the NBBO in the twenty series at issue is $1.00
x $1.05 (with the Exchange representing the NBBO based on Market Maker
A's quotes).
     Assume Member A immediately enters sell orders and
executes against Market Maker A's quotes at $1.00.
     Assume Market Maker A submits to the Exchange a timely
request for review of the trades with Member A as potentially erroneous
transactions to buy.
Result
     Based on the Exchange's current rules, the Exchange would
identify Market Maker A as a participant to the trades at issue and
would consider Market Maker A's quotations invalid pursuant to Rule
20.6(b)(2).
     As there were no other valid quotes to use as a reference
price, the Exchange would then determine Theoretical Price.
     Assume the Exchange determines a Theoretical Price of
$0.05.
    [cir] The execution price of $1.00 exceeds the $0.25 minimum amount
set forth in the Exchange's table to determine whether an obvious error
has occurred (i.e., $0.05 + $0.25 = $0.30) so any execution at or above
this price is an obvious error.
    [cir] Accordingly, the executions in all series would be adjusted
by the Exchange to executions at $0.20 per contract (Theoretical Price
of $0.05 plus $0.15) to the extent the incoming orders submitted by
Member A were non-Customer orders.
    [cir] The executions in all series would be nullified to the extent
the incoming orders submitted by Member A were Customer orders.
Example 2--Current Rule, Member Erroneously Quotes on Multiple
Exchanges Assumptions
    For purposes of this example, assume the following:
     A Member acting as a Market Maker on the Exchange
(``Market Maker A'') is quoting in twenty series of options underlying
security ABCD on the Exchange and on a second exchange (``Away
Exchange'').
     Market Maker A makes an error in calculating the market
for options on ABCD, and publishes quotes on both the Exchange and the
Away Exchange in all twenty series to buy options at $1.00 and to sell
options at $1.05.
     In fact, options on ABCD in these series are nearly
worthless and no other market participant is quoting in such series.
     Therefore, the NBBO in the twenty series at issue is $1.00
x $1.05 (with the Exchange and the Away Exchange representing the NBBO
based on Market Maker A's quotes).

     Assume Member A immediately enters sell orders and
executes against Market Maker A's quotes at $1.00.
     Assume Market Maker A submits to the Exchange and to the
Away Exchange timely requests for review of the trades with Member A as
potentially erroneous transactions to buy.
Result
     Based on the Exchange's current rules, the Exchange would
identify Market Maker A as a participant to the trades at issue and
would consider Market Maker A's quotations on the Exchange invalid
pursuant to Rule 20.6(b)(2). The Exchange, however, would view the Away
Exchange's quotations as valid, and would thus determine Theoretical
Price to be $1.05 (i.e., the NBO in the case of a potentially erroneous
buy transaction).
     The execution price of $1.00 does not exceed the $0.25
minimum amount set forth in the Exchange's table to determine whether
an obvious error has occurred (i.e., $1.05 + $0.25 = $1.30) so any
execution at or above this price is an obvious error.
     The transactions on the Exchange would not be nullified or
adjusted.
     As the Exchange and all other options exchanges have
identical rules with respect to the process described above, the
transactions on the Away Exchange would not be nullified or adjusted.
Example 3--Proposed Rule, Member Erroneously Quotes on Multiple
Exchanges \13\ Assumptions
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    \13\ The Exchange notes that its proposed rule will not impact
the proposed handling of a request for review where a market
participant is quoting only on the Exchange, thus, the Exchange has
not included a separate example for such a fact-pattern.
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    For purposes of this example, assume the following:
     A Member acting as a Market Maker on the Exchange
(``Market Maker A'') is quoting in twenty series of options underlying
security ABCD on the Exchange and on a second exchange (``Away
Exchange'').\14\
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    \14\ The Exchange notes that the proposed rule would operate the
same if Market Maker A was quoting on more than two exchanges. The
Exchange has limited the example to two exchanges for simplicity.
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     Market Maker A makes an error in calculating the market
for options on ABCD, and publishes quotes on both the Exchange and the
Away Exchange in all twenty series to buy options at $1.00 and to sell
options at $1.05.
     In fact, options on ABCD in these series are nearly
worthless and no other market participant is quoting in such series.
     Therefore, the NBBO in the twenty series at issue is $1.00
x $1.05 (with the Exchange and the Away Exchange representing the NBBO
based on Market Maker A's quotes).
     Assume Member A immediately enters sell orders and
executes against Market Maker A's quotes at $1.00.
     Assume Market Maker A submits to the Exchange and to the
Away Exchange timely requests for review of the trades with Member A as
potentially erroneous transactions to buy. At the time of submitting
the requests for review to the Exchange and the Away Exchange, Market
Maker A identifies to the Exchange the quotes on the Away Exchange as
quotes also represented by Market Maker A (and to the Away Exchange,
the quotes on the Exchange as quotes also represented by Market Maker
A).
Result
     Based on the proposed rules, the Exchange would identify
Market Maker A as a participant to the trades at issue and would
consider Market Maker A's quotations on the Exchange invalid pursuant
to Rule 20.6(b)(2).
     The Exchange and the Away Exchange would also coordinate
to confirm that the quotations identified by Market Maker A on the
other exchange were indeed Market Maker A's quotations. Once confirmed,
each of the Exchange and the Away Exchange would also consider invalid
the quotations published on the other exchange.
     As there were no other valid quotes to use as a reference
price, the Exchange would then determine Theoretical Price.
     Assume the Exchange determines a Theoretical Price of
$0.05.
    [cir] The execution price of $1.00 exceeds the $0.25 minimum amount
set forth in the Exchange's table to determine whether an obvious error
has occurred (i.e., $0.05 + $0.25 = $0.30) so any execution at or above
this price is an obvious error.
    [cir] Accordingly, the executions in all series would be adjusted
by the Exchange to executions at $0.20 per contract (Theoretical Price
of $0.05 plus $0.15) to the extent the incoming orders submitted by
Member A were non-Customer orders.
    [cir] The executions in all series would be nullified to the extent
the incoming orders submitted by Member A were Customer orders.
     As the Exchange and all other options exchanges would have
identical rules with respect to the process described above, as other
options exchanges intend to adopt the same rule if the proposed rule is
approved, the transactions on the Away Exchange would also be nullified
or adjusted as set forth above.
     If this example was instead modified such that Market
Maker A was quoting in 200 series rather than 20, the Exchange notes
that Market Maker A could only request that the Exchange consider as
invalid their quotations in 25 of those series on other exchanges. As
noted above, the Exchange has proposed to limit the proposed rule to 25
series in order to continue to process requests for review in a timely
and organized fashion in order to provide certainty to market
participants. This is due to the amount of coordination that will be
necessary in such a scenario to confirm that the quotations in question
on an away options exchange were indeed submitted by a party to a
transaction on the Exchange.
Trading Halts--Clarifying Change to Rule 20.3
    Exchange Rule 20.3 describes the Exchange's authority to declare
trading halts in one or more options traded on the Exchange. Currently,
Rule 20.3 states that the Exchange shall nullify any transaction that
occurs during a trading halt in the affected option on the Exchange or,
with respect to equity options, during a trading halt on the primary
listing market for the underlying security. The Exchange proposes to
make clear with respect to equity options that it shall nullify any
transaction that occurs during a regulatory halt as declared by the
primary listing market for the underlying security. The Exchange
believes this change is necessary to distinguish a declared regulatory
halt, where the underlying security should not be actively trading on
any venue, from an operational issue on the primary listing exchange
where the security continues to safely trade on other trading venues.
Implementation Date
    In order to ensure that other options exchanges are able to adopt
rules consistent with this proposal, if approved, and to coordinate the
effectiveness of such harmonized rules, including the necessary
implementation of technology to apply the harmonized rules using
information received from the TP Provider, the Exchange proposes to
delay the operative date of this proposal to a date within ninety (90)
days following the approval of the proposal. The Exchange will announce
the operative date in a Regulatory Circular made available to its
Members.

2. Statutory Basis
    The Exchange believes that its proposal is consistent with the
requirements of the Act and the rules and regulations thereunder that
are applicable to a national securities exchange, and, in particular,
with the requirements of Section 6(b) of the Act.\15\ Specifically, the
proposal is consistent with Section 6(b)(5) of the Act \16\ because it
would promote just and equitable principles of trade, remove
impediments to, and perfect the mechanism of, a free and open market
and a national market system, and, in general, protect investors and
the public interest.
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    \15\ 15 U.S.C. 78f(b).
    \16\ 15 U.S.C. 78f(b)(5).
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    As described above, the Exchange and other options exchanges are
seeking to further modify their harmonized rules related to the
adjustment and nullification of erroneous options transactions. The
Exchange believes that the proposal to utilize a TP Provider in the
event the NBBO is unavailable or unreliable will provide greater
transparency and clarity with respect to the adjustment and
nullification of erroneous options transactions. Particularly, the
proposed changes seek to achieve consistent results for participants
across U.S. options exchanges while maintaining a fair and orderly
market, protecting investors and protecting the public interest. Thus,
the Exchange believes that the proposal is consistent with Section
6(b)(5) of the Act \17\ in that the proposed Rule will foster
cooperation and coordination with persons engaged in regulating and
facilitating transactions.
---------------------------------------------------------------------------

    \17\ Id.
---------------------------------------------------------------------------

    The Exchange again reiterates that it has retained the standard of
the current rule for most reviews of options transactions pursuant to
Rule 20.6, which is to rely on the NBBO to determine Theoretical Price
if such NBBO can reasonably be relied upon. The proposal to use a TP
Provider when the NBBO is unavailable or unreliable is consistent with
Section 6(b)(5) of the Act \18\ in that the proposed Rule will foster
cooperation and coordination with persons engaged in regulating and
facilitating transactions by further reducing the possibility of
disparate results between options exchanges and increasing the
objectivity of the application of Rule 20.6. Further, the Exchange
believes that the proposed Rule is transparent with respect to the
limited circumstances under which the Exchange will request a review
and correction of Theoretical Price from the TP Provider, and has
sought to limit such circumstances as much as possible. The Exchange
notes that under the current Rule, Exchange personnel are required to
determine Theoretical Price in certain circumstances and yet rarely do
so because such circumstances have already been significantly limited
under the harmonized rule (for example, because the wide quote
provision of the harmonized rule only applies if the quote was narrower
and then gapped but does not apply if the quote had been persistently
wide). Thus, the Exchange believes it will need to request Theoretical
Price from the TP Provider only in very rare circumstances and in turn,
the Exchange anticipates that the need to contact the TP Provider for
additional review of the Theoretical Price provided by the TP Provider
will be even rarer. Similarly, the Exchange believes it is unlikely
that an Exchange Official will ever be required to determine
Theoretical Price, as such circumstance would only be in the event of a
systems issue that has rendered the TP Provider's services unavailable
and such issue cannot be corrected in a timely manner.
---------------------------------------------------------------------------

    \18\ Id.
---------------------------------------------------------------------------

    The Exchange also believes its proposal to adopt language in
paragraph (d) of Interpretation and Policy .03 to Rule 20.6 to disclaim
the liability of the Exchange and the TP Provider in connection with
the proposed Rule, the TP Provider's calculation of Theoretical Price,
and the Exchange's use of such Theoretical Price is consistent with the
Act. As noted above, this proposed language is modeled after existing
language in Exchange Rules regarding ``reporting authorities'' that
calculate indices,\19\ and is consistent with Section 6(b)(5) of the
Act \20\ in that the proposed Rule will foster cooperation and
coordination with persons engaged in regulating and facilitating
transactions.
---------------------------------------------------------------------------

    \19\ See supra, note 12.
    \20\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    As described above, the Exchange proposes a modification to the
valid quotes provision to also exclude quotes in a series published by
another options exchange if either party to the transaction in question
submitted the orders or [sic] quotes in the series representing such
options exchange's best bid or offer. The Exchange believes this
proposal is consistent with Section 6(b)(5) of the Act \21\ because the
application of the rule will foster cooperation and coordination with
persons engaged in regulating and facilitating transactions by allowing
the Exchange to coordinate with other options exchanges to determine
whether a market participant that is party to a potentially erroneous
transaction on the Exchange established the market in an option on
other options exchanges; to the extent this can be established, the
Exchange believes such participant's quotes should be excluded in the
same way such quotes are excluded on the Exchange. The Exchange also
believes it is reasonable to limit the scope of this provision to
twenty-five (25) series and to require the party that believes it
established the best bid or offer on one or more other options
exchanges to identify to the Exchange the quotes which were submitted
by that party and published by other options exchanges. The Exchange
believes these limitations are consistent with Section 6(b)(5) of the
Act \22\ because they will ensure that the Exchange is able to continue
to apply the Rule in a timely and organized fashion, thus fostering
cooperation and coordination with persons engaged in regulating and
facilitating transactions and also removing impediments to and
perfecting the mechanism of a free and open market and a national
market system.
---------------------------------------------------------------------------

    \21\ 15 U.S.C. 78f(b)(5).
    \22\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    Finally, with respect to the proposed modification to the
Exchange's trading halt rule, Rule 20.3, the Exchange believes that
this proposal is consistent with Section 6(b)(5) of the Act \23\
because such proposal clarifies the provision by distinguishing between
a trading halt in an underlying security where the security has halted
trading across the industry (i.e., a regulatory halt) from a situation
where the primary exchange has experienced a technical issue but the
underlying security continues to trade on other equities platforms. The
Exchange notes that this distinction is already clear in the rules of
certain other options exchanges, and thus, has been found to be
consistent with the Act.\24\
---------------------------------------------------------------------------

    \23\ Id.
    \24\ See, e.g., Interpretation and Policy .07 to CBOE Rule 6.3.
---------------------------------------------------------------------------

B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange believes the entire proposal is consistent with
Section 6(b)(8) of the Act \25\ in that it does not impose any burden
on competition that is not necessary or appropriate in furtherance of
the purposes of the Act as explained below.
---------------------------------------------------------------------------

    \25\ 15 U.S.C. 78f(b)(8).
---------------------------------------------------------------------------

    Importantly, the Exchange does not believe that the proposal will
impose a burden on intermarket competition but rather that it will
alleviate any burden on competition because it is the result

of a collaborative effort by all options exchanges to further harmonize
and improve the process related to the adjustment and nullification of
erroneous options transactions. The Exchange does not believe that the
rules applicable to such process is an area where options exchanges
should compete, but rather, that all options exchanges should have
consistent rules to the extent possible. Particularly where a market
participant trades on several different exchanges and an erroneous
trade may occur on multiple markets nearly simultaneously, the Exchange
believes that a participant should have a consistent experience with
respect to the nullification or adjustment of transactions. To that
end, the selection and implementation of a TP Provider utilized by all
options exchanges will further reduce the possibility that participants
with potentially erroneous transactions that span multiple options
exchanges are handled differently on such exchanges. Similarly, the
proposed ability to consider quotations invalid on another options
exchange if ultimately originating from a party to a potentially
erroneous transaction on the Exchange represents a proposal intended to
further foster cooperation by the options exchanges with respect to
market events. The Exchange understands that all other options
exchanges intend to file proposals that are substantially similar to
this proposal.
    The Exchange does not believe that the proposed rule change imposes
a burden on intramarket competition because the proposed provisions
apply to all market participants equally.

C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others

    The Exchange has neither solicited nor received written comments on
the proposed rule change.

III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action

    Within 45 days of the date of publication of this notice in the
Federal Register or within such longer period up to 90 days (i) as the
Commission may designate if it finds such longer period to be
appropriate and publishes its reasons for so finding or (ii) as to
which the Exchange 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_ADDRESS>Please include
File Number SR-BatsBZX-2017-35 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-BatsBZX-2017-35. This
file number should be included on the subject line if email is used. To
help the Commission process and review your comments more efficiently,
please use only one method. The Commission will post all comments on
the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all
written statements with respect to the proposed rule change that are
filed with the Commission, and all written communications relating to
the proposed rule change between the Commission and any person, other
than those that may be withheld from the public in accordance with the
provisions of 5 U.S.C. 552, will be available for Web site viewing and
printing in the Commission's Public Reference Room, 100 F Street NE.,
Washington, DC 20549 on official business days between the hours of
10:00 a.m. and 3:00 p.m. Copies of such 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-BatsBZX-2017-35, and should
be submitted on or before June 13, 2017.

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\26\
---------------------------------------------------------------------------

    \26\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-10465 Filed 5-22-17; 8:45 am]
 BILLING CODE 8011-01-P


[Federal Register Volume 76, Number 175 (Friday, September 9, 2011)]
[Notices]
[Pages 55984-55986]
[FR Doc No: 2011-23073]

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

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-65259; File No. SR-ICC-2011-01]

Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of
Filing of Proposed Rule Change To Add Rules Related to the Clearing of
Emerging Markets Sovereigns

September 2, 2011.
    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 August 30, 2011, ICE Clear Credit LLC (``ICC'') filed with the
Securities and Exchange Commission (``Commission'') the proposed rule
change as described in Items I, II, and III below, which Items have
been prepared primarily by ICC. The Commission is publishing this
notice to solicit comments on the proposed rule change from interested
persons.
---------------------------------------------------------------------------

    \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 purpose of the proposed rule change is to adopt new rules that
will provide the basis for ICC to clear additional credit default swap
(``CDS'') contracts. Specifically, ICC is proposing to amend Chapter 26
of its rules to add Sections 26D and 26E to provide for the clearance
of Emerging Markets Standard Sovereign CDS (``Standard Emerging
Sovereign Single Names'' or ``SES Contracts'').
    As discussed in more detail in Item II(A) below, Section 26D
(Standard Emerging Sovereign Single Names) provides for the definitions
and certain specific contract terms for cleared SES Contracts. Section
26E (CDS Restructuring Rules) provides the rules applicable to SES
Contracts in the event of a restructuring credit event.

II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, ICC included statements
concerning the purpose of and basis for the proposed rule change and
discussed any comments it received on the proposed rule change. The
text of these statements may be examined at the places specified in
Item IV below. ICC has prepared summaries, set forth in sections (A),
(B),

and (C) below, of the most significant aspects of these statements.\3\
---------------------------------------------------------------------------

    \3\ The Commission has modified the text of the summaries
prepared by ICC.
---------------------------------------------------------------------------

(A) Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change

    ICC has identified SES Contracts as a product that has become
increasingly important for market participants to manage risk and
express views. ICC believes that clearance of SES Contracts will
facilitate the prompt and accurate settlement of security-based swaps
and contribute to the safeguarding of securities and funds associated
with security-based swap transactions.\4\ ICC is requesting approval
for SES Contracts on four sovereign reference entities, the Federative
Republic of Brazil, the United Mexican States, the Bolivian Republic of
Venezuela and the Argentine Republic. If ICC determines to list
additional SES Contracts, it will seek approval from the Commission for
such contracts (or for a class of product including such contracts) by
a subsequent filing.
---------------------------------------------------------------------------

    \4\ ICC has performed a variety of empirical analyses related to
clearing of SES Contracts on sovereign reference entities, including
back tests and stress tests using actual clearing participant
portfolios (with respect to the stress tests) combined with
hypothetical positions in sovereign CDS contracts based on data
retrieved from the Depository Trust Clearing Corporation's Trade
Information Warehouse and through interaction with ICC's Trade
Advisory Committee.
---------------------------------------------------------------------------

    SES Contracts have similar terms to the North American Corporate
CDS (``Corporate Single Name CDS'') contracts currently cleared by ICC
and governed by Section 26B of the ICC rules. Accordingly, the proposed
rules found in Section 26D largely mirror the ICC rules for Corporate
Single Name CDS in Section 26B, with certain modifications that reflect
differences in terms and market conventions between SES Contracts and
Corporate Single Name CDS. In the event that a clearing participant is
domiciled in a country that is the reference entity for an SES
Contract, ICC will not permit the clearing participant to clear such
SES Contract.
    Rule 26D-102 (Definitions) sets forth the definitions used for the
SES Contracts. An ``Eligible SES Reference Entity'' is defined as
``each particular Reference Entity included from time to time in the
List of Eligible Reference Entities,'' which is a list maintained,
updated and published from time to time by ICC containing certain
specified information with respect to each reference entity.\5\ The
Eligible SES Reference Entities will at present be limited to the four
Latin American sovereigns listed above. Certain substantive changes
have also been made to the definition of ``List of Eligible SES
Reference Entities,'' due to the fact that certain terms and elections
for Corporate Single Name CDS are not applicable to SES Contracts.
These include (i) the need for an election as to whether
``Restructuring'' is an eligible ``Credit Event'' (it is by market
convention applicable to all SES Contracts, whereas it is generally not
applicable to Corporate Single Name CDS) and (ii) the applicability of
certain International Swaps and Derivatives Association's (``ISDA's'')
supplements that may apply to Corporate Single Name CDS but do not
apply to SES Contracts, including the 2005 Monoline Supplement, the
ISDA Additional Provisions for a Secured Deliverable Obligation
Characteristic and the ISDA Additional Provisions for Reference
Entities with Delivery Restrictions. As set forth in the List of
Eligible SES Reference Entities, SES Contracts will only be denominated
in U.S. Dollars. The remaining definitions are substantially the same
as the definitions found in ICC Section 26B, other than certain
conforming changes.
---------------------------------------------------------------------------

    \5\ Similar to the credit index CDS and Corporate Single Name
CDS that ICC currently clears, ICC will accept for clearing
sovereign CDS denominated in U.S. Dollars only.
---------------------------------------------------------------------------

    Rules 26D-203 (Restriction on Activity), 26D-206 (Notices Required
of Participants with respect to SES Contracts), 26D-303 (SES Contract
Adjustments), 26D-309 (Acceptance of SES Contracts by ICE Trust), 26D-
315 (Terms of the Cleared SES Contract), 26D-316 (Relevant Physical
Settlement Matrix Updates), 26D-502 (Specified Actions), and 26D-616
(Contract Modification) reflect or incorporate the basic contract
specifications for SES Contracts and are substantially the same as
under ICC Section 26B for Corporate Single Name CDS. For the avoidance
of doubt, ICC will not accept a trade for clearance and settlement if
at the time of submission or acceptance of the trade or at the time of
novation the CDS Participant submitting the trade is domiciled in the
country of the Eligible SES Reference Entity for such SES Contract.
    In addition to various non-substantive conforming changes, the
proposed rules differ from the existing Corporate Single Name CDS rules
in that the contract terms in Rule 26D-315 incorporate the relevant
published ISDA physical settlement matrix terms for Standard Latin
American Sovereign transactions, rather than Standard North American
Corporate transactions, and, as noted in the preceding paragraph,
certain elections and supplements used for Corporate Single Name CDS
that are not applicable to SES Contracts.
    New Section 26E (CDS Restructuring Rules) provides rules applicable
to cleared Contracts in the event of a restructuring credit event.
Corporate Single Name CDS currently cleared by ICC are not subject to
these restructuring rules. Unlike other credit events, following a
restructuring credit event, parties to a cleared SES Contract must
determine whether or not to trigger their credit protection. To
facilitate this election while permitting ICC to maintain a matched
book of cleared Contracts, Section 26E provides that protection buyers
and protection sellers under a Restructuring CDS Contract (defined as a
CDS Contract where a restructuring credit event has occurred) will be
matched into pairs, called Matched Restructuring Pairs, by ICC for
purposes of sending and receiving such triggering notices. Rule 26E-102
sets forth the definitions used throughout Section 26E in connection
with a restructuring credit event.
    The procedures for creation of Matched Restructuring Pairs are set
forth in Rule 26E-103 (Allocation of Matched Restructuring Pairs).
Following the announcement that a restructuring credit event has
occurred with respect to an SES Contract, ICC will match each
protection seller in that contract with one or more protection buyers
in that contract, such that the notional amount of the contract of each
protection seller is fully allocated to one or more protection buyers.
In order to be matched, positions in an SES Contract must be of the
same type (i.e., having the same reference entity, tenor, reference
obligation, fixed rate, and relevant physical settlement matrix).
    The mechanics associated with the delivery and receipt of notices
by clearing participants under Matched Restructuring Pairs are set
forth in Rule 26E-104 (Matched Restructuring Pairs; Designations and
Notices). This rule provides that once ICC has created the Matched
Restructuring Pairs, ICC will be deemed to have designated the matched
CDS buyer and matched CDS seller as its designee to receive and deliver
credit event notices in relation to the Restructuring CDS Contract. The
rule also contains a mechanism for notifying ICC of disputes with
respect to such notices.
    Finally, Rule 26E-105 (Separation of Matched Restructuring Pairs)
addresses situations where an announcement of a

restructuring credit event is followed by a determination that such
event did not in fact occur.\6\ The rule provides that if ICC has not
matched buyers with sellers to form a Matched Restructuring Pair, then
ICC will not do so. If ICC has matched sellers with buyers to form a
Matched Restructuring Pair, but settlement (either auction settlement
or fallback physical settlement) has not occurred, then ICC will
reverse the matching. If fallback physical settlement is applicable,
ICC will not reverse any matching to the extent that the matched CDS
buyer or matched CDS seller has given notice to ICC that the parties
have settled the relevant matched CDS contract within one Business Day
following delivery of the matching reversal notice. If a CDS contract
is reversed, ICC will recalculate the margin accordingly.
---------------------------------------------------------------------------

    \6\ Determination of a credit event and a subsequent
determination that a credit event did not occur are made by the ISDA
relevant credit derivatives determinations committee (``DC''), or,
in the event a request has been submitted to the relevant DC and
ISDA has publicly announced that the relevant DC has resolved not to
determine the answer, by the appropriate ICE Clear Credit Regional
CDS Committee.
---------------------------------------------------------------------------

(B) Self-Regulatory Organization's Statement on Burden on Competition

    ICC does not believe the proposed rule change would have any
impact, or impose any burden, on competition.

(C) Self-Regulatory Organization's Statement on Comments on the
Proposed Rule Change Received From Members, Participants or Others

    Written comments relating to the proposed rule change have not been
solicited or received. ICC will notify the Commission of any written
comments received by ICC.

III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action

    Within 45 days of the date of publication of this notice in the
Federal Register or within such longer period up to 90 days (i) As the
Commission may designate if it finds such longer period to be
appropriate and publishes its reasons for so finding or (ii) as to
which the self-regulatory organization consents, the Commission will:
    (A) By order approve or disapprove the 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 e-mail to<EMAIL_ADDRESS>Please include
File Number SR-ICC-2011-01 on the subject line.

Paper Comments

     Send paper comments in triplicate to Elizabeth M. Murphy,
Secretary, Securities and Exchange Commission, 100 F Street, NE.,
Washington, DC 20549-1090.

All submissions should refer to File Number SR-ICC-2011-01. This file
number should be included on the subject line if e-mail is used. To
help the Commission process and review your comments more efficiently,
please use only one method. The Commission will post all comments on
the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all
written statements with respect to the proposed rule change that are
filed with the Commission, and all written communications relating to
the proposed rule change between the Commission and any person, other
than those that may be withheld from the public in accordance with the
provisions of 5 U.S.C. 552, will be available for Web site viewing and
printing in the Commission's Public Reference Section, 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 ICC and on ICC's Web
site at https://www.theice.com/publicdocs/regulatory_filings/ICEClearCredit_082611.pdf. 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-ICC-2011-01 and should be submitted on or before
September 30, 2011.

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\7\
---------------------------------------------------------------------------

    \7\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Elizabeth M. Murphy,
Secretary.
[FR Doc. 2011-23073 Filed 9-8-11; 8:45 am]
BILLING CODE 8011-01-P