Federal Register / Vol. 85, No. 231 / Tuesday, December 1, 2020 / Notices 77315 

6 15 U.S.C. 78s(b)(3)(A)(iii). 

7 17 CFR 240.19b–4(f)(6). 

8 15 U.S.C. 78s(b)(3)(A)(iii). Rule 19b–4(f)(6)(iii) 

requires a self-regulatory organization to give the 

Commission written notice of its intent to file the 

proposed rule change at least five business days 

prior to the date of filing of the proposed rule 

change, or such shorter time as designated by the 

Commission. The Commission notes that the 

Exchange satisfied this requirement. 9 15 U.S.C. 78s(b)(2)(B). 

10 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3Capitalized terms used but not defined herein 

have the meanings specified in the Rules. 

4See Notice infra note 5, 85 FR at 65891. 

5Self-Regulatory Organizations; ICE Clear Credit 

LLC; Notice of Proposed Rule Change, SecurityBased Swap Submission, or Advance Notice 

Relating to the ICC Clearing Rules, Exchange Act 

Release No. 90138 (October 8, 2020); 85 FR 65891 

(October 16, 2020) (SR–ICC–2020–011) (‘‘Notice’’). 

Agreement and making the terms 

internally consistent with the other 

proposed changes would promote 

readability and comprehension of the 

documents, making the language clear 

and concise. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange believes that the 

proposed rule change will impose no 

burden on competition because it is 

ministerial in nature and will not have 

any competitive impact. As described 

above, the Exchange is proposing 

certain discrete amendments to the 

Exchange LLC Agreement and the 

Holdings LLC Agreement that would (i) 

provide a replacement tax matters 

representative to replace MXUS2, which 

is withdrawing from service in this role, 

and (ii) consistently revise the defined 

terms in the Exchange LLC Agreement 

and the Holdings LLC Agreement to 

make them internally consistent. For 

these reasons, the Exchange believes 

that the proposed changes are consistent 

with the Exchange Act as there is no 

impact on competition. 

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 comments on the proposed 

rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The Exchange has filed the proposed 

rule change pursuant to Section 

19(b)(3)(A)(iii) of the Act 6 and Rule 

19b–4(f)(6) thereunder.7 Because the 

proposed rule change does not: (i) 

Significantly affect the protection of 

investors or the public interest; (ii) 

impose any significant burden on 

competition; and (iii) become operative 

prior to 30 days from the date on which 

it was filed, or such shorter time as the 

Commission may designate, if 

consistent with the protection of 

investors and the public interest, the 

proposed rule change has become 

effective pursuant to Section 19(b)(3)(A) 

of the Act and Rule 19b–4(f)(6)(iii) 

thereunder.8

At any time within 60 days of the 

filing of such proposed rule change, the 

Commission summarily may 

temporarily suspend such rule change if 

it appears to the Commission that such 

action is necessary or appropriate in the 

public interest, for the protection of 

investors, or otherwise in furtherance of 

the purposes of the Act. If the 

Commission takes such action, the 

Commission shall institute proceedings 

under Section 19(b)(2)(B) 9 of the Act to 

determine whether the proposed rule 

change should be approved or 

disapproved. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s internet 

comment form (http://www.sec.gov/ 

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include File Number SR– 

BOX–2020–37 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–BOX–2020–37. 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 

10:00 a.m. and 3:00 p.m. Copies of the 

filing also will be available for 

inspection and copying at the principal 

office of the Exchange. All comments 

received will be posted without change. 

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–BOX–2020–37 and should 

be submitted on or before December 22, 

2020. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.10

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2020–26500 Filed 11–30–20; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–90505; File No. SR–ICC– 

2020–011] 

Self-Regulatory Organizations; ICE 

Clear Credit LLC; Order Approving 

Proposed Rule Change, SecurityBased Swap Submission, or Advance 

Notice Relating to the ICC Clearing 

Rules 

November 24, 2020. 

I. Introduction 

On September 30, 2020, ICE Clear 

Credit LLC (‘‘ICC’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’), pursuant to Section 

19(b)(1) of the Securities Exchange Act 

of 1934 (the ‘‘Act’’),1 and Rule 19b–4,2

a proposed rule change to revise ICC’s 

Clearing Rules (the ‘‘Rules’’) 3 to 

incorporate credit default swaptions 

(‘‘Index Swaptions’’) into its summary 

assessment approach.4 The proposed 

rule change was published for comment 

in the Federal Register on October 16, 

2020.5 The Commission did not receive 

comments regarding the proposed rule 

change. For the reasons discussed 

below, the Commission is approving the 

proposed rule change. 


khammond on DSKJM1Z7X2PROD with NOTICES4
77316 Federal Register / Vol. 85, No. 231 / Tuesday, December 1, 2020 / Notices 

6The description herein is substantially 

excerpted from the Notice. 

7SEC Release No. 34–87297 (Oct. 15, 2019), 84 

FR 56270 (Oct. 21, 2019) (SR–ICC–2019–007); SEC 

Release No. 34–89142 (June 24, 2020), 85 FR 39226 

(June 30, 2020) (SR–ICC–2020–002); SEC Release 

No. 34–89436 (July 31, 2020), 85 FR 47827 (Aug. 

6, 2020) (SR–ICC–2020–008); SEC Release No. 34– 

89948 (Sep. 22, 2020), 85 FR 60845 (Sep. 28, 2020) 

(SR–ICC–2020–010). 

8 ICC has represented to the Commission that this 

proposed rule change is the last rule filing under 

Section 19(b)(2) of the Act (15 U.S.C. 78s(b)(2)) 

needed to change ICC’s Rules to account for the 

clearing of Index Swaptions. 9See Notice, 85 FR at 65891. 

10 15 U.S.C. 78s(b)(2)(C). 

11 15 U.S.C. 78q–1(b)(3)(F), 15 U.S.C. 78q– 

1(b)(3)(G), and 15 U.S.C. 78q–1(b)(3)(H). 

12 17 CFR 240.17Ad–22(e)(6)(iv). 

13 15 U.S.C. 78q–1(b)(3)(F). 

II. Description of the Proposed Rule 

Change 

In connection with ICC’s proposed 

launch of the clearing of Index 

Swaptions, ICC is proposing to revise 

the Rules to incorporate Index 

Swaptions into its summary assessment 

approach, described in Rule 702(e) and 

Schedule 702 of the Rules.6 ICC has 

previously filed with the Commission 

changes to certain other policies and 

procedures related to the clearing of 

Index Swaptions (the ‘‘Swaption Rule 

Filings’’) in order to adopt or amend 

certain related policies and procedures 

in preparation for the launch of clearing 

of Index Swaptions.7 The Swaption 

Rule Filings describe an Index Swaption 

as when one party (the ‘‘Swaption 

Buyer’’) has the right (but not the 

obligation) to cause the other party (the 

‘‘Swaption Seller’’) to enter into an 

index credit default swap transaction at 

a pre-determined strike price on a 

specified expiration date on specified 

terms. In the case of Index Swaptions 

that would be cleared by ICC, the 

underlying index credit default swap 

would be limited to certain CDX and 

iTraxx Europe index credit default 

swaps that are accepted for clearing by 

ICC, and which would be automatically 

cleared by ICC upon exercise of the 

Index Swaption by the Swaption Buyer 

in accordance with its terms. As also 

described in the Swaption Rule Filings, 

ICC would not commence clearing of 

Index Swaptions until all such policies 

and procedures have been approved by 

the Commission or otherwise become 

effective. As such, ICC filed the 

proposed rule change as part of ICC’s 

larger effort to adopt the necessary 

policies and procedures prior to the 

eventual launch of the clearing of Index 

Options.8

As part of ICC’s end-of-day price 

discovery process, ICC Clearing 

Participants (‘‘CPs’’) are required to 

submit end-of-day prices for single 

name and index credit default swap 

(‘‘CDS’’) Contracts in accordance with 

ICC Procedures. The failure of any CP to 

provide such price submissions 

constitutes a Missed Submission 

pursuant to Rules 404(b), 702(b) and 

702(e). As an incentive against Missed 

Submissions, ICC has adopted a 

summary assessment approach 

described in Rule 702(e) and Schedule 

702 of the Rules.9 In connection with 

ICC’s proposed launch of the clearing of 

Index Swaptions, the proposed 

amendments would incorporate Index 

Swaptions in Rule 702(e) and update 

Schedule 702 of the Rules to include 

assessment amounts for Index Swaption 

Missed Submissions, in addition to the 

current assessment amounts for single 

name and index CDS Missed 

Submissions. 

Specifically, the proposed changes to 

Rule 702(e)(i)(2) would specify that CPs 

holding a cleared interest in one or more 

Index Swaption Contracts sharing the 

same underlying index and expiration 

date are required to provide end-of-day 

prices for all Index Swaption Contracts 

sharing the same underlying index and 

expiration date. The proposed changes 

to Rule 702(e)(ii)(2) would specify that 

a CP is eligible for one waiver per 

calendar year for Index Swaption 

Missed Submissions caused by 

technical failures, which conforms to 

one waiver per calendar year for single 

name Missed Submissions and one 

waiver per calendar year for index 

Missed Submissions, in each case 

caused by technical failures. The 

proposed amendment to Rule 

702(e)(ii)(4) would make a related 

change to include Index Swaptions, 

along with single name and index CDS, 

as a type of Missed Submission that may 

satisfy the waiver requirements of Rule 

702(e)(ii)(2). 

As noted above, ICC would update 

current Schedule 702 to include 

assessment amounts for Index Swaption 

Missed Submissions. Specifically, the 

proposed revisions to Schedule 702 

would establish an assessment amount 

of $250 for each Index Swaption Missed 

Submission and a maximum assessment 

per day for Missed Submissions on 

Index Swaption instruments sharing the 

same underlying index ($10,000) and for 

all Index Swaption instruments during 

one day ($50,000). ICC’s proposed 

changes to Schedule 702 of the Rules 

would also correct a typographical error 

with respect to single names by 

replacing ‘‘Submissions’’ with 

‘‘Submission’’ in the current phrase 

‘‘For each Missed Submissions.’’ 

III. Discussion and Commission 

Findings 

Section 19(b)(2)(C) of the Act directs 

the Commission to approve a proposed 

rule change of a self-regulatory 

organization if it finds that such 

proposed rule change is consistent with 

the requirements of the Act and the 

rules and regulations thereunder 

applicable to such organization.10 For 

the reasons given below, the 

Commission finds that the proposed 

rule change is consistent with Section 

17A(b)(3)(F) of the Act, Section 

17A(b)(3)(G) of the Act, Section 

17A(b)(3)(H) of the Act,11 and Rule 

17Ad–22(e)(6)(iv) thereunder.12

A. Consistency With Section 

17A(b)(3)(F) of the Act 

Section 17A(b)(3)(F) of the Act 

requires, among other things, that the 

rules of ICC be designed to promote the 

prompt and accurate clearance and 

settlement of securities transactions 

and, to the extent applicable, derivative 

agreements, contracts, and transactions, 

as well as to assure the safeguarding of 

securities and funds which are in the 

custody or control of ICC or for which 

it is responsible.13

As noted above, the proposed rule 

change would amend ICC’s summary 

assessment approach described in Rule 

702(e) and Schedule 702 of the Rules 

with respect to Missed Submissions to 

incorporate Index Swaptions. The 

proposed rule change would also amend 

current Rule 702(e) to provide one 

waiver per calendar year to CPs for 

Index Swaption Missed Submissions 

caused by technical failures. The 

Commission believes that by amending 

its summary assessment approach to 

include Index Swaptions, ICC would 

enhance its ability to maintain the 

accuracy, integrity and effectiveness of 

ICC’s price discovery process by 

incentivizing CPs to avoid Index 

Swaption Missed Submissions for nontechnical reasons. 

The Commission further believes that 

the proposed amendments to ICC’s 

summary assessment approach should 

improve ICC’s end-of-day pricing 

process because they should provide 

ICC a means of ensuring that its CPs 

submit complete prices for Index 

Swaptions. Consequently, the 

Commission believes that the proposed 

changes should promote the prompt and 

accurate clearance and settlement of 

transactions by ICC. The Commission 

further believes that these 

improvements, in turn, should enhance 

ICC’s ability to manage the risks 

associated with clearing Index 

Swaptions, including the calculation 


khammond on DSKJM1Z7X2PROD with NOTICES4
Federal Register / Vol. 85, No. 231 / Tuesday, December 1, 2020 / Notices 77317 

14See SEC Release No. 34–82960 (Mar. 28, 2018), 

83 FR 14300, 14302 (Apr. 3, 2018) (SR–ICC–2018– 

002) (finding improvements to ICC’s end-of-day 

pricing process would improve ‘‘ICC’s risk 

management processes related to the end-of-day 

pricing process, including the calculation and 

collection of certain margin requirements’’ and 

would ‘‘promote the prompt and accurate clearance 

and settlement of the products cleared by ICC, and 

. . . enhance ICC’s ability to assure the 

safeguarding of securities and funds which are in 

the custody or control of ICC or for which it is 

responsible’’). 

15 15 U.S.C. 78q–1(b)(3)(F). 

16 15 U.S.C. 78q–1(b)(3)(G). 

17 15 U.S.C. 78q–1(b)(3)(G). 

18 15 U.S.C. 78q–1(b)(3)(H). 

19 15 U.S.C. 78q–1(b)(3)(H). In addition, the 

Commission believes that ICC’s proposed correction 

of a typographical error in Schedule 702 of the 

Rules with respect to single names will enhance the 

clarity and procedural fairness of ICC’s assessment 

approach with respect to each single name Missed 

Submission. 

20 17 CFR 240.17Ad–22(e)(6)(iv). 

21 17 CFR 240.17Ad–22(e)(6)(iv). 

22 15 U.S.C. 78q–1(b)(3)(F), 15 U.S.C. 78q– 

1(b)(3)(G) and 15 U.S.C. 78q–1(b)(3)(H). 

23 17 CFR 240.17Ad–22(e)(6)(iv). 

24 15 U.S.C. 78s(b)(2). 

25 In approving the proposed rule change, the 

Commission considered the proposal’s impact on 

efficiency, competition, and capital formation. 15 

U.S.C. 78c(f). 

26 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

and collection of margin requirements 

that will account for Index Swaptions as 

part of its overall risk-based margin 

system and risk management processes 

which rely, in part, on the end-of-day 

prices submitted by ICC’s CPs.14

Moreover, the Commission believes 

these risks, if mismanaged, could 

threaten ICC’s ability to operate and 

therefore its ability to clear and settle 

transactions and safeguard funds. As a 

result, the Commission believes that the 

proposed changes should promote ICC’s 

ability to assure the safeguarding of 

securities and funds which are in the 

custody or control of ICC or for which 

it is responsible. 

Therefore, the Commission believes 

that the proposed rule change is 

consistent with Section 17A(b)(3)(F) of 

the Act.15

B. Consistency With Section 

17A(b)(3)(G) of the Act 

Section 17A(b)(3)(G) of the Act 

requires, among other things, that ICC’s 

rules provide that CPs shall be 

appropriately disciplined for violation 

of any provision of ICC’s rules by fine 

or other fitting sanction.16 As noted 

above, the proposed rule change would 

amend current Rule 702(e) and 

Schedule 702 of the Rules to impose an 

assessment amount on any CP that 

violates the ICC Procedures for 

submitting end-of-day prices with 

respect to Index Swaption Contracts. 

The Commission believes that this 

aspect of the proposed rule change 

should be an appropriate form of 

discipline for CPs that violate such price 

submission procedures for any reason 

other than technical failures that meet 

the waiver requirements of Rule 

702(e)(ii)(2). The Commission also 

believes that without an appropriate 

sanction that would deter CPs from 

committing Index Swaption Missed 

Submission Violations, the accuracy, 

integrity and reliability of ICC’s end-ofday price discovery process could be 

impaired. Therefore, the Commission 

believes that the proposed rule change 

is consistent with Section 17A(b)(3)(G) 

of the Act.17

C. Consistency With Section 

17A(b)(3)(H) of the Act 

Section 17A(b)(3)(H) of the Act 18

requires, among other things, that ICC’s 

rules, in general, provide a fair 

procedure with respect to the 

disciplining of participants. As noted 

above, the proposed rule change would 

provide a generally applicable process 

for requesting and reviewing waivers of 

the summary assessment amount for 

Index Swaption Missed Submissions. 

This proposed process is consistent 

with the processes currently set forth in 

Rule 702(e) for requesting and reviewing 

waivers for single name Missed 

Submissions and index Missed 

Submissions, which is another 

indication of procedural fairness and 

consistency with respect to disciplining 

CPs for Missed Submissions across all 

three types of CDS Contracts after ICC’s 

proposed launch of clearing Index 

Swaptions. For these reasons, the 

Commission believes that the proposed 

rule change is consistent with Section 

17A(b)(3)(H) of the Act.19

D. Consistency With Rule 17Ad– 

22(e)(6)(iv) Under the Act 

Rule 17Ad–22(e)(6)(iv) 20 requires 

each covered clearing agency to 

establish, implement, maintain, and 

enforce written policies and procedures 

reasonably designed to cover its credit 

exposures to its participants by 

establishing a risk-based margin system 

that, at a minimum, uses reliable 

sources of timely price data and uses 

procedures and sound valuation models 

for addressing circumstances in which 

pricing data are not readily available or 

reliable. The Commission believes the 

proposed rule change is reasonably 

designed to deter the occurrence of 

Index Swaption Missed Submissions 

that would undermine ICC’s ability to 

maintain the integrity and effectiveness 

of its end-of-day price discovery process 

for the provision of reliable prices, 

which could, in turn, be used to 

enhance ICC’s ability to establish and 

maintain risk-based margin 

requirements which rely, in part, on the 

end-of-day prices provided by CPs. The 

Commission believes that the proposed 

rule change is therefore consistent with 

Rule 17Ad–22(e)(6)(iv).21

IV. Conclusion 

On the basis of the foregoing, the 

Commission finds that the proposed 

rule change is consistent with the 

requirements of the Act, and in 

particular, with the requirements of 

Section 17A(b)(3)(F) of the Act, Section 

17A(b)(3)(G) of the Act, Section 

17A(b)(3)(H) of the Act 22 and Rule 

17Ad–22(e)(6)(iv) thereunder.23

It is therefore ordered pursuant to 

Section 19(b)(2) of the Act 24 that the 

proposed rule change (SR–ICC–2020– 

011), be, and hereby is, approved.25

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.26

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2020–26404 Filed 11–30–20; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–90503; File No. SR–MRX– 

2020–18] 

Self-Regulatory Organizations; Nasdaq 

MRX, LLC; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change To Amend Its Pricing 

Schedule at Options 7 for Orders 

Entered Into the Exchange’s Price 

Improvement Mechanism 

November 24, 2020. 

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 November 

13, 2020, Nasdaq MRX, LLC (‘‘MRX’’ or 

‘‘Exchange’’) filed with the Securities 

and Exchange Commission (‘‘SEC’’ or 

‘‘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. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to amend its 

Pricing Schedule at Options 7 in 

connection with the pricing for orders 


khammond on DSKJM1Z7X2PROD with NOTICES4