Federal Register / Vol. 85, No. 235 / Monday, December 7, 2020 / Notices 78887 

bears to $600’’ is $2,209 for months in 

calendar year 2021; 

12. The maximum daily benefit rate 

under section 2(a)(3) of the Act is $82 

with respect to days of unemployment 

and days of sickness in registration 

periods beginning after June 30, 2021. 

Surcharge Rate 

A surcharge is added in the 

calculation of each employer’s 

contribution rate, subject to the 

applicable maximum rate, for a calendar 

year whenever the balance to the credit 

of the RUI Account on the preceding 

June 30 is less than the greater of $100 

million or the amount that bears the 

same ratio to $100 million as the system 

compensation base for that June 30 

bears to the system compensation base 

as of June 30, 1991. If the RUI Account 

balance is less than $100 million (as 

indexed), but at least $50 million (as 

indexed), the surcharge will be 1.5 

percent. If the RUI Account balance is 

less than $50 million (as indexed), but 

greater than zero, the surcharge will be 

2.5 percent. The maximum surcharge of 

3.5 percent applies if the RUI Account 

balance is less than zero. 

The ratio of the June 30, 2020 system 

compensation base of $4,071,144,777.80 

to the June 30, 1991 system 

compensation base of $2,763,287,237.04 

is 1.47329772. Multiplying 1.47329772 

by $100 million yields $147,329,772.00. 

Multiplying $50 million by 1.47329772 

produces $73,664,886.00. The Account 

balance on June 30, 2020, was 

$53,715,608.16. Accordingly, the 

surcharge rate for calendar year 2021 is 

2.5 percent. 

Monthly Compensation Base 

For years after 1988, section 1(i) of the 

Act contains a formula for determining 

the monthly compensation base. Under 

the prescribed formula, the monthly 

compensation base increases by 

approximately two-thirds of the 

cumulative growth in average national 

wages since 1984. The monthly 

compensation base for months in 

calendar year 2021 shall be equal to the 

greater of (a) $600 or (b) $600 [1 + {(A— 

37,800)/56,700}], where A equals the 

amount of the applicable base with 

respect to tier 1 taxes for 2021 under 

section 3231(e)(2) of the Internal 

Revenue Code of 1986. Section 1(i) 

further provides that if the amount so 

determined is not a multiple of $5, it 

shall be rounded to the nearest multiple 

of $5. 

Using the calendar year 2021 tier 1 tax 

base of $142,800 for A above produces 

the amount of $1,711.11, which must 

then be rounded to $1,710. Accordingly, 

the monthly compensation base is 

determined to be $1,710 for months in 

calendar year 2021. 

Amounts Related to Changes in 

Monthly Compensation Base 

For years after 1988, sections 1(k), 3, 

4(a–2)(i)(A) and 2(c) of the Act contain 

formulas for determining amounts 

related to the monthly compensation 

base. 

Under section 1(k), remuneration 

earned from employment covered under 

the Act cannot be considered subsidiary 

remuneration if the employee’s base 

year compensation is less than 2.5 times 

the monthly compensation base for 

months in such base year. Under section 

3, an employee shall be a ‘‘qualified 

employee’’ if his/her base year 

compensation is not less than 2.5 times 

the monthly compensation base for 

months in such base year. Under section 

4(a–2)(i)(A), an employee who leaves 

work voluntarily without good cause is 

disqualified from receiving 

unemployment benefits until he has 

been paid compensation of not less than 

2.5 times the monthly compensation 

base for months in the calendar year in 

which the disqualification ends. 

Multiplying 2.5 by the calendar year 

2021 monthly compensation base of 

$1,710 produces $4,275.00. 

Accordingly, the amount determined 

under sections 1(k), 3 and 4(a–2)(i)(A) is 

$4,275.00 for calendar year 2021. 

Under section 2(c), the maximum 

amount of normal benefits paid for days 

of unemployment within a benefit year 

and the maximum amount of normal 

benefits paid for days of sickness within 

a benefit year shall not exceed an 

employee’s compensation in the base 

year. In determining an employee’s base 

year compensation, any money 

remuneration in a month not in excess 

of an amount that bears the same ratio 

to $775 as the monthly compensation 

base for that year bears to $600 shall be 

taken into account. 

The calendar year 2021 monthly 

compensation base is $1,710. The ratio 

of $1,710 to $600 is 2.85000000. 

Multiplying 2.85000000 by $775 

produces $2,209. Accordingly, the 

amount determined under section 2(c) is 

$2,209 for months in calendar year 

2021. 

Maximum Daily Benefit Rate 

Section 2(a)(3) contains a formula for 

determining the maximum daily benefit 

rate for registration periods beginning 

after June 30, 1989, and after each June 

30 thereafter. Legislation enacted on 

October 9, 1996, revised the formula for 

indexing maximum daily benefit rates. 

Under the prescribed formula, the 

maximum daily benefit rate increases by 

approximately two-thirds of the 

cumulative growth in average national 

wages since 1984. The maximum daily 

benefit rate for registration periods 

beginning after June 30, 2021, shall be 

equal to 5 percent of the monthly 

compensation base for the base year 

immediately preceding the beginning of 

the benefit year. Section 2(a)(3) further 

provides that if the amount so computed 

is not a multiple of $1, it shall be 

rounded down to the nearest multiple of 

$1. 

The calendar year 2020 monthly 

compensation base is $1,655. 

Multiplying $1,655 by 0.05 yields 

$82.75. Accordingly, the maximum 

daily benefit rate for days of 

unemployment and days of sickness 

beginning in registration periods after 

June 30, 2021, is determined to be $82. 

By Authority of the Board. 

Stephanie Hillyard, 

Secretary to the Board. 

[FR Doc. 2020–26829 Filed 12–4–20; 8:45 am] 

BILLING CODE 7905–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

Sunshine Act Meetings 

TIME AND DATE: Notice is hereby given, 

pursuant to the provisions of the 

Government in the Sunshine Act, Public 

Law 94–409, the Securities and 

Exchange Commission will hold an 

Open Meeting on Wednesday, December 

9, 2020 at 10:00 a.m. 

PLACE: The meeting will be webcast on 

the Commission’s website at 

www.sec.gov. 

STATUS: This meeting will begin at 10:00 

a.m. (ET) and will be open to the public 

via audio webcast only on the 

Commission’s website at www.sec.gov. 

MATTERS TO BE CONSIDERED: The 

Commission will consider whether to 

adopt a new rule and rule amendments 

to modernize the national market 

system for the collection, consolidation, 

and dissemination of information with 

respect to quotations for and 

transactions in national market system 

(‘‘NMS’’) stocks (‘‘NMS information’’). 

Specifically, the Commission will 

consider whether to expand the content 

of NMS information that is required to 

be collected, consolidated, and 

disseminated as part of the national 

market system under Regulation NMS 

and whether to amend the method by 

which such NMS information is 

collected, calculated, and disseminated 

by fostering a competitive environment 

for the dissemination of NMS 

information via a decentralized 


khammond on DSKJM1Z7X2PROD with NOTICES
78888 Federal Register / Vol. 85, No. 235 / Monday, December 7, 2020 / Notices 

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 LCH SA CDS 

Clearing Rule Book, Supplement, Procedures, or the 

Framework as applicable. 

4See Notice infra note 5, 85 FR at 68935. 

5Self-Regulatory Organizations; LCH SA; Notice 

of Filing of Proposed Rule Change Relating to the 

Amendments of LCH SA Risk Liquidity Modeling 

Framework, Exchange Act Release No. 90270 

(October 26, 2020), 85 FR 68935 (October 30, 2020) 

(SR–LCH SA–2020–006) (‘‘Notice’’). 

6See Notice, 85 FR at 68936. 

7 Id. 

8 Id. 

9 Id. 

10 Id. 

11 Id. 

12 Id. 

13 Id. 

14 15 U.S.C. 78s(b)(2)(C). 

15 15 U.S.C. 78q–1(b)(3)(F). 

16 17 CFR 240.17Ad–22(e)(7)(i). 

17 15 U.S.C. 78q–1(b)(3)(F). 

consolidation model with competing 

consolidators. 

CONTACT PERSON FOR MORE INFORMATION: 

For further information and to ascertain 

what, if any, matters have been added, 

deleted or postponed, please contact 

Vanessa A. Countryman, Office of the 

Secretary, at (202) 551–5400. 

Dated: December 2, 2020. 

Vanessa A. Countryman, 

Secretary. 

[FR Doc. 2020–26899 Filed 12–3–20; 11:15 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–90541; File No. SR–LCH 

SA–2020–006] 

Self-Regulatory Organizations; LCH 

SA; Order Approving Proposed Rule 

Change Relating to the Amendments 

to LCH SA’s Liquidity Risk Modelling 

Framework 

December 1, 2020. 

I. Introduction 

On October 20, 2020, Banque Centrale 

de Compensation, which conducts 

business under the name LCH SA (‘‘LCH 

SA’’), filed with the Securities and 

Exchange Commission (‘‘Commission’’), 

pursuant to Section 19(b)(1) of the 

Securities Exchange Act of 1934 

(‘‘Act’’) 1 and Rule 19b–4 thereunder,2 a 

proposed rule change to amend its 

Liquidity Risk Modelling Framework 

(the ‘‘Framework’’) 3 with respect to the 

assignment and exercise of equity 

American options.4 The Proposed Rule 

Change was published for comment in 

the Federal Register on October 30, 

2020.5 The Commission did not receive 

comments on the proposed rule change. 

For the reasons discussed below, the 

Commission is approving the proposed 

rule change. 

II. Description of the Proposed Rule 

Change 

LCH SA is proposing to amend the 

Framework in order to address more 

accurately its liquidity requirements 

arising from the physical settlement of 

equity American options involving a 

defaulting clearing member during any 

liquidation of such clearing member. 

The current Framework accounts for 

liquidity provision related to the risk of 

assignment and exercise of equity 

American options and equity European 

options at expiration.6 Given that equity 

American options can be exercised 

before their expiration dates (referred to 

below as ‘‘expiry’’), LCH SA represented 

that there is a resulting funding risk 

with respect to the exercise of equity 

American options prior to expiry during 

the liquidation period of a defaulting 

clearing member that needs to be 

modelled and accounted for in its daily 

liquidity coverage ratio (‘‘LCR’’) 

calculation.7

The LCR is the ratio of available assets 

over the liabilities of LCH SA under the 

stressed scenario of the default of the 

two largest clearing members (‘‘Cover 2 

scenario’’), based on their liquidity 

needs.8 On a daily basis, the LCR 

calculation identifies all of the potential 

option positions that are in the money 

or at the money on that day and the next 

business day.9 Given the potential 

option exercise, the LCR calculation 

generates a liquidity need.10 LCH SA 

represented that the proposed rule 

change would be an enhancement to the 

current Framework to address the 

funding risk posed by the potential 

exercise of an equity American option at 

any time before expiry when the two 

largest clearing members in terms of 

liquidity needs may face liquidity 

issues.11

To address this risk, LCH SA is 

proposing specific modifications to the 

Framework that would enable its LCR 

calculation to generate an enhanced 

liquidity need in a Cover 2 scenario 

involving the physical settlement of 

equity American options. The proposed 

rule change would replace the term 

‘‘expiry’’ with the term ‘‘exercise’’ in 

both section 5.3.1.3 (Cash Equity) and 

section 5.3.4 (Cover 2 selection, Cash 

Equity Settlement Liquidity 

Requirement) to account for equity 

settlements arising from the options’ 

exercise, rather than their expiry. The 

proposed rule change would also revise 

the assumption about when equity 

American options are considered to be 

exercised, which is set forth in the 

‘‘Options Expiry’’ paragraph of section 

5.3.1.3 of the Framework. In that 

paragraph, the proposed rule change 

would replace the term ‘‘at expiry’’ with 

the phrase ‘‘any time by defaulting 

members in order to raise liquidity.’’ 12

In practice, LCH SA represents that 

the process under the amended 

Framework will work as follows on a 

daily basis: 

• The liquidity needs arising from the 

equity American options that are in the 

money or at the money will be 

computed, without applying a stress 

scenario to the equities. 

• The liquidity needs from the equity 

American options that are in the money 

or at the money will be computed, by 

applying a stress scenario to the 

equities. 

• LCH SA will select the positions 

consistent with the two largest clearing 

members in terms of liquidity needs for 

both modes described above and will 

retain the most punitive one. 

• This liquidity amount that LCH SA 

will potentially need for the settlement 

of equity American options (i.e., the 

most punitive amount identified in the 

previous bullet) will then be added to 

the current cash equity settlement 

amount in the LCR.13

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 the proposed 

rule change is consistent with the 

requirements of the Act and the rules 

and regulations thereunder applicable to 

the organization.14 For the reasons given 

below, the Commission finds that the 

proposed rule change is consistent with 

Section 17A(b)(3)(F) of the Act 15 and 

Rule 17Ad–22(e)(7)(i) thereunder.16

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 LCH SA be designed to promote 

the prompt and accurate clearance and 

settlement of securities transactions 

and, to the extent applicable, derivative 

agreements, contracts, and transactions, 

to assure the safeguarding of securities 

and funds which are in the custody or 

control of LCH SA or for which it is 

responsible.17

As described above, the proposed rule 

change would amend the Framework 

with specific changes in order to 

address more accurately LCH SA’s 


khammond on DSKJM1Z7X2PROD with NOTICES