Federal Register / Vol. 83, No. 146 / Monday, July 30, 2018 / Notices 36635 

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

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 82549 

(January 19, 2018), 83 FR 3846. 

4 15 U.S.C. 78s(b)(2). 

5See Securities Exchange Act Release No. 82824, 

83 FR 10934 (March 13, 2018). The Commission 

designated April 26, 2018, as the date by which the 

Commission shall approve or disapprove, or 

institute proceedings to determine whether to 

disapprove, the proposed rule change. 

6See letters from: (1) Terence W. Norman, 

Founder, Blue Tractor Group, LLC, dated February 

6, 2018; (2) Simon P. Goulet, Co-Founder, Blue 

Tractor Group, LLC, dated February 13, 2018; (3) 

Todd J. Broms, Chief Executive Officer, Broms & 

Company LLC, dated February 16, 2018; (4) Kevin 

S. Haeberle, Associate Professor of Law, William & 

Mary Law School, dated February 16, 2018; and (5) 

Gary L. Gastineau, President, ETF Consultants.com, 

Inc., dated March 6, 2018. The comment letters are 

available at: https://www.sec.gov/comments/srnysearca-2018-04/nysearca201804.htm. 

7 15 U.S.C. 78s(b)(2)(B). 

8See Securities Exchange Act Release No. 83120, 

83 FR 19371 (May 2, 2018). 

9See letters from: (1) Terence W. Norman, 

Founder, Blue Tractor Group, LLC, dated May 8, 

2018 and (2) Kevin S. Haeberle, Associate Professor 

of Law, William & Mary Law School, dated June 6, 

2018. The comment letters are available on the 

Commission’s website at: https://www.sec.gov/ 

comments/sr-nysearca-2018-04/ 

nysearca201804.htm. 

10See Securities Exchange Act Release No. 83676. 

The Commission designated September 23, 2018, as 

the date by which the Commission must either 

approve or disapprove the proposed rule change. 

11 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3Securities Exchange Act Release No. 34–83456 

(June 18, 2018), 83 FR 29146 (June 22, 2018) (SR– 

LCH–2018–003) (‘‘Notice’’). 

4Capitalized terms used herein but not otherwise 

defined have the meaning set forth in the 

Framework and LCH SA rulebook, which is 

available at https://www.lch.com/system/files/ 

media_root/CDSClear_Rule_Book_04.01.2018.pdf. 

5Notice, 83 FR at 29146. 

LCH SA, a wholly owned subsidiary of LCH 

Group, manages its liquidity risk pursuant to, 

among other policies and procedures, the Group 

Liquidity Risk Policy and the Group Liquidity Plan 

applicable to each entity within LCH Group. 

In addition to its CDSClear service, LCH SA 

provides clearing services in connection with cash 

equities and derivatives listed for trading on 

Euronext (EquityClear), commodity derivatives 

listed for trading on Euronext (CommodityClear), 

and tri-party Repo transactions (RepoClear). 

d. Annual Burden Hours: 334 hours. 

General Description of Collection: The 

Peace Corps uses the Coverdell World 

Wise Schools Connections Forms to 

collect essential administrative 

information from educators and group 

leaders to use to facilitate connection 

with current/returned Peace Corps 

Volunteers. These forms are the first 

point of contact with the participating 

educator. It is Paul D. Coverdell World 

Wise Schools’ fundamental source of 

information from educators. 

Request for Comment: Peace Corps 

invites comments on whether the 

proposed collections of information are 

necessary for proper performance of the 

functions of the Peace Corps, including 

whether the information will have 

practical use; the accuracy of the 

agency’s estimate of the burden of the 

proposed collection of information, 

including the validity of the information 

to be collected; and, ways to minimize 

the burden of the collection of 

information on those who are to 

respond, including through the use of 

automated collection techniques, when 

appropriate, and other forms of 

information technology. 

This notice is issued in Washington, DC, 

on May 23, 2018. 

Virginia Burke, 

FOIA/Privacy Act Officer, Management. 

[FR Doc. 2018–16150 Filed 7–27–18; 8:45 am] 

BILLING CODE 6051–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–83692; File No. SR– 

NYSEArca–2018–04] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Notice of Withdrawal of a 

Proposed Rule Change To Adopt a 

New NYSE Arca Rule 8.900–E and To 

List and Trade Shares of the Royce 

Pennsylvania ETF, Royce Premier ETF, 

and Royce Total Return ETF Under 

Proposed NYSE Arca Equities Rule 

8.900–E 

July 24, 2018. 

On January 8, 2018, NYSE Arca, Inc. 

(‘‘Exchange’’) 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 

adopt new NYSE Arca Rule 8.900–E to 

permit it to list and trade Managed 

Portfolio Shares. The Exchange also 

proposed to list and trade shares of 

Royce Pennsylvania ETF, Royce Premier 

ETF, and Royce Total Return ETF under 

proposed NYSE Arca Rule 8.900–E. The 

proposed rule change was published for 

comment in the Federal Register on 

January 26, 2018.3 On March 7, 2018, 

pursuant to Section 19(b)(2) of the Act,4

the Commission designated a longer 

period within which to approve the 

proposed rule change, disapprove the 

proposed rule change, or institute 

proceedings to determine whether to 

disapprove the proposed rule change.5

The Commission received five comment 

letters on the proposed rule change.6 On 

April 26, 2018, the Commission 

instituted proceedings under Section 

19(b)(2)(B) of the Act 7 to determine 

whether to approve or disapprove the 

proposed rule change.8 Thereafter, the 

Commission received two additional 

comments on the proposed rule 

change.9 On July 20, 2018, the 

Commission designated a longer period 

for action on the proposed rule 

change.10

On July 20, 2018, the Exchange 

withdrew the proposed rule change 

(SR–NYSEArca–2018–04). 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.11

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2018–16169 Filed 7–27–18; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–83691; File No. SR–LCH 

SA–2018–003] 

Self-Regulatory Organizations; LCH 

SA; Order Approving Proposed Rule 

Change Relating to Liquidity Risk 

Management 

July 24, 2018. 

I. Introduction 

On June 4, 2018, 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 (the ‘‘Proposed 

Rule Change’’) to amend its Risk 

Management Procedures (the 

‘‘Procedures’’) to adopt a Liquidity Risk 

Modelling Framework (the 

‘‘Framework’’). The proposed rule 

change was published for comment in 

the Federal Register on June 22, 2018.3

The Commission has not received any 

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 

The Framework 4 describes the 

Liquidity Stress Testing framework by 

which the Collateral and Liquidity Risk 

Management department (‘‘CaLRM’’) of 

LCH Group Holdings Limited (‘‘LCH 

Group’’) assures that LCH SA has 

enough cash available to meet any 

financial obligations, both expected and 

unexpected, that may arise over the 

liquidation period for each of the 

clearing services that LCH SA offers.5

The Framework compliments other 

policies and procedures LCH uses to 


daltland on DSKBBV9HB2PROD with NOTICES
36636 Federal Register / Vol. 83, No. 146 / Monday, July 30, 2018 / Notices 

6Notice, 83 FR 29146–29147. 

7Notice, 83 FR 29147. 

8 Id. 

9LCH SA has an interoperability agreement with 

CC&G, an Italian CCP, pursuant to which LCH SA’s 

clearing members and CC&G’s clearing members are 

able to benefit from common clearing services 

without having to join the other CCP. Each CCP is 

a clearing member of the other one with a particular 

status when accessing the clearing system of the 

other counterparty. 

10Notice, 83 FR 29147. 

11 Id. Securities comprising non-cash collateral 

are comprised of the following components: (i) 

Margin collateral, i.e., non-cash collateral pledged 

by clearing members for margin cover; (ii) Collateral 

and Liquidity Management (‘‘CaLM’’) collateral, i.e., 

direct securities holdings that are part of the 

CaLRM’s investment activities; and (iii) clearing 

settlement collateral, i.e., collateral resulting from 

the physical settlement of contracts on behalf of a 

defaulting clearing member. 

12Notice, 83 FR 29147. 

13 Id. 

14 Id. 

15Notice, 83 FR 29147, n.6. 

16Notice, 83 FR 29147, n.6. 

17Notice, 83 FR 29147. 

18 Id. 

19 Id. 

20Notice, 83 FR 29147. 

21 Id. 

22 Id. 23 Id. 24 Id. 25Notice, 83 FR 29147. 26 Id. 27 Id. 28 Id. 29 Id. 

manage its liquidity risk, i.e., the risk 

that LCH SA will not have enough cash 

available, in extreme but plausible 

circumstances, to settle margin 

payments or delivery obligations when 

they become due, in particular upon the 

default of a clearing member.6 Such 

policies and procedures include, among 

others: (i) The Group Liquidity Risk 

Policy; (ii) the Group Liquidity Plan; 

(iii) the Group Financial Resource 

Adequacy Plan; (iv) the Group Collateral 

Risk Policy; (v) the Group Investment 

Risk Policy; and (vi) the LCH SA 

Collateral Control Framework.7 The 

Framework complements these existing 

policies and procedures and develops 

further the Group Liquidity Risk 

Policy.8

The Framework: (i) Identifies LCH 

SA’s sources of liquidity and 

corresponding liquidity risks; (ii) 

identifies LCH SA’s liquidity 

requirements with respect to its 

members and its interoperable central 

counterparty (‘‘CCP’’), Cassa di 

Compensazione e Garanzia (‘‘CC&G’’); 9

(iii) describes the metrics and limits that 

LCH SA monitors regarding liquidity 

risk; and (iv) describes the scenarios 

under which these metrics are 

computed.10

The proposed Framework identifies 

the main sources of liquidity available 

to LCH SA, including cash and non-cash 

collateral, and assigns non-cash 

collateral to one of three tiers.11 Tier 1 

assets are limited to those securities that 

are deemed to be of sufficient quality 

and demand to generate liquidity at 

little or no loss in the event of a default 

of a clearing member or a major market 

stress.12 LCH SA is able to pledge these 

securities to the Banque de France to 

generate cash on the same day.13 Only 

Tier 1 assets are included as liquidity 

resources in liquidity stress testing.14

Tier 2 assets are those securities that 

have a market and may be financed but 

are of lesser quality than Tier 1 assets.15

Tier 3 assets are deemed to have little 

or no liquidity value in the event of a 

default or major market stress or are 

deemed to be too illiquid to be 

converted in the timeframe that a CCP 

would require.16

The Framework highlights the three 

principal categories under which LCH 

SA would require liquidity: (i) The 

default of one or more clearing 

members; (ii) the default of CC&G; and 

(iii) operational liquidity needs.17

Liquidity needs arising from clearing 

members’ defaults are those needs 

arising from fulfilment of the settlement 

of the securities of the defaulted 

clearing member(s); posting of variation 

margin to non-defaulting members on 

the positions held by the defaulted 

clearing member(s); the value of bonds 

pledged at the Banque de France; 

haircuts by the European Central Bank 

on securities posted by the defaulting 

Clearing Member; and investment 

losses.18

Liquidity needs arising from the 

default of CC&G are those needs arising 

from the service closure of the Italian 

clearing activity, including 

reimbursement of the margins and 

default funds related to the Italian 

clearing activity and cash settlement of 

the Italian repo positions.19

Operational liquidity needs relate to 

the operational management of LCH SA 

in a stressed environment that does not 

lead to a member’s default. Such a 

liquidity requirement may arise from a 

number of factors, including the need to 

repay excess cash posted by members, 

the need to repay margin when margin 

requirements are reduced, and the 

substitution of cash collateral and 

European Central Bank eligible 

securities.20

The proposed Framework describes 

the metrics used to determine LCH SA’s 

liquidity needs, which are calculated 

each day over a five-day period. These 

metrics include: (i) The liquidity 

coverage ratio; (ii) a monthly rolling 

average liquidity buffer; (iii) a daily 

minimum liquidity buffer; and (iv) 

required cash collateral.21 Moreover, the 

Framework describes how the liquidity 

coverage ratio, monthly rolling average 

liquidity buffer, and daily minimum 

liquidity buffer are reported to LCH SA 

senior management daily. 

With respect to the liquidity coverage 

ratio, the Framework explains how the 

liquidity coverage ratio is determined 

for each of the clearing services that 

LCH SA offers in a Cover 2 scenario, i.e., 

the liquidity risk arising from the 

default of at least two clearing group 

members to which LCH SA has the 

largest exposures during the 5 days 

following default.22 The Cover 2 amount 

is computed by aggregating the liquidity 

risks related to clearing members within 

the same group across all of LCH SA’s 

services.23 The two largest group 

members are chosen according to the 

liquidity needs related to these 

members.24 These liquidity 

requirements are generated by 

settlement risk, market risk, and ECB 

haircuts.25 For the CDSClear service, 

LCH SA determines the liquidity risk by 

considering variation margin modelled 

at member level by applying the most 

punitive CDS spread widening stress 

scenario for both ITraxx Main and 

CrossOver (currently the historical 

scenario considering the 2007 crisis).26

The liquidity coverage ratio also 

considers the provision of liquidity to 

facilitate settlement including fails, 

such as delays in posting securities by 

members. The Framework focuses on 

the principal risks for which LCH SA 

must assure that it has sufficient 

liquidity.27

Finally, the Framework describes the 

reverse stress test that LCH SA runs at 

least quarterly. The reverse stress test is 

designed to help determine the limits of 

LCH SA’s liquidity models and of the 

Framework by modelling extreme 

market conditions that go beyond what 

are considered plausible market 

conditions over a 5-day time horizon.28

The Framework stresses seven risk 

factors independently, and also 

considers these risk factors together in 

two combined reverse stress test 

scenarios, the Behavioural and Macroeconomic.29

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 


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Federal Register / Vol. 83, No. 146 / Monday, July 30, 2018 / Notices 36637 

30 15 U.S.C. 78s(b)(2)(C). 

31 15 U.S.C. 78q–1(b)(3)(F). 

32 17 CFR 240.17Ad–22(e)(7)(i), (vi). 

33 15 U.S.C. 78q–1(b)(3)(F). 

34 15 U.S.C. 78q–1(b)(3)(F). 

35 17 CFR 240.17Ad–22(e)(7)(i). 

rules and regulations thereunder 

applicable to such organization.30 For 

the reasons given below, the 

Commission finds that the proposed 

rule change is consistent with Section 

17A(b)(3)(F) of the Act 31 and Rules 

17Ad–22(e)(7)(i) and (vi) thereunder.32

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, 

as well as to assure the safeguarding of 

securities and funds which are in the 

custody or control of LCH SA or for 

which it is responsible, and, in general, 

to protect investors and the public 

interest.33

The Framework would assess the 

sources of LCH SA’s liquidity needs, 

including the liquidity needs arising 

from the default of one or more clearing 

members and liquidity needs arising 

from LCH SA operating in a stressed 

environment that does not lead to a 

member’s default. The Framework 

would also identify the sources of 

liquidity that LCH SA may use to satisfy 

those needs, describe the metrics LCH 

SA would use to quantify those 

liquidity needs, and the tests and 

reports LCH SA would use to confirm 

that its sources of liquidity can satisfy 

those liquidity needs. 

The Commission believes that by 

setting out in advance the liquidity 

needs of LCH SA in stressed market 

conditions, including member defaults 

and stressed environments not leading 

to member defaults and identifying 

sources of liquidity to meet those needs, 

the Framework would increase the 

likelihood that LCH SA would have the 

liquid resources necessary to continue 

operations in such stressed market 

conditions. Specifically, the 

Commission believes that by enabling 

LCH SA to quantify its liquidity needs 

and confirm that its sources of liquidity 

can satisfy those liquidity needs, the 

Framework would allow LCH SA to 

determine whether it has sufficient 

resources to meet all of its current and 

future liquidity needs. The Commission 

believes that this would, in turn, 

enhance LCH SA’s ability to avoid any 

potential disruptions to its operations 

caused by unmet liquidity needs, 

especially in stressed market conditions, 

including member defaults and stressed 

environments not leading to member 

defaults. 

The Commission therefore believes 

that the Framework would increase the 

likelihood that LCH SA can continue to 

provide clearing services without 

disruption in times of member default 

or other stressed market conditions not 

leading to member default. The 

Commission finds that this, in turn, 

would promote the prompt and accurate 

clearance and settlement of securities 

transactions by reducing the likelihood 

of a disruption to LCH SA’s operations 

arising from a liquidity need. Similarly, 

the Commission believes the Framework 

would help assure the safeguarding of 

securities and funds which are in the 

custody or control of LCH SA or for 

which it is responsible by increasing the 

likelihood that LCH SA can avoid 

disruptions to its operations which 

could impede access to such securities 

and funds. For both of these reasons, the 

Commission also believes that the 

Framework would, in general, protect 

investors and the public interest. 

Therefore, the Commission finds that 

the proposed rule change would 

promote the prompt and accurate 

clearance and settlement of securities 

transactions, assure the safeguarding of 

securities and funds in LCH SA’s 

custody and control, and, in general, 

protect investors and the public interest, 

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

of the Act.34

B. Consistency With Rule 17Ad– 

22(e)(7)(i) of the Act 

Rule 17Ad–22(e)(7)(i) requires that 

LCH SA establish, implement, maintain 

and enforce written policies and 

procedures reasonably designed to 

effectively measure, monitor, and 

manage the liquidity risk that arises in 

or is borne by LCH SA, including 

measuring, monitoring, and managing 

its settlement and funding flows on an 

ongoing and timely basis, and its use of 

intraday liquidity by maintaining 

sufficient liquid resources at the 

minimum in all relevant currencies to 

effect same-day and, where appropriate, 

intraday and multiday settlement of 

payment obligations with a high degree 

of confidence under a wide range of 

foreseeable stress scenarios that 

includes, but is not limited to, the 

default of the participant family that 

would generate the largest aggregate 

payment obligation for LCH SA in 

extreme but plausible market 

conditions.35

As discussed above, the Framework 

would assess the sources of LCH SA’s 

liquidity needs, including the liquidity 

needs arising from the default of one or 

more clearing members and liquidity 

needs arising from LCH SA operating in 

a stressed environment that does not 

lead to a member’s default. The 

Framework would also identify the 

sources of liquidity that LCH SA would 

use to satisfy those needs, describe the 

metrics LCH SA would use to quantify 

its liquidity needs, and the tests and 

reports LCH SA would use to confirm 

that its sources of liquidity can satisfy 

those liquidity needs. These metrics 

would include: (i) The liquidity 

coverage ratio; (ii) a monthly rolling 

average liquidity buffer; (iii) a daily 

minimum liquidity buffer; and (iv) 

required cash collateral. With respect to 

the liquidity coverage ratio, the 

Framework would explain how the 

liquidity coverage ratio is determined 

for each of the clearing services that 

LCH SA offers in a Cover 2 scenario, i.e., 

the liquidity risk arising from the 

default of at least two clearing group 

members to which LCH SA has the 

largest exposures during the 5 days 

following default. Finally, the 

Framework would describe how these 

metrics are calculated for each day over 

a maximum 5 day liquidity period and 

how the liquidity coverage ratio, 

monthly rolling average liquidity buffer, 

and daily minimum liquidity buffer 

would be reported to LCH SA senior 

management daily. 

The Commission believes that the 

metrics provided by the Framework 

would enhance LCH SA’s ability to 

measure, monitor, and manage the 

liquidity risk that arises in or is borne 

by LCH SA. The Commission believes 

that, for example, by reviewing its 

liquidity coverage ratio, monthly rolling 

average liquidity buffer, and daily 

minimum liquidity buffer on a daily 

basis, LCH SA would be able to 

anticipate future liquidity needs and 

potential shortfalls. Moreover, because 

the liquidity coverage ratio considers 

the provision of liquidity to facilitate 

settlement, including fails as delays in 

posting securities by members, the 

Commission believes that review of the 

ratio would improve LCH SA’s ability to 

manage the liquidity needs arising from 

the settlement of transactions. The 

Commission therefore believes that the 

Framework would facilitate LCH SA’s 

ability to measure, monitor, and manage 

the liquidity risk that arises in or is 

borne by LCH SA, including measuring, 

monitoring, and managing its settlement 

and funding flows on an ongoing and 


daltland on DSKBBV9HB2PROD with NOTICES
36638 Federal Register / Vol. 83, No. 146 / Monday, July 30, 2018 / Notices 

36 17 CFR 240.17Ad–22(e)(7)(i). 

37 17 CFR 240.17Ad–22(e)(7)(i). 

38 17 CFR 240.17Ad–22(e)(7)(vi). 

39 17 CFR 240.17Ad–22(e)(7)(vi). 

40 15 U.S.C. 78q–1(b)(3)(F). 

41 17 CFR 240.17Ad–22(e)(7)(i), (vi). 

42 In approving the proposed rule change, the 

Commission considered the proposal’s impacts on 

efficiency, competition, and capital formation. 15 

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

43 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

timely basis, and its use of intraday 

liquidity. 

Moreover, by using the liquidity ratio 

to determine in advance the liquidity 

needs of LCH SA arising from the 

default of at least two clearing group 

members to which LCH SA has the 

largest exposures during the 5 days 

following default, the Commission 

believes the Framework would enhance 

LCH SA’s ability to determine whether 

it has sufficient resources to meet its 

liquidity needs should such a default 

occur. The Commission believes that 

this would, in turn, enable LCH SA to 

avoid any potential disruptions to its 

operations caused by such liquidity 

needs arising from such a default. The 

Commission therefore believes that the 

Framework would enable LCH SA to 

maintain sufficient liquid resources to 

effect settlement of its payment 

obligations under a wide range of 

foreseeable stress scenarios, including 

the default of the participant family that 

would generate the largest aggregate 

payment obligation for LCH SA in 

extreme but plausible market 

conditions. 

Therefore, for the above reasons the 

Commission finds that the proposed 

rule change is consistent with Rule 

17Ad–22(e)(7)(i).36

C. Consistency With Rule 17Ad– 

22(e)(7)(vi) of the Act 

Rule 17Ad–22(e)(7)(vi) requires that 

LCH SA establish, implement, maintain 

and enforce written policies and 

procedures reasonably designed to 

effectively measure, monitor, and 

manage the liquidity risk that arises in 

or is borne by LCH SA, including 

measuring, monitoring, and managing 

its settlement and funding flows on an 

ongoing and timely basis, and its use of 

intraday liquidity by determining the 

amount and regularly testing the 

sufficiency of the liquid resources held 

for purposes of meeting the minimum 

liquid resource requirement under Rule 

17Ad–22(e)(7)(i) 37 by, among other 

things, conducting stress testing of its 

liquidity resources at least once each 

day using standard and predetermined 

parameters and assumptions.38

As discussed above, the Framework 

would describe the metrics LCH SA 

would use to quantify its liquidity 

needs, and the tests and reports LCH SA 

would use to confirm that its sources of 

liquidity can satisfy those liquidity 

needs. These metrics would include: (i) 

The liquidity coverage ratio; (ii) a 

monthly rolling average liquidity buffer; 

(iii) a daily minimum liquidity buffer; 

and (iv) required cash collateral. The 

Framework would describe how these 

metrics would be calculated for each 

day over a maximum of a 5 day liquidity 

period and how the liquidity coverage 

ratio, monthly rolling average liquidity 

buffer, and daily minimum liquidity 

buffer would be reported to LCH SA 

senior management daily. 

The Commission believes that the 

metrics provided by the Framework 

would help LCH SA determine the 

amount and regularly test the 

sufficiency of LCH SA’s liquid 

resources. The Commission believes 

that the liquidity coverage ratio, for 

example, would provide LCH SA senior 

management a view to LCH SA’s 

liquidity needs in stressed conditions 

arising from a default of at least two 

clearing group members to which LCH 

SA has the largest exposures. As 

discussed above, the Framework would 

require the calculation and reporting of 

the liquidity coverage ratio daily. The 

Commission believes the other metrics 

described above would similarly test, 

and provide LCH SA senior 

management insight regarding, the 

sufficiency of LCH SA’s liquid 

resources. 

For the above reasons, the 

Commission therefore finds that the 

proposed rule change is consistent with 

Rule 17Ad–22(e)(7)(vi).39

III. 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, Section 17A(b)(3)(F) of the 

Act 40 and Rules 17Ad–22(e)(7)(i) and 

(vi) thereunder.41

It is therefore ordered pursuant to 

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

proposed rule change (SR–LCH SA– 

2018–003) be, and hereby is, 

approved.42

For the Commission by the Division of 

Trading and Markets, pursuant to delegated 

authority.43

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2018–16168 Filed 7–27–18; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–83700; File No. SR–BX– 

2018–033] 

Self-Regulatory Organizations; Nasdaq 

BX, Inc.; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change To Adopt a Rule 

Concerning Handling of No Bid 

Options and To Clarify the Operation 

of Chapter V, Section 3, Entitled 

‘‘Trading Halts’’ 

July 24, 2018. 

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

Securities Exchange Act of 1934 

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

notice is hereby given that on July 13, 

2018 Nasdaq BX, Inc. (‘‘BX’’ 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 

Chapter V, Section 3, entitled ‘‘Trading 

Halts’’ and Chapter VI, Section 6, 

entitled ‘‘Acceptance of Quotes and 

Orders.’’ 

The text of the proposed rule change 

is available on the Exchange’s website at 

http://nasdaqbx.cchwallstreet.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 aspects of such 

statements. 


daltland on DSKBBV9HB2PROD with NOTICES