4066 Federal Register / Vol. 87, No. 17 / Wednesday, January 26, 2022 / Notices 

31As approved by the Approved Proposal, an 

immediate execution will occur where a Periodic 

Auction Only Order and Continuous Book Order 

are at the same price. 

32See supra text following note 31. 

33 15 U.S.C. 78s(b)(2). 

34 15 U.S.C. 78s(b)(2). 

35 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

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

4 17 CFR 240.19b–4(f)(4)(i). 

Periodic Auctions without negatively 

affecting their utility and therefore the 

Commission believes this proposal is 

consistent with the protection of 

investors and the public interest. The 

Commission believes that the new 

provision that allows a Periodic Auction 

Eligible Order entered with a minimum 

execution quantity to initiate a Periodic 

Auction upon entry only where a single 

contra-side Periodic Auction Order 

satisfies the specified minimum size 

clarifies the operation of Periodic 

Auctions and therefore is consistent 

with the protection of investors and the 

public interest. Lastly, the Commission 

finds that the Aggressive PAO Change is 

consistent with Section 6(b)(5) of the 

Act.31 The Commission believes that 

this discrete change may incentivize 

entry of aggressively priced Periodic 

Auction Only Orders and should in this 

particular circumstance improve the 

opportunity for price improvement for 

incoming orders, which is consistent 

with the removal of impediments to and 

perfection of the mechanism of a free 

and open market and a national market 

system, the promotion of just and 

equitable principles of trade, and the 

protection of investors and the public 

interest. 

III. Solicitation of Comments on 

Amendment No. 2 to the Proposed Rule 

Change 

Interested persons are invited to 

submit written data, views, and 

arguments concerning whether 

Amendment No. 2 is consistent with the 

Exchange 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– 

CboeBYX–2021–024 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–CboeBYX–2021–024. 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–CboeBYX–2021–024, and 

should be submitted on or before 

February 16, 2022. 

IV. Accelerated Approval of Proposed 

Rule Change, as Modified by 

Amendment No. 2 

The Commission finds good cause to 

approve the proposed rule change, as 

modified by Amendment No. 2, prior to 

the thirtieth day after the date of 

publication of notice of the filing of 

Amendment No. 2 in the Federal 

Register. In Amendment No. 2, the 

Exchange proposed the Aggressive PAO 

Change in place of a clarification it 

sought in the original proposal. As 

discussed above, the Aggressive PAO 

Change is consistent with the 

requirements of the Act,32 and does not 

raise novel regulatory issues. 

Accordingly, the Commission finds 

good cause, pursuant to Section 19(b)(2) 

of the Act,33 to approve the proposed 

rule change, as modified by Amendment 

No. 2, on an accelerated basis. 

V. Conclusion 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,34 that the 

proposed rule change, as modified by 

Amendment No. 2 (SR-CboeBYX–2021– 

024), be, and hereby is, approved on an 

accelerated basis. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.35

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–01465 Filed 1–25–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94016; File No. SR–LCH 

SA–2022–001] 

Self-Regulatory Organizations; LCH 

SA; Notice of Filing and Immediate 

Effectiveness of Proposed Rule 

Change Relating to the New Swaption 

Standard Terms Supplement 

January 20, 2022. 

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 January 

18, 2022, Banque Centrale de 

Compensation, which conducts 

business under the name LCH SA (‘‘LCH 

SA’’), filed with the Securities and 

Exchange Commission (‘‘Commission’’) 

the proposed rule change described in 

Items I, II and III below, which Items 

have been prepared primarily by LCH 

SA. LCH SA filed the proposed rule 

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

of the Act 3 and Rule 19b–4(f)(4)(i) 

thereunder,4 such that the proposed rule 

change was immediately effective upon 

filing with the Commission. The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

change from interested persons. 

I. Clearing Agency’s Statement of the 

Terms of Substance of the Proposed 

Rule Change 

(a) Banque Centrale de Compensation, 

which conducts business under the 

name LCH SA (‘‘LCH SA’’), is proposing 

to amend its CDS Clearing Supplement 

(the ‘‘Clearing Supplement’’) to 

incorporate new terms and to make 

conforming, clarifying, and clean-up 

changes intended to take into account 

the new iTraxx and CDX swaption 

documentation, to be published by the 

relevant Markit entity, updating swap 

curve references and model inputs to 

the relevant risk-free rates and making 

references to the new 2021 ISDA 

Interest Rate Derivatives Definitions 


khammond on DSKJM1Z7X2PROD with NOTICES
Federal Register / Vol. 87, No. 17 / Wednesday, January 26, 2022 / Notices 4067 

5Capitalized terms not defined or modified in 

this rules proposal will have the same meaning as 

in LCH SA’s existing CDS Clearing Rule Book or 

Clearing Supplement. 

published by the International Swaps 

and Derivatives Association, Inc. 

(‘‘ISDA’’) (the ‘‘Proposed Rule 

Change’’).5

The text of the Proposed Rule Change 

has been annexed as Exhibit 5. 

The launch of this initiative will be 

contingent upon LCH SA’s receipt of all 

necessary regulatory approvals, 

including the approval by the 

Commission of the proposed rule 

change described herein. 

(b) Not applicable. 

(c) Not applicable. 

II. Clearing Agency’s Statement of the 

Purpose of, and Statutory Basis for, the 

Proposed Rule Change 

In its filing with the Commission, 

LCH SA 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. LCH SA has prepared 

summaries, set forth in sections A, B, 

and C below, of the most significant 

aspects of these statements. 

A. Clearing Agency’s Statement of the 

Purpose of, and Statutory Basis for, the 

Proposed Rule Change 

(a) Purpose 

The purpose of the Proposed Rule 

Change is to make the necessary 

amendments to the Clearing 

Supplement to take into account 

upcoming versions of the: 

—iTraxx® Europe Untranched 

Transactions Swaption Standard 

Terms Supplement; and 

—CDX Untranched Transactions 

Swaption Standard Terms 

Supplement, due to be published 

respectively by Markit Indices GmbH 

and Markit North America, Inc., in 

December 2021 and later in 2022 

(together the ‘‘New Swaption STSs’’). 

Minimal changes have been made to 

the New Swaption STSs mainly in order 

to (i) update the model inputs to riskfree rates, and (ii) incorporate the new 

2021 ISDA Interest Rate Derivatives 

Definitions. 

The new amendments proposed to be 

made to Part C of the Clearing 

Supplement in order to take into 

account the New Swaption STSs have 

been replicated in Part B for consistency 

purposes. 

(1) Proposed Amendments To Reflect 

the New Swaption STSs 

In Part C of the Clearing Supplement, 

the definitions of ‘‘CDX Swaption 

Standard Terms Supplement’’ and 

‘‘iTraxx® Swaption Standard Terms 

Supplement’’ as set out in Section 1.2 

have been amended to refer to the latest 

version in force as published by the 

relevant Markit entity or any affiliate 

hereof. Similar changes have been made 

to the definition of ‘‘Index Swaption 

Cleared Transaction Confirmation’’. 

Consequently, Section 1.2 of Part C 

has been also amended to include the 

new defined term of ‘‘2021 Definitions’’ 

which mean the 2021 ISDA Interest Rate 

Derivatives Definitions published by 

ISDA as the New Swaption STSs to be 

published in 2022 will refer to them 

instead of the 2006 Definitions. 

Therefore the defined term ‘‘ISDA Swap 

Transaction Definitions’’ has been also 

added in Section 1.2 of Part C to refer 

to the 2021 Definitions or the 2006 

Definitions which are incorporated by 

reference in the Markit Standard Terms 

Supplement. 

Any reference to the ‘‘2006 

Definitions’’ in the Clearing Supplement 

has been replaced with a reference to 

the new defined term ‘‘ISDA Swap 

Transaction Definitions’’ so that 

depending on the version of the iTraxx®

or CDX Swaption Standard Terms 

Supplement in force, either the 2006 

Definitions or the 2021 Definitions will 

apply. 

The definition of ‘‘Exercise Notice’’ in 

Section 1.2. of Part C has been amended 

to add a reference to the relevant 

provisions of the 2021 Definitions. 

The new defined term ‘‘Markit 

Standard Terms Supplement’’ has been 

included in Section 1.2 of Part C, for the 

purpose of referring to the iTraxx®

Swaption Standard Terms Supplement 

and/or the CDX Swaption Standard 

Terms Supplement, as the context 

requires. 

A new Section 2.4 ‘‘Markit Standard 

Terms Supplement Updates’’ has been 

added in Section 2 of Part C to allow 

LCH SA to compress Index Swaption 

Cleared Transactions subject to different 

versions of the Markit Standard Terms 

Supplement, provided they are of the 

same Swaption Type, following 

consultation with the CDSClear Product 

Committee. For consistency purpose, we 

have added a reference to this new 

Section 2.4 in the definition of 

‘‘Swaption Type’’ in Section 1.2 of Part 

C. The purpose of the amendment is to 

make the link between the new Section 

2.4 that would allow for the 

compression of the relevant transactions 

and the definition of ‘‘Swaption Type’’ 

which is a condition to be complied 

with for compression purpose in 

accordance with the CDS Clearing Rule 

Book and Section 5 of the Procedures. 

In the 2021 Definitions and the New 

Swaptions STSs, the defined term of 

‘‘Underlying Swap Transaction’’ is 

replaced by ‘‘Underlying Transaction’’: 

This change has been replicated in 

Sections 7.2, 7.3 and 7.4 and Appendix 

VIII of Part C of the Clearing 

Supplement by making an additional 

reference to this equivalent defined term 

in the 2021 Definitions so that the 

correct defined term will apply 

depending on whether the 2006 

Definitions or the 2021 Definitions are 

applicable. 

(2) Proposed Amendments for 

Consistency Purpose 

In Part B of the Clearing Supplement, 

the definition of ‘‘Index Cleared 

Transaction Confirmation’’ has been 

amended to reflect the proposed 

changes made to equivalent definitions 

in Part C. that would only apply to 

index transaction as they are subject to 

the relevant standard terms supplement 

published by Markit (contrary to the 

single name transactions). Thus, the 

sub-paragraphs of the definition refers 

to the last version of the confirmation or 

relevant Standard Terms Supplement 

which is published by the relevant 

Markit entity or its affiliate. The 

reference to the Implementation Date of 

the 2019 ISDA Narrowly Tailored Credit 

Event Protocol has been removed from 

these sub-paragraphs as the 

Implementation Date has already 

passed. 

Fungibility provisions which are 

equivalent to the new Section 2.4 of Part 

C have been included in a new Section 

2.6 for consistency purposes so that 

should there be two versions of the 

relevant Markit Standard Terms 

Supplement that would apply, there 

would be the necessary provisions for 

allowing LCH SA to proceed with the 

compression of transactions subject to 

different versions. Consequently, the 

new defined term of ‘‘Markit Standard 

Terms Supplement’’ has been added in 

Section 1.2 of Part B and shall mean any 

of the published Standard Terms 

Supplements as referred to in the 

definition of ‘‘Index Cleared Transaction 

Confirmation’’ in this Section 1.2 and a 

reference to the new Section 2.6 has 

been added in the definition of ‘‘CDS 

Type’’ in Section 1.2 of Part B. The 

purpose of the amendment is to make 

the link between the new Section 2.6 

that would allow for the compression of 

the relevant transactions and the 

definition of ‘‘CDS Type’’ which is a 

condition to be complied with for 


khammond on DSKJM1Z7X2PROD with NOTICES
4068 Federal Register / Vol. 87, No. 17 / Wednesday, January 26, 2022 / Notices 

6 15 U.S.C. 78q–1. 

7 17 CFR 240.17Ad–22. 

8 15 U.S.C. 78q–1(b)(3)(F). 

9 17 CFR 240.17Ad–22(e)(17). 

10 17 CFR 240.17Ad–22(e)(1). 

11 17 CFR 240.17Ad–22(e)(2)(iii). 

12 15 U.S.C. 78q–1. 

13 17 CFR 240.17Ad–22. 

14 15 U.S.C. 78q–1(b)(3)(I). 

compression purpose in accordance 

with the CDS Clearing Rule Book and 

Section 5 of the Procedures. 

(b) Statutory Basis 

LCH SA believes that the Proposed 

Rule Change is consistent with the 

requirements of Section 17A of the 

Securities Exchange Act of 1934 6 (the 

‘‘Act’’) and the regulations thereunder, 

including the standards under Rule 

17Ad–22 7. In particular, Section 

17(A)(b)(3)(F) of the Act requires, among 

other things, that the rules of a clearing 

agency be designed to promote the 

prompt and accurate clearance and 

settlement of securities transactions 

and, to the extent applicable, derivatives 

agreements, contracts, and transactions 

and to assure the safeguarding of 

securities and funds which are in the 

custody or control of the clearing agency 

or for which it is responsible.8

Consistent with this requirement, the 

Proposed Rule Change is needed so that 

LCH SA can duly continue clearing the 

CDS products referencing the new 

standard terms supplement properly, 

promptly and accurately. In addition, 

making the Proposed Rule Change 

would not require changes to the 

existing margin methodology, default 

management policies and procedures 

and operational process. All products 

proposed for clearing by CDSClear will 

continue to be cleared pursuant to LCH 

SA’s existing clearing arrangements and 

related financial safeguards, protections 

and risk management procedures which 

is consistent with Exchange Act Rule 

17Ad–22(e)(17).9

Further, Rule 17Ad–22(e)(1) 10

requires a covered clearing agency to 

provide for a well-founded, clear, 

transparent and enforceable legal basis 

for each aspect of its activities in all 

relevant jurisdictions. Rule 17Ad– 

22(e)(2)(iii) 11 also requires a covered 

clearing agency to support the objectives 

of participants. 

LCH SA believes that this Proposed 

Rule Change would help to ensure that 

LCH SA CDSClear service is referencing 

the current version in force of the 

standard terms supplement, and 

therefore would help to establish a 

clear, transparent, and enforceable legal 

basis for such products to be cleared 

contributing to the objectives of market 

participants to use the industry standard 

documentation and which is also fully 

consistent with the requirement for a 

covered clearing agency to have a clear, 

transparent and enforceable legal aspect 

for each aspect of its activities. 

As explained above, the Proposed 

Rule Change is only intended to take 

into account the upcoming versions of 

the New Swaption STSs in order to duly 

update the model inputs to risk-free 

rates, and incorporate the new 2021 

ISDA Interest Rate Derivatives 

Definitions under the CDS Clearing 

rules to make it up to date, clear and 

duly enforceable. 

Further, the Proposed Rule Change 

will also permit market participants to 

have certainty over the fungibility of 

options executed under different 

versions of the STS, and clear options 

expiring in April 2022 and beyond 

using the market standard terms. As 

LCH SA lists the next three expiries, the 

April 2022 expiry options should be 

made available to clear the day after the 

January expiry, i.e., 20 January 2022. 

For all the reasons above, LCH SA 

believes that the Proposed Rule Change 

is consistent with the requirements of 

Section 17A of the Securities Exchange 

Act of 1934 12 (the ‘‘Act’’) and the 

regulations thereunder, including the 

standards under Rule 17Ad–22 13

discussed above. 

B. Clearing Agency’s Statement on 

Burden on Competition. 

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

requires that the rules of a clearing 

agency not impose any burden on 

competition not necessary or 

appropriate in furtherance of the 

purposes of the Act.14

As mentioned above, the Proposed 

Rule Change is reflecting the New 

Swaption STSs including the ISDA 

Definitions that are an industry 

response and initiative applicable to all 

CDS market participants. 

Further, this Proposed Rule Change 

would apply equally to all clearing 

members and their clients and would 

not adversely affect their ability to 

engage in cleared transactions or to 

access LCH SA’s clearing services as 

LCH SA will continue to apply its 

existing fair and open access criteria to 

the CDSClear service. 

Therefore, LCH SA does not believe 

that the proposed rule would impose 

any burden on competition not 

necessary or appropriate in furtherance 

of the purposes of the Act. 

C. Clearing Agency’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. LCH SA will 

notify the Commission of any written 

comments received by LCH SA. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The foregoing proposed rule change 

has become effective upon filing 

pursuant to Section 19(b)(3)(A) of the 

Act and paragraph (f) of Rule 19b–4 

thereunder. At any time within 60 days 

of the filing of the proposed rule change, 

the Commission summarily may 

temporarily suspend such proposed 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. 

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– 

LCH SA–2022–001 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–LCH SA–2022–001. 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 


khammond on DSKJM1Z7X2PROD with NOTICES
Federal Register / Vol. 87, No. 17 / Wednesday, January 26, 2022 / Notices 4069 

15 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 93696 

(December 1, 2021), 86 FR 69306. Comments 

received on the proposal are available on the 

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

comments/sr-cboeedgx-2021-049/ 

srcboeedgx2021049.htm. 

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

5 Id. 

6 17 CFR 200.30–3(a)(31). 

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 and 

Exercise Procedures. 

4Self-Regulatory Organizations; ICE Clear Credit 

LLC; Notice of Filing of Proposed Rule Change 

Relating to the ICC Clearing Rules and ICC Exercise 

Procedures; Exchange Act Release No. 34–93690 

(Dec. 1, 2021); 86 FR 69308 (Dec. 7, 2021) (SR–ICC– 

2021–023) (‘‘Notice’’). 

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 LCH SA and on LCH SA’s 

website at: https://www.lch.com/ 

resources/rulebooks/proposed-rulechanges. 

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–LCH SA–2022–001 

and should be submitted on or before 

February 16, 2022. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.15

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–01461 Filed 1–25–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94008; File No. SR– 

CboeEDGX–2021–049] 

Self-Regulatory Organizations; Cboe 

EDGX Exchange, Inc.; Notice of 

Designation of a Longer Period for 

Commission Action on a Proposed 

Rule Change To Introduce a New Data 

Product To Be Known as the Short 

Volume Report, Modify the Name of 

Rule 13.8 to ‘‘Data Products’’, and Add 

a Preamble to Rule 13.8 

January 20, 2022. 

On November 17, 2021, Cboe EDGX 

Exchange, 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 Exchange Rule 13.8(h) 

to introduce a new data product to be 

known as the Short Volume Report, 

modify the name of Rule 13.8 to ‘‘Data 

Products’’, and add a preamble to Rule 

13.8. The proposed rule change was 

published in the Federal Register on 

December 7, 2021.3

Section 19(b)(2) of the Act 4 provides 

that within 45 days of the publication of 

notice of the filing of a proposed rule 

change, or within such longer period up 

to 90 days as the Commission may 

designate if it finds such longer period 

to be appropriate and publishes its 

reasons for so finding, or as to which the 

self-regulatory organization consents, 

the Commission will either approve the 

proposed rule change, disapprove the 

proposed rule change, or institute 

proceedings to determine whether the 

proposed rule change should be 

disapproved. The 45th day after 

publication of the notice for this 

proposed rule change is January 21, 

2022. The Commission is extending this 

45-day time period. 

The Commission finds it appropriate 

to designate a longer period within 

which to take action on the proposed 

rule change so that it has sufficient time 

to consider the proposed rule change. 

Accordingly, the Commission, pursuant 

to Section 19(b)(2) of the Act,5

designates March 7, 2022 as the date by 

which the Commission shall either 

approve or disapprove, or institute 

proceedings to determine whether to 

disapprove, the proposed rule change 

(File No. SR–CboeEDGX–2021–049). 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.6

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–01469 Filed 1–25–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94014; File No. SR–ICC– 

2021–023] 

Self-Regulatory Organizations; ICE 

Clear Credit LLC; Order Approving 

Proposed Rule Change Relating to the 

ICC Clearing Rules and ICC Exercise 

Procedures 

January 20, 2021. 

I. Introduction 

On November 19, 2021, 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 Rule 

26R–319 of the ICC Clearing Rules 

(‘‘Rules’’) and the ICC Exercise 

Procedures (‘‘Exercise Procedures’’) 3 in 

connection with the clearing of credit 

default index options (‘‘Index 

Swaptions’’). The proposed rule change 

was published for comment in the 

Federal Register on December 7, 2021.4

The Commission did not receive 

comments regarding the proposed rule 

change. For the reasons discussed 

below, the Commission is approving the 

proposed rule change. 

II. Description of the Proposed Rule 

Change 

A. Background 

Pursuant to an Index Swaption, 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 cleared by ICC, the 

underlying index credit default swap is 

limited to certain CDX and iTraxx 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. 

B. Revisions to Rule 26R–319 

ICC Rule 26R–319 describes what 

happens upon the exercise of an Index 

Swaption. ICC Rule 26R–319 consists of 

three parts: 26R–319(a), 26R–319(b), and 

26R–319(c). 26R–319(a) applies when a 

Swaption Buyer effectively exercises an 

Index Swaption and the underlying 

index is not subject to a restructuring 

due to a credit event, while (b) and (c) 

apply when an Index Swaption is 

effectively exercised and the underlying 

index is subject to a restructuring due to 

a credit event. 

Under 26R–319(a), upon the effective 

exercise of an Index Swaption, a 

contract in the form of the underlying 

index comes into effect between the 

Swaption Buyer and ICC and an exactly 


khammond on DSKJM1Z7X2PROD with NOTICES