4060 Federal Register / Vol. 87, No. 17 / Wednesday, January 26, 2022 / Notices 

iBy unanimous, recorded vote of the Board 

members of the Railroad Retirement Board, such 

Board members determined that agency business 

required that this meeting be called with less than 

one week notice. 5 U.S.C. 552b(e)(1). 

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

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 93390 

(October 20, 2021), 86 FR 59202. 

4The amendments to the proposed rule change 

are available at: https://www.sec.gov/comments/srcboebyx-2021-024/srcboebyx2021024.htm. 

5This description of the proposed rule change 

was substantially prepared by the Exchange. 

6The Exchange notes that it submitted 

Amendment No. 1 to this proposal on January 12, 

2022, which it subsequently withdrew on January 

14, 2022. 

7The term ‘‘Periodic Auction’’ shall mean an 

auction conducted pursuant to Rule 11.25. See Rule 

11.25(a)(4). 

8See Securities Exchange Act Release No. 91423 

(March 26, 2021), 86 FR 17230 (April 1, 2021) (SR– 

BYX–2020–021, Amendments No. 3 and 4) (the 

‘‘Approved Proposal’’). The Exchange also notes 

that the original proposal to adopt Periodic 

Auctions (the ‘‘Original Proposal’’) was submitted 

on July 17, 2020. See Securities Exchange Act 

Release No. 89424 (July 29, 2020), 85 FR 47262 

(August 4, 2020). 9The term ‘‘Periodic Auction Order’’ shall mean 

a ‘‘Periodic Auction Only Order’’ or ‘‘Periodic 

Auction Eligible Order’’ as those terms are defined 

in Rules 11.25(b)(1)–(2), and the term ‘‘Periodic 

Auction Book’’ shall mean the System’s electronic 

file of such Periodic Auction Orders. See Rule 

11.25(a)(6). 

10The term ‘‘Continuous Book Order’’ shall mean 

an order on the BYX Book that is not a Periodic 

Auction Order, and the term ‘‘Continuous Book’’ 

shall mean System’s electronic file of such 

Continuous Book Orders. See Rule 11.25(a)(2). 11See BYX Rule 11.9(c)(5). 

For the Nuclear Regulatory Commission. 

Meraj Rahimi, 

Chief, Regulatory Guide and Programs 

Management Branch, Division of Engineering, 

Office of Nuclear Regulatory Research. 

[FR Doc. 2022–01492 Filed 1–25–22; 8:45 am] 

BILLING CODE 7590–01–P 

RAILROAD RETIREMENT BOARD 

Sunshine Act Meetings 

TIME AND DATE: 11 a.m., January 19, 

2022.i

PLACE: 844 North Rush Street, Chicago, 

Illinois 60611. 

STATUS: Closed. 

MATTERS TO BE CONSIDERED: 

(1) Internal Personnel Matters 

CONTACT PERSON FOR MORE INFORMATION: 

Stephanie Hillyard, Secretary to the 

Board, Phone No. 312–751–4920. 

Authority: 5 U.S.C. 552b. 

Dated: January 21, 2022. 

Stephanie Hillyard, 

Secretary to the Board. 

[FR Doc. 2022–01563 Filed 1–24–22; 11:15 am] 

BILLING CODE 7905–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94012; File No. SRCboeBYX–2021–024] 

Self-Regulatory Organizations; Cboe 

BYX Exchange, Inc.; Notice of Filing of 

Amendment No. 2 and Order 

Approving on an Accelerated Basis a 

Proposed Rule Change, as Modified by 

Amendment No. 2, To Make Clarifying 

Changes Regarding Its Periodic 

Auctions 

January 20, 2022. 

On October 14, 2021, Cboe BYX 

Exchange, Inc. (‘‘BYX’’ or ‘‘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 make certain clarifying 

changes regarding its Periodic Auctions. 

The proposed rule change was 

published for comment in the Federal 

Register on October 26, 2021.3 On 

January 12, 2022, the Exchange filed 

Amendment No. 1 to the proposed rule 

change. On January 14, 2022, the 

Exchange withdrew Amendment No. 1 

and filed Amendment No. 2, which 

replaces in its entirety the proposal as 

originally submitted on October 14, 

2021.4 The Commission received no 

comment letters regarding the proposal. 

This order approves the proposed rule 

change, as modified by Amendment No. 

2, on an accelerated basis. 

I. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 5

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. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

This Amendment No. 2 to SR– 

CboeBYX–2021–024 amends and 

replaces in its entirety the proposal as 

originally submitted on October 14, 

2021.6 The Exchange submits this 

Amendment No. 2 in order to clarify 

certain points and add additional details 

to the proposal. 

The purpose of this proposed rule 

change is to make certain clarifying 

changes to Exchange Rule 11.25 related 

to periodic auctions for the trading of 

U.S. equity securities (‘‘Periodic 

Auctions’’).7 The Commission approved 

the Exchange’s proposal to introduce 

Periodic Auctions on March 26, 2021.8

The Exchange has not yet implemented 

Periodic Auctions. The Exchange is 

submitting this proposal in order to 

simplify certain portions of the Periodic 

Auction process and to add clarity to 

the rule text prior to implementation. 

Specifically, the Exchange is 

proposing that: (i) Periodic Auction 

Eligible Orders 9 will be ranked as nondisplayed limit orders consistent with 

the priority of orders outlined in Rule 

11.12(a); (ii) incoming Periodic Auction 

Eligible Orders that are eligible both to 

trade on the Continuous Book and 

initiate a Periodic Auction against a 

Periodic Auction Only Order at the 

same price will trade immediately with 

the Continuous Book, and other 

incoming Periodic Auction Eligible 

Orders will upon entry interact with 

Continuous Book Orders 10 and other 

Periodic Auction Eligible Orders 

according to their rank under Rule 

11.12(a); and (iii) Periodic Auction 

Eligible Orders that are also Minimum 

Quantity Orders 11 will only initiate a 

Periodic Auction upon entry where a 

single contra-side Periodic Auction 

Order would satisfy the specified 

minimum size. The Exchange is also 

proposing to make a simplifying change 

to reject Periodic Auction Orders that 

are immediate-or-cancel (‘‘IOC’’). 

Finally, the Exchange is proposing to 

make certain clean-up changes to Rule 

11.25(b)(1), (2), and (3) to eliminate 

certain typos from the rule text. 

Ranking Periodic Auction Eligible 

Orders 

Rule 11.25(b)(2) currently reads as 

follows: 

Periodic Auction Eligible Orders. A 

‘‘Periodic Auction Eligible Order’’ is a 

Non-Displayed Limit Order eligible to 

trade on the Continuous Book that is 

entered with an instruction to also 

initiate a Periodic Auction, if possible, 

pursuant to this Rule 11.25. An 

incoming Periodic Auction Eligible 

Order that is eligible both to trade on 

the Continuous Book and initiate a 

Periodic Auction will trade immediately 

with the Continuous Book. 

The first sentence makes clear that 

Periodic Auction Eligible Orders are 


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12The Exchange notes that in the Original 

Proposal the second sentence of Rule 11.25(b)(2) 

originally said ‘‘An incoming PAE Order that is 

eligible both to trade on the Continuous Book and 

initiate a Periodic Auction will initiate a Periodic 

Auction.’’ In Amendment 1 of the Original 

Proposal, the Exchange instead proposed the 

current language which remained in the Approved 

Proposal. The intent of this change in the rule text 

was to make clear that the Exchange would not 

prioritize a Periodic Auction Order over every other 

resting order, which is made clear in the examples 

and in the Approved Proposal. The proposed new 

language further clarifies this intent from 

Amendment 1 of the Original Proposal in the rule 

text. 

13Rule 11.12(a)(1) and (2) relate to the priority 

and ranking of orders and specifically state: ‘‘(a) 

Ranking. Orders of Users shall be ranked and 

maintained in the BYX Book based on the following 

priority: (1) Price. The highest-priced order to buy 

(or lowest-priced order to sell) shall have priority 

over all other orders to buy (or orders to sell) in all 

cases. (2) Time. Subject to the execution process 

described in Rule 11.13(a) below, where orders to 

buy (or sell) are made at the same price, the order 

clearly established as the first entered into the 

System at such particular price shall have 

precedence at that price, up to the number of shares 

of stock specified in the order. The System shall 

rank equally priced trading interest within the 

System in time priority in the following order: (A) 

Displayed size of limit orders; (B) Non-Displayed 

limit orders; (C) Non-Displayed Pegged Orders; (D) 

Mid-Point Peg Orders; (E) Reserve size of orders; (F) 

Discretionary portion of Discretionary Orders as set 

forth in Rule 11.9(c)(9); (G) Supplemental Peg 

Orders.’’ 

14AP Example 3 specifically provides the 

following example: 

NBBO: $10.00 × $10.10 

Order 1: Buy 100 shares @ $10.05 Midpoint Peg— 

Periodic Auction Only 

Order 2: Buy 100 shares @ $10.05 Midpoint Peg— 

Continuous Book Order 

Order 3: Sell 100 shares @ $10.05 Midpoint Peg— 

Periodic Auction Eligible 

A Periodic Auction is not initiated. Instead, Order 

3, which is a Periodic Auction Eligible Order, 

would trade immediately with the Continuous Book 

and execute 100 shares against Order 2 at $10.05. 

Although Order 1 is available to initiate a Periodic 

Auction, a Periodic Auction Eligible Order would 

trade immediately with Continuous Book Orders on 

entry if it can do so instead of initiating a Periodic 

Auction. 

15The Exchange notes that the functionality 

captured in Example 6 as laid out in Amendment 

No. 3 to the Approved Proposal as corrected in 

Amendment No. 4 to the Approved Proposal 

(‘‘Corrected Example 6 from Amendment No. 3’’) 

provided that even where a Periodic Auction Only 

Order was priced more aggressively than a 

Continuous Book Order, the incoming Periodic 

Auction Eligible Order would trade immediately 

with the Continuous Book. While this example was 

technically replaced as part of Amendment No. 4, 

it was laid out in Amendment No. 3 with an 

incorrect outcome and Amendment No. 4 provided 

some explanation about what should have 

happened before laying out a new replacement 

Example 6. What follows is the example as laid out 

in Amendment No. 3 and followed by the 

explanation from Amendment No. 4. 

NBBO: $10.00 × $10.10 

Order 1: Buy 500 shares @ $10.05 NonDisplayed—Periodic Auction Only 

Order 2: Buy 300 shares @ $10.04 NonDisplayed—Continuous Book Order 

Order 3: Sell 100 shares @ $10.04 NonDisplayed—Periodic Auction Eligible 

Order 4: Sell 200 shares @ $10.04 NonDisplayed—Periodic Auction Eligible 

Specifically, Amendment No. 4 stated ‘‘the 

amended functionality would require that Order 3 

and Order 4, which are Periodic Auction Eligible 

Orders, each trade immediately with Order 2, 

which is a Non-Displayed Continuous Book Order.’’ 

As such, current functionality provides that an 

order that is eligible both to trade on the 

Continuous Book and initiate a Periodic Auction 

will trade immediately with the Continuous Book, 

even where the Periodic Auction Only Order is 

more aggressively priced than the Continuous Book 

Order, which is consistent with Corrected Example 

6 from Amendment No. 3. 

eligible to trade on the Continuous Book 

and suggests that Periodic Auction 

Eligible Orders would be ranked as nondisplayed limit orders by referring to 

such as orders as types of non-displayed 

limit orders. However, reading this 

sentence together with the second 

sentence could make it unclear as to 

how Periodic Auction Eligible Orders 

are ranked and how an incoming 

Periodic Auction Eligible Order would 

interact with other Periodic Auction 

Orders and resting orders on the 

Continuous Book.12

As such, the Exchange is proposing to 

add a new sentence in between the two 

sentences that reads ‘‘Periodic Auction 

Eligible Orders will be ranked as nondisplayed limit orders consistent with 

the priority of orders outlined in Rule 

11.12(a).’’ 13 This will make explicit that 

Periodic Auction Eligible Orders will be 

ranked in price-time priority among 

Continuous Book Orders and will also 

help to make clear how incoming orders 

(both Periodic Auction Eligible Orders 

and Continuous Book Orders) will 

interact with resting orders, as further 

discussed below. Practically, the 

Exchange believes this clarifying change 

is reasonably inferred from the 

definition of Periodic Auction Eligible 

Orders, which defines a Periodic 

Auction Eligible Order as (emphases 

added) ‘‘a Non-Displayed Limit Order 

eligible to trade on the Continuous Book 

that is entered with an instruction to 

also initiate a Periodic Auction, if 

possible, pursuant to this Rule 11.25.’’ 

If such orders are eligible to trade on the 

Continuous Book, they would need to 

be prioritized by the System and it 

would only make sense for them to be 

prioritized in accordance with the 

Exchange’s existing priority rules. 

Rather than rely on this implication, the 

Exchange is proposing to explicitly state 

this in the Rules by adding the language 

proposed above. 

Example 1: 

NBBO: $10.00 × $10.05 

Order 1: Buy 200 shares @ $10.02 NonDisplayed—Periodic Auction Eligible 

Order 2: Buy 100 shares @ $10.02 

Displayed—Continuous Book Order 

Order 3: Sell 100 shares @ $10.02 NonDisplayed—Periodic Auction Eligible 

Order 2 is ranked ahead of Order 1 

because it is a displayed limit order in 

accordance with Rule 11.12(a)(1), 

meaning that Order 3 would execute 

100 shares against Order 2. 

Incoming Periodic Auction Eligible 

Orders 

As described above, Rule 11.25(b)(2) 

currently states that ‘‘An incoming 

Periodic Auction Eligible Order that is 

eligible both to trade on the Continuous 

Book and initiate a Periodic Auction 

will trade immediately with the 

Continuous Book.’’ This language was 

originally introduced to make clear that 

an incoming Periodic Auction Eligible 

Order would interact with other 

Periodic Auction Eligible Orders and 

Continuous Book Orders before 

interacting with Periodic Auction Only 

Orders, as made clear in Example 3 in 

the Approved Proposal (‘‘AP Example 

3’’).14 While part of the rule is made 

clear by the surrounding rule text and 

the clarifying context from the 

Approved Proposal, on its own it could 

be read to imply that all resting Periodic 

Auction Eligible Orders would either be 

prioritized behind any executable 

Continuous Book Order or that such 

resting orders should immediately 

execute against an incoming Periodic 

Auction Eligible Order instead of 

initiating a Periodic Auction, which is 

not the case. Additionally, another 

example from the Approved Proposal 

laid out circumstances under which an 

incoming Periodic Auction Eligible 

Order that is eligible both to trade on 

the Continuous Book and initiate a 

Periodic Auction against a Periodic 

Auction Only Order will trade 

immediately with the Continuous Book, 

even where the Periodic Auction Only 

Order is more aggressively priced than 

the Continuous Book Order.15 The 

Exchange is proposing to add language 

to Rule 11.25(b)(2) in order to change 

the outcome of that example such that 

an incoming Periodic Auction Eligible 

Order that is eligible both to trade on 

the Continuous Book and initiate a 

Periodic Auction against a more 

aggressively priced Periodic Auction 

Only Order will initiate a Periodic 

Auction (the ‘‘Aggressive PAO 

Change’’). 

Specifically, the Exchange is 

proposing to add language to Rule 

11.25(b)(2) such that it will instead read 

(additions in italics): ‘‘An incoming 

Periodic Auction Eligible Order that is 

eligible both to trade on the Continuous 

Book and initiate a Periodic Auction 

against a Periodic Auction Only Order 

at the same price will trade immediately 


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16See supra note 12. 

17As noted in the Approved Proposal, Periodic 

Auctions would operate alongside trading on the 

Continuous Book. The Exchange has therefore 

developed its system for processing Periodic 

Auctions with the goal of minimizing interference 

with trading in the continuous market. Thus, in rare 

circumstances where a number of Periodic Auctions 

could potentially be triggered at or around the same 

time, the Exchange may throttle the initiation of 

such Periodic Auctions if needed to maintain 

appropriate system performance and latency. In the 

event that the System was throttling Periodic 

Auctions during this example, it would delay the 

Periodic Auction initiation process. See Approved 

Proposal at 17234. 

18See supra note 15. 

19See supra note 15. 20See Rule 11.9(c)(5). 

with the Continuous Book. Incoming 

Periodic Auction Eligible Orders will 

upon entry interact with Continuous 

Book Orders and other Periodic Auction 

Eligible Orders according to their rank 

under Rule 11.12(a).’’ 16 This language 

will: (i) Make explicit in the rule text 

the outcome described in AP Example 3; 

and (ii) change the functionality from 

how it was described in the Approved 

Proposal such that an incoming Periodic 

Auction Eligible Order will now initiate 

a Periodic Auction where there is a 

Periodic Auction Only Order that is 

priced more aggressively than any other 

Continuous Book Orders instead of 

executing immediately with the most 

aggressively priced Continuous Book 

Order. Further, this proposed change 

will provide additional clarity to the 

language in Rule 11.25(c) describing 

when a Periodic Auction will be 

initiated. Specifically, Rule 11.25(c) 

provides that a Periodic Auction will be 

initiated in a security when ‘‘one or 

more Periodic Auction Orders to buy 

become executable against one or more 

Periodic Auction Orders to sell.’’ The 

proposed amendment to Rule 

11.25(b)(2) to specifically describe how 

incoming Periodic Auction Eligible 

Orders will interact with resting orders 

will add clarity regarding what it means 

when Periodic Auction Orders become 

‘‘executable’’ against one another in this 

context. 

Example 2: 

NBBO: $10.00 × $10.05 

Order 1: Buy 200 shares @ $10.02 NonDisplayed—Periodic Auction Eligible 

Order 2: Buy 100 shares @ $10.02 

Displayed—Continuous Book Order 

Order 3: Sell 400 shares @ $10.02 NonDisplayed—Periodic Auction Eligible 

Order 3 would execute 100 shares 

against Order 2 (consistent with 

Example 1). Order 3 and Order 1 would 

then be executable against one another 

and are both Periodic Auction Eligible 

Orders, so the remaining 300 shares 

from Order 3 would be sent to the 

Periodic Auction Book and the Periodic 

Auction initiation process would 

begin.17

Example 3: 

NBBO: $10.00 × $10.05 

Order 1: Buy 200 shares @ $10.02 NonDisplayed—Periodic Auction Eligible 

Order 2: Buy 100 shares @ $10.02 NonDisplayed—Continuous Book Order 

Order 3: Sell 400 shares @ $10.02 NonDisplayed—Periodic Auction Eligible 

This example is identical to Example 2 

except that Order 2 is Non-Displayed 

rather than Displayed. Upon entry, 

Order 3 would be executable against 

Order 1 and both are Periodic Auction 

Eligible Orders, so the 400 shares from 

Order 3 would be sent to the Periodic 

Auction Book and the Periodic Auction 

initiation process would begin.18

Example 4: 

NBBO: $10.00 × $10.05 

Order 1: Buy 200 shares @ $10.02 NonDisplayed—Periodic Auction Only 

Order 2: Buy 100 shares @ $10.02 NonDisplayed—Continuous Book Order 

Order 3: Sell 100 shares @ $10.02 NonDisplayed—Periodic Auction Eligible 

Because an incoming Periodic Auction 

Eligible Order that ‘‘is eligible both to 

trade on the Continuous Book and 

initiate a Periodic Auction against a 

Periodic Auction Only Order at the 

same price will trade immediately with 

the Continuous Book,’’ Order 3 would 

execute 100 shares against Order 2 and 

a Periodic Auction would not be 

initiated. 

Example 5: 

NBBO: $10.00 × $10.05 

Order 1: Buy 200 shares @ $10.03 NonDisplayed—Periodic Auction Only 

Order 2: Buy 100 shares @ $10.02 NonDisplayed—Continuous Book Order 

Order 3: Sell 100 shares @ $10.02 NonDisplayed—Periodic Auction Eligible 

Because an incoming Periodic Auction 

Eligible Order that ‘‘is eligible both to 

trade on the Continuous Book and 

initiate a Periodic Auction against a 

Periodic Auction Only Order at the 

same price will trade immediately with 

the Continuous Book,’’ and Order 1 is 

priced more aggressively than Order 2 

(i.e., not against a Periodic Auction 

Only Order at the same price), the 100 

shares from Order 3 would be sent to 

the Periodic Auction Book and the 

Periodic Auction initiation process 

would begin.19

Example 6: 

NBBO: $10.00 × $10.05 

Order 1: Buy 200 shares @ $10.03 NonDisplayed—Periodic Auction Only 

Order 2: Buy 100 shares @ $10.02 NonDisplayed—Continuous Book Order 

Order 3: Sell 100 shares @ $10.03 NonDisplayed—Periodic Auction Eligible 

This example is identical to Example 5 

except that Order 3 has a limit of $10.03 

instead of $10.02. Because the only 

orders that are able to execute against 

one another are Order 3 and Order 1, 

Order 3 would post and the System 

would check to see whether a Periodic 

Auction could be initiated (which it 

could because Order 3 and Order 1 are 

executable against one another), and the 

Periodic Auction initiation process 

would begin. 

Periodic Auction Eligible Orders With a 

Minimum Quantity 

Rule 11.25(b)(2)(C) describes how 

Minimum Quantity Orders will 

participate in Periodic Auctions and the 

use of such orders with Periodic 

Auction Eligible Orders, but does not 

address how such orders will be 

handled in initiating Periodic Auctions. 

It states that ‘‘Minimum Quantity 

Orders, as defined in Rule 11.9(c)(5),20

will be executed in a Periodic Auction 

only if the minimum size specified can 

be executed against one or more contraside orders. Orders entered with the 

alternative instruction that requires the 

minimum size specified to be satisfied 

by each individual contra-side order 

cannot be entered as Periodic Auction 

Eligible Orders.’’ 

The current rule and the Approved 

Proposal are clear in describing how 

Minimum Quantity Orders will be 

handled in a Periodic Auction (they 

‘‘will be executed in a Periodic Auction 

only if the minimum size specified can 

be executed against one or more contraside orders’’), but as noted above they 

do not describe how incoming Periodic 

Auction Eligible Orders with minimum 

size requirements will be handled in 

initiating Periodic Auctions. Because 

Periodic Auction Eligible Orders are 

eligible to both execute against orders 

on the book or to initiate a Periodic 

Auction where they would execute 

against a Periodic Auction Order, an 

incoming order with a minimum size 

requirement creates unique issues 

related to how to calculate executable 

quantity and determining whether an 

order should be executed or initiate a 

Periodic Auction, especially where 

resting orders also have minimum size 

requirements. As such, the Exchange is 

proposing to explain how it intends to 

handle such orders by adding a sentence 

that states ‘‘A Periodic Auction Eligible 

Order entered with a minimum 

execution quantity will only initiate a 

Periodic Auction upon entry where a 

single contra-side Periodic Auction 

Order would satisfy the specified 

minimum size.’’ This provides a 


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21See supra note 15. 

22See supra note 15. 

23As provided in Rule 11.9(b)(7), an RHO order 

is an order that is designated for execution only 

during Regular Trading Hours. 

24The Exchange notes that it may consider 

adding IOC functionality in the future in the event 

that there was meaningful interest from 

participants. 

25 15 U.S.C. 78f(b). 

26 15 U.S.C. 78f(b)(5). 

straightforward approach to managing 

minimum execution quantity that makes 

the interaction of minimum execution 

quantity more easily understandable 

and predictable while ensuring that the 

minimum execution quantity will be 

satisfied if the incoming order initiates 

a Periodic Auction. This proposed 

change is consistent with the protection 

of investors and the public interest as it 

would help to simplify the minimum 

execution quantity functionality. The 

following examples represent basic 

illustrations of the unique issues and 

explanation of how the Exchange will 

manage incoming Periodic Auction 

Eligible Orders with minimum size 

requirements. 

Example 7: 

NBBO: $10.00 × $10.05 

Order 1: Buy 200 shares @ $10.02 NonDisplayed—Periodic Auction Eligible 

Order 2: Buy 100 shares @ $10.02 

Displayed—Continuous Book Order 

Order 3: Buy 400 shares @ $10.02 NonDisplayed—Periodic Auction Eligible 

Order 4: Sell 1000 shares @ $10.02 NonDisplayed—Periodic Auction Eligible; 

Minimum Quantity = 500 

Order 4 would execute 700 shares upon 

entry against Orders 2, 1, and 3, and 

would post 300 shares. Even though 

there are a collective 600 shares of 

Periodic Auction Orders between 

Orders 1 and 3 (enough to satisfy the 

minimum size requirement for Order 4), 

the Periodic Auction initiation process 

would not occur because no single 

Periodic Auction Order satisfies the 

Minimum Quantity of 500 shares. 

Example 8: 

NBBO: $10.00 × $10.05 

Order 1: Buy 300 shares @ $10.02 NonDisplayed—Periodic Auction Eligible 

Order 2: Buy 500 shares @ $10.02 NonDisplayed—Continuous Book Order 

Order 3: Buy 200 shares @ $10.02 NonDisplayed—Periodic Auction Eligible 

Order 4: Sell 800 shares @ $10.02 NonDisplayed—Periodic Auction Eligible; 

Minimum Quantity = 500 

Order 4 would execute 800 shares upon 

entry against Orders 1 and 2. Even 

though there are a collective 500 shares 

of Periodic Auction Orders between 

Orders 1 and 3 (enough to satisfy the 

minimum size requirement for Order 4), 

the Periodic Auction initiation process 

would not occur because no single 

Periodic Auction Order would satisfy 

the Minimum Quantity of 500 shares. 

Example 9: 

NBBO: $10.00 × $10.05 

Order 1: Buy 500 shares @ $10.02 NonDisplayed—Periodic Auction Eligible 

Order 2: Buy 500 shares @ $10.02 NonDisplayed—Continuous Book Order 

Order 3: Buy 200 shares @ $10.02 NonDisplayed—Periodic Auction Eligible 

Order 4: Sell 800 shares @ $10.02 NonDisplayed—Periodic Auction Eligible; 

Minimum Quantity = 500 

The only difference between this 

Example 9 and Example 8 above is that 

Order 1 has 500 shares instead of 300. 

This change means that Order 1 would 

on its own satisfy the 500 share 

minimum size requirement of Order 4 

and would thus be ‘‘a single contra-side 

Periodic Auction Order’’ that ‘‘would 

satisfy the specified minimum size’’ of 

the incoming order. As such, Order 4 

would be sent to the Periodic Auction 

Book and the Periodic Auction 

initiation process would begin.21

Similarly, where a Periodic Auction 

Eligible Order with a minimum size 

requirement is already on the book, 

incoming orders that do not 

individually satisfy the minimum size 

requirements will not execute 

immediately. However, consistent with 

the Exchange’s treatment of Minimum 

Quantity Orders generally, such orders 

will aggregate after posting. 

Example 10: 

NBBO: $10.00 × $10.05 

Order 1: Buy 1000 shares @ $10.02 NonDisplayed—Periodic Auction Eligible; 

Minimum Quantity = 500 

Order 2: Sell 400 shares @ $10.02 NonDisplayed—Periodic Auction Eligible 

Order 3: Sell 400 shares @ $10.02 NonDisplayed—Periodic Auction Eligible 

Orders 2 and 3 do not satisfy the 

minimum size requirement of Order 1 

and therefore would not execute or 

initiate a Periodic Auction upon entry. 

After the orders are resting, however, 

the System will aggregate the size of 

Orders 2 and 3, check whether a 

Periodic Auction can be initiated 

(which it could because the minimum 

size requirement for Order 1 is 

satisfied), and the Periodic Auction 

initiation process would begin.22

IOC Orders 

The Exchange is also proposing to 

amend Rule 11.25(b)(2)(A) in order to 

reject Periodic Auction Orders that are 

IOC. Based on industry feedback, the 

Exchange believes that the majority of 

participants would use RHO 23 orders to 

initiate or participate in a Periodic 

Auction and would not generally enter 

IOC orders to participate in the Periodic 

Auction process.24 Allowing for IOCs to 

participate in Periodic Auctions 

requires additional development work 

and, because the Exchange believes that 

there would not at the outset be 

significant interest in using such 

functionality, the Exchange believes that 

rejecting Periodic Auction Orders that 

are IOCs would simplify the Periodic 

Auction process without meaningfully 

impacting its practical functionality. 

Stated another way, the minimal 

benefits that would come from 

including IOCs at this time are 

outweighed by the cost to implement 

the functionality and rejecting IOCs 

would simplify the Periodic Auction 

process. As such, the Exchange is 

proposing to reject Periodic Auction 

Orders that are IOC orders. 

Clean-Up Changes 

The Exchange is also proposing to 

make non-substantive clean-up changes 

to make references to ‘‘Non-Displayed 

Limit Order’’ in Rules 11.25(b)(1) and 

(2) instead read ‘‘non-displayed limit 

order’’ and to delete an extra instance of 

the word ‘‘be’’ from Rule 11.25(b)(3). 

2. Statutory Basis 

The Exchange believes the proposed 

rule change is consistent with the 

requirements of Section 6(b) of the 

Act,25 in general, and Section 6(b)(5) of 

the Act,26 in particular, in that it is 

designed to remove impediments to and 

perfect the mechanism of a free and 

open market and a national market 

system, to promote just and equitable 

principles of trade, and, in general, to 

protect investors and the public interest 

and not to permit unfair discrimination 

between customers, issuers, brokers, or 

dealers. As further described below, the 

Exchange believes that the proposed 

rule change is consistent with the 

protection of investors and the public 

interest as it would help to clarify and 

simplify the Exchange’s Periodic 

Auction process, which itself is 

intended to facilitate improved price 

formation and provide additional 

execution opportunities for investors, 

particularly in securities that may suffer 

from limited liquidity, including thinlytraded securities. Specifically, the 

Exchange believes that its proposed 

changes to the rule text that: (i) Periodic 

Auction Eligible Orders will be ranked 

as non-displayed limit orders consistent 

with the priority of orders outlined in 

Rule 11.12(a); (ii) incoming Periodic 

Auction Eligible Orders that are eligible 

both to trade on the Continuous Book 

and initiate a Periodic Auction against 

a Periodic Auction Only Order at the 

same price will trade immediately with 


khammond on DSKJM1Z7X2PROD with NOTICES
4064 Federal Register / Vol. 87, No. 17 / Wednesday, January 26, 2022 / Notices 

27The term ‘‘Continuous Book Order’’ shall mean 

an order on the BYX Book that is not a Periodic 

Auction Order, and the term ‘‘Continuous Book’’ 

shall mean System’s electronic file of such 

Continuous Book Orders. See Rule 11.25(a)(2). 

the Continuous Book, and other 

incoming Periodic Auction Eligible 

Orders will upon entry interact with 

Continuous Book Orders 27 and other 

Periodic Auction Eligible Orders 

according to their rank under Rule 

11.12(a); and (iii) Periodic Auction 

Eligible Orders that are also Minimum 

Quantity Orders will only initiate a 

Periodic Auction upon entry where a 

single contra-side Periodic Auction 

Order would satisfy the specified 

minimum size, are all consistent with 

the Act because they are designed to 

promote just and equitable principles of 

trade and, in general, to protect 

investors and the public interest 

because the changes make the rules of 

the Exchange more straightforward and 

easily understandable. The Exchange 

also believes that its simplifying change 

to reject Periodic Auction Orders that 

are IOC is consistent with the Act 

because it is designed to promote just 

and equitable principles of trade and, in 

general, to protect investors and the 

public interest because it will simplify 

Periodic Auction functionality without 

meaningfully impacting its utility. 

Finally, the Exchange believes that its 

proposed non-substantive clean-up 

changes to Rule 11.25(b)(1), (2), and (3) 

are consistent with the Act because they 

are designed to promote just and 

equitable principles of trade and, in 

general, to protect investors and the 

public interest because the changes are 

designed to make the rules of the 

Exchange more easily understandable. 

Ranking Periodic Auction Eligible 

Orders 

The Exchange believes that the 

proposed change to add a new clarifying 

sentence to Rule 11.25(b)(2) is 

consistent with the Act because it is 

designed to promote just and equitable 

principles of trade and, in general, to 

protect investors and the public interest 

because the changes are designed to 

make the rules of the Exchange more 

straightforward and easily 

understandable by making explicit that 

Periodic Auction Eligible Orders will be 

ranked in price-time priority among 

Continuous Book Orders and will also 

help to make clear how incoming orders 

(both Periodic Auction Eligible Orders 

and Continuous Book Orders) will 

interact with resting orders. As 

described above, the point that is being 

clarified could reasonably be inferred 

from the definition of Periodic Auctions 

Orders and is consistent with the intent 

of current Rule 11.25(b)(2). The 

Exchange believes that adding the 

clarifying change will promote just and 

equitable principles of trade and remove 

impediments to a free and open market 

by making explicit how Periodic 

Auction Eligible Orders will be ranked 

and how incoming orders will interact 

with resting orders. 

Incoming Periodic Auction Eligible 

Orders 

The Exchange believes that the 

proposed change to Rule 11.25(b)(2) is 

consistent with the Act because it is 

designed to promote just and equitable 

principles of trade and, in general, to 

protect investors and the public interest 

because the changes are designed to 

make the rules of the Exchange more 

straightforward and easily 

understandable by making more clear 

how incoming Periodic Auction Eligible 

Orders will interact with resting orders. 

The current rule text was originally 

introduced to make clear that an 

incoming Periodic Auction Eligible 

Order would interact with other 

Periodic Auction Eligible Orders and 

Continuous Book Orders before 

interacting with Periodic Auction Only 

Orders, as made clear in AP Example 3. 

The Exchange believes that the 

proposed new language is consistent 

with the Act in that it will make the rule 

text more clear and easily 

understandable. The proposed rule text 

will also change the existing 

functionality from how it was described 

in Corrected Example 6 from 

Amendment No. 3 such that an 

incoming Periodic Auction Eligible 

Order will now initiate a Periodic 

Auction where there is a Periodic 

Auction Only Order that is priced more 

aggressively than any other Continuous 

Book Orders instead of executing 

immediately with the most aggressively 

priced Continuous Book Order. The 

Exchange believes that this proposed 

new language will specify how resting 

Periodic Auction Only Orders will 

interact with incoming Periodic Auction 

Eligible Orders by specifying that 

immediate executions will occur where 

a Periodic Auction Only Order and 

Continuous Book Order are at the same 

price, but a Periodic Auction will be 

initiated when the Periodic Auction 

Only Order is priced more aggressively 

than the Continuous Book Order. The 

Exchange believes that this proposed 

change is consistent with the Act 

because it is designed to promote just 

and equitable principles of trade and, in 

general, to protect investors and the 

public interest because the change 

strikes a middle ground between 

prioritizing immediate executions and 

initiating Periodic Auctions as it relates 

to incoming Periodic Auction Eligible 

Orders and how they interact with 

resting Periodic Auction Only Orders 

and Continuous Book Orders. Further, 

the Exchange also notes that the 

proposed change will also clarify what 

it means when Periodic Auction Orders 

become ‘‘executable’’ against one 

another. Additionally, this proposal 

specifies that an order that is eligible 

both to trade on the Continuous Book 

and initiate a Periodic Auction against 

a Periodic Auction Only Order at the 

same price will trade immediately with 

the Continuous Book, but where the 

Periodic Auction Only Order is more 

aggressively priced than the Continuous 

Book Order, the incoming Periodic 

Auction Eligible Order will be sent to 

the Periodic Auction Book and the 

Periodic Auction initiation process 

would begin. The Exchange believes 

that such proposed functionality would 

promote just and equitable principles of 

trade and remove impediments to a free 

and open market by incentivizing the 

entry of aggressively priced Periodic 

Auction Only Orders, which the 

Exchange believes will add additional 

detail already memorialized in the 

Approved Proposal and making the 

Exchange’s rules related to Periodic 

Auctions more explicit. 

Periodic Auction Eligible Orders With a 

Minimum Quantity 

The Exchange believes that its 

proposed change to Rule 11.25(b)(2)(C) 

is also consistent with the Act because 

it is designed to promote just and 

equitable principles of trade and, in 

general, to protect investors and the 

public interest because the changes are 

designed to make the rules of the 

Exchange more straightforward and 

easily understandable by making clear 

how Minimum Quantity Orders will be 

handled in initiating Periodic Auctions. 

Specifically, Rule 11.25(b)(2) currently 

describes how Minimum Quantity 

Orders will participate in Periodic 

Auctions and the use of such orders 

with Periodic Auction Eligible Orders, 

but does not explicitly address how 

such orders will be handled in initiating 

Periodic Auctions. 

The current rule and the Approved 

Proposal are clear in describing how 

Minimum Quantity Orders will be 

handled in a Periodic Auction (they 

‘‘will be executed in a Periodic Auction 

only if the minimum size specified can 

be executed against one or more contraside orders’’), but they do not describe 

how incoming Periodic Auction Eligible 

Orders with minimum size 

requirements will be handled in 

initiating Periodic Auctions. Because 


khammond on DSKJM1Z7X2PROD with NOTICES
Federal Register / Vol. 87, No. 17 / Wednesday, January 26, 2022 / Notices 4065 

28 In approving this proposed rule change, the 

Commission has considered the proposed rule’s 

impact on efficiency, competition, and capital 

formation. See 15 U.S.C. 78c(f). 

29 15 U.S.C. 78f(b)(1). 

30 15 U.S.C. 78f(b)(5). 

Periodic Auction Eligible Orders are 

eligible to both execute against orders 

on the book or to initiate a Periodic 

Auction where they would execute 

against a Periodic Auction Order, an 

incoming order with a minimum size 

requirement creates unique issues 

related to how to calculate executable 

quantity and determining whether an 

order should be executed or initiate a 

Periodic Auction, especially where 

resting orders also have minimum size 

requirements. As such, the Exchange 

believes that it will benefit investors to 

explain how it intends to handle such 

Minimum Quantity Orders. The 

Exchange believes that having a 

Periodic Auction Eligible Order entered 

with a minimum execution quantity 

only initiate a Periodic Auction upon 

entry where a single contra-side 

Periodic Auction Order would satisfy 

the specified minimum size represents a 

straightforward approach to managing 

minimum execution quantity that makes 

the interaction of minimum execution 

quantity more easily understandable 

and predictable while ensuring that the 

minimum execution quantity will be 

satisfied if the incoming order initiates 

a Periodic Auction. This proposed 

change is consistent with the protection 

of investors and the public interest as it 

would help to simplify the minimum 

execution quantity functionality. As 

such, the Exchange believes that the 

proposed change to Rule 11.25(b)(2)(C) 

related to Minimum Quantity Orders is 

consistent with the Act. 

IOC Orders 

The Exchange believes that the 

proposed change to reject Periodic 

Auction Orders that are IOC orders will 

remove impediments to and perfect a 

national market system by simplifying 

the Periodic Auction process without 

meaningfully impacting its 

functionality. Specifically, based on 

industry feedback, the Exchange 

believes that the majority of participants 

would use RHO orders to initiate or 

participate in a Periodic Auction and 

would not generally enter IOC orders to 

participate in the Periodic Auction 

process. Allowing for IOCs to 

participate in Periodic Auctions 

requires additional development work 

and, because the Exchange believes that 

there would not at the outset be 

significant interest in using such 

functionality, the Exchange believes that 

rejecting Periodic Auction Orders that 

are IOCs would simplify the Periodic 

Auction process without meaningfully 

impacting its practical functionality. 

Stated another way, the minimal 

benefits that would come from 

including IOCs at this time are 

outweighed by the cost to implement 

the functionality and rejecting IOCs 

would simplify the Periodic Auction 

process. The Exchange also believes that 

eliminating this order instruction is 

consistent with the public interest and 

the protection of investors given the 

expected limited demand for use of this 

order instruction upon implementation. 

As such, the Exchange believes that this 

proposed change is consistent with the 

Act because it is designed to promote 

just and equitable principles of trade 

and, in general, to protect investors and 

the public interest because it will 

simplify Periodic Auction functionality 

without meaningfully impacting its 

utility. 

Clean-Up Changes 

Finally, the Exchange believes that 

making the non-substantive clean up 

changes including changing references 

to ‘‘Non-Displayed Limit Order’’ in 

Rules 11.25(b)(1) and (2) instead read 

‘‘non-displayed limit order’’ and to 

delete an extra instance of the word 

‘‘be’’ from Rule 11.25(b)(3) are 

consistent with the Act because they are 

designed to promote just and equitable 

principles of trade and, in general, to 

protect investors and the public interest 

because the changes are designed to 

make the rules of the Exchange more 

easily understandable. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change would impose 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act. Rather, the 

proposed rule change would allow the 

Exchange to make certain clarifying and 

simplifying changes to the Exchange’s 

rules and functionality related to 

Periodic Auctions in a manner 

consistent with the current Rules (and 

the Approved Proposal), making the 

Periodic Auction functionality more 

straightforward and transparent prior to 

implementation. The Exchange’s 

Periodic Auction functionality is 

designed to introduce innovative 

functionality to allow competition and 

to improve market quality in thinlytraded and other securities. The equities 

industry is fiercely competitive as the 

Exchange must compete with other 

equities exchanges and off-exchange 

venues for order flow and this proposal 

will allow the Exchange to implement 

certain simplifying and clarifying 

changes to its Periodic Auction rules 

and functionality that will allow it to 

better compete in this market. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

No written comments were solicited 

or received on the proposed rule 

change. 

II. Discussion and Commission 

Findings 

After careful review, the Commission 

finds that the proposed rule change, as 

modified by Amendment No. 2, is 

consistent with the requirements of the 

Act and the rules and regulations 

thereunder applicable to a national 

securities exchange.28 In particular, the 

Commission finds that the proposed 

rule change is consistent with Section 

6(b)(1) of the Act,29 which requires that 

a national securities exchange be so 

organized as to have the capacity to be 

able to (among other things) carry out 

the purposes of the Act and to comply 

with the provisions of the Act, the rules 

and regulations thereunder, and the 

rules of the exchange. These changes, 

including the clean-up changes, will 

allow BYX to continue to be organized 

to have the capacity to be able to 

comply with its rules. The Commission 

also finds that the clarifications 

regarding the operation of Periodic 

Auctions are consistent Section 6(b)(5) 

of the Act,30 which requires that the 

proposed rule change be designed to 

(among other things) remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system, to 

promote just and equitable principles of 

trade, and, in general, to protect 

investors and the public interest. The 

Commission believes that the 

Exchange’s effort to help market 

participants’ understand how order 

types will interact and the operation of 

Periodic Auctions is consistent with the 

protection of investors and the public 

interest. 

Similarly, the Commission finds that 

the proposal to reject Periodic Auction 

Orders that are IOC, as well as the 

proposal to permit 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, are 

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

Act. The rejection of Periodic Auction 

Orders that are IOC should simplify 


khammond on DSKJM1Z7X2PROD with NOTICES
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