Federal Register / Vol. 87, No. 64 / Monday, April 4, 2022 / Notices 19563 

19 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. 78q–1. 

4 17 CFR 240.17Ad–22. 

5 15 U.S.C. 78q–1(b)(3)(F). 

6 Id. 

All submissions should refer to File 

Number SR–CBOE–2022–014. 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–CBOE–2022–014, and 

should be submitted on or before April 

25, 2022. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.19

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–06987 Filed 4–1–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94544; File No. SR–ICC– 

2022–002] 

Self-Regulatory Organizations; ICE 

Clear Credit LLC; Notice of Filing of 

Proposed Rule Change Relating to the 

ICC Risk Parameter Setting and 

Review Policy 

March 29, 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 March 22, 

2022, ICE Clear Credit LLC (‘‘ICC’’) filed 

with the Securities and Exchange 

Commission (‘‘Commission’’) the 

proposed rule change, as described in 

Items I, II and III below, which Items 

have been prepared primarily by ICC. 

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 

The principal purpose of the 

proposed rule change is to make 

changes to ICC’s Risk Parameter Setting 

and Review Policy. These revisions do 

not require any changes to the ICC 

Clearing Rules (the ‘‘Rules’’). 

II. Clearing Agency’s Statement of the 

Purpose of, and Statutory Basis for, the 

Proposed Rule Change 

In its filing with the Commission, ICC 

included statements concerning the 

purpose of and basis for the proposed 

rule change, security-based swap 

submission, or advance notice and 

discussed any comments it received on 

the proposed rule change, securitybased swap submission, or advance 

notice. The text of these statements may 

be examined at the places specified in 

Item IV below. ICC 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 

ICC proposes revising its Risk 

Parameter Setting and Review Policy, 

which describes the process of setting 

and reviewing the risk management 

model core parameters and the 

performance of sensitivity analyses 

related to certain parameter settings. ICC 

believes that such revisions will 

facilitate the prompt and accurate 

clearance and settlement of securities 

transactions and derivative agreements, 

contracts, and transactions for which it 

is responsible. ICC proposes to make 

such changes effective following 

Commission approval of the proposed 

rule change. The proposed revisions are 

described in detail as follows. 

ICC proposes to amend the 

‘‘Univariate Level Parameters’’ 

subsection (Subsection 1.7.1), which 

describes the univariate level 

parameters associated with the 

integrated spread response model 

component. For single name risk factors, 

ICC proposes to clarify how the end-ofday (‘‘EOD’’) recovery rate is derived 

from quotes. The proposed changes 

describe how the EOD recovery rate 

would deviate when the single name 

risk factor is distressed. The proposed 

language further specifies the role of the 

established EOD recovery rate upon 

using the ISDA Standard Model in terms 

of price-to-spread mapping. Finally, ICC 

proposes to update the revision history 

to reflect the proposed changes 

accordingly. Overall, the proposed 

amendments are intended to serve as 

clarifications and would not change the 

methodology. 

(b) Statutory Basis 

ICC believes that the proposed rule 

change is consistent with the 

requirements of Section 17A of the Act 3

and the regulations thereunder 

applicable to it, including the applicable 

standards under Rule 17Ad–22.4 In 

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

Act 5 requires that the rule change be 

consistent with the prompt and accurate 

clearance and settlement of securities 

transactions and derivative agreements, 

contracts and transactions cleared by 

ICC, the safeguarding of securities and 

funds in the custody or control of ICC 

or for which it is responsible, and the 

protection of investors and the public 

interest. The revisions are limited to 

clarification changes and would not 

amend the methodology. As described 

above, for single name risk factors, ICC 

proposes to clarify how the EOD 

recovery rate is derived from quotes. 

The proposed changes also describe 

how the EOD recovery rate would 

deviate when the single name risk factor 

is distressed and the role of the 

established EOD recovery rate in respect 

of the ISDA Standard Model. Such 

changes would ensure transparency and 

clarity in the Risk Parameter Setting and 

Review Policy with respect to ICC’s 

parameter setting and calibration 

process to support the effectiveness of 

ICC’s risk management system. The 

proposed rule change is therefore 

consistent with the prompt and accurate 

clearing and settlement of the contracts 

cleared by ICC, the safeguarding of 

securities and funds in the custody or 

control of ICC or for which it is 

responsible, and the protection of 

investors and the public interest, within 

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

the Act.6


khammond on DSKJM1Z7X2PROD with NOTICES
19564 Federal Register / Vol. 87, No. 64 / Monday, April 4, 2022 / Notices 

7 17 CFR 240.17Ad–22(e)(4)(ii). 

8 Id. 

9 17 CFR 240.17Ad–22(e)(4)(vi)(B). 

10 Id. 

11 17 CFR 240.17Ad–22(e)(6)(i). 

12 Id. 

Rule 17Ad–22(e)(4)(ii) 7 requires each 

covered clearing agency to establish, 

implement, maintain, and enforce 

written policies and procedures 

reasonably designed to effectively 

identify, measure, monitor, and manage 

its credit exposures to participants and 

those arising from its payment, clearing, 

and settlement processes, including by 

maintaining additional financial 

resources at the minimum to enable it 

to cover a wide range of foreseeable 

stress scenarios that include, but are not 

limited to, the default of the two 

participant families that would 

potentially cause the largest aggregate 

credit exposure for the covered clearing 

agency in extreme but plausible market 

conditions. ICC believes that the 

proposed changes provide additional 

clarity in the Risk Parameter Setting and 

Review Policy, which strengthens ICC’s 

process for reviewing and setting the 

model core parameters and, in turn, 

serves to promote the soundness of 

ICC’s risk management model, its ability 

to manage risks and maintain 

appropriate financial resources. Such 

changes enhance the readability and 

transparency of the Risk Parameter 

Setting and Review Policy, which 

would strengthen the documentation 

and ensure that it remains up-to-date, 

clear, and transparent. As such, the 

proposed amendments would 

strengthen ICC’s ability to maintain its 

financial resources and withstand the 

pressures of defaults, consistent with 

the requirements of Rule 17Ad– 

22(e)(4)(ii).8

Rule 17Ad–22(e)(4)(vi)(B) 9 requires 

each covered clearing agency to 

establish, implement, maintain, and 

enforce written policies and procedures 

reasonably designed to effectively 

identify, measure, monitor, and manage 

its credit exposures to participants and 

those arising from its payment, clearing, 

and settlement processes, including by 

testing the sufficiency of its total 

financial resources available to meet the 

minimum financial resource 

requirements, including by conducting a 

comprehensive analysis on at least a 

monthly basis of underlying parameters 

and assumptions. Under the proposed 

changes, the Risk Parameter Setting and 

Review Policy continues to provide a 

clear framework for ICC to set and 

review the model core parameters and 

perform sensitivity analyses related to 

certain parameter settings on at least a 

monthly basis. The proposed changes 

provide additional clarity with respect 

to the univariate level parameters and 

do not change ICC’s methodology. As 

such, ICC believes the proposed rule 

change is consistent with the 

requirements of Rule 17Ad– 

22(e)(4)(vi)(B).10

Rule 17Ad–22(e)(6)(i) 11 requires each 

covered clearing agency to establish, 

implement, maintain, and enforce 

written policies and procedures 

reasonably designed to cover its credit 

exposures to its participants by 

establishing a risk-based margin system 

that, at a minimum, considers, and 

produces margin levels commensurate 

with, the risks and particular attributes 

of each relevant product, portfolio, and 

market. As described above, the 

proposed clarifications would promote 

clarity and transparency in the 

documentation. In ICC’s view, the 

proposed changes thus enhance and 

strengthen ICC’s process for reviewing 

and setting the model core parameters, 

which in turn serves to promote the 

soundness of ICC’s risk management 

model and system, which will continue 

to consider and produce margin levels 

commensurate with the risks and 

particular attributes of each relevant 

product, portfolio, and market, 

consistent with the requirements of Rule 

17Ad–22(e)(6)(i).12

(B) Clearing Agency’s Statement on 

Burden on Competition 

ICC does not believe the proposed 

rule change would have any impact, or 

impose any burden, on competition. 

The proposed changes to ICC’s Risk 

Parameter Setting and Review Policy 

will apply uniformly across all market 

participants. Therefore, ICC does not 

believe the proposed rule change 

imposes any burden on competition that 

is inappropriate 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. ICC will notify the 

Commission of any written comments 

received by ICC. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Within 45 days of the date of 

publication of this notice in the Federal 

Register or within such longer period 

up to 90 days (i) as the Commission may 

designate if it finds such longer period 

to be appropriate and publishes its 

reasons for so finding or (ii) as to which 

the self-regulatory organization 

consents, the Commission will: 

(A) By order approve or disapprove 

such proposed rule change, or 

(B) institute proceedings to determine 

whether the proposed rule change 

should be disapproved. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s internet 

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

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include File Number SR– 

ICC–2022–002 on the subject line. 

Paper Comments 

Send paper comments in triplicate to 

Secretary, Securities and Exchange 

Commission, 100 F Street NE, 

Washington, DC 20549. 

All submissions should refer to File 

Number SR–ICC–2022–002. 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 such 

filings will also be available for 

inspection and copying at the principal 

office of ICE Clear Credit and on ICE 

Clear Credit’s website at https://

www.theice.com/clear-credit/regulation. 

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. 


khammond on DSKJM1Z7X2PROD with NOTICES
Federal Register / Vol. 87, No. 64 / Monday, April 4, 2022 / Notices 19565 

13 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). A proposed rule change 

may take effect upon filing with the Commission if 

it is designated by the exchange as ‘‘establishing or 

changing a due, fee, or other charge imposed by the 

self-regulatory organization on any person, whether 

or not the person is a member of the self-regulatory 

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

4See Securities Exchange Act Release No. 94453 

(March 17, 2022), 87 FR 16529 (March 23, 2022). 

5 17 CFR 200.30–3(a)(12). 

You should submit only information 

that you wish to make available 

publicly. All submissions should refer 

to File Number SR–ICC–2022–002 and 

should be submitted on or before April 

25, 2022. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.13

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–06983 Filed 4–1–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[SEC File No. 270–225, OMB Control No. 

3235–0235] 

Submission for OMB Review; 

Comment Request; Extension: Rule 

17a–8 

Upon Written Request, Copies Available 

From: Securities and Exchange 

Commission, Office of FOIA Services, 

100 F Street NE, Washington, DC 

20549–2736 

Notice is hereby given that, pursuant 

to the Paperwork Reduction Act of 1995 

(44 U.S.C. 3501–3520), the Securities 

and Exchange Commission (the 

‘‘Commission’’) has submitted to the 

Office of Management and Budget 

(‘‘OMB’’) a request for extension of the 

previously approved collection of 

information discussed below. 

Rule 17a–8 (17 CFR 270.17a–8) under 

the Investment Company Act of 1940 

(the ‘‘Act’’) (15 U.S.C. 80a–1 et seq.) is 

entitled ‘‘Mergers f affiliated 

companies.’’ Rule 17a–8 exempts 

certain mergers and similar business 

combinations (‘‘mergers’’) of affiliated 

registered investment companies 

(‘‘funds’’) from prohibitions under 

section 17(a) of the Act (15 U.S.C. 80a– 

17(a)) on purchases and sales between a 

fund and its affiliates. The rule requires 

fund directors to consider certain issues 

and to record their findings in board 

minutes. The rule requires the directors 

of any fund merging with an 

unregistered entity to approve 

procedures for the valuation of assets 

received from that entity. These 

procedures must provide for the 

preparation of a report by an 

independent evaluator that sets forth the 

fair value of each such asset for which 

market quotations are not readily 

available. The rule also requires a fund 

being acquired to obtain approval of the 

merger transaction by a majority of its 

outstanding voting securities, except in 

certain situations, and requires any 

surviving fund to preserve written 

records describing the merger and its 

terms for six years after the merger (the 

first two in an easily accessible place). 

The average annual burden of meeting 

the requirements of rule 17a–8 is 

estimated to be 7 hours for each fund. 

The Commission staff estimates that 

each year approximately 384 funds rely 

on the rule. The estimated total average 

annual burden for all respondents 

therefore is 2,688 hours. 

The average cost burden of preparing 

a report by an independent evaluator in 

a merger with an unregistered entity is 

estimated to be $15,000. The average net 

cost burden of obtaining approval of a 

merger transaction by a majority of a 

fund’s outstanding voting securities is 

estimated to be $100,000. The 

Commission staff estimates that each 

year approximately 59 funds hold 

shareholder votes that would not 

otherwise have held a shareholder vote. 

The total annual cost burden of meeting 

these requirements is estimated to be 

$5,900,000. 

The estimates of average burden hours 

and average cost burdens are made 

solely for the purposes of the Paperwork 

Reduction Act, and are not derived from 

a comprehensive or even a 

representative survey or study. An 

agency may not conduct or sponsor, and 

a person is not required to respond to, 

a collection of information unless it 

displays a currently valid OMB control 

number. 

The public may view the background 

documentation for this information 

collection at the following website, 

www.reginfo.gov. Comments should be 

directed to: (i) Desk Officer for the 

Securities and Exchange Commission, 

Office of Information and Regulatory 

Affairs, Office of Management and 

Budget, Room 10102, New Executive 

Office Building, Washington, DC 20503, 

or by sending an email to: 

Lindsay.M.Abate@omb.eop.gov; and (ii) 

David Bottom, Director/Chief 

Information Officer, Securities and 

Exchange Commission, c/o John R. 

Pezzullo, 100 F Street NE, Washington, 

DC 20549 or send an email to: PRA_

Mailbox@sec.gov. Written comments 

and recommendations for the proposed 

information collection should be sent 

within 30 days of publication of this 

notice to www.reginfo.gov/public/do/ 

PRAMain. Find this particular 

information collection by selecting 

‘‘Currently under 30-day Review—Open 

for Public Comments’’ or by using the 

search function. 

Dated: March 30, 2022. 

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–07054 Filed 4–1–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94541; File No. SR–Phlx– 

2022–10] 

Self-Regulatory Organizations; Nasdaq 

PHLX LLC; Notice of Withdrawal of 

Proposed Rule Changes To Amend 

Open Outcry Options Transaction 

Charges 

March 29, 2022. 

On March 10, 2022, Nasdaq PHLX 

LLC (‘‘Phlx’’) 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 

increase the Floor Lead Market Maker 

and Floor Market Maker options 

transaction charge and pay a Floor 

Broker rebate whenever a Floor Broker 

executes an order contra a Floor Lead 

Market Maker or Floor Market Maker in 

certain open outcry transactions in 

multiply-listed Penny and non-Penny 

symbols. The proposed rule change was 

immediately effective upon filing with 

the Commission pursuant to Section 

19(b)(3)(A) of the Act.3 The proposed 

rule change was published for comment 

in the Federal Register on March 23, 

2022.4 On March 29, 2022, Phlx 

withdrew the proposed rule change 

(SR–Phlx–2022–10). 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.5

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–06984 Filed 4–1–22; 8:45 am] 

BILLING CODE 8011–01–P 


khammond on DSKJM1Z7X2PROD with NOTICES