Federal Register / Vol. 86, No. 157 / Wednesday, August 18, 2021 / Notices 46287 

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

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 91952 

(May 20, 2021), 86 FR 28410. 

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

5See Securities Exchange Act Release No. 92321, 

86 FR 36173 (July 8, 2021). The Commission 

designated August 24, 2021, as the date by which 

the Commission shall approve or disapprove, or 

institute proceedings to determine whether to 

approve or disapprove, the proposed rule change. 

6 In Amendment No. 1, the Exchange: (i) Stated 

that Teucrium Trading, LLC will be the SubAdviser for the Fund; (ii) represented that neither 

the Sponsor nor the Sub-Adviser (as such terms are 

defined below) is registered as a broker-dealer or 

affiliated with a broker-dealer and made additional 

representations with respect to firewalls; (iii) stated 

that the Fund will seek investment results, before 

fees and expenses, that correspond to the 

performance of the Index (as defined below) and 

that the Fund will seek to track the Index over time, 

not just for a single day; (iv) stated that the Sponsor 

or Sub-Adviser determines the type, quantity and 

mix of investments that the Sponsor or Sub-Adviser 

believes, in combination, should provide exposure 

to the Index to seek investment results equal to the 

performance of the Index; (v) stated that the 

Sponsor or Sub-Adviser may cause the Fund to 

invest in VIX Related Positions (as defined below) 

if the market for a specific futures contract 

experiences emergencies or disruptions or in 

situations where the Sponsor or Sub-Adviser deems 

it impractical or inadvisable to buy or sell SPIKES 

futures contracts; (vi) represented that (a) the Fund 

will attempt to limit counterparty risk in uncleared 

swap agreements by entering into such agreements 

only with counterparties the Sponsor and SubAdviser believes are creditworthy and by limiting 

the Fund’s exposure to each counterparty and (b) 

the Sponsor and Sub-Adviser will monitor the 

creditworthiness of each counterparty and the 

Fund’s exposure to each counterparty on an 

ongoing basis; (vii) stated that, with respect to 

halting trading in the Shares, the Exchange may 

consider (a) the extent to which trading is not 

occurring in the securities and/or the financial 

instruments composing the daily disclosed portfolio 

of the Fund; or (b) whether other unusual 

Continued 

10. Records pertaining to the USPS 

fuel fleet card purchase program are 

retained for 10 years. 

11. Records related to voluntary 

wellness challenges and programs will 

be retained for 30 days after the 

conclusion of each challenge or program 

cycle. 

Records existing on paper are 

destroyed by burning, pulping, or 

shredding. Records existing on 

computer storage media are destroyed 

according to the applicable USPS media 

sanitization practice. 

ADMINISTRATIVE, TECHNICAL, AND PHYSICAL

SAFEGUARDS: 

Paper records, computers, and 

computer storage media are located in 

controlled-access areas under 

supervision of program personnel. 

Access to these areas is limited to 

authorized personnel, who must be 

identified with a badge. 

Access to records is limited to 

individuals whose official duties require 

such access. Contractors and licensees 

are subject to contract controls and 

unannounced on-site audits and 

inspections. 

Computers are protected by 

mechanical locks, card key systems, or 

other physical access control methods. 

The use of computer systems is 

regulated with installed security 

software, computer logon 

identifications, and operating system 

controls including access controls, 

terminal and transaction logging, and 

file management software. 

For the voluntary employee wellness 

initiative, employees will create their 

own profile and enter their own 

challenge activity progress. Employees 

without access to U.S. Postal Service 

computers and employees voluntarily 

participating in the weight loss 

challenges may opt-in to a manual 

process to have their profile created and 

entries updated by a designated 

wellness challenge coordinator for their 

geographic location. 

Participant alias names will be used 

in all wellness program dashboard 

participant input and activity reporting 

to protect the privacy of individuals. In 

addition, weight loss challenge 

dashboards will only display the 

percentage of weight loss for the 

employee by alias names, rather than 

actual weights. 

RECORD ACCESS PROCEDURES: 

Requests for access must be made in 

accordance with the Notification 

Procedure above and USPS Privacy Act 

regulations regarding access to records 

and verification of identity under 39 

CFR 266.5. 

CONTESTING RECORD PROCEDURES: 

See Notification Procedure and 

Record Access Procedures above. 

NOTIFICATION PROCEDURES: 

Individuals wanting to know if 

information about them is maintained in 

this system must address inquiries to 

the facility head where currently or last 

employed. Headquarters employees 

must submit inquiries to Corporate 

Personnel Management, 475 L’Enfant 

Plaza SW, Washington, DC 20260. 

Inquiries must include full name, Social 

Security Number or Employee 

Identification Number, name and 

address of facility where last employed, 

and dates of USPS employment. 

EXEMPTIONS PROMULGATED FOR THE SYSTEM: 

Records in this system relating to 

injury compensation that have been 

compiled in reasonable anticipation of a 

civil action or proceeding are exempt 

from individual access as permitted by 

5 U.S.C. 552a(d)(5). The USPS has also 

claimed exemption from certain 

provisions of the Act for several of its 

other systems of records at 39 CFR 

266.9. To the extent that copies of 

exempted records from those other 

systems are incorporated into this 

system, the exemptions applicable to 

the original primary system continue to 

apply to the incorporated records. 

HISTORY: 

June 15, 2020, 85 FR 29492; February 

25, 2019, 84 FR 6022; February 23, 

2017, 82 FR 11489; March 2, 2015, 80 

FR 11241; June 17, 2011, 76 FR 35483; 

April 29, 2005, 70 FR 22516. 

Joshua J. Hofer, 

Attorney, Ethics & Legal Compliance. 

[FR Doc. 2021–17250 Filed 8–17–21; 8:45 am] 

BILLING CODE 7710–12–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–92650; File No. SR– 

NYSEArca–2021–29] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Notice of Filing of 

Amendment No. 1 and Order Instituting 

Proceedings To Determine Whether To 

Approve or Disapprove a Proposed 

Rule Change, as Modified by 

Amendment No. 1, To List and Trade 

Shares of ConvexityShares 1x SPIKES 

Futures ETF Under NYSE Arca Rule 

8.200–E (Trust Issued Receipts) 

August 12, 2021. 

I. Introduction 

On May 13, 2021, NYSE Arca, Inc. 

(‘‘NYSE Arca’’ or ‘‘Exchange’’) filed 

with the Securities and Exchange 

Commission (‘‘Commission’’), pursuant 

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

Exchange Act of 1934 (‘‘Act’’ or 

‘‘Exchange Act’’) 1 and Rule 19b–4 

thereunder,2 a proposed rule change to 

list and trade shares (‘‘Shares’’) of the 

ConvexityShares 1x SPIKES Futures 

ETF (‘‘Fund’’), a series of the 

ConvexityShares Trust (‘‘Trust’’), under 

NYSE Arca Rule 8.200–E, Commentary 

.02 (‘‘Trust Issued Receipts’’). The 

proposed rule change was published for 

comment in the Federal Register on 

May 26, 2021.3 On July 2, 2021, 

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

the Commission designated a longer 

period within which to approve the 

proposed rule change, disapprove the 

proposed rule change, or institute 

proceedings to determine whether to 

approve or disapprove the proposed 

rule change.5 On July 26, 2021, the 

Exchange filed Amendment No. 1 to the 

proposed rule change, which replaced 

and superseded the proposed rule 

change as originally filed.6 The 


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46288 Federal Register / Vol. 86, No. 157 / Wednesday, August 18, 2021 / Notices 

conditions or circumstances detrimental to the 

maintenance of a fair and orderly market are 

present; (viii) represented that information 

regarding market price and trading volume for the 

Shares will be continually available on a real-time 

basis throughout the day on brokers’ computer 

screens and other electronic services; (ix) 

represented that prior to the commencement of 

trading, the Exchange will inform its Equity Trading 

Permit Holders in an Information Bulletin of, 

among other things, the special characteristics and 

risks associated with trading the Shares, the 

prospectus delivery requirements applicable to the 

Fund, and any exemptive, no-action, and 

interpretive relief granted by the Commission from 

any rules under the Act; and (x) made technical, 

clarifying, and conforming changes. Amendment 

No. 1 is available at: https://www.sec.gov/ 

comments/sr-nysearca-2021-29/ 

srnysearca202129.htm. 

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

8Additional information regarding the Fund, the 

Trust, and the Shares, including investment 

strategies, creation and redemption procedures, and 

portfolio holdings can be found in Amendment No. 

1, supra note 6. 

9On December 15, 2020, the Trust submitted to 

the Commission its draft registration statement on 

Form S–1 (‘‘Registration Statement’’) under the 

Securities Act of 1933 on a confidential basis. The 

Registration Statement for the Fund is not yet 

effective and the Exchange will not commence 

trading in Shares of the Fund until the Registration 

Statement becomes effective. 

10Commentary .02 to NYSE Arca Rule 8.200–E 

applies to Trust Issued Receipts that invest in 

‘‘Financial Instruments.’’ The term ‘‘Financial 

Instruments,’’ as defined in Commentary .02(b)(4) to 

NYSE Arca Rule 8.200–E, means any combination 

of investments, including cash; securities; options 

on securities and indices; futures contracts; options 

on futures contracts; forward contracts; equity caps, 

collars, and floors; and swap agreements. 

11The Sponsor is not registered as a broker-dealer 

or affiliated with a broker-dealer. In the event (a) 

the Sponsor becomes registered as a broker-dealer 

or becomes newly affiliated with a broker-dealer, or 

(b) any new sponsor becomes registered as a brokerdealer or becomes newly affiliated with a brokerdealer, it will implement and maintain a fire wall 

with respect to its relevant personnel of the brokerdealer or broker-dealer affiliate, as applicable, 

regarding access to information concerning the 

composition and/or changes to the portfolio, and 

will be subject to procedures designed to prevent 

the use and dissemination of material non-public 

information regarding the portfolio. 

12The Sub-Adviser is not registered as a brokerdealer or affiliated with a broker-dealer. In the event 

(a) the Sub-Adviser becomes registered as a brokerdealer or becomes newly affiliated with a brokerdealer, or (b) any new Sub-Adviser becomes 

registered as a broker-dealer or becomes newly 

affiliated with a broker-dealer, it will implement 

and maintain a fire wall with respect to its relevant 

personnel of the broker-dealer or broker-dealer 

affiliate, as applicable, regarding access to 

information concerning the composition and/or 

changes to the portfolio, and will be subject to 

procedures designed to prevent the use and 

dissemination of material non-public information 

regarding the portfolio. 

13The Index is sponsored by Triple Three 

Partners Pty Ltd, which licenses the use of the 

Index to its affiliated company, T3i Pty Ltd (Triple 

Three Partners Pty Ltd and T3i Pty Ltd. are 

collectively referred to herein as ‘‘T3 Index’’ or 

‘‘Index Sponsor’’). The Index Sponsor is affiliated 

with the Sponsor. The Index Sponsor has 

implemented and will maintain a fire wall 

regarding access to information concerning the 

composition of and/or changes to the Index. In 

addition, the Index Sponsor has implemented and 

will maintain procedures that are designed to 

prevent the use and dissemination of material, nonpublic information regarding the Index. The Index 

Sponsor is not registered as an investment adviser 

or broker-dealer and is not affiliated with any 

broker-dealers. The Index is calculated and 

published by Solactive AG, which is not affiliated 

with T3 Index. 

14The Exchange states that the SPIKES Index is 

a non-investable index that measures the implied 

volatility of the SPDR S&P 500 ETF Trust (‘‘SPY’’) 

over 30 days in the future. SPY is a unit investment 

trust that holds a portfolio of common stocks that 

closely tracks the price performance and dividend 

yield of the S&P 500 Composite Price Index (‘‘S&P 

500’’). The SPIKES Index does not represent the 

actual or the realized volatility of SPY. The SPIKES 

Index is calculated based on the prices of a 

constantly changing portfolio of SPY put and call 

options. The SPIKES Index is reflective of the 

premium paid by investors for certain options 

linked to the level of the S&P 500. The SPIKES 

Index is a theoretical calculation and cannot be 

traded on a spot basis. T3 Index is the owner, 

creator and licensor of the SPIKES Index. The 

SPIKES Index is calculated, maintained and 

published by Miami International Securities 

Exchange, LLC via the Options Price Reporting 

Authority. 

15According to the Exchange, SPIKES futures 

contracts were launched for trading by the 

Minneapolis Grain Exchange, LLC (‘‘MGEX’’) on 

December 14, 2020. While the SPIKES Index 

represents a measure of the expected 30-day 

volatility of SPY, the prices of SPIKES futures 

contracts are based on the current expectation of the 

expected 30-day volatility of SPY on the expiration 

date of the futures contract. 

16According to the Exchange, a Trade at 

Settlement (‘‘TAS’’) transaction is a transaction at 

a price equal to the daily settlement price, or at a 

specified differential above or below the daily 

settlement price. The TAS transaction price will be 

determined following execution and based upon the 

daily settlement price of the respective SPIKES 

futures contracts month. The permissible price 

range for permitted TAS transactions is from 0.50 

index points below the daily settlement price to 

0.50 index points above the daily settlement price. 

The permissible minimum increment for a TAS 

transaction is 0.01 index points. See MGEX Rule 

83.15 at http://www.mgex.com/documents/ 

20210318-Rulebook.pdf. 

17According to the Exchange, the VIX is a 

measure of estimated near-term future volatility 

based upon the weighted average of the implied 

volatilities of near-term put and call options on the 

S&P 500. 

Commission has received no comments 

on the proposed rule change. The 

Commission is publishing this notice 

and order to solicit comments on 

Amendment No. 1 from interested 

persons, and to institute proceedings 

pursuant to Section 19(b)(2)(B) of the 

Act 7 to determine whether to approve 

or disapprove the proposed rule change, 

as modified by Amendment No. 1. 

II. Description of the Proposed Rule 

Change, as Modified by Amendment 

No. 1 8

The Exchange proposes to list and 

trade Shares of the Fund 9 under NYSE 

Arca Rule 8.200–E, Commentary .02 

which governs the listing and trading of 

Trust Issued Receipts 10 on the 

Exchange. The Fund will be managed 

and controlled by ConvexityShares, LLC 

(‘‘Sponsor’’), a commodity pool 

operator.11 Teucrium Trading, LLC, a 

commodity trading adviser registered 

with the Commodity Futures Trading 

Commission, will be the Sub-Adviser 

for the Fund (‘‘Sub-Adviser’’) and will 

manage the Fund’s commodity futures 

investment strategy.12 U.S. Bank will 

provide custody and fund accounting to 

the Trust and the Fund; U.S. Bancorp 

Fund Services will be the transfer agent 

for the Shares and administrator for the 

Fund; and Foreside will serve as the 

distributor for the Fund. 

The Fund will seek investment 

results, before fees and expenses, that 

correspond to the performance of its 

benchmark index. The Fund will seek to 

track the Index over time, not just for a 

single day. The Fund is benchmarked to 

the T3 SPIKE Front 2 Futures Index 

(‘‘Index’’), an investable index of 

SPIKES futures contracts.13 The Index is 

intended to reflect the returns that are 

potentially available through an 

unleveraged investment in a theoretical 

portfolio of first- and second-month 

futures contracts on the SPIKES 

Volatility Index (‘‘SPIKES Index’’).14

The Index is comprised solely of 

SPIKES futures contracts.15 The Index 

employs rules for selecting the SPIKES 

futures contracts comprising the Index 

and a formula to calculate a level for the 

Index from the prices of these SPIKES 

futures contracts. Currently, the SPIKES 

futures contracts comprising the Index 

represent the prices of two near-term 

SPIKES futures contracts, replicating a 

position that rolls the nearest month 

SPIKES futures contracts to the next 

month SPIKES futures contracts at or 

close to the daily settlement price via a 

Trade-At-Settlement 16 program towards 

the end of each business day in equal 

fractional amounts. This results in a 

constant weighted average maturity of 

one month. 

The Fund will invest primarily in 

SPIKES futures contracts to gain the 

appropriate exposure to the Index. 

Under certain circumstances (described 

below), the Fund may also invest in 

futures contracts and swap contracts 

(‘‘VIX Related Positions’’) on the Cboe 

Volatility Index (‘‘VIX’’).17 The 

Exchange states that the VIX is an index 

that tracks volatility and would be 

expected to perform in a substantially 

similar manner as the SPIKES Index. 

The Fund seeks to achieve its 

investment objective through the 

appropriate amount of exposure to the 

SPIKES futures contracts included in 

the Index. The Fund will not directly 

invest in the SPIKES Index. The 

Sponsor or Sub-Adviser determines the 


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Federal Register / Vol. 86, No. 157 / Wednesday, August 18, 2021 / Notices 46289 

18The Fund will attempt to limit counterparty 

risk in uncleared swap agreements by entering into 

such agreements only with counterparties the 

Sponsor and Sub-Adviser believes are creditworthy 

and by limiting the Fund’s exposure to each 

counterparty. The Exchange represents that the 

Sponsor and Sub-Adviser will monitor the 

creditworthiness of each counterparty and the 

Fund’s exposure to each counterparty on an 

ongoing basis. 

19 15 U.S.C. 78s(b)(2)(B). 

20 Id. 

21 15 U.S.C. 78f(b)(5). 

22 17 CFR 201.700(b)(3). 

23See id. 

24See id. 

25Section 19(b)(2) of the Act, as amended by the 

Securities Act Amendments of 1975, Public Law 

94–29 (June 4, 1975), grants the Commission 

flexibility to determine what type of proceeding— 

either oral or notice and opportunity for written 

comments—is appropriate for consideration of a 

particular proposal by a self-regulatory 

organization. See Securities Act Amendments of 

1975, Senate Comm. on Banking, Housing & Urban 

Affairs, S. Rep. No. 75, 94th Cong., 1st Sess. 30 

(1975). 

type, quantity and mix of investments 

that the Sponsor or Sub-Adviser 

believes, in combination, should 

provide exposure to the Index to seek 

investment results equal to the 

performance of the Index. In the event 

accountability rules, price limits, 

position limits, margin limits or other 

exposure limits are reached with respect 

to SPIKES futures contracts, or if the 

market for a specific futures contract 

experiences emergencies (e.g., natural 

disaster, terrorist attack or an act of God) 

or disruptions (e.g., a trading halt or a 

flash crash), or in situations where the 

Sponsor or Sub-Adviser deems it 

impractical or inadvisable to buy or sell 

SPIKES futures contracts (such as 

during periods of market volatility or 

illiquidity, or when trading in SPY is 

halted), the Sponsor or Sub-Adviser 

may cause the Fund to invest in VIX 

Related Positions. The Sponsor expects 

the Fund’s positions in VIX Related 

Positions to consist primarily of VIX 

futures contracts, which are traded on 

the Cboe Futures Exchange. However, in 

the event accountability rules, price 

limits, position limits, margin limits or 

other exposure limits are reached with 

respect to VIX futures contracts, or if the 

market for a specific VIX futures 

contract experiences emergencies or 

disruptions or in situations where the 

Sponsor or Sub-Adviser deems it 

impractical or inadvisable to buy or sell 

VIX futures contracts, the Fund would 

hold VIX swap agreements.18 The Fund 

will also hold cash or cash equivalents 

such as U.S. Treasury securities or other 

high credit quality, short-term fixedincome or similar securities (such as 

shares of money market funds) as 

collateral for investments and pending 

investments. 

III. Proceedings To Determine Whether 

To Approve or Disapprove SR– 

NYSEArca–2021–29, as Modified by 

Amendment No. 1, and Grounds for 

Disapproval Under Consideration 

The Commission is instituting 

proceedings pursuant to Section 

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

whether the proposed rule change, as 

modified by Amendment No. 1, should 

be approved or disapproved. Institution 

of such proceedings is appropriate at 

this time in view of the legal and policy 

issues raised by the proposal. Institution 

of proceedings does not indicate that the 

Commission has reached any 

conclusions with respect to any of the 

issues involved. Rather, as described 

below, the Commission seeks and 

encourages interested persons to 

provide comments on the proposed rule 

change. 

Pursuant to Section 19(b)(2)(B) of the 

Act,20 the Commission is providing 

notice of the grounds for disapproval 

under consideration. The Commission is 

instituting proceedings to allow for 

additional analysis of the proposal’s 

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

Act, which requires, among other 

things, that the rules of a national 

securities exchange be ‘‘designed to 

prevent fraudulent and manipulative 

acts and practices, to promote just and 

equitable principles of trade,’’ and ‘‘to 

protect investors and the public 

interest.’’ 21

Under the Commission’s Rules of 

Practice, the ‘‘burden to demonstrate 

that a proposed rule change is 

consistent with the Exchange Act and 

the rules and regulations issued 

thereunder . . . is on the [SRO] that 

proposed the rule change.’’ 22 The 

description of a proposed rule change, 

its purpose and operation, its effect, and 

a legal analysis of its consistency with 

applicable requirements must all be 

sufficiently detailed and specific to 

support an affirmative Commission 

finding,23 and any failure of an SRO to 

provide this information may result in 

the Commission not having a sufficient 

basis to make an affirmative finding that 

a proposed rule change is consistent 

with the Act and the applicable rules 

and regulations.24

The Commission is instituting 

proceedings to allow for additional 

consideration and comment on the 

issues raised herein, including as to 

whether the proposal is consistent with 

the Act. 

IV. Procedure: Request for Written 

Comments 

The Commission requests that 

interested persons provide written 

submissions of their views, data, and 

arguments with respect to the issues 

identified above, as well as any other 

concerns they may have with the 

proposal. In particular, the Commission 

invites the written views of interested 

persons concerning whether the 

proposed rule change, as modified by 

Amendment No. 1, is consistent with 

Section 6(b)(5) or any other provision of 

the Act, or the rules and regulations 

thereunder. Although there do not 

appear to be any issues relevant to 

approval or disapproval that would be 

facilitated by an oral presentation of 

views, data, and arguments, the 

Commission will consider, pursuant to 

Rule 19b-4, any request for an 

opportunity to make an oral 

presentation.25

Interested persons are invited to 

submit written data, views, and 

arguments regarding whether the 

proposed rule change, as modified by 

Amendment No. 1, should be approved 

or disapproved by September 8, 2021. 

Any person who wishes to file a rebuttal 

to any other person’s submission must 

file that rebuttal by September 22, 2021. 

The Commission asks that 

commenters address the sufficiency of 

the Exchange’s statements in support of 

the proposal, which are set forth in the 

Amendment No. 1, in addition to any 

other comments they may wish to 

submit about the proposed rule change. 

In this regard, the Commission seeks 

commenters’ views regarding whether 

the Exchange’s proposal to list and trade 

the Shares, which seek to provide 

investment results that correspond to 

the return of an index designed to 

measure the daily performance of a 

theoretical portfolio of first- and secondmonth SPIKES futures contracts, is 

adequately designed to prevent 

fraudulent and manipulative acts and 

practices, to promote just and equitable 

principles of trade, and to protect 

investors and the public interest, 

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– 

NYSEArca–2021–29 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. 


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26 17 CFR 200.30–3(a)(57). 

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

2 17 CFR 240.19b–4. 

3Partial Amendment No. 1 amended the filing to 

delete from the filed Exhibit 5B, Clearing 

Membership Procedures, certain statements in 

sections 2.4.1 and 2.4.2 of such Procedures 

concerning the termination of clearing membership 

by a Clearing Member. Specifically, ICE Clear 

Europe proposes to remove the statements that it 

will define a minimum notice period and may 

publish a Circular confirming that a Termination 

Notice has been issued, because the appropriate 

minimum notice period and requirements for 

publishing a Circular are set forth in existing 

Clearing Rule 209, which is not proposed to be 

amended. 

4Capitalized terms used but not defined herein 

have the meanings specified in the ICE Clear 

Europe Clearing Rules (the ‘‘Rules’’). 

All submissions should refer to File 

Number SR–NYSEArca–2021–29. 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–NYSEArca–2021–29 and 

should be submitted by September 8, 

2021. Rebuttal comments should be 

submitted by September 22, 2021. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.26

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2021–17669 Filed 8–17–21; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–92652; File No. SR–ICEEU– 

2021–014] 

Self-Regulatory Organizations; ICE 

Clear Europe Limited; Notice of Filing 

of Proposed Rule Change, as Modified 

by Partial Amendment No. 1, Relating 

to the ICE Clear Europe Clearing 

Membership Policy and Clearing 

Membership Procedures 

August 12, 2021. 

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 August 2, 

2021, ICE Clear Europe Limited (‘‘ICE 

Clear Europe’’ or the ‘‘Clearing House’’) 

filed with the Securities and Exchange 

Commission (‘‘Commission’’) the 

proposed rule changes described in 

Items I, II and III below, which Items 

have been prepared primarily by ICE 

Clear Europe. On August 11, 2021, ICE 

Clear Europe filed Partial Amendment 

No. 1 to the proposed rule change.3 The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

change, as modified by Partial 

Amendment No. 1 (hereafter referred to 

as the ‘‘proposed rule change’’), from 

interested persons. 

I. Clearing Agency’s Statement of the 

Terms of Substance of the Proposed 

Rule Change 

ICE Clear Europe proposes to adopt a 

new Clearing Membership Policy (the 

‘‘Policy’’) and new Clearing 

Membership Procedures (the 

‘‘Procedures’’, and collectively with the 

Policy, the ‘‘Documents’’). The revisions 

would not involve any changes to the 

ICE Clear Europe Clearing Rules.4

II. Clearing Agency’s Statement of the 

Purpose of, and Statutory Basis for, the 

Proposed Rule Change 

In its filing with the Commission, ICE 

Clear Europe 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. ICE 

Clear Europe has prepared summaries, 

set forth in sections (A), (B), and (C) 

below, of the most significant aspects of 

such statements. 

(A) Clearing Agency’s Statement of the 

Purpose of, and Statutory Basis for, the 

Proposed Rule Change 

(a) Purpose 

ICE Clear Europe is proposing to 

adopt the new Policy and Procedures to 

consolidate and summarize its existing 

clearing membership criteria and to 

document certain existing processes and 

procedures concerning the membership 

application process. 

Clearing Membership Policy 

ICE Clear Europe is proposing to 

adopt the new Policy which would 

describe its clearing membership 

criteria (which are set forth in full detail 

in the Rules). The Policy would not 

change existing membership criteria. 

The Policy would also address related 

processes for assessing applicants for 

membership, variations of permissions 

and termination of membership. 

The Policy would describe clearing 

membership criteria, starting with a 

description of the objectives, which 

accounts for membership risk and 

ensures that such risks are properly 

managed and that admission criteria is 

non-discriminatory, transparent and 

objective to ensure fair and open access, 

as well as consistent with relevant 

regulatory requirements. The Policy 

would describe how these objectives are 

met through setting and monitoring 

appropriate membership criteria, 

establishing a due diligence process and 

requiring notifications regarding 

changes to Clearing Member business. 

The core clearing membership criteria, 

including holding sufficient capital, 

being a party to a Clearing Membership 

Agreement and others, would be 

summarized in the Policy (with the full 

criteria set out in Rule 201 and the CDS 

Procedures). 

The Policy would provide that ICE 

Clear Europe has established processes 

for clearing membership application, 

permission variations and clearing 

membership termination which are set 

out in further detail in the Procedures. 

The Policy would also address 

monitoring in respect of membership 

criteria, including periodic in-depth 

counterparty reviews, periodic review of 

financial positions and use of its 


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