Federal Register / Vol. 86, No. 175 / Tuesday, September 14, 2021 / Notices 51203 

8 15 U.S.C. 78f(b)(8). 

9 15 U.S.C. 78s(b)(3)(A). 

10 17 CFR 240.19b–4(f)(2). 11 15 U.S.C. 78s(b)(2)(B). 12 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 91326 

(March 15, 2021), 86 FR 14987 (March 19, 2021). 

Comments on the proposed rule change can be 

found at: https://www.sec.gov/comments/srcboebzx-2021-019/srcboebzx2021019.htm. 

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

5See Securities Exchange Act Release No. 91695 

(April 28, 2021), 86 FR 24066 (May 5, 2021). The 

Commission designated June 17, 2021, as the date 

by which it should approve, disapprove, or institute 

proceedings to determine whether to disapprove the 

proposed rule change. 

6 15 U.S.C. 78s(b)(2)(B). 

7See Securities Exchange Act Release No. 92196 

(June 16, 2021), 86 FR 32985 (June 23, 2021). 

8 15 U.S.C. 78s(b)(2). 

For the foregoing reasons, the 

Exchange believes that the proposal is 

consistent with the Act. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

In accordance with Section 6(b)(8) of 

the Act,8 the Exchange believes that the 

proposed rule change would not impose 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act. Instead, as 

discussed above, the proposal relates 

solely to elimination of an underutilized 

DMM rebate and SLP tiered credits and, 

as such, would not have any impact on 

intra- or inter-market competition 

because the proposed change is solely 

designed to accurately reflect the 

services that the Exchange currently 

offers, thereby adding clarity to the 

Price List. 

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 with respect to the proposed 

rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The foregoing rule change is effective 

upon filing pursuant to Section 

19(b)(3)(A) 9 of the Act and 

subparagraph (f)(2) of Rule 19b–4 10

thereunder, because it establishes a due, 

fee, or other charge imposed by the 

Exchange. 

At any time within 60 days of the 

filing of such proposed rule change, the 

Commission summarily may 

temporarily suspend such rule change if 

it appears to the Commission that such 

action is necessary or appropriate in the 

public interest, for the protection of 

investors, or otherwise in furtherance of 

the purposes of the Act. If the 

Commission takes such action, the 

Commission shall institute proceedings 

under Section 19(b)(2)(B) 11 of the Act to 

determine whether the proposed rule 

change should be approved or 

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– 

NYSE–2021–49 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–NYSE–2021–49. 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–NYSE–2021–49 and should 

be submitted on or before October 5, 

2021. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.12

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2021–19730 Filed 9–13–21; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–92894; File No. SR– 

CboeBZX–2021–019] 

Self-Regulatory Organizations; Cboe 

BZX Exchange, Inc.; Notice of 

Designation of a Longer Period for 

Commission Action on Proceedings To 

Determine Whether To Approve or 

Disapprove a Proposed Rule Change 

To List and Trade Shares of the 

VanEck Bitcoin Trust Under BZX Rule 

14.11(e)(4), Commodity-Based Trust 

Shares 

September 8, 2021. 

On March 1, 2021, Cboe BZX 

Exchange, Inc. (‘‘BZX’’ 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 list and trade shares of the 

VanEck Bitcoin Trust under BZX Rule 

14.11(e)(4), Commodity-Based Trust 

Shares. The proposed rule change was 

published for comment in the Federal 

Register on March 19, 2021.3 On April 

28, 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 

disapprove the proposed rule change.5

On June 16, 2021, the Commission 

instituted proceedings under Section 

19(b)(2)(B) of the Act 6 to determine 

whether to approve or disapprove the 

proposed rule change.7

Section 19(b)(2) of the Act 8 provides 

that, after initiating proceedings, the 

Commission shall issue an order 

approving or disapproving the proposed 

rule change not later than 180 days after 

the date of publication of notice of filing 

of the proposed rule change. The 

Commission may extend the period for 

issuing an order approving or 

disapproving the proposed rule change, 


tkelley on DSK125TN23PROD with NOTICES
51204 Federal Register / Vol. 86, No. 175 / Tuesday, September 14, 2021 / Notices 

9See supra note 3. 

10 15 U.S.C. 78s(b)(2). 

11 17 CFR 200.30–3(a)(57). 

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

2 17 CFR 240.19b–4. 3 15 U.S.C. 78q–1. 

however, by not more than 60 days if 

the Commission determines that a 

longer period is appropriate and 

publishes the reasons for such 

determination. The proposed rule 

change was published for comment in 

the Federal Register on March 19, 

2021.9 The 180th day after publication 

of the proposed rule change is 

September 15, 2021. The Commission is 

extending the time period for approving 

or disapproving the proposed rule 

change for an additional 60 days. 

The Commission finds that it is 

appropriate to designate a longer period 

within which to issue an order 

approving or disapproving the proposed 

rule change so that it has sufficient time 

to consider the proposed rule change 

and the issues raised in the comment 

letters that have been submitted in 

connection therewith. Accordingly, the 

Commission, pursuant to Section 

19(b)(2) of the Act,10 designates 

November 14, 2021, as the date by 

which the Commission shall either 

approve or disapprove the proposed 

rule change (File Number SR– 

CboeBZX–2021–019). 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.11

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2021–19726 Filed 9–13–21; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–92893; File No. SR–ICC– 

2021–018] 

Self-Regulatory Organizations; ICE 

Clear Credit LLC; Notice of Filing of 

Proposed Rule Change Relating to the 

ICC Back-Testing Framework 

September 8, 2021. 

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

Securities Exchange Act of 1934 1 and 

Rule 19b–4,2 notice is hereby given that 

on August 24, 2021, ICE Clear Credit 

LLC (‘‘ICC’’) filed with the Securities 

and Exchange 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 revise the 

ICE CDS Clearing: Back-Testing 

Framework (‘‘Back-Testing 

Framework’’) to include additional 

description on the lookback period for 

back-testing and other clarifications. 

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 the BackTesting Framework, which describes 

ICC’s back-testing approach and 

procedures and includes guidelines for 

remediating poor back-testing results. 

The proposed amendments include 

additional description on the lookback 

period for back-testing and other 

clarifications. 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 a clarification change in 

Subsection 1.2. The Back-Testing 

Framework discusses ICC’s back-testing 

analysis, which verifies that the number 

of actual losses is consistent with the 

number of projected losses. The 

proposed clarification to Subsection 1.2 

specifies that the ICC Risk Department 

may consider back-testing analysis 

based on alternative statistical tests to 

assess the performance of its models in 

terms of statistical reliability. 

ICC proposes new Subsection 2.1 to 

include additional description on the 

lookback period for back-testing. 

Proposed Subsection 2.1 details the 

performance of back-testing analysis for 

Clearing Participant (‘‘CP’’) related 

portfolios. The proposed language 

discusses the maximum back-testing 

sample size, or the lookback period, and 

the benefit of allowing for a greater 

sample size in terms of assessing model 

performance. The proposed language 

also analyzes short lookback periods in 

combination with high risk quantile 

estimates. Moreover, ICC proposes to 

reference an alternative statistical test 

and describe how the model is 

considered to pass or fail the test. 

Proposed Figure 1 serves as an 

illustration under such alternative 

statistical test across different sample 

sizes and risk quantiles. Following such 

analysis, proposed Subsection 2.1 sets 

out ICC’s rationale for the minimum 

back-testing window length. Further, 

proposed Subsection 2.1 references the 

performance of additional analyses, as 

described in Section 4 of the BackTesting Framework, and includes 

language concerning the reporting of 

back-testing results. ICC proposes to 

renumber the following subsections 

accordingly. 

ICC proposes additional clarifications 

to the Back-Testing Framework. The 

proposed amendments include a 

footnote in amended Subsection 2.6 that 

references a relevant Commodity 

Futures Trading Commission regulation 

with respect to ICC’s performance of 

back-testing analysis. ICC further 

proposes amendments to Section 4, 

which contains guidelines for 

remediating poor back-testing results. 

Currently, poor back-testing results 

require a peer review of the risk models 

by the Risk Working Group (‘‘RWG’’), 

which is comprised of risk 

representatives from ICC’s CPs, and 

remedial actions to improve model 

performance. The proposed changes 

describe an additional aspect presented 

to the RWG and note an assessment that 

corresponds to the performance of a 

back-testing analysis without 

overlapping periods. ICC also proposes 

to update Section 5, containing a list of 

references, to include a reference for the 

alternative statistical test described in 

proposed Subsection 2.1. 

(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 


tkelley on DSK125TN23PROD with NOTICES