26792 Federal Register / Vol. 87, No. 87 / Thursday, May 5, 2022 / Notices 

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

2 17 CFR 240.19b–4. 

3Capitalized terms used but not defined herein 

have the meanings specified in the Rule Book, 

Clearing Supplement, Procedures, or Clearing 

Notice, as applicable. 

4Self-Regulatory Organizations; LCH SA; Notice 

of Filing of Proposed Rule Change to Relating to the 

CDS Clearing Rule Book, Supplement, and 

Procedures, Exchange Act Release No. 4423 (March 

15, 2022); 87 FR 16035 (March 21, 2022) (SR–LCH 

SA–2022–002) (‘‘Notice’’). 

FOR FURTHER INFORMATION CONTACT: 

Shawn Davis, Assistant Director, at 

(202) 551–6413 or Chief Counsel’s 

Office at (202) 551–6821; SEC, Division 

of Investment Management, Chief 

Counsel’s Office, 100 F Street NE, 

Washington, DC 20549–8010. 

Aberdeen Investment Funds [File No. 

811–06652] 

Summary: Applicant seeks an order 

declaring that it has ceased to be an 

investment company. The applicant has 

transferred its assets to Aberdeen Funds, 

and on October 11, 2021, and December 

6, 2021, made final distributions to its 

shareholders based on net asset value. 

Expenses of $1,341,616 incurred in 

connection with the reorganization were 

paid by the applicant’s investment 

adviser. 

Filing Dates: The application was 

filed on January 27, 2022, and amended 

on April 1, 2022. 

Applicant’s Address: jbaris@

sidley.com. 

Calamos-Avenue Opportunities Fund 

[File No. 811–23573] 

Summary: Applicant, a closed-end 

investment company, seeks an order 

declaring that it has ceased to be an 

investment company. Applicant has 

never made a public offering of its 

securities and does not propose to make 

a public offering or engage in business 

of any kind. 

Filing Date: The application was filed 

on March 22, 2022. 

Applicant’s Address: 

Richard.horowitz@dechert.com. 

City National Rochdale High Yield 

Alternative Strategies Fund LLC [File 

No. 811–21965] 

Summary: Applicant, a closed-end 

investment company, seeks an order 

declaring that it has ceased to be an 

investment company. On September 17, 

2021, and November 29, 2021, applicant 

made liquidating distributions to its 

shareholders based on net asset value. 

Expenses of $22,937 incurred in 

connection with the liquidation were 

paid by the applicant. 

Filing Date: The application was filed 

on March 15, 2022. 

Applicant’s Address: laurie.dee@

morganlewis.com. 

City National Rochdale High Yield 

Alternative Strategies Fund TEI LLC 

[File No. 811–21964] 

Summary: Applicant, a closed-end 

investment company, seeks an order 

declaring that it has ceased to be an 

investment company. On September 17, 

2021, and November 29, 2021, applicant 

made liquidating distributions to its 

shareholders based on net asset value. 

Expenses of $28,655 incurred in 

connection with the liquidation were 

paid by the applicant. 

Filing Date: The application was filed 

on March 15, 2022. 

Applicant’s Address: laurie.dee@

morganlewis.com. 

City National Rochdale High Yield 

Alternative Strategies Master Fund LLC 

[File No. 811–21963] 

Summary: Applicant, a closed-end 

investment company, seeks an order 

declaring that it has ceased to be an 

investment company. On September 17, 

2021, and November 29, 2021, applicant 

made liquidating distributions to its 

shareholders based on net asset value. 

Expenses of $44,192 incurred in 

connection with the liquidation were 

paid by City National Rochdale High 

Yield Alternative Strategies Fund LLC, 

and City National Rochdale High Yield 

Alternative Strategies Fund TEI LLC. 

Filing Date: The application was filed 

on March 15, 2022. 

Applicant’s Address: laurie.dee@

morganlewis.com. 

Innovator ETFs Trust II [File No. 811– 

22926] 

Summary: Applicant seeks an order 

declaring that it has ceased to be an 

investment company. The applicant has 

transferred its assets to Innovator ETFs 

Trust, and on October 13, 2021 made a 

final distribution to its shareholders 

based on net asset value. Expenses of 

$2,000 incurred in connection with the 

reorganization were paid by the 

applicant’s investment adviser. 

Filing Dates: The application was 

filed on October 26, 2021, and amended 

on March 21, 2022. 

Applicant’s Address: walter_draney@

chapman.com. 

KP Funds [File No. 811–22838] 

Summary: Applicant seeks an order 

declaring that it has ceased to be an 

investment company. On December 7, 

2020, and December 9, 2020, applicant 

made liquidating distributions to its 

shareholders based on net asset value. 

Expenses of approximately $952,429.24 

incurred in connection with the 

liquidation were paid by the applicant. 

Filing Date: The application was filed 

on March 2, 2022. 

Applicant’s Address: sean.graber@

morganlewis.com. 

Pacific Global ETF Trust [File No. 811– 

23376] 

Summary: Applicant seeks an order 

declaring that it has ceased to be an 

investment company. The applicant has 

transferred its assets to Pacer Funds 

Trust, and on October 22, 2021 made a 

final distribution to its shareholders 

based on net asset value. Expenses of 

$86,911.33 incurred in connection with 

the reorganization were paid by the 

applicant’s investment adviser and the 

acquiring fund’s investment adviser. 

Filing Dates: The application was 

filed on January 7, 2022, and amended 

on April 5, 2022. 

Applicant’s Address: bibb.strench@

thompsonhine.com. 

For the Commission, by the Division of 

Investment Management, pursuant to 

delegated authority. 

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–09583 Filed 5–4–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94821; File No. SR–LCH 

SA–2022–002] 

Self-Regulatory Organizations; LCH 

SA; Order Approving Proposed Rule 

Change Relating to the CDS Clearing 

Rule Book, Supplement, and 

Procedures 

April 29, 2022. 

I. Introduction 

On March 11, 2022, Banque Centrale 

de Compensation, which conducts 

business under the name LCH SA (‘‘LCH 

SA’’), filed with the Securities and 

Exchange Commission (‘‘Commission’’), 

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

Securities Exchange Act of 1934 (the 

‘‘Act’’ or ‘‘Exchange Act’’),1 and Rule 

19b–4,2 a proposed rule change to 

amend the (i) CDS Clearing Rule Book 

(the ‘‘Rule Book’’), (ii) CDS Clearing 

Supplement (the ‘‘Clearing 

Supplement’’), (iii) certain CDS Clearing 

Procedures (the ‘‘Procedures’’), and (iv) 

a Clearing Notice (‘‘Clearing Notice).3

The proposed rule change was 

published for comment in the Federal 

Register on March 21, 2022.4 The 

Commission did not receive comments 

regarding the proposed rule change. For 

the reasons discussed below, the 


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Federal Register / Vol. 87, No. 87 / Thursday, May 5, 2022 / Notices 26793 

5 17 CFR 240.39.13(g)(8)(ii). 

Commission is approving the proposed 

rule change. 

II. Description of the Proposed Rule 

Change 

As detailed below, the changes to the 

Rule Book, Clearing Supplement, 

Procedures, and Clearing Notice would: 

(i) Queue trades received outside of the 

Real Time Session; (ii) backload Index 

Swaptions; (iii) allow Clients to request 

ad-hoc compression; (iv) revise certain 

provisions to conform to amended 

Commodity Futures Trade Commission 

(‘‘CFTC’’) Rule 39.13(g)(8)(ii); 5 (v) revise 

Treasury Reports; (vi) introduce a new 

Trading City concept; and (vii) rename 

a component of the minimum bid size 

formula used in default auctions. 

A. Real Time Session 

The Real Time Session is the period 

during a Clearing Day in which LCH SA 

accepts transactions for clearing. 

Currently Article 3.1.4.3 of Rule Book 

requires that LCH SA automatically 

reject any Intraday Transaction 

submitted outside of the Real Time 

Session. The proposed rule change 

would revise Article 3.1.4.3 to provide 

instead that any Intraday Transaction 

submitted outside of the Real Time 

Session will be deemed to have been 

submitted at the Start of the Real Time 

Session on the following Clearing Day. 

Rather than automatically rejection any 

Intraday Transaction submitted outside 

of the Real Time Session, under the 

proposed rule change LCH SA would 

instead queue those transactions for 

submission at the Start of the Real Time 

Session on the following Clearing Day. 

However, LCH SA would still 

automatically reject such transactions if 

they do not successfully complete the 

Eligibility Controls, Client Transaction 

Checks (if applicable), or the Notional 

and Collateral Checks. 

The proposed rule change also would 

give LCH SA additional flexibility 

regarding the start of the Real Time 

Session. The Rule Book defines the Real 

Time Session as the period commencing 

at the Start of Real Time and ending at 

the End of Real Time in respect of each 

Clearing Day. The Rule Book further 

defines the Start of Real Time as the 

time specified in a Clearing Notice. 

Currently, Clearing Notice 2016/057 

provides that the Start of Real Time for 

each Clearing Day is the earlier of: (i) 

The time when all relevant Clearing 

Members have satisfied the Morning 

Call and (ii) 09.05 Central European 

Time. Clearing Notice 2016/057 also 

provides that the End of Real Time is 

19.30 Central European Time on each 

Clearing Day. 

The proposed rule change would 

revise Clearing Notice 2016/057. The 

proposed rule change would maintain 

the same start and end times as 

currently found in the Clearing Notice, 

but it would give LCH SA flexibility to 

vary the start and end times. 

Specifically, the revised Clearing Notice 

would explain that if for any reason 

LCH SA is not able to start or end the 

Real Time Session at the specified 

times, or if LCH SA is required to start 

or end the Real Time Session other than 

at those times, then LCH SA may change 

the Start of Real Time and/or the End of 

Real Time. In that case, LCH SA will 

communicate the times to Clearing 

Members and the Start of Real Time 

and/or the End of Real Time will be the 

time when LCH SA sends the relevant 

notification of the opening or the 

closing (as applicable) of the Real Time 

Session. 

Finally, the proposed rule change 

would amend Section 5.5(a) of the 

Procedures to replace a reference to the 

specific start and end times of the Real 

Time Session with a general reference to 

the Real Time Session. This change 

would resolve a potential conflict from 

Section 5.5(a) of the Procedures, which 

could have arisen if LCH SA diverged 

from the times specified in the Clearing 

Notice. 

B. Backload Index Swaptions 

Currently LCH SA allows Clearing 

Members and Clients to backload CDS 

transactions, but not Index Swaptions 

(meaning options to purchase index 

CDS). Backloading is the process of 

clearing a transaction that the buyer and 

seller have held for some time after 

completion of the trade without 

submitting it to clearing. The proposed 

rule change would extend the 

backloading process to allow Clearing 

Members and Clients to backload Index 

Swaptions, in addition to CDS. 

To do so, the proposed rule change 

would amend the definition of CM 

Backloading Transaction and Client 

Backloading Transaction. The proposed 

rule change would add Index Swaptions 

to both definitions. These changes 

would allow a Clearing Member, in the 

case of a CM Backloading Transaction, 

and a Client, in the case of a Client 

Backloading Transaction, to backload 

Index Swaptions. 

The proposed rule change also would 

make a conforming change to the 

Procedures. In Section 5.2(c), the 

proposed rule change would specify 

that either a CDS or an Index Swaption 

may be submitted for clearing through 

the Daily Backloading Cycle. 

C. Ad-Hoc Compression Requests 

Compression is the process of 

reducing the number of trades in 

portfolios by offsetting positions. It 

simplifies the management of positions 

and reduces the capital that Clearing 

Members and Clients need to hold 

against their positions. LCH SA 

provides compression automatically or 

through ad-hoc requests. Currently, LCH 

SA allows Clearing Members to request 

compression, either for their own 

transactions or for transactions of their 

Clients. Clearing Members may request 

compression ad-hoc or may request 

automatic compression in certain 

circumstances. 

The proposed rule change would 

allow Clients to submit requests for adhoc compression directly to LCH SA, 

rather than having Clearing Members 

submit such requests on their behalf. To 

do so, the proposed rule change would 

amend Articles 3.3.1.1, 3.3.1.2, 3.3.1.4 

and 3.3.1.5 of the Rule Book to allow 

Clients to submit ad-hoc compression 

requests. The proposed rule change also 

would make conforming amendments in 

Section 5 of the Procedures and the 

Clearing Supplement. These changes 

would allow Clients to submit 

compression requests on an ad-hoc basis 

only; Clients would not be able to 

request automatic compression. 

In addition to these changes, the 

proposed rule change would amend 

Section 5.5(a) of the Procedures to make 

certain changes to the operation of 

compression requests. Under the 

proposed rule change, the Ad-Hoc 

Compression Order File would no 

longer define the resulting Clearing 

Transaction, as is currently specified. 

Moreover, Section 5.5(a) currently 

provides that a Clearing Notice will 

specify how to submit the Ad-Hoc 

Compression Order File. The proposed 

rule change would eliminate the use of 

a Clearing Notice and provide instead 

that LCH SA’s website will specify the 

means of submission. LCH SA is making 

this particular change because Clearing 

Members and Clients will submit their 

requests through the LCH Portal on LCH 

SA’s website. 

D. Amended CFTC Rule 39.13(g)(8)(ii) 

Currently Section 2.2(e) of the 

Procedures requires that an FCM/BD 

Clearing Member collect additional 

Collateral from an FCM/BD Client in 

respect of a Client Cleared Transaction 

in an amount that is 10% above what 

LCH SA would normally require for 

such Client Cleared Transaction. This 

requirement applies to any Client 

Cleared Transaction registered in a 

FCM/BD Client Trade Account that is of 


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26794 Federal Register / Vol. 87, No. 87 / Thursday, May 5, 2022 / Notices 

6 17 CFR 240.39.13(g)(8)(ii); Notice, 87 FR at 

16037. 

7Notice, 87 FR at 16037. 8Notice, 87 FR at 16037. 

9 15 U.S.C. 78s(b)(2)(C). 

10 15 U.S.C. 78q–1(b)(3)(F). 

11 17 CFR 240.17Ad–22(e)(13) and 17Ad– 

22(e)(17). 

12 15 U.S.C. 78q–1(b)(3)(F). 

a ‘‘non-hedging nature’’, as such term is 

used in Part 39 of the CFTC regulations. 

LCH SA represents that this 

requirement was intended to comply 

with CFTC Rule 39.13(g)(8)(ii).6 LCH SA 

further represents that it needs to 

update Section 2.2(e) to comply with a 

recent amendment to the CFTC rule.7

As amended, Section 2.2(e) would no 

longer impose a single, uniform 

additional margin requirement. Rather, 

FCM/BD Clearing Members would 

identify categories of FCM/BD Clients 

with heightened risk profiles and collect 

additional Collateral from the FCM/BD 

Clients at a level that exceeds what LCH 

SA would normally require, 

commensurate with the risk presented 

in each account. 

In addition to the amendment to 

Section 2.2(e), the proposed rule change 

would amend Article 6.2.6.1 of the Rule 

Book. As amended, Article 6.2.6.1 

would refer to FCM/BD Clients with 

heightened risk profiles, as required in 

Section 2 of the Procedures. 

E. Treasury Reports 

The proposed rule change would 

amend Section 5.16 of the Procedures, 

which detail certain treasury collateral 

management reports. The amendments 

would re-name the reports, update 

certain details, and make the reports 

machine-readable. 

F. Trading City 

The proposed rule change would 

introduce to the Rule Book the new 

concept of a Trading City. The Trading 

City would be the city in which a CDS 

or Index Swaption is typically traded, as 

determined by LCH SA and published 

on the LCH website. 

Use of the Trading City concept 

would allow LCH SA to tie certain 

deadlines and requirements to the 

specific calendar and business hours of 

that Trading City. For example, under 

Section 5.18.5 of the Procedures, LCH 

SA requires Clearing Members to enter 

into transactions with one another in 

certain circumstances. LCH SA requires 

such transactions as a way of validating 

the prices that Clearing Members 

submit. Currently, the timelines 

associated with such transactions are set 

out in Central European Time for 

products denominated in Euro and New 

York City local time for products 

denominated in US dollar. 

Under the proposed rule change, 

these deadlines would instead refer to 

the local time associated with the 

Trading City for the product. Thus, to 

the extent that LCH SA clears CDS or 

Index Swaptions typically traded in 

cities outside of Central European Time 

or New York City local time, use of the 

Trading City concept would allow these 

deadlines to conform to the local time 

zones where those products are 

typically traded. 

The proposed rule change therefore 

would add a definition to the Rule Book 

for Trading City and the associated 

terms Latest Contributed Price Time and 

Latest Cross Trade Execution Time. The 

proposed rule change also would amend 

Section 5.18 of the Procedures to 

incorporate these terms. 

G. Clearing Day 

The proposed rule change would 

amend the definition of Clearing Day in 

the Rule Book. Currently, the Rule Book 

defines Clearing Day as any day that is: 

(i) A Business Day and (ii) a day on 

which commercial banks in London are 

open for business. The Rule Book 

defines the term Business Day as any 

day that is not a holiday in the 

TARGET2 calendar. The proposed rule 

change would amend the Rule Book so 

that the term Clearing Day would 

instead mean any day on which LCH SA 

is open for business as set forth on the 

website and in member notifications 

from time to time. This change therefore 

would give LCH SA flexibility to define 

its Clearing Day, rather than relying on 

the calendars for TARGET2 and London 

commercial banks. 

H. Minimum Bid Size 

Finally, the proposed rule change 

would amend Appendix 1 of the Rule 

Book to correct the description of a term 

used to determine the minimum bid size 

in default auctions. Currently, LCH SA 

calculates the minimum bid size using 

a formula set out in Appendix 1. The 

formula includes a variable that is 

currently known as the Minimum Bid 

Size Denominator. The proposed rule 

change would change the name of this 

variable to the Minimum Bid Size 

Multiplier. LCH SA maintains that this 

variable is actually a multiplier and not 

a denominator, so renaming the variable 

would make the formula more clear and 

consistent.8

III. Discussion and Commission 

Findings 

Section 19(b)(2)(C) of the Act directs 

the Commission to approve a proposed 

rule change of a self-regulatory 

organization if it finds that such 

proposed rule change is consistent with 

the requirements of the Act and the 

rules and regulations thereunder 

applicable to such organization.9 For the 

reasons given below, the Commission 

finds that the proposed rule change is 

consistent with Section 17A(b)(3)(F) of 

the Act,10 and Rules 17Ad–22(e)(13) and 

(e)(17) thereunder.11

A. Consistency With Section 

17A(b)(3)(F) of the Act 

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

requires, among other things, that the 

rules of LCH SA be designed to promote 

the prompt and accurate clearance and 

settlement of securities transactions 

and, to the extent applicable, derivative 

agreements, contracts, and transactions, 

and, in general, to protect investors and 

the public interest.12 Based on its 

review of the record, and for the reasons 

discussed below, the Commission 

believes the proposed changes are 

consistent with the promotion of the 

prompt and accurate clearance and 

settlement of transactions at LCH SA. 

The Commission believes that the 

proposed changes to LCH SA’s real time 

session would promote the prompt and 

accurate clearance and settlement of 

transactions at LCH SA. Queuing 

Intraday Transactions submitted outside 

of the Real Time Session for submission 

at the Start of the Real Time Session on 

the following Clearing Day, rather than 

automatically rejecting those 

transactions, would allow Clearing 

Members to submit transactions outside 

of the Real Time Session, thus 

expanding the period of time in which 

Clearing Members can submit 

transactions to LCH SA. The 

Commission believes that doing so 

could provide Clearing Members more 

opportunity to submit transactions and 

would therefore promote the submission 

of Intraday Transactions to LCH SA, 

consistent with the promotion of the 

prompt and accurate clearance and 

settlement of transactions. Moreover, 

the Commission believes that giving 

LCH SA flexibility to vary the start and 

end times of the Real Time Session 

should help to ensure that LCH SA is 

able to operate the Real Time Session 

even in the face of operational delays, 

and therefore clear and settle 

transactions. Finally, the Commission 

believes that amending Section 5.5(a) of 

the Procedures to replace a reference to 

the specific start and end times of the 

Real Time Session with a general 

reference to the Real Time Session 

should ensure LCH SA is able to vary 


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13 17 CFR 240.39.13(g)(8)(ii). 

14Notice, 87 FR at 16037. 15 17 CFR 240.39.13(g)(8)(ii). 

16 15 U.S.C. 78q–1(b)(3)(F). 

17 17 CFR 240.17Ad–22(e)(13). 

18 17 CFR 240.17Ad–22(e)(13). 

19 17 CFR 240.17Ad–22(e)(17). 

the start and end of the Real Time 

Session as needed. 

The Commission believes that the 

proposed changes to allow Clearing 

Members and Clients to backload Index 

Swaptions also should promote the 

prompt and accurate clearance and 

settlement of transactions at LCH SA. 

The Commission believes that allowing 

Clearing Members and Clients to submit 

Index Swaptions as part of the Daily 

Backloading Cycle should give Clearing 

Members and Clients an opportunity of 

clearing Index Swaptions that could not 

be submitted during the intraday 

clearing process. The Commission 

believes that this should overall 

increase the availability of clearing 

services for Index Swaptions at LCH SA, 

and the Commission believes this 

should promote the prompt and 

accurate clearance and settlement of 

these transactions. 

The Commission further believes that 

the proposed changes to permit Clients 

to submit ad-hoc compression requests 

directly to LCH SA should promote the 

prompt and accurate clearance and 

settlement of transactions at LCH SA. As 

discussed above, compression simplifies 

the management of positions and 

reduces capital needs by offsetting 

positions. The Commissions believes 

that compression should therefore make 

clearing transactions through LCH SA 

more efficient and attractive. The 

Commission believes that allowing 

Clients to submit ad-hoc compression 

requests directly to LCH SA should 

improve the efficiency of such 

compression, by eliminating the need to 

send requests through Clearing 

Members. The Commission believes this 

change should therefore promote the 

use of compression by Clients. The 

Commission similarly believes that the 

amendments to Section 5.5(a) of the 

Procedures discussed above should 

make compression more efficient by 

allowing Clearing Members and Clients 

to submit their compression requests 

through the LCH Portal. The 

Commission believes that all of these 

changes, taken together, should promote 

the use of compression at LCH SA, and 

by doing so should promote the prompt 

and accurate clearance and settlement of 

transactions at LCH SA. 

The Commission believes that the 

proposed changes to conform to 

amended CFTC Rule 39.13(g)(8)(ii) 13

should, in general, be consistent with 

the protection of investors and the 

public interest. The Commission 

believes that these changes, as 

represented by LCH SA,14 should help 

ensure that LCH SA complies with 

amended CFTC Rule 39.13(g)(8)(ii).15

The Commission believes that LCH SA’s 

compliance with CFTC’s regulations 

and other legal requirements is 

generally consistent with the protection 

of investors and the public interest. 

The Commission believes that the 

proposed changes to rename and update 

the Treasury Reports also should 

promote the prompt and accurate 

clearance and settlement of transactions 

at LCH SA. Among other things, the 

updates would make the reports 

machine-readable. The Commission 

believes doing so should allow LCH SA 

to use the reports more efficiently, and 

that this change therefore should 

increase the overall efficiency of LCH 

SA’s clearance and settlement 

operations and should thereby promote 

the prompt and accurate clearance and 

settlement of transactions at LCH SA. 

The Commission believes the new 

Trading City concept also should 

promote the prompt and accurate 

clearance and settlement of transactions 

at LCH SA. The Commission believes 

that, as discussed above, use of the 

Trading City concept should allow LCH 

SA to tie certain deadlines and 

requirements to the specific calendar 

and business hours of that Trading City. 

Doing so should make it easier for LCH 

SA to introduce for clearing products 

that typically trade in cities outside of 

Central European Time or New York 

City local time. The Commission 

therefore believes that this change 

should facilitate LCH SA’s ability to 

clear additional products and 

transactions, promoting the prompt and 

accurate clearance and settlement of 

transactions at LCH SA. 

The Commission further believes that 

providing LCH SA additional flexibility 

with respect to the definition of Clearing 

Day should promote the prompt and 

accurate clearance and settlement of 

transactions at LCH SA. As discussed 

above, the Rule Book currently defines 

Clearing Day with reference to the 

TARGET2 Calendar and business days 

of London commercial banks, both of 

which are outside the control of LCH 

SA. The Commission believes changing 

the definition of Clearing Day to one 

that is set by LCH SA should therefore 

give it control over its Clearing Days. 

The Commission believes this change 

therefore should promote the overall 

reliability of LCH SA’s operations and 

in doing so should promote the prompt 

and accurate clearance and settlement of 

transactions at LCH SA. 

Finally, the Commission believes that 

correcting the description of the 

Minimum Bid Size Multiplier should 

help to ensure the accuracy and clarity 

of LCH SA’s default auction process. 

The Commission further believes that a 

more accurate and clear default auction 

process should help to ensure that LCH 

SA is able to manage a Clearing Member 

default through an auction and that LCH 

SA is able to continue providing 

clearing services in the face of such a 

default. The Commission therefore 

believes this change would promote the 

prompt and accurate clearance and 

settlement of transactions at LCH SA. 

Therefore, the Commission finds that 

the proposed rule change is consistent 

with Section 17A(b)(3)(F) of the Act.16

B. Consistency With Rule 17Ad– 

22(e)(13) 

Rule 17Ad–22(e)(13) requires that 

LCH SA establish, implement, maintain 

and enforce written policies and 

procedures reasonably designed to 

ensure LCH SA has the authority and 

operational capacity to take timely 

action to contain losses and liquidity 

demands and continue to meet its 

obligations by, at a minimum, requiring 

LCH SA’s participants and, when 

practicable, other stakeholders to 

participate in the testing and review of 

its default procedures, including any 

close-out procedures, at least annually 

and following material changes 

thereto.17 The Commission believes that 

renaming the Minimum Bid Size 

Multiplier should help to ensure the 

accuracy and clarity of LCH SA’s default 

auction process. The Commission 

believes that a more accurate and clear 

default auction process should help to 

ensure that LCH SA has the authority 

and operational capacity to take timely 

action to contain losses in the case of a 

Clearing Member default. Therefore, the 

Commission finds that this aspect of the 

proposed rule change is consistent with 

Rule 17Ad–22(e)(13).18

C. Consistency With Rule 17Ad– 

22(e)(17) 

Rule 17Ad–22(e)(17) requires that 

LCH SA establish, implement, maintain 

and enforce written policies and 

procedures reasonably designed to 

manage its operational risks by, among 

other things, ensuring that systems have 

a high degree of resiliency and 

operational reliability.19

The Commission believes that a 

number of the changes discussed above 

should help to ensure that LCH SA’s 

systems have a high degree of resiliency 


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20 17 CFR 240.17Ad–22(e)(17). 

21 15 U.S.C. 78q–1(b)(3)(F). 

22 17 CFR 240.17Ad–22(e)(13) and (e)(17). 

23 15 U.S.C. 78s(b)(2). 

24 In approving the proposed rule change, the 

Commission considered the proposal’s impact on 

efficiency, competition, and capital formation. 15 

U.S.C. 78c(f). 

25 17 CFR 200.30–3(a)(12). 

and operational reliability. For example, 

the Commission believes queuing 

Intraday Transactions submitted outside 

of the Real Time Session for submission 

at the Start of the Real Time Session on 

the following Clearing Day should allow 

Clearing Members to submit 

transactions whenever they are best able 

to do so. Thus, if a Clearing Member is 

not able to submit an Intraday 

Transaction during the Real Time 

Session due to operational issues, the 

Clearing Member could still submit after 

the end of the Real Time Session if it is 

able to do so, with the knowledge that 

LCH SA would queue the transaction for 

the submission at the Start of the Real 

Time Session on the following Clearing 

Day. The Commission thus believes this 

change should increase the availability 

and reliability of LCH SA’s clearing 

operations. Moreover, permitting Clients 

to submit ad-hoc compression requests 

directly to LCH SA should help to 

ensure that LCH receives such requests 

even when Clearing Members are unable 

to transmit them on behalf of their 

Clients, and the Commission believes 

this should increase the operational 

reliability of this aspect of LCH SA’s 

operations. Similarly, the proposed 

changes to re-name and update the 

Treasury Reports would make the 

reports machine-readable, and the 

Commission believes this should help to 

ensure that such reports are easier to use 

and operationally reliable. 

Finally, the Commission believes the 

new Trading City concept and the 

change to the definition of Clearing Day 

should help to increase the resiliency of 

LCH SA’s operations. The Trading City 

concept would allow LCH SA to tailor 

certain deadlines and requirements, 

such as those related to end-of-day price 

submissions, to the time zone where 

Clearing Members typically trade. The 

Commission believes this should help 

increase the resiliency of LCH SA’s 

operations by tying deadlines and 

requirements to the local time zones in 

which Clearing Members are operating, 

rather than forcing Clearing Members to 

operate according to European Central 

or New York local time. Similarly, the 

Commission believes that providing 

LCH SA additional flexibility with 

respect to the definition of Clearing Day 

should eliminate the reliance on the 

TARGET2 Calendar and the operations 

of London commercial banks. The 

Commission believes this change should 

therefore help increase the resiliency of 

LCH SA’s operations by giving LCH SA 

the ability to determine its Clearing 

Days based on its own schedule and 

operations. 

Therefore, the Commission finds that 

these aspects of the proposed rule 

change are consistent with Rule 17Ad– 

22(e)(17).20

IV. Conclusion 

On the basis of the foregoing, the 

Commission finds that the proposed 

rule change is consistent with the 

requirements of the Act, and in 

particular, with the requirements of 

Section 17A(b)(3)(F) of the Act,21 and 

Rules 17Ad–22(e)(13) and (e)(17) 

thereunder.22

It is therefore ordered pursuant to 

Section 19(b)(2) of the Act 23 that the 

proposed rule change (SR–LCH SA– 

2022–002) be, and hereby is, 

approved.24

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.25

J. Matthew, 

DeLesDernier Assistant Secretary. 

[FR Doc. 2022–09585 Filed 5–4–22; 8:45 am] 

BILLING CODE 8011–01–P 

SMALL BUSINESS ADMINISTRATION 

[License No. 05/05–0273] 

Prism Mezzanine Fund SBIC, L.P.; 

Surrender of License of Small 

Business Investment Company 

Pursuant to the authority granted to 

the United States Small Business 

Administration under the Small 

Business Investment Act of 1958, as 

amended, under Section 309 of the Act 

and Section 107.1900 of the Small 

Business Administration Rules and 

Regulations (13 CFR 107.1900) to 

function as a small business investment 

company under the Small Business 

Investment Company License No. 05/ 

05–0273 issued to Prism Mezzanine 

Fund SBIC, L.P., said license is hereby 

declared null and void. 

United States Small Business 

Administration. 

Michele Schimpp, 

Deputy Associate Administrator, Office of 

Investment and Innovation. 

[FR Doc. 2022–09616 Filed 5–4–22; 8:45 am] 

BILLING CODE P 

SMALL BUSINESS ADMINISTRATION 

[License No. 06/06–0336] 

Valesco Commerce Street Capital, L.P.; 

Surrender of License of Small 

Business Investment Company 

Pursuant to the authority granted to 

the United States Small Business 

Administration under the Small 

Business Investment Act of 1958, as 

amended, under Section 309 of the Act 

and Section 107.1900 of the Small 

Business Administration Rules and 

Regulations (13 CFR 107.1900) to 

function as a small business investment 

company under the Small Business 

Investment Company License No. 06/ 

06–0336 issued to Valesco Commerce 

Street Capital, L.P., said license is 

hereby declared null and void. 

United States Small Business 

Administration. 

Michele Schimpp, 

Deputy Associate Administrator, Office of 

Investment and Innovation. 

[FR Doc. 2022–09612 Filed 5–4–22; 8:45 am] 

BILLING CODE P 

SMALL BUSINESS ADMINISTRATION 

[License No. 02/72–0619] 

Edison Fund V, L.P.; Surrender of 

License of Small Business Investment 

Company 

Pursuant to the authority granted to 

the United States Small Business 

Administration under the Small 

Business Investment Act of 1958, as 

amended, under Section 309 of the Act 

and Section 107.1900 of the Small 

Business Administration Rules and 

Regulations (13 CFR 107.1900) to 

function as a small business investment 

company under the Small Business 

Investment Company License No. 02/ 

72–0619 issued to Edison Fund V, L.P. 

said license is hereby declared null and 

void. 

United States Small Business 

Administration. 

Michele Schimpp, 

Deputy Associate Administrator, Office of 

Investment and Innovation. 

[FR Doc. 2022–09613 Filed 5–4–22; 8:45 am] 

BILLING CODE P 


lotter on DSK11XQN23PROD with NOTICES1