36188 Federal Register / Vol. 87, No. 115 / Wednesday, June 15, 2022 / Notices 

25 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

on competition. As described above, the 

proposed changes would reorganize the 

Frameworks to improve the clarity 

regarding the Clearing Agencies’ stress 

testing activities and would make other 

updates and enhancements that would 

improve the clarity and accuracy of the 

descriptions of the Clearing Agencies’ 

stress testing and liquidity risk 

management functions. Therefore, the 

proposed changes are technical and 

non-material in nature, relating mostly 

to the operation of the Frameworks 

rather than the risk management 

functions described therein. 

Further, the proposed changes to 

enhance GSD stress testing to utilize 

vendor-sourced data and establish a 

back-up stress testing calculation would 

not have any impact, or impose any 

burden, on competition because this 

proposal does not affect the respective 

rights or obligations of Members that 

utilize GSD’s services. 

As such, the Clearing Agencies do not 

believe that the proposed rule changes 

would have any impact on competition. 

(C) Clearing Agency’s Statement on 

Comments on the Proposed Rule 

Change Received From Members, 

Participants, or Others 

The Clearing Agencies have not 

received or solicited any written 

comments relating to this proposal. If 

any written comments are received, they 

will be publicly filed as an Exhibit 2 to 

this filing, as required by Form 19b-4 

and the General Instructions thereto. 

Persons submitting comments are 

cautioned that, according to Section IV 

(Solicitation of Comments) of the 

Exhibit 1A in the General Instructions to 

Form 19b-4, the Commission does not 

edit personal identifying information 

from comment submissions. 

Commenters should submit only 

information that they wish to make 

available publicly, including their 

name, email address, and any other 

identifying information. 

All prospective commenters should 

follow the Commission’s instructions on 

how to submit comments, available at 

https://www.sec.gov/regulatory-actions/ 

how-to-submit-comments. General 

questions regarding the rule filing 

process or logistical questions regarding 

this filing should be directed to the 

Main Office of the SEC’s Division of 

Trading and Markets at 

tradingandmarkets@sec.gov or 202– 

551–5777. 

The Clearing Agencies reserve the 

right to not respond to any comments 

received. 

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– 

FICC–2022–004 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–FICC–2022–004. 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 FICC and on DTCC’s website 

(http://dtcc.com/legal/sec-rulefilings.aspx). 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–FICC– 

2022–004 and should be submitted on 

or before July 6, 2022. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.25

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–12842 Filed 6–14–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–95077; File No. SR–Phlx– 

2022–25] 

Self-Regulatory Organizations; Nasdaq 

PHLX LLC; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change To Amend Options 4A, 

Section 12, Terms of Index Options 

Contracts 

June 9, 2022. 

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

Securities Exchange Act of 1934 (the 

‘‘Act’’),1 and Rule 19b–4 thereunder,2

notice is hereby given that on June 6, 

2022, Nasdaq PHLX LLC (‘‘Phlx’’ or 

‘‘Exchange’’) filed with the Securities 

and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change as described in Items I and II 

below, which Items have been prepared 

by the Exchange. The Commission is 

publishing this notice to solicit 

comments on the proposed rule change 

from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to amend 

certain rule text within Options 4A, 

Section 12, Terms of Index Options 

Contracts, related to the listing of 

options on the Nasdaq-100® Volatility 

Index. 

The Exchange also proposes to amend 

the Short Term Option Series Program 

within Options 4A, Section 12(b)(4). 

The text of the proposed rule change 

is available on the Exchange’s website at 


jspears on DSK121TN23PROD with NOTICES1
Federal Register / Vol. 87, No. 115 / Wednesday, June 15, 2022 / Notices 36189 

3See Securities Exchange Act Release No. 91781 

(May 5, 2021), 86 FR 25918 (May 11, 2021) (SR– 

Phlx–2020–41) (Notice of Filing of Amendment 

Nos. 1 and 2 and Order Granting Accelerated 

Approval of a Proposed Rule Change, as Modified 

by Amendment Nos. 1 and 2, To List and Trade 

Options on a Nasdaq-100 Volatility Index) (‘‘VOLQ 

Options Approval Order’’). 

4See Securities Exchange Act Release No. 93628 

(November 19, 2021), 86 FR 67555 (November 26, 

2021) (SR–Phlx–2021–56) (Order Approving a 

Proposed Rule Change To Amend Options 4A, 

Section 12 Regarding the Calculation of the Closing 

Volume Weighted Average Price for Options on the 

Nasdaq-100 Volatility Index in Certain 

Circumstances) (‘‘Amendment to VOLQ Options’’). 

5See Options Trader Alert #2022–16 (http:// 

www.nasdaqtrader.com/MicroNews.aspx?id=OTA 

2022–16). 

6Phlx Options 3, Section 3(a) provides, ‘‘Except 

as provided in Supplementary Material to Options 

3, Section 3 below, all options on stocks, index 

options, and Exchange Traded Fund Shares trading 

at a price of $3.00 or higher shall have a minimum 

increment of $.10, and all options on stocks and 

index options trading at a price under $3.00 shall 

have a minimum increment of $.05.’’ 

7See Securities Exchange Act Release No. 89725 

(September 1, 2020), 85 FR 55544 at 55549 

(September 8, 2020) (SR–Phlx–2020–41) (Notice of 

Filing of Proposed Rule Change To List and Trade 

Options on a Nasdaq–100® Volatility Index) 

(‘‘VOLQ Options Original Filing’’). 

8See VOLQ Options Approval Order at 25920. 

9See VOLQ Options Original Filing at Exhibit 5, 

‘‘.04 All Nasdaq-100® Volatility Index Options shall 

have a minimum increment of $.01.’’ 

https://listingcenter.nasdaq.com/ 

rulebook/phlx/rules, at the principal 

office of the Exchange, and at the 

Commission’s Public Reference Room. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

Exchange included statements 

concerning the purpose of and basis for 

the proposed rule change and discussed 

any comments it received on the 

proposed rule change. The text of these 

statements may be examined at the 

places specified in Item IV below. The 

Exchange has prepared summaries, set 

forth in sections A, B, and C below, of 

the most significant aspects of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to amend 

certain rule text within Options 4A, 

Section 12, Terms of Index Options 

Contracts, related to the listing of 

options on the Nasdaq-100® Volatility 

Index (‘‘VOLQ’’). The Exchange also 

proposes to amend the Short Term 

Option Series Program within Options 

4A, Section 12(b)(4). The changes are 

described below. 

VOLQ 

In 2021, Phlx received approval 3 to 

list and trade options on VOLQ. Phlx 

subsequently received approval 4 to 

amend the calculation of its final 

settlement price for options on VOLQ. 

Phlx has issued an Options Trader Alert 

announcing the launch of VOLQ on 

June 14, 2022.5

Background 

VOLQ is a new options index product 

that would enable retail and 

institutional investors to manage 

volatility versus price risk. This index 

will measure ‘‘at-the-money’’ volatility, 

a precise measure of volatility used by 

investors. Unlike other indexes, this 

proposed novel product isolates at-themoney volatility for precise trading and 

hedging strategies. This product will 

provide investors information on 

volatility index returns by allowing 

them to observe increases and decreases 

of the Volatility Index. Specifically, 

VOLQ options will measure changes in 

30-day implied volatility of the Nasdaq100 Index (commonly known as and 

referred to by its ticker symbol, NDX). 

Options on the Volatility Index will be 

cash-settled and will have Europeanstyle exercise provisions. 

Minimum Increments 

The Exchange will list VOLQ options 

with standard minimum increments of 

$0.05 for options trading below $3.00 

and $0.10 for all other series pursuant 

to Options 3, Section 3(a).6 The 

minimum increments for VOLQ options 

were set forth in the VOLQ Options 

Original Filing which stated, ‘‘The 

Exchange proposes to utilize nickel and 

dime increments for trading the 

Volatility Index options. The Exchange 

believes that these trading increments 

will enable traders to make the most 

effective use of the product for trading 

and hedging purposes.’’ 7 Similarly, the 

VOLQ Options Approval Order 

provided, ‘‘All options on the Volatility 

Index will have a minimum increment 

of $0.05 for options trading below $3.00 

and $0.10 for all other series.’’ 8

The Exhibit 5 attached to the VOLQ 

Options Original Filing inadvertently 

noted that VOLQ options would be 

traded in $.01 increments.9 At this time, 

the Exchange proposes to remove the 

rule text within Supplementary Material 

.04 of Options 3, Section 3. The rule text 

is inconsistent with the VOLQ Options 

Original Filing and the VOLQ Options 

Approval. Removing the rule text would 

avoid confusion since the standard 

minimum increments specified within 

Options 3, Section 3(a) would apply. No 

other change is required to Options 3, 

Section 3 with respect to VOLQ options. 

Closing Settlement Period 

Phlx noted in the VOLQ Options 

Original Filing and the Amendment to 

VOLQ Options that, 

[t]he Closing VWAP shall be determined by 

reference to the prices and sizes of executed 

orders or quotes in the thirty-two underlying 

Nasdaq-100® index (‘‘NDX’’) component 

options on Phlx, Nasdaq ISE, LLC and 

Nasdaq GEMX, LLC markets. Executed orders 

shall include simple orders and complex 

orders (excluding out-of-sequence and late 

trades), however, individual leg executions of 

a complex order will only be included if the 

executed price of the leg is at or within the 

NBBO. The following process is used to 

calculate the Closing VWAP of the VOLQ 

options. At the end of individual one-second 

time observations during a 300 second period 

of time (the ‘‘Closing Settlement Period’’) 

commencing at 9:32:010 on the expiration 

day (or 2.01 minutes after the open of trading 

in the event trading does not commence at 

9:30:000 a.m. ET), and continuing each 

second for the next 300 seconds, the number 

of contracts traded at each price during the 

observation period is multiplied by that price 

to yield a Reference Number. 

* * * * * 

In the event of a trading halt in one or more 

options, excluding a halt in all Nasdaq-100 

index options, prior to the completion of the 

Closing Settlement Period, the Exchange 

would continue to look back for a One 

Second VWAP prior to looking forward. In 

the event of a trading halt in all Nasdaq-100 

index options, the Exchange would 

commence the calculation of the settlement 

window beginning 2:00:01 minutes after the 

re-opening of trading and publish that value 

on its website. In this scenario, the Exchange 

would not look back prior to the trading halt. 

At this time, Phlx proposes to amend 

the formatting of the timeframes for the 

Closing Settlement Period. The 

Exchange proposes to revise the 

references to ‘‘9:32:010’’ and ‘‘9:30:000’’ 

to instead state ‘‘9:32:01’’ and ‘‘9:30:00,’’ 

respectively. Representing the minutes 

as two decimals will avoid confusion as 

to the time intended. Additionally, the 

Exchange proposes to revise references 

to ‘‘2.01’’ and ‘‘2.00.01’’ to instead state 

‘‘two minutes and one second’’ for 

clarity. These amendments are intended 

to conform the rule text and bring 

clarity to the timeframes. 

Short Term Option Series Program 

In 2013, Phlx amended the Short 

Term Option Series Program for equity 

options within Rule 1012 (currently 

Options 4, Section 5) to change the 

number of currently listed option 

classes on which Short Term Option 

Series may be opened on any Short 

Term Option Opening Date from thirty 


jspears on DSK121TN23PROD with NOTICES1
36190 Federal Register / Vol. 87, No. 115 / Wednesday, June 15, 2022 / Notices 

10See Securities Exchange Act Release Nos. 

70682 (October 15, 2013), 78 FR 62809 (October 22, 

2013) (SR–Phlx–2013–101) (Notice of Filing of 

Proposed Rule Change Regarding the Short Term 

Option Series Program); and 71004 (December 6, 

2013), 78 FR 75437 (December 11, 2013) (SR–Phlx– 

2013–101) (Order Granting Approval of Proposed 

Rule Change Regarding the Short Term Options 

Program). 

11 Id. 

12See Cboe Exchange, Inc. Rules 4.5 and 4.13. 

13 15 U.S.C. 78f(b). 

14 15 U.S.C. 78f(b)(5). 

15See note 10 above. 

16See note 10 above. 

17See note 12 above. 

18See note 12 above. 

to fifty options classes.10 Further, Phlx 

also amended the number of Short Term 

Option Series that the Exchange may 

open for each expiration date in that 

class from twenty to thirty.11 At that 

time, the Exchange neglected to update 

the index options rules to make similar 

changes to the Short Term Option Series 

Program given that the amount of 

options classes that may participate in 

the Short Term Option Series Program 

is aggregated between equity options 

and index options and is not 

apportioned between equity and index 

options. 

Today, Options 4A, Section 12(b)(4) 

provides, 

The Exchange may select up to thirty (30) 

currently listed option classes on which 

Short Term Option Series may be opened on 

any Short Term Option Opening Date. In 

addition to the thirty-option class restriction, 

the Exchange also may list Short Term 

Option Series on any option classes that are 

selected by other securities exchanges that 

employ a similar program under their 

respective rules. For each index option class 

eligible for participation in the Short Term 

Option Series Program, the Exchange may 

open up to twenty (20) Short Term Option 

Series on index options for each expiration 

date in that class. The Exchange may also 

open Short Term Option Series that are 

opened by other securities exchanges in 

option classes selected by such exchanges 

under their respective short term option 

rules. 

At this time, the Exchange proposes to 

amend Options 4A, Section 12(b)(4) to 

increase the number of currently listed 

options classes on which Short Term 

Option Series may be opened on any 

Short Term Option Opening Date from 

thirty to fifty options classes for index 

options. Additionally, the Exchange 

proposes to amend the number of Short 

Term Option Series the Exchange may 

open on index options for each 

expiration date in that class from twenty 

to thirty. These amendments would 

align the limitations within Options 4A, 

Section 12(b)(4) with those currently 

within Supplementary .03(a) to Options 

4, Section 5. 

As noted above, this amendment will 

not result in a greater number of listings 

in the Short Term Option Series 

Program because the amount of options 

classes that may participate in the Short 

Term Option Series Program is 

aggregated between equity options and 

index options and is not apportioned 

between equity and index options. 

Amending Options 4A, Section 12(b)(4) 

to conform to the limitations provided 

within Supplementary .03(a) to Options 

4, Section 5 will avoid confusion by 

making clear the aggregate limitations 

within equity and index options for 

listing Short Term Option Series. Today, 

Cboe has similar limitations within its 

equity and index Short Term Option 

Series Program.12

2. Statutory Basis 

The Exchange believes that its 

proposal is consistent with Section 6(b) 

of the Act,13 in general, and furthers the 

objectives of Section 6(b)(5) of the Act,14

in particular, in that it is designed to 

promote just and equitable principles of 

trade, to remove impediments to and 

perfect the mechanism of a free and 

open market and a national market 

system, and, in general to protect 

investors and the public interest. 

Removing inadvertent rule text 

describing minimum increments is 

consistent with the Act and will avoid 

confusion. The minimum increments for 

VOLQ options were set forth in the 

VOLQ Options Original Filing and the 

VOLQ Options Approval. The standard 

minimum increments specified within 

Options 3, Section 3(a) would apply to 

VOLQ options. 

Amending the formatting of the 

timeframes for the Closing Settlement 

Period is consistent with the Act. The 

proposed amendments to the 

timeframes will conform the rule text 

and bring clarity to the rule. 

In 2013, Phlx amended the Short 

Term Option Series Program for equity 

options within Rule 1012 (currently 

Options 4, Section 5) to change the 

number of currently listed option 

classes on which Short Term Option 

Series may be opened on any Short 

Term Option Opening Date from thirty 

to fifty options classes.15 Further, Phlx 

also amended the number of Short Term 

Option Series that the Exchange may 

open for each expiration date in that 

class from twenty to thirty.16 At that 

time, the Exchange neglected to update 

the index options rules to make similar 

changes to the Short Term Option Series 

Program given that the amount of 

options classes that may participate in 

the Short Term Option Series Program 

is aggregated between equity options 

and index options and is not 

apportioned between equity and index 

options. Amending Options 4A, Section 

12(b)(4) to conform to the limitations 

provided within Supplementary .03(a) 

to Options 4, Section 5 will avoid 

confusion by making clear the aggregate 

limitations within equity and index 

options for listing Short Term Option 

Series. Also, aligning the limitations 

within Options 4A, Section 12(b)(4) 

with those currently within 

Supplementary .03(a) to Options 4, 

Section 5 will not result in a greater 

number of listings in the Short Term 

Option Series Program because the 

amount of options classes that may 

participate in the Short Term Option 

Series Program is aggregated between 

equity options and index options and is 

not apportioned between equity and 

index options. Today, Cboe has similar 

limitations within its equity and index 

Short Term Option Series Program.17

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

This proposed rule change does not 

impose any burden on competition that 

is not necessary or appropriate in 

furtherance of the purposes of the Act. 

Removing inadvertent rule text 

describing minimum increments does 

not impose an undue burden on 

competition because it will avoid 

confusion for investors. 

Amending the formatting of the 

timeframes for the Closing Settlement 

Period does not impose an undue 

burden on competition, rather the 

amendment will conform the rule text 

and bring clarity to the rule. 

Finally, amending Options 4A, 

Section 12(b)(4) to conform to the 

limitations provided within 

Supplementary .03(a) to Options 4, 

Section 5 will avoid confusion by 

making clear the aggregate limitations 

within equity and index options for 

listing Short Term Option Series. Also, 

aligning the limitations within Options 

4A, Section 12(b)(4) with those 

currently within Supplementary .03(a) 

to Options 4, Section 5 will not result 

in a greater number of listings in the 

Short Term Option Series Program 

because the amount of options classes 

that may participate in the Short Term 

Option Series Program is aggregated 

between equity options and index 

options and is not apportioned between 

equity and index options. Today, Cboe 

has similar limitations within its equity 

and index Short Term Option Series 

Program.18


jspears on DSK121TN23PROD with NOTICES1
Federal Register / Vol. 87, No. 115 / Wednesday, June 15, 2022 / Notices 36191 

19 15 U.S.C. 78s(b)(3)(A). 

20 17 CFR 240.19b–4(f)(6). In addition, Rule 19b– 

4(f)(6)(iii) requires a self-regulatory organization to 

give the Commission written notice of its intent to 

file the proposed rule change, along with a brief 

description and text of the proposed rule change, 

at least five business days prior to the date of filing 

of the proposed rule change, or such shorter time 

as designated by the Commission. The Exchange 

has satisfied this requirement. 

21 17 CFR 240.19b–4(f)(6). 

22 17 CFR 240.19b–4(f)(6)(iii). 

23For purposes only of waiving the 30-day 

operative delay, the Commission also has 

considered the proposed rule’s impact on 

efficiency, competition, and capital formation. See 

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

24 17 CFR 200.30–3(a)(12), (59). 

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

2 17 CFR 240.19b–4. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

No written comments were either 

solicited or received. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Because the proposed rule change 

does not: (i) significantly affect the 

protection of investors or the public 

interest; (ii) impose any significant 

burden on competition; and (iii) become 

operative for 30 days from the date on 

which it was filed, or such shorter time 

as the Commission may designate, it has 

become effective pursuant to Section 

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

subparagraph (f)(6) of Rule 19b–4 

thereunder.20

A proposed rule change filed 

pursuant to Rule 19b–4(f)(6) under the 

Act 21 normally does not become 

operative for 30 days after the date of its 

filing. However, Rule 19b–4(f)(6)(iii) 22

permits the Commission to designate a 

shorter time if such action is consistent 

with the protection of investors and the 

public interest. The Exchange has asked 

the Commission to waive the 30-day 

operative delay so that it may make 

these changes to clarify its rules and 

remove any ambiguity before the 

planned June 14, 2022 launch of VOLQ 

options. The Commission believes that 

waiving the 30-day operative delay is 

consistent with the protection of 

investors and the public interest as the 

proposed rule change does not raise any 

new or novel issues. Accordingly, the 

Commission hereby waives the 

operative delay and designates the 

proposed rule change operative upon 

filing.23

At any time within 60 days of the 

filing of the 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 

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– 

Phlx–2022–25 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–Phlx–2022–25. 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-Phlx–2022–25, and should 

be submitted on or before July 6, 2022. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.24

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–12840 Filed 6–14–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34- 95080; File No. SR–DTC– 

2022–006] 

Self-Regulatory Organizations; The 

Depository Trust Company; Notice of 

Filing of Proposed Rule Change To 

Amend the Stress Testing Framework 

and Liquidity Risk Management 

Framework 

June 9, 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 May 26, 

2022, The Depository Trust Company 

(‘‘DTC’’) 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 by the clearing 

agency. 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 proposed rule change consists of 

amendments to the Clearing Agency 

Stress Testing Framework (Market Risk) 

(‘‘ST Framework’’) and the Clearing 

Agency Liquidity Risk Management 

Framework (‘‘LRM Framework,’’ and, 

together with the ST Framework, the 

‘‘Frameworks’’) of DTC and its affiliates, 

National Securities Clearing Corporation 

(‘‘NSCC’’) and Fixed Income Clearing 

Corporation (‘‘FICC,’’ and together with 

NSCC and DTC, the ‘‘Clearing 

Agencies’’), as described below. 

First, the proposed changes would 

amend both the ST Framework and the 

LRM Framework to move descriptions 

of the Clearing Agencies’ liquidity stress 

testing activities from the LRM 

Framework to the ST Framework. In 

connection with this proposed change, 

the Clearing Agencies are also proposing 

to recategorize the stress scenarios used 

for liquidity risk management, such that 


jspears on DSK121TN23PROD with NOTICES1