53534 Federal Register / Vol. 82, No. 220 / Thursday, November 16, 2017 / Notices 

13 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

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

4 17 CFR 240.19b–4(f)(2). 

5The term ‘‘Member’’ is defined as ‘‘any 

registered broker or dealer that has been admitted 

to membership in the Exchange.’’ See Exchange 

Rule 1.5(n). 

6Fee code B is appended to displayed orders that 

add liquidity to BYX (Tape B) and is assessed a fee 

of $0.0018 per share. See the Exchange’s fee 

schedule available at http://www.bats.com/us/ 

equities/membership/fee_schedule/byx/. 7Fee code V is appended to displayed orders that 

add liquidity to BYX (Tape A) and is assessed a fee 

of $0.0018 per share. Id. 8Fee code Y is appended to displayed orders that 

add liquidity to BYX (Tape C) and is assessed a fee 

of $0.0018 per share. Id. 9Fee code BB is appended to orders that remove 

liquidity from BYX (Tape B) and is assessed a 

rebate of $0.0010 [sic] per share. Id. 10Fee code N is appended to orders that remove 

liquidity from BYX (Tape C) and is assessed a 

rebate of $0.0010 [sic] per share. Id. 11Fee code W is appended to orders that remove 

liquidity from BYX (Tape A) and is assessed a 

rebate of $0.0010 [sic] per share. See the Exchange’s 

fee schedule available at http://www.bats.com/us/ 

equities/membership/fee_schedule/byx/. 12ADV is defined as average daily volume 

calculated as the number of shares added or 

removed, combined, per day. Id. 13TCV is defined as the total consolidated 

volume calculated as the volume reported by all 

exchanges and trade reporting facilities to a 

consolidated transaction reporting plan for the 

month for which the fees apply. Id. 

14ADAV is defined as the average daily volume 

calculated as the number of shares added per day. 

investors, or otherwise in furtherance of 

the purposes of the Act. 

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– 

BatsBZX–2017–75 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Brent J. Fields, Secretary, Securities 

and Exchange Commission, 100 F Street 

NE., Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–BatsBZX–2017–75. 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 Web site (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 Web site viewing and 

printing in the Commission’s Public 

Reference Room, 100 F Street NE., 

Washington, DC 20549 on official 

business days between the hours of 

10:00 a.m. and 3:00 p.m. Copies of such 

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–BatsBZX–2017–75, and 

should be submitted on or before 

December 7, 2017. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.13

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–24782 Filed 11–15–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–82048; File No. SR– 

BatsBYX–2017–29] 

Self-Regulatory Organizations; Cboe 

BYX Exchange, Inc.; Notice of Filing 

and Immediate Effectiveness of a 

Proposed Rule Change Related to Fees 

for Use on Cboe BYX Exchange, Inc. 

November 9, 2017. 

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 October 

31, 2017, Cboe BYX Exchange, Inc. (the 

‘‘Exchange’’ or ‘‘BYX’’) (formerly known 

as Bats BYX Exchange, Inc.) 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 Exchange. 

The Exchange has designated the 

proposed rule change as one 

establishing or changing a member due, 

fee, or other charge imposed by the 

Exchange under Section 19(b)(3)(A)(ii) 

of the Act 3 and Rule 19b–4(f)(2) 

thereunder,4 which renders the 

proposed rule change effective upon 

filing with the Commission. 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 filed a proposal to 

amend the fee schedule applicable to 

Members 5 and non-Members of the 

Exchange pursuant to BYX Rules 15.1(a) 

and (c). 

The text of the proposed rule change 

is available at the Exchange’s Web site 

at www.markets.cboe.com, 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 parts 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 its 

fee schedule to amend Tier 7 under 

footnote 1, Add/Remove Volume Tiers. 

The Exchange currently offers eight tiers 

under footnote 1 that offer reduced fees 

for displayed orders that yield fee codes 

B,6 V 7 and Y,8 and an enhanced rebate 

for orders that remove liquidity yielding 

fee codes BB,9 N 10 and W.11 The 

Exchange proposes to amend Tier 7 

under footnote 1, under which a 

Member currently receives an enhanced 

rebate of $0.0015 per share on orders 

that yield fee codes BB, N or W, where 

that Member has an ADV 12 equal to or 

greater than 0.05%of the TCV.13 The 

Exchange proposes to increase the tier’s 

criteria by also requiring that the 

Member have an ADAV 14 equal to or 


asabaliauskas on DSKBBXCHB2PROD with NOTICES
Federal Register / Vol. 82, No. 220 / Thursday, November 16, 2017 / Notices 53535 

See the Exchange fee schedule available at http:// 

www.bats.com/us/equities/membership/fee_

schedule/byx/. 

15 15 U.S.C. 78f. 

16 15 U.S.C. 78f(b)(4). 

17 15 U.S.C. 78s(b)(3)(A). 

18 17 CFR 240.19b–4(f). 

greater than 500,000 shares to receive 

the tier’s enhanced rebate. The 

Exchange does not proposes [sic] to 

amend the tier’s rebate. The Exchange 

proposes to implement the above 

changes to its fee schedule on November 

1, 2017. 

2. Statutory Basis 

The Exchange believes that the 

proposed rule change is consistent with 

the objectives of Section 6 of the Act,15

in general, and furthers the objectives of 

Section 6(b)(4),16 in particular, as it is 

designed to provide for the equitable 

allocation of reasonable dues, fees and 

other charges among its Members and 

other persons using its facilities. The 

Exchange believes that the proposed 

amendment to Tier 7 under footnote 1 

is equitable and reasonable because 

such pricing programs reward a 

Member’s growth pattern on the 

Exchange and such increased volume 

will allow the Exchange to continue to 

provide and potentially expand the [sic] 

its incentive programs. The Exchange 

believes that providing the enhanced 

rebate to Members under proposed Tiers 

7 continues to be reasonable compared 

to the proposed more stringent 

requirements because the amended 

criteria reflects the difficulty to achieve 

the tier, especially as the amount of 

trading activity on the Exchange has 

increased over time. The increased 

criteria should incentive Members to 

provide additional liquidity on the 

Exchange in order to achieve the tier’s 

enhanced rebate. The Exchange further 

believes that the proposal is reasonable, 

fair and equitable because the liquidity 

from the proposed changes would 

benefit all investors by deepening the 

Exchange’s liquidity pool, offering 

additional flexibility for all investors to 

enjoy cost savings, supporting the 

quality of price discovery, promoting 

market transparency and improving 

investor protection. These pricing 

programs are also not unfairly 

discriminatory in that it is available to 

all Members. 

In addition, volume-based fees such 

as that proposed herein have been 

widely adopted by exchanges and are 

equitable because they are open to all 

Members on an equal basis and provide 

additional benefits or discounts that are 

reasonably related to: (i) The value to an 

exchange’s market quality; (ii) 

associated higher levels of market 

activity, such as higher levels of 

liquidity provision and/or growth 

patterns; and (iii) the introduction of 

higher volumes of orders into the price 

and volume discovery processes. The 

Exchange believes that the proposal is a 

reasonable, fair and equitable, and not 

an unfairly discriminatory allocation of 

fees and rebates, because it will provide 

Members with an additional incentive 

to add more liquidity on the Exchange 

to achieve the tier’s increased criteria to 

receive the enhanced rebate. 

(B) Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will impose 

any burden on competition not 

necessary or appropriate in furtherance 

of the purposes of the Act. The 

Exchange does not believe that this 

change represents a significant 

departure from previous pricing offered 

by the Exchange or from pricing offered 

by the Exchange’s competitors. The 

proposal would apply uniformly to all 

Members, and Members may opt to 

disfavor the Exchange’s pricing if they 

believe that alternatives offer them 

better value. Accordingly, the Exchange 

does not believe that the proposed 

change will impair the ability of 

Members or competing venues to 

maintain their competitive standing in 

the financial markets. Further, excessive 

rates would serve to impair an 

exchange’s ability to compete for order 

flow and members rather than 

burdening competition. The Exchange 

believes that its proposal would not 

burden intramarket competition because 

the proposal would apply uniformly to 

all Members. 

(C) Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants or Others 

The Exchange has not solicited, and 

does not intend to solicit, comments on 

this proposed rule change. The 

Exchange has not received any 

unsolicited written comments from 

Members or other interested parties. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The foregoing rule change has become 

effective pursuant to Section 19(b)(3)(A) 

of the Act 17 and paragraph (f) of Rule 

19b–4 thereunder.18 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. 

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– 

BatsBYX–2017–29 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Brent J. Fields, Secretary, Securities 

and Exchange Commission, 100 F Street 

NE., Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–BatsBYX–2017–29. 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 Web site (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 Web site 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–BatsBYX–2017–29 and 

should be submitted on or before 

December 7, 2017. 


asabaliauskas on DSKBBXCHB2PROD with NOTICES
53536 Federal Register / Vol. 82, No. 220 / Thursday, November 16, 2017 / Notices 

19 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3 15 U.S.C. 78q–1. 

4 17 CFR 240.17Ad–22(b)(1) and (2). 

5 15 U.S.C. 78q–1(b)(3)(F). 

6 17 CFR 240.17Ad–22(b)(1) and (2). 

7 17 CFR 240.17Ad–22(e)(6). 

8 17 CFR 240.17Ad–22(e)(6)(i) and (v). 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.19

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–24780 Filed 11–15–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–82043; File No. SR–LCH 

SA–2017–009] 

Self-Regulatory Organizations; LCH 

SA; Notice of Filing of Proposed Rule 

Change, Security-Based Swap 

Submission, or Advance Notice 

Relating to Wrong Way Risk Margin 

November 9, 2017. 

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 October 

30, 2017, Banque Centrale de 

Compensation, which conducts 

business under the name LCH SA (‘‘LCH 

SA’’), filed with the Securities and 

Exchange Commission (‘‘Commission’’) 

the proposed rule change described in 

Items I, II, and III below, which Items 

have been prepared primarily by LCH 

SA. 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 

LCH SA is proposing to amend its 

Reference Guide: CDS Margin 

Framework (‘‘CDSClear Margin 

Framework’’ or ‘‘Framework’’) to adjust 

the wrong way risk (‘‘WWR’’) margin 

component of the Framework to more 

appropriately address offsets between 

currencies when calculating WWR 

margin. 

II. Clearing Agency’s Statement of the 

Purpose of, and Statutory Basis for, the 

Proposed Rule Change 

In its filing with the Commission, 

LCH SA 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. LCH SA 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 

1. Purpose 

The WWR component of the 

Framework is designed to cover the 

anticipated financial contagion effect 

that would arise in case of a clearing 

member being declared in default. The 

current WWR margin formula 

acknowledges offsets as between 

currencies by allowing offset between 

WWR and right way risk (‘‘RWR’’). 

Specifically, a WWR currency offset is 

applied as the greater of: (x) the WWR 

amount in Euros minus the RWR 

amount in Euros, where non-Euro 

amounts are converted to Euros using a 

foreign exchange (‘‘FX’’) rate plus or 

minus a haircut; and (y) the WWR 

amount in Euros multiplied by 1 minus 

a factor, which represents the 

correlation between European and U.S. 

financial institutions by calculating the 

average historical cross correlation of 

credit spreads on credit default swaps 

(‘‘CDS’’) in respect of all pairs of 

European and U.S. financial institutions 

that are clearing members. Under the 

current calculation, if one currency has 

WWR and the other has RWR, LCH SA 

would compare the WWR amount as 

offset by the RWR to the WWR amount 

as reduced by taking the correlation 

factor into account and take the greater 

of the two. As a result, either the full 

amount of RWR is considered as 

offsetting the WWR, or only a portion of 

the WWR is taken into account without 

any regard to the expected amount of 

RWR. 

LCH SA believes that it is appropriate 

to consider the offset between the WWR 

amount and RWR amount but it would 

not be appropriate to apply the 

correlation factor to discount the WWR 

amount while also allowing the RWR to 

offset the WWR amount to its full 

extent. To be conservative, LCH SA 

believes that it is appropriate to apply 

the correlation factor to the RWR 

amount when using RWR to offset the 

WWR amount. Accordingly, LCH SA 

proposes to modify the WWR currency 

offset formula in the Framework to be 

the greater of: (i) the WWR amount in 

Euros, where such amounts are 

converted to Euros using an FX rate plus 

or minus a haircut, minus (ii) the RWR 

amount multiplied by the 10-year 

average historical correlation of credit 

spreads on CDS in respect of European 

and U.S. financial institutions; and zero. 

As of April 2016, the 10-year average 

historical correlation of credit spreads 

on CDS in respect of European and U.S. 

financial institutions was set to 48 

percent. 

Under this approach, RWR would 

never completely offset WWR and 

instead would be discounted based on 

the average of observed correlations of 

CDS credit spreads in respect of 

European and U.S. financial 

institutions. LCH SA believes that this 

change rationalizes the WWR currency 

offset and results in a more conservative 

WWR margin calculation. 

2. Statutory Basis 

LCH SA believes that the proposed 

rule change is consistent with the 

requirements of Section 17A of the 

Securities Exchange Act of 1934 3 (the 

‘‘Act’’) and the regulations thereunder, 

including the standards under Rule 

17Ad–22(b)(1) and (2).4 Specifically, in 

accordance with Section 17(A)(b)(3)(F),5

LCH SA believes that the proposed rule 

change will assure the safeguarding of 

securities and funds which are in the 

custody or control of the clearing agency 

or for which it is responsible, in that the 

proposed rule change is designed to 

rationalize the WWR currency offset and 

more conservatively calculate the WWR 

margin with respect to a clearing 

member. Therefore, LCH SA believes 

that the proposed rule change is 

consistent with the requirement of 

safeguarding securities and funds in 

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

requirements of maintaining margin and 

limiting a clearing agency’s exposures to 

potential losses from participants’ 

defaults under normal market 

conditions in Rule 17Ad–22(b)(1) and 

(2).6

Moreover, LCH SA believes that the 

proposed rule change is consistent with 

the requirements in Rule 17Ad– 

22(e)(6).7 Rule 17Ad–22(e)(6)(i) and (v) 

require a covered clearing agency that 

provides central counterparty services 

to cover its credit exposures to its 

participants by establishing a risk-based 

margin system that, among other things, 

considers and produces margin levels 

commensurate with, the risks and 

particular attributes of each relevant 

product, portfolio, and market, and uses 

an appropriate method for measuring 

credit exposure that accounts for 

relevant product risk factors and 

portfolio effects across products.8 WWR 

is an important risk factor for clearing 

CDS products. As noted above, the 

proposed rule change rationalizes the 

WWR currency offset and more 

conservatively calculates WWR margin. 


asabaliauskas on DSKBBXCHB2PROD with NOTICES