[Federal Register Volume 87, Number 74 (Monday, April 18, 2022)]
[Notices]
[Page 22876]
[FR Doc No: 2022-08237]

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DEPARTMENT OF ENERGY

Federal Energy Regulatory Commission

[Docket Nos. CP16-454-000; CP16-454-001]

Rio Grande LNG, LLC; Notice of Request for Extension of Time

    Take notice that on April 6, 2022, Rio Grande LNG, LLC (RGLNG),
requested that the Federal Energy Regulatory Commission (Commission)
grant an extension of time, until November 22, 2028, to complete
construction of the Rio Grande LNG Terminal (RGLNG Terminal) and make
it available for service as authorized in the November 22, 2019 Order
Granting Authorizations Under Sections 3 and 7 of the Natural Gas Act
(Order).\1\
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    \1\ Rio Grande LNG, LLC, 169 FERC ] 61,131 (2019), order on
reh'g, 170 FERC ] 61,046 (2020).
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    The RGLNG Terminal, located on the northern embankment of the
Brownsville Ship Channel in Cameron County, Texas, would consist of
five natural gas liquefaction trains, and be capable of exporting up to
approximately 27 million metric tons per annum year of liquefied
natural gas (LNG).\2\ On November 17, 2021, RGLNG filed an application
with Commission under Section 3 of the NGA to amend its November 22,
2019 authorization to incorporate carbon capture and sequestration
(CCS) systems into the design of the RGLNG Terminal.\3\ This amendment
application is still pending with the Commission. The Order required
RGLNG to complete construction of the RGLNG Terminal and make it
available for service within seven years of the date of the Order, or
by November 22, 2026.
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    \2\ The November 22 Order also approved a request by Rio Bravo
Pipeline Company, LLC (Rio Bravo), under section 7 of the NGA (CP16-
455-000), to construct and operate a new pipeline system (Rio Bravo
Pipeline Project) comprised of two parallel 42-inch-diameter natural
gas pipelines approximately 135.5 miles long, three 180,000
horsepower (hp) compressor stations, an approximately 2.4-mile-long
pipeline header system, and appurtenant facilities to transport
natural gas to the RGLNG Terminal for processing, liquefaction, and
export. Id.
    \3\ Rio Grande LNG, LLC, Application of Rio Grande LNG, LLC for
Limited Amendment to NGA Section 3 Authorization, Docket No. CP22-
17-000.
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    RGLNG states that despite its diligent efforts to place the RGLNG
Terminal into service by the Order deadline, RGLNG was impacted by
unforeseeable developments in the global LNG market as a result of the
COVID-19 pandemic, including major disruptions in world energy markets.
As a result, RGLNG has been unable to enter into long-term contracts
with customers sufficient to enable it to reach a final investment
decision (FID), as well as other logistical challenges. Therefore,
RGLNG requests that the Commission extend the Order's deadline for
construction and operation by two years until November 22, 2028 so that
it can continue to pursue long term contracts with certainty and
without fear of interruption.
    This notice establishes a 15-calendar day intervention and comment
period deadline. Any person wishing to comment on the Applicant's
request for an extension of time may do so. No reply comments or
answers will be considered. If you wish to obtain legal status by
becoming a party to the proceedings for this request, you should, on or
before the comment date stated below, file a motion to intervene in
accordance with the requirements of the Commission's Rules of Practice
and Procedure (18 CFR 385.214 or 385.211) and the Regulations under the
Natural Gas Act (18 CFR 157.10).
    As a matter of practice, the Commission itself generally acts on
requests for extensions of time to complete construction for Natural
Gas Act facilities when such requests are contested before order
issuance. For those extension requests that are contested,\4\ the
Commission will aim to issue an order acting on the request within 45
days.\5\ The Commission will address all arguments relating to whether
the applicant has demonstrated there is good cause to grant the
extension.\6\ The Commission will not consider arguments that re-
litigate the issuance of the certificate order, including whether the
Commission properly found the project to be in the public convenience
and necessity and whether the Commission's environmental analysis for
the certificate complied with the National Environmental Policy Act.\7\
At the time a pipeline requests an extension of time, orders on
certificates of public convenience and necessity are final and the
Commission will not re-litigate their issuance.\8\ The OEP Director, or
his or her designee, will act on all of those extension requests that
are uncontested.
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    \4\ Contested proceedings are those where an intervenor disputes
any material issue of the filing. 18 CFR 385.2201(c)(1) (2019).
    \5\ Algonquin Gas Transmission, LLC, 170 FERC ] 61,144, at P 40
(2020).
    \6\ Id. at P 40.
    \7\ Similarly, the Commission will not re-litigate the issuance
of an NGA section 3 authorization, including whether a proposed
project is not inconsistent with the public interest and whether the
Commission's environmental analysis for the permit order complied
with NEPA.
    \8\ Algonquin Gas Transmission, LLC, 170 FERC ] 61,144, at P 40
(2020).
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    In addition to publishing the full text of this document in the
Federal Register, the Commission provides all interested persons an
opportunity to view and/or print the contents of this document via the
internet through the Commission's Home Page (http://www.ferc.gov) using
the ``eLibrary'' link. Enter the docket number excluding the last three
digits in the docket number field to access the document. At this time,
the Commission has suspended access to Commission's Public Reference
Room, due to the proclamation declaring a National Emergency concerning
the Novel Coronavirus Disease (COVID-19), issued by the President on
March 13, 2020. For assistance, contact FERC at
[email protected] or call toll-free,<PHONE_NUMBER> or TYY,
(202) 502-8659.
    The Commission strongly encourages electronic filings of comments,
protests and interventions in lieu of paper using the ``eFile'' link at
http://www.ferc.gov. Persons unable to file electronically may mail
similar pleadings to the Federal Energy Regulatory Commission, 888
First Street NE, Washington, DC 20426. Hand delivered submissions in
docketed proceedings should be delivered to Health and Human Services,
12225 Wilkins Avenue, Rockville, Maryland 20852.
    Comment Date: 5:00 p.m. Eastern Time on April 27, 2022.

    Dated: April 12, 2022.
Debbie-Anne A. Reese,
Deputy Secretary.
[FR Doc. 2022-08237 Filed 4-15-22; 8:45 am]
BILLING CODE 6717-01-P


[Federal Register Volume 79, Number 222 (Tuesday, November 18, 2014)]
[Notices]
[Pages 68740-68743]
[FR Doc No: 2014-27212]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-73580; File No. SR-Phlx-2014-72]

Self-Regulatory Organizations; NASDAQ OMX PHLX LLC; Notice of
Filing and Immediate Effectiveness of Proposed Rule Change Relating to
PIXL Executions in SPY and PIXL Pricing

November 12, 2014.
    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 31, 2014, NASDAQ OMX PHLX LLC (``Phlx'' or
``Exchange'') filed with the Securities and Exchange Commission
(``SEC'' or ``Commission'') the proposed rule change as described in
Items I, II, and III, 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.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change

    The Exchange proposes to modify Section I entitled ``Rebates and
Fees for Adding and Removing Liquidity in SPY \3\'' and Section IV
entitled ``Other Transaction Fees'' of the Phlx Pricing Schedule
(``Pricing Schedule''). Specifically, the Exchange proposes to amend
its Initiating Order Fee for PIXL \4\ Executions in SPY and PIXL
Pricing for Initiating Order that is contra to a Customer \5\ PIXL
order, to allow for volume discounts. While the changes proposed herein
are effective upon filing, the Exchange has designated that

the amendments be operative on November 3, 2014.
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    \3\ SPY options are based on the SPDR exchange-traded fund
(``ETF''), which is designed to track the performance of the S&P
(Standard and Poors) 500 Index.
    \4\ PIXL is the Exchange's price improvement mechanism known as
Price Improvement XL or (PIXL\SM\). See Rule 1080(n).
    \5\ The term ``Customer'' applies to any transaction that is
identified by a member or member organization for clearing in the
Customer range at The Options Clearing Corporation (``OCC'') which
is not for the account of broker or dealer or for the account of a
``Professional'' (as that term is defined in Rule 1000(b)(14)).
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    The text of the proposed rule change is available on the Exchange's
Web site at http://nasdaqomxphlx.cchwallstreet.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 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 purpose of this filing is to amend Section I entitled ``Rebates
and Fees for Adding and Removing Liquidity in SPY'' and Section IV
entitled ``Other Transaction Fees'' of the Pricing Schedule.
Specifically, the Exchange proposes to amend the Initiating Order Fee
(``Order Fee'') for PIXL Executions in SPY (``SPY Pricing'') and PIXL
Pricing for Initiating Orders (``PIXL Pricing'') that is contra to a
Customer PIXL order. This would allow for volume discounts for
Professional,\6\ Firm,\7\ Broker-Dealer,\8\ Specialist \9\ or Market
Maker \10\ orders that are contra to a Customer PIXL Order, such that
the Initiating Order Fee will be reduced to $0.00 if the Customer PIXL
Order is greater than 399 contracts. Today, the Initiating Order Fee
for options overlying SPY is $0.05 per contract and is not specific to
market participants.
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    \6\ The term ``Professional'' means any person or entity that
(i) is not a broker or dealer in securities, and (ii) places more
than 390 orders in listed options per day on average during a
calendar month for its own beneficial account(s). See Rule
1000(b)(14).
    \7\ The term ``Firm'' applies to any transaction that is
identified by a member or member organization for clearing in the
Firm range at The Options Clearing Corporation (``OCC'').
    \8\ The term ``Broker-Dealer'' applies to any transaction which
is not subject to any of the other transaction fees applicable
within a particular category.
    \9\ A ``Specialist'' is an Exchange member who is registered as
an options specialist pursuant to Rule 1020(a).
    \10\ A ``Market Maker'' includes Registered Options Traders
(Rule 1014(b)(i) and (ii)), which includes Streaming Quote Traders
(See Rule 1014(b)(ii)(A)) and Remote Streaming Quote Traders (See
Rule 1014(b)(ii)(B)). Directed Participants are also market makers.
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    The Exchange believes that the proposed pricing will encourage
market participants to send an even greater amount of orders to the
Exchange through PIXL.
    Section IV of the Pricing Schedule specifies PIXL pricing for all
other options, except SPY. Today, an Initiating Order is assessed $0.07
per contract or $0.05 per contract if the Customer Rebate Program \11\
Threshold Volume defined in Section B is greater than 100,000 contracts
per day in a month. Any member or member organization under Common
Ownership \12\ with another member or member organization that
qualifies for a Customer Rebate Tier discount in Section B will receive
the PIXL Initiating Order discount as described above. Today, the
Initiating Order Fee for Professional, Firm, Broker-Dealer, Specialist
and Market Maker orders that are contra to a Customer PIXL Order will
be reduced to $0.00 if the Customer PIXL Order is greater than 999
contracts (``volume discount'').
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    \11\ Currently, the Exchange has in place a four tier structure
Customer Rebate Program at Section B of the Pricing Schedule which
pays Customer rebates on four Categories (A, B, C and D) of
transactions. The four tier structure pays rebates based on
percentage thresholds of national customer multiply-listed options
volume by month based on the same four Categories (A, B, C and D) of
transactions.
    \12\ The term ``Common Ownership'' shall mean members or member
organizations under 75% common ownership or control. See Preface to
the Pricing Schedule.
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    The Exchange proposes to amend 999 contracts to 399 contracts in
the volume discount. Section IV PIXL Pricing, as proposed, would state:
``The Initiating Order Fee for Professional, Firm, Broker-Dealer,
Specialist and Market Maker orders that are contra to a Customer PIXL
Order will be reduced to $0.00 if the Customer PIXL Order is greater
than 399 contracts.''
    For uniformity, the Exchange also proposes to add the same volume
discount in Section I regarding SPY Pricing, so that an alternative to
the Initiating Order fee of $0.05 per contract is indicated. Section I
SPY Pricing, as proposed, would state: ``The Initiating Order Fee for
Professional, Firm, Broker-Dealer, Specialist and Market Maker orders
that are contra to a Customer PIXL Order will be reduced to $0.00 if
the Customer PIXL Order is greater than 399 contracts.''
    The Exchange believes that this amendment to PIXL pricing will
encourage a greater number of PIXL Orders on the Exchange, thereby
increasing liquidity.
 2. Statutory Basis
    The Exchange believes that its proposal to amend the Pricing
Schedule is consistent with Section 6(b) of the Act \13\ in general,
and furthers the objectives of Section 6(b)(4) and (b)(5) of the Act
\14\ in particular, in that it provides for the equitable allocation of
reasonable dues, fees and other charges among members and issuers and
other persons using any facility or system which Phlx operates or
controls, and is not designed to permit unfair discrimination between
customers, issuers, brokers, or dealers.
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    \13\ 15 U.S.C. 78f(b).
    \14\ 15 U.S.C. 78f(b)(4), (5).
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    The Exchange's proposal to adopt new pricing for SPY is reasonable,
equitable, and not unfairly discriminatory because pricing by symbol is
a common practice on many U.S. options exchanges as a means to
incentivize order flow to be sent to an exchange for execution in the
most actively traded options classes. SPY options are currently the
most actively traded equity or ETF option class.\15\ Other options
exchanges price by symbol.\16\
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    \15\ For September 2014, SPY Options accounted for approximately
14.76% of the overall equity and ETF options volume industry-wide
(approximately 12.30% of the overall Phlx volume). By comparison,
the second most actively traded equity or ETF option is AAPL, which
accounts for approximately 7.80% of the overall equity and ETF
options volume industry-wide (approximately 6.00% of the overall
Phlx volume).
    \16\ See the Chicago Board Options Exchange Incorporated's Fees
Schedule and the International Securities Exchange LLC.
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    The Exchange's proposed volume discount for SPY Pricing is
reasonable because the Exchange desires to incentivize market
participants to transact a greater number of SPY options. The Exchange
is offering a volume discount specific to SPY because, as previously
mentioned, SPY options are currently the most actively traded options
class and therefore the Exchange believes that incentivizing
Professionals, Firms, Broker-Dealers, Specialists and Market Makers to
add increased liquidity in SPY options and encouraging market
participants to send order flow to the Exchange by adding a volume
discount will benefit all market participants through increased
liquidity, tighter markets and order interaction. The Exchange believes
it is reasonable to assess lower fees to transact SPY options to
Professionals, Firms, Broker-

Dealers, Specialists and Market Makers because the Exchange seeks to
incentivize these market participants to transact a greater number of
SPY options. The Exchange would assess higher fees if the Customer PIXL
Order is 399 contracts or less.
    The Exchange's proposed new volume discount for SPY Pricing is
equitable and not unfairly discriminatory. Today, the Exchange assesses
a $0.05 per contract Initiating Order Fee for PIXL Executions in SPY
(which apply to fees in Parts A and B). When the PIXL Order is contra
to the Initiating Order, a Customer PIXL Order will be assessed $0.00
per contract and all other non-Customer market participants will be
assessed a $0.38 per contract fee when contra to an Initiating Order.
Also, when the PIXL Order is contra to other than the Initiating Order,
the PIXL Order will be assessed $0.00 per contract, unless the order is
a Customer, in which case the Customer will receive a rebate of $0.38
per contract; all other contra parties to the PIXL Order, other than
the Initiating Order, will be assessed a Fee for Removing Liquidity of
$0.38 per contract or will receive the Rebate for Adding Liquidity. The
Exchange is proposing to continue to assess the aforementioned fees,
and is proposing to amend the volume discount. The Exchange believes
that assessing lower Fees for Adding Liquidity, greater than 399
contracts, will incentivize Professionals, Firms, Broker-Dealers,
Specialists and Market Makers to interact with a greater number of
Initiating Orders in SPY options on the Exchange through PIXL. The
Exchange believes that it is equitable and not unreasonably
discriminatory to assess the same fees for Initiating Orders in SPY
options to all market participants based on volume, or liquidity
provided to the Exchange. Creating incentives and attracting SPY Orders
to the Exchange benefits all market participants through increased
liquidity at the Exchange. A higher percentage of SPY Orders in PIXL
leads to increased auctions and better opportunities for price
improvement.
    In addition, the Exchange notes that the volume discount is
currently in place for PIXL pricing.
    The Exchange believes that it is reasonable, equitable and not
unreasonably discriminatory to reduce the threshold for the PIXL
Pricing volume discount from 999 contracts to 399 contracts. With this
change in the volume discount,\17\ the Initiating Order Fee for
Professional, Firm, Broker-Dealer, Specialist and Market Maker orders
that are contra to a Customer PIXL Order will be reduced to $0.00 if
the Customer PIXL Order is greater than 399 contracts. The volume
discount will be applied uniformly to all according to liquidity
brought to the Exchange. The Exchange would offer all market
participants, other than Customers who are not assessed an Initiating
Order Fee, an incentive to transact large sized orders in PIXL. The
Exchange believes that the proposal will continue to attract liquidity,
which benefits market participants and provides the opportunity for
increased order interaction on the Exchange.
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    \17\ The volume discount has been in place for more than a year.
See Securities Exchange Act Release No. 69768 (June 14, 2013), 78 FR
37250 (June 20, 2013) (SR-Phlkx-2013-61) [sic] (notice of filing and
immediate effectiveness).
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    The Exchange notes that in order to remain competitive, the
Exchange must implement fees and rebates that are competitive with
pricing at other options exchanges that offer a similar auction
opportunity. SPY options and the PIXL electronic auction are an
increasingly important and crucial segment of options trading. The goal
is creating and increasing incentives to attract orders to the Exchange
that will, in turn, benefit all market participants through increased
liquidity at the Exchange.
    The proposal allows the Exchange to continue attracting liquidity
to the Exchange.

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 the proposal creates a burden on intra-market competition because
the Exchange is applying the same SPY option and PIXL Fees to all
market participants in the same manner dependent on volume.
    The Exchange believes that the proposed new volume discount for SPY
options and PIXL Fees creates additional opportunity for incentivizing
Professionals, Firms, Broker-Dealers, Specialists and Market Makers to
bring additional liquidity to the market. The Exchange believes that
effectively assessing lower fees or paying rebates when a market
participant brings a certain amount of orders in SPY and other options
creates competition among market participants to remove liquidity from
the Phlx Book. This competition does not create an undue burden on
competition but rather offers all market participants the opportunity
to receive the benefit of the pricing when transacting options.
    The Exchange's proposal to reduce the threshold for the volume
discount for all market participants transacting options on PIXL
promotes competition in a highly liquid market and a highly liquid
option, SPY. Today, PIXL and SPY pricing is proposed to incentivize
Professionals, Firms, Broker-Dealers, Specialists and Market Makers
Firms to enter Initiating Orders into the PIXL auction by offering an
incentive to reduce the Initiating Order Fee. By expanding the
opportunity to all market participants that pay an Initiating Order Fee
to reduce those fees, the Exchange encourages competition among market
participants to price improve the order.

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

    Pursuant to Section 19(b)(3)(A)(ii) of the Act,\18\ the Exchange
has designated this proposal as establishing or changing a due, fee, or
other charge imposed by the self-regulatory organization on any person,
whether or not the person is a member of the self-regulatory
organization, which renders the proposed rule change effective upon
filing.
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    \18\ 15 U.S.C. 78s(b)(3)(A)(ii).
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    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 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<EMAIL_ADDRESS>Please include
File Number SR-Phlx-2014-72 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-Phlx-2014-72. 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; the Commission does
not edit personal identifying information from submissions. You should
submit only information that you wish to make available publicly. All
submissions should refer to File Number SR-Phlx-2014-72 and should be
submitted on or before December 9, 2014.

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\19\
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    \19\ 17 CFR 200.30-3(a)(12).
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Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2014-27212 Filed 11-17-14; 8:45 am]
BILLING CODE 8011-01-P


[Federal Register Volume 76, Number 246 (Thursday, December 22, 2011)]
[Notices]
[Pages 79729-79731]
[FR Doc No: 2011-32781]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-66001; File No. SR-ICC-2011-03]

 Self-Regulatory Organizations; ICE Clear Credit LLC; Order
Approving Proposed Rule Change To Adopt ICC's Enhanced Margin
Methodology

December 16, 2011.

I. Introduction

    On November 4, 2011, ICE Clear Credit LLC (``ICC'') filed with the
Securities and Exchange Commission (``Commission'') the proposed rule
change SR-ICC-2011-03 pursuant to Section 19(b)(1) of the Securities
Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4 thereunder.\2\ The
proposed rule change was published for comment in the Federal Register
on November 10, 2011.\3\ The Commission received three comment letters
regarding the proposal.\4\ For the reasons discussed below, the
Commission is granting approval of the proposed rule change.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ Securities Exchange Act Release No. 34-65699 (November 7,
2011), 76 FR 70206 (November 10, 2011). In its filing with the
Commission, ICC included statements concerning the purpose of and
basis for the proposed rule change. The text of these statements is
incorporated into the discussion of the proposed rule change in
Section II below.
    \4\ See comment letter from Michael Hisler, Swaps & Derivatives
Market Association, dated December 5, 2011 (``SDMA Letter'') and
comment letters from John Williams, Allen & Overy LLP, on behalf of
Bank of America Merrill Lynch, Barclays Capital, BNP Paribas, Citi,
Credit Suisse Securities (USA), Deutsche Bank AG, JPMorgan Chase &
Co., Morgan Stanley and UBS Securities LLC, dated December 1, 2011
and December 5, 2011 (``Allen & Overy Letters''). Allen & Overy
LLP's December 5, 2011 letter amended its December 1, 2011 letter,
with the sole change consisting of the addition of The Goldman Sachs
Group, Inc., Nomura Securities International, and The Royal Bank of
Scotland plc as signatories.
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II. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change

    This rule permits ICC to make certain modifications to its Risk
Management Framework for clearing credit default swap (``CDS'')
contracts. These modifications are collectively referred to as the
``Portfolio Decomposition Model.'' A fundamental aspect of ICC's
Portfolio Decomposition Model is the recognition that CDS contracts
cleared by ICC referencing broad-based securities indices are
essentially compositions of specific single-name CDS contracts. Under
the Portfolio Decomposition Model, ICC would, among other things,
decompose CDS contracts referencing broad-based

securities indices into single-name, index-derived positions with
notional amounts corresponding to their relative weight in the index.
    In connection with the decomposition of CDS contracts referencing
broad-based securities indices, ICC will incorporate jump-to-default
risk as a component of the risk margin associated with the clearing of
CDS index products. Because ICC's prior methodology did not include
jump-to-default margin requirements for CDS index products, this change
will result in a better measurement of the risk associated with
clearing these contracts. ICC believes that the Portfolio Decomposition
Model also reflects a number of other enhancements to the ICC Risk
Management Framework. Examples of these changes include: Replacing
standard deviation with mean absolute deviation as a measure of spread
volatility, implementing an auto-regressive process to obtain multi-
horizon risk measures, expanding spread response scenarios, introducing
liquidity margin requirements for CDS index products, and base
concentration charges.
    In addition, implementation of the Portfolio Decomposition Model
will also allow ICC to provide portfolio margin treatment between index
CDS contracts and offsetting single-name CDS contracts. These portfolio
benefits will generally involve ICC providing margin offsets across
single-name CDS contracts and index CDS contracts that are held in a
clearing participant's portfolio based on correlation measurements.
    To date, ICC has not offered such portfolio margin treatment
strictly for operational reasons. However, ICC has informed the
Commission that it will be operationally ready to offer portfolio
margining with respect to its clearing participants' proprietary
positions sometime in mid-December 2011. In its filing with the
Commission, ICC noted that the portfolio margining treatment will only
be available to ICC clearing participants' proprietary positions
because ICC does not currently clear single-name CDS contracts for
customer-related transactions. Accordingly, there are currently no
customer-related positions in single-name CDS contracts that would
qualify for portfolio margining treatment. Because the portfolio
margining benefits afforded by the enhancements to the model are
available to all of ICC's participants with respect to their
proprietary positions, ICC believes that the proposed rule change does
not unfairly discriminate with respect to similarly-situated
participants.\5\
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    \5\ ICC further indicated in its rule filing that it would
expect to offer portfolio margining treatment to customer-related
transactions following: (i) The commencement of clearing single-name
CDS contracts for customer-related transactions and (ii) the
granting of certain relief by the Commission and the Commodity
Futures Trading Commission (``CFTC'') in response to requests by
ICC. Specifically, on November 7, 2011, ICC formally filed with the
Commission a petition to provide portfolio margining treatment for
customer-related positions in anticipation of ICC offering clearing
of single-name CDS contracts for customer-related transactions in
the future. Available at: http://www.sec.gov/rules/petitions.shtml.
ICC filed a similar request with the CFTC on October 4, 2011,
available at: http://www.cftc.gov/PressRoom/PressReleases/pr6145-11.
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    According to ICC, the enhancements effected by this proposed rule
change have been reviewed and/or recommended by the ICC Risk Working
Group, ICC Risk Committee, ICC Board of Managers, the Federal Reserve
Bank of New York and the New York State Banking Department. In
addition, ICC commissioned a third-party risk-management consultant to
complete a model assessment of ICC's Portfolio Decomposition Model.

III. Comments

    The Commission received three comment letters on the proposed rule
change from two commenters, both of which were supportive of the
changes.\6\ Specifically, one commenter noted that by permitting
portfolio margining to occur with respect to clearing participants'
proprietary accounts, ICC's proposed Portfolio Decomposition Model
would optimize more efficient risk management through netting, thereby
promoting greater stability for central clearing.\7\ This commenter
noted that, because of the high degree of correlation between single-
name CDS contracts and index CDS contracts, market participants often
maintain hedged portfolios of these products, thereby increasingly the
impact that these changes are likely to have throughout the market. The
second commenter, which represented a group of eight large financial
firms, expressed a similar view with respect to the ability of
portfolio margining to bring about a more stable central clearing
regime and concluded that the proposed rule change represented ``an
initial positive step for the industry.'' \8\
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    \6\ See supra note 4.
    \7\ See SDMA Letter.
    \8\ See Allen & Overy Letters.
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IV. Discussion

    Section 19(b)(2)(B) 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 example, Section 17A(b)(3)(F) of the Act \10\
requires, among other things, that the rules of a clearing agency be
designed to remove impediments to and perfect the mechanism of a
national system for the prompt and accurate clearance and settlement of
securities transactions and to assure the safeguarding of securities
and funds in the custody or control of the clearing agency or for which
it is responsible.
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    \9\ 15 U.S.C. 78s(b)(2)(B).
    \10\ 15 U.S.C. 78q-1(b)(3)(F).
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    If approved, the proposed rule change would allow ICC to provide
portfolio margining offsets to its participants to the extent that the
participants maintain proprietary portfolios that hedge index CDS
products against single-name CDS products. ICC believes that these
changes promote greater capital efficiency and further contribute to
the development of a national system for the prompt and accurate
clearance and settlement of CDS contracts. The Commission carefully
reviewed the proposed changes to ICC's Risk Management Framework to
ensure that those changes continue to allow ICC to adequately manage
the risks associated with the clearing of both index and single-name
CDS contracts. In particular, the Commission notes that the Portfolio
Decomposition Model will introduce new requirements to provide
additional margin to address liquidity and jump-to-default risks in
connection with the clearing of index CDS products. After considering
these changes, including each of the representations made by ICC in the
filing, the Commission believes that the proposed rule change is
consistent with Section 17A(b)(3)(F) of the Act, including ICC's
obligation to ensure that its rules be designed to assure the
safeguarding of securities and funds in the custody or control of the
clearing agency or for which it is responsible.

V. Conclusion

    On the basis of the foregoing, the Commission finds that the
proposal is consistent with the requirements of the Act and in
particular with the requirements of Section 17A of the Act \11\ and the
rules and regulations thereunder.
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    \11\ 15 U.S.C. 78q-1.
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    It is therefore ordered, pursuant to Section 19(b)(2) of the
Act,\12\ that the

proposed rule change (File No. SR-ICC-2011-03) be, and hereby is,
approved.\13\
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    \12\ 15 U.S.C. 78s(b)(2).
    \13\ 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).

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\14\
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    \14\ 17 CFR 200.30-3(a)(12).
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Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2011-32781 Filed 12-21-11; 8:45 am]
BILLING CODE 8011-01-P