[Federal Register Volume 82, Number 168 (Thursday, August 31, 2017)]
[Notices]
[Pages 41438-41446]
[FR Doc No: 2017-18450]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-81487; File No. SR-LCH SA-2017-006]

Self-Regulatory Organizations; LCH SA; Notice of Filing of
Proposed Rule Change Relating to Options on Index Credit Default Swaps

August 25, 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, August 18, 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.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Clearing Agency's Statement of the Terms of Substance of the
Proposed Rule Change

    LCH SA is proposing to amend its (i) CDS Clearing Rule Book (the
``Rule Book''), (ii) CDS Clearing Supplement (the ``Clearing
Supplement''), (iii) CDS Clearing Procedures (the ``Procedures''), and
(iv) CDS Dispute Resolution Protocol (the ``Dispute Resolution
Protocol''), to incorporate terms and to make conforming and clarifying
changes to allow options on index credit default swaps (``CDS'') to be
cleared by LCH SA.\3\
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    \3\ Capitalized terms used but not defined herein shall have the
meaning specified in the Rule Book, Clearing Supplement, Procedures,
and Dispute Resolution Protocol, as applicable.
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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 purpose of the proposed rule change is to revise LCH SA's rules
and procedures to allow LCH SA to clear options on index CDS. An option
on index CDS is a contract that gives the option buyer the right (and
not the obligation) to enter into a specified index CDS contract (i.e.,
the underlying) with the option seller at a predefined exercise price
called the strike. Upon the launch of clearing options on index CDS,
LCH SA will provide central counterparty services for options on index
CDS that are accepted for clearing and become the option seller for
each option buyer and the option buyer for each option seller with
respect to an option on index CDS novated by LCH SA.
    The terms of the option contract on index CDS will provide the
buyer the right to sell or buy protection on the underlying index CDS
at expiry of the option. The index CDS resulting from the exercise of
the option will be automatically cleared by LCH SA as the central
counterparty. A credit event (including a restructuring event) may
occur with respect to a constituent of an underlying index. If the
credit event occurs before the option expiry, such credit event may
affect the option buyer's decision regarding whether to exercise the
option upon expiry. On the other hand, if a credit event occurs after
the buyer has exercised the option, a cleared index CDS contract has
been created from the option exercise and the situation would be the
same as a credit event occurring to any other index CDS contract
currently cleared by LCH SA.
    Initially, LCH SA proposes to include European index CDS currently
cleared by CDSClear as the underlying, i.e., CDS on Markit iTraxx
Europe Index and iTraxx Crossover Index, and may subsequently extend
the underlying to include other index CDS contracts cleared by LCH SA,
such as CDS on iTraxx Senior Financial Index, CDX NA IG, and CDX NA HY,
subject to additional regulatory approvals, if necessary.
    Each of the changes is described in further detail below.

i. Rule Book
a. Changes to Definitions
    The Rule Book would be amended to add several new defined terms in
order to accommodate the addition of options on index CDS to LCH SA's
CDSClear services. Specifically, LCH SA proposes to add a definition
for ``Index Swaptions'' as transactions which give the buyer the right
to enter into a CDS referencing a portfolio of Reference Entities
specified in a CDS index with a seller. The defined term ``Index
Swaption Buyer'' would be added in the Rule Book to mean a Clearing
Member that is party to an Index Swaption Cleared Transaction as buyer,
and the term ``Index Swaption Seller'' would be added in the Rule Book
to mean a Clearing Member that is party to an Index Swaption Cleared
Transaction as seller. The defined term ``Index Swaption Cleared
Transaction'' would be added in the Rule Book, and defined by reference
to the Supplement (described below), to mean a Cleared Transaction
which gives Swaption Buyer the right to enter into a specified
Underlying Index Transaction with Swaption Seller. The term ``Index
Swaption Cleared Transaction Confirmation'' would also be added to the
Rule Book, and defined by reference to the Clearing Supplement, to mean
for any Index Swaption Cleared Transaction in respect of which the
Underlying Index Transaction references a Series and versions of the
Markit iTraxx Europe Index, the form of confirmation which incorporates
the iTraxx Swaption Standard Terms Supplement, as completed by
reference to the relevant transaction, or such other form confirmation
as may be adopted from time to time in accordance with the terms of the
Rule Book. For the avoidance of doubt, the extension of the CDS
Clearing Service to the clearing of swaptions referencing indices other
than the Markit iTraxx Europe Index would require additional amendments
to the CDS Clearing Supplement. Amendments to the to the Rule Book, the
Procedures, and other risk methodology documentation could also be
required to reflect risk changes applicable to the clearing of such new
products. The defined term ``Index Swaption Clearing Service'' would be
added to refer to the CDS Clearing Service to which a Clearing Member
would elect to be registered under in order to be permitted to submit
Index Swaptions for clearing by LCH SA. The term ``Premium'' would also
be added to the Rule Book and defined by reference to the 2006
International Swaps and Derivatives Association (``ISDA'') definitions,
which are also incorporated into the Rule Book definitions, to describe
the premium paid in respect of Index Swaptions and, relatedly, Article
<IP_ADDRESS> would be modified to specify that the payment of ``Premium'' to
the relevant Index Swaption Seller is within the scope of obligations
that LCH SA undertakes to perform as central counterparty.
    Definitions for ``CDS Intraday Transaction,'' which would mean a
CDS which has been entered into between two ATSS Participants and
submitted for clearing through an Approved Trade Source System, and
``Index Swaption Intraday Transaction,'' which would mean an Index
Swaption which has been entered into between two ATSS Participants and
submitted for clearing through an Approved Trade Source System, would
be added to clarify the distinction for the novation process applicable
to CDS Intraday Transactions and Index Swaption Intraday Transactions
set forth in Article <IP_ADDRESS> (described below).
    The term ``Exercise Cleared Transaction'' would be added to the
Rule Book, and defined by reference to the Clearing Supplement, to mean
each Index Swaption Cleared Transaction (including each Swaption
Restructuring Cleared Transaction, as applicable) forming part of a
matched pair as part of the creation of a Cleared Transaction in the
context of the exercise process. A definition for ``Swaption
Restructuring Cleared Transaction'' would be added to the Rule Book,
and defined by reference to the Clearing Supplement, to mean a Cleared
Transaction created as a result of a Restructuring Credit Event. The
term ``Exercise Notice'' would also be added to the Rule Book, and
defined by reference to the Clearing Supplement, as the notice of
exercise (in whole or in part) given by the Swaption Buyer to the
Swaption Seller in accordance with Section 13.2 (Procedure for
Exercise) of the 2006 Definitions. The term ``EMP Creation Period''
would be added to the Rule Book, and defined by reference to the
Clearing Supplement, to mean the period from (and including) the final
Transaction Business Day of the calendar week immediately preceding the
week in which the Expiration Date falls to (but excluding) the
Transaction Business Day immediately preceding the Expiration Date.
    The Rule Book would also include a reference for the definition of
``Swaption Type,'' which, as defined in the Clearing Supplement, would
mean a class of Index Swaption Cleared Transactions that are identical
as to their terms (including, without limitation, as to the terms of
the Underlying Index Transaction to which such Index Swaption Cleared
Transactions relates), except in respect of trade date, notional
amount, Premium, and Premium Payment Date and identity of the relevant
Swaption Buyer and Swaption Seller.
    The definition of ``LCH Settlement Price'' would be added to the
Rule Book to account for the end-of-day pricing procedures added for
Index Swaptions, as described below.
    The substance of certain existing defined terms in the Rule Book
would also be modified to incorporate terms for Index Swaptions. The
definitions of ``CCM Cleared Transaction'' (i.e., a CDS or an Index
Swaption between LCH SA and a CCM acting either in its own name and for
its own account (in respect of a House Cleared Transaction) or as
commissionaire in its own name and for the account of a Client (in
respect of a Client Cleared Transaction)) and ``FCM Cleared
Transaction'' (i.e., A CDS or an Index Swaption between LCH SA and an
FCM Clearing Member as agent for the account of an FCM Client
registered in the relevant FCM Client Trade Account of such FCM
Clearing Member, or as principal for its own account, registered in the
FCM House Trade Account of such FCM Clearing Member), would be amended
to make clear that a CCM Cleared Transaction or an FCM Cleared
Transaction, in addition to a CDS, would include an Index Swaption
between LCH SA and a CCM or FCM Clearing Member, as applicable. The
definition has been also amended to specify that a CCM Cleared
Transaction or an FCM Cleared Transactions could also result from the
creation of (x) an ``Exercise Cleared Transaction'' or (y) a ``Swaption
Restructuring Cleared Transaction,'' as described above. The definition
of ``End of Day Contributed Price'' would be amended to distinguish end
of day pricing for CDS (which is based upon, among other things, price/
spread data provided by the Index Publisher) and Index Swaptions (which
would be based upon, among other things, a clearing price determined by
LCH SA), as described below. The definition of ``House Trade Leg''
would be amended to include any trade leg of an Index Swaption in
respect of which a Clearing Member acts as Index Swaption buyer or
Index Swaption seller. Similarly, the definition of ``Client Trade
Leg'' would be modified to include any trade leg of an Index Swaption
in respect of which a Client acts as Index Swaption buyer or Index
Swaption seller.
    The following defined terms in Chapter 1, Section 1.1.1 would also
include conforming changes for Index

Swaptions: ``Cash Payment,'' ``CDS Buyer,'' ``CDS Clearing
Documentation,'' ``CDS Clearing Service,'' ``CDS Client Clearing
Agreement,'' ``CDS Client Clearing Services,'' ``CDS Seller,''
``Extreme Market Developments,'' ``Index Publisher,'' ``Intraday
Transaction,'' and ``Payment Failure,'' and ``Product Family.''
    In addition to the foregoing changes, various other conforming and
clarifying changes would be made throughout Title I (General Provisions
& Legal Framework) to incorporate terms to accommodate Index Swaptions.
Those conforming and clarifying changes are set forth in Articles
<IP_ADDRESS>, <IP_ADDRESS>, <IP_ADDRESS>, <IP_ADDRESS>, <IP_ADDRESS>, <IP_ADDRESS>, <IP_ADDRESS>,
<IP_ADDRESS>, <IP_ADDRESS>, and <IP_ADDRESS>.
    Separately, to provide additional clarification in respect of the
cross-border aspects of its operations, LCH SA also proposes to include
a definition for ``U.S. CCM'' to mean a CCM that is not a Non-U.S. CCM.
A ``Non-U.S. CCM,'' in turn, would be defined as a CCM that engages in
securities business activities solely outside the United States, its
territories or possessions (except as otherwise permitted under SEC
regulation without triggering a requirement to be registered as a
``broker'' or ``dealer'' under the Exchange Act) or, in the context of
a Transaction that is not a security-based swap, a CCM that is
organized under the laws of, or has its main center of business located
in, a jurisdiction other than the United States, its territories or
possessions. LCH SA also proposes to amend the definition of ``U.S. CCM
Client'' to mean a CCM Client that is not a Non-U.S. CCM Client. A
``Non-U.S. CCM Client'' would mean a CCM Client that is organized under
the laws of, or has its main center of business located in, a
jurisdiction other than the United States, its territories or
possessions.
    Finally, certain other changes to the following terms would be made
to correct existing inconsistencies or to make clarifications: ``Bank
Recovery and Resolution Directive,'' ``Delegation'', ``Insolvency
Proceeding'' and ``Settlement Finality Directive.''
b. Membership
    Article <IP_ADDRESS> would be amended and Article <IP_ADDRESS> would be added
to specify the procedures for an Applicant to register for the Index
Swaption Clearing Service. Article <IP_ADDRESS> would be amended to reflect
that the Product Family Form of a Select Member may be updated in
accordance with Clause 6.1 of the CDS Default Management Process, as
described below. Article <IP_ADDRESS> would also provide that an Applicant
or existing Clearing Member may elect to register for, or terminate its
registration from, the Index Swaption Clearing Service and, if
applicable, that such registration will be deemed to occur in
accordance with Clause 6.1 of the CDS Default Management Process. As a
result of the addition of Index Swaptions, LCH SA also proposes to make
conforming changes to Article <IP_ADDRESS> to reflect the addition of the
Index Swaption Clearing Service.
c. Novation of Contracts
    Article <IP_ADDRESS> would be amended to add a new Article <IP_ADDRESS>(iv)
to describe the novation process in respect of Original Transactions
that are Index Swaption Intraday Transactions. Specifically, Article
<IP_ADDRESS>(iv) would provide that each Original Transaction which is an
Index Swaption Intraday Transaction will be replaced by two Cleared
Transactions: (a) A Cleared Transaction entered into between LCH SA
(acting as Index Swaption seller in respect of such Cleared
Transaction) and either: (x) In the event the Index Swaption buyer of
the Original Transaction is a Clearing Member, such Clearing Member
(acting as Index Swaption Buyer in respect of such Cleared
Transaction); or (y) in the event the Index Swaption buyer of the
Original Transaction is a Client, the relevant Nominated Clearing
Member (acting as Index Swaption Buyer in respect of such Cleared
Transaction), as applicable; and (b) a Cleared Transaction entered into
between LCH SA (acting as Index Swaption buyer in respect of such
Cleared Transaction) and either: (x) In the event the Index Swaption
seller of the Original Transaction is a Clearing Member, such Clearing
Member (acting as Index Swaption Seller in respect of such Cleared
Transaction); or (y) in the event the Index Swaption seller of the
Original Transaction is a Client, the relevant Nominated Clearing
Member (acting as Index Swaption Seller in respect of such Cleared
Transaction), as applicable. Various other conforming and clarifying
changes would also be made Article <IP_ADDRESS> to add references for Index
Swaptions. Existing Article <IP_ADDRESS>(iv) would be renumbered as
<IP_ADDRESS>(v).
    Article <IP_ADDRESS> currently provides that LCH SA will be entitled to
assume that certain events (such as delivery of a Credit Event Notice
or Notice of Physical Settlement) have not occurred prior to novation
because these events would terminate a constituent of the index
underlying the CDS contract submitted for clearing; similarly, it would
be amended to clarify that such events include Notices to Exercise
Movement Option and Exercise Notices with respect to Index Swaptions
because delivery of such notices would signify expiry of the option
contract submitted for clearing.
    Article <IP_ADDRESS> would clarify that LCH SA would calculate a
Clearing Member's Open Positions by netting Cleared Transactions of the
same type, including the same Swaption Type, as applicable. Article
<IP_ADDRESS> would be amended to clarify that following a Restructuring
Credit Event, LCH SA may compress Index Swaption Cleared Transactions
to result in one or more Cleared Transaction(s) per Swaption Type and
to provide that during an EMP Creation Period, LCH SA may compress
Index Swaption Cleared Transactions to result in one or more Exercise
Cleared Transactions. Article <IP_ADDRESS> similarly would be amended to
clarify that compression of Cleared Transactions would be done in the
same CDS Type or Swaption Type, as applicable. Article <IP_ADDRESS>, which
also relates to compression, would be amended to specify that Premiums
in respect of Index Swaptions will be netted and the Premiums for the
Cleared Transactions resulting from the compression shall be determined
by reference to the Cleared Transactions that were compressed.
    Finally, LCH SA also would make conforming changes and corrections
to Articles <IP_ADDRESS> and <IP_ADDRESS>.
d. End of Day Pricing Determination
    Section 4.2.7, which sets forth the procedures for calculating and
using end of day pricing, would be amended to incorporate procedures
for calculating end of day pricing for Index Swaptions. Article <IP_ADDRESS>
would preserve the existing ``Markit LCH Settlement Price'' as the
price/spread used to calculate the settlement prices for Index Cleared
Transactions and Single Name Cleared Transactions on either an end of
day or intra-day basis and add that LCH SA will use the ``LCH
Settlement Price'' for purposes of calculating any risk calculation,
valuing a Clearing Member's Open Positions and calculating a Clearing
Member's Margin Requirements in respect of Index Swaptions. Article
<IP_ADDRESS> would be amended to authorize each Clearing Member to use the
``LCH Settlement Price'' in respect of Index Swaptions in the same
manner that Clearing Members are authorized to use the Markit LCH
Settlement Price. Articles <IP_ADDRESS>, which includes a disclaimer of
warranties and liabilities as to End of Day Contributed Prices, and
Article <IP_ADDRESS>, which provides that End of Day Contributed Prices are
accepted ``as is,'' would each be amended to make clear that the

disclaimers and limitations therein also apply to the LCH Settlement
Price in respect of Index Swaptions. Article <IP_ADDRESS> would be amended
to keep the Index Publisher as an intended third party beneficiary of
Article <IP_ADDRESS> and Article <IP_ADDRESS> but only in respect of the Markit
LCH Settlement Prices, not the newly-added LCH Settlement Prices that
are calculated by LCH SA.
    Articles <IP_ADDRESS> and <IP_ADDRESS> would also be amended to incorporate
references for Index Swaptions and Article <IP_ADDRESS> would include a
minor clarifying change for readability.
e. Client Clearing Service
    Article <IP_ADDRESS>, which constitutes the Mandatory Client Clearing
Provisions, would be amended to incorporate references to Index
Swaption Seller and Index Swaption Buyer along with references to CDS
Buyer and CDS Seller. Other clarifications and corrections would also
be made in Article <IP_ADDRESS>, Article <IP_ADDRESS>, and Article <IP_ADDRESS>.
    Article <IP_ADDRESS> would include one conforming change to clarify that
Index Swaptions may be transferred in the same manner as CDS if, at any
time, a liquidation date exists.
f. Default Management Process
    Appendix 1 of the Rule Book sets forth the process in accordance
with which LCH SA and its Default Management Group will manage the
default of a Clearing Member (the ``CDS Default Management Process'').
The CDS Default Management Process would be amended in various places
to incorporate terms for Index Swaptions. Clause 5.4.1 of the CDS
Default Management Process, which provides for the scope of the
requirement to participate in the competitive auction process for a
Defaulting Clearing Member's transactions, would be amended to provide
that an Auction Participant that is not registered for the Index
Swaption Clearing Service is not required to participate in Competitive
Bidding for an Auction Package containing any Index Swaption Cleared
Transactions. Clause 6.1.2 of the CDS Default Management Process would
be amended to establish the procedures for registering winning bids
that are Index Swaptions so that if a Clearing Member is not currently
registered for the Index Swaption Clearing Service, the Clearing Member
will become automatically registered for the Index Swaption Clearing
Service and its Product Family forms will be updated in accordance with
Article <IP_ADDRESS> of the Rule Book. Clause 11.2.2 of the CDS Default
Management Process would be amended to provide that of the five
different members appointed as the CDS Default Management Group, at
least two Clearing Members shall be registered for the Index Swaption
Clearing Service.
    Additional conforming and clarifying changes would also be made in
the CDS Default Management Process Three defined terms, ``Invoice
Back,'' ``Product Cash Payments'' and ``Transaction Categories,'' would
be amended to incorporate terms for Index Swaptions. Clause 5.6.3 of
the CDS Default Management Process would be amended to clarify the
calculation for adjusting the Initial Allocation Price and the
allocation of the Auction Package in the event where the aggregate of
each Non Bidder's Auction Non Bidder Bid Size is equal to or greater
than 100. Clause 8.3 of the CDS Default Management Process would also
be amended to incorporate terms for Index Swaptions.
ii. Clearing Supplement
    A new Part C would be added to the Clearing Supplement, to provide
the terms of Index Swaption Cleared Transactions. The Index Swaption
contracts would be based on the form of confirmation incorporating the
iTraxx Swaption Standard Terms Supplement and reference the 2014 ISDA
Credit Derivatives Definitions and the 2006 Definitions, with certain
modifications. The Clearing Supplement is the document which sets forth
the economic terms of the transactions cleared by LCH SA and the new
Part C, in particular, would detail the economic terms that are
particular to Index Swaption Cleared Transactions.
a. General Provisions
    Section 1 of Part C sets forth general provisions of Index Swaption
Cleared Transactions, including incorporation of defined terms by
reference, definitions of capitalized terms, resolution of
inconsistencies or conflicts between the documents governing Index
Swaptions, timing references, third party rights, recording, and
application of the CDS Clearing Supplement to FCM Clearing Members with
respect to client transactions.
b. Terms of Cleared Transactions
    Section 2 of Part C would provide for the creation of Index
Swaption Cleared Transactions, Swaption Restructuring Cleared
Transactions, and Exercise Cleared Transactions. As described above, an
Index Swaption Cleared Transaction is a Cleared Transaction, the terms
of which are as evidenced by an Index Swaption Cleared Transaction
Confirmation, which gives Swaption Buyer the right to enter into a
specified Underlying Index Transaction with Swaption Seller. A Swaption
Restructuring Cleared Transaction, in turn, is an Index Swaption
Cleared Transaction forming part of an Swaption Restructuring Matched
Pair, meaning a set of transactions created by LCH SA as a result of an
ISDA Determinations Committee announcement of the occurrence of an
M(M)R Restructuring Credit Event (as defined in the ISDA Credit
Definitions) for a Reference Entity referenced by such Underlying Index
Transaction. An Exercise Cleared Transaction is an Index Swaption
Cleared Transaction (including each Swaption Restructuring Cleared
Transaction, as applicable) forming part of an Exercise Matched Pair,
meaning a set of transactions created by LCH SA as a result of LCH SA's
matching process, as described below. Upon the novation of an Original
Transaction which is an Index Swaption or the creation of a Swaption
Restructuring Cleared Transaction or an Exercise Cleared Transaction,
Section 2 of Part C provides that each resulting Index Swaption Cleared
Transaction and each such Swaption Restructuring Cleared Transaction
and Exercise Cleared Transaction is then entered into by LCH SA and the
relevant Clearing Member on the terms of the related Index Swaption
Cleared Transaction Confirmation.
    As noted above, an Index Swaption Cleared Transaction would be
evidenced by an Index Swaption Cleared Transaction Confirmation, which,
for an Underlying Index Transaction that references a Series of the
Markit iTraxx[supreg] Europe Index, would be in the form of
confirmation which incorporates the iTraxx[supreg] Swaption Standard
Terms Supplement. Section 2 of Part C would make certain modifications
to such form of confirmation to specify, for example, that the Index
Swaption Cleared Transaction is between LCH SA and the Clearing Member,
that the confirmation supplements and forms part of, and is subject to,
the CDS Clearing Documentation, that LCH SA is the calculation agent
for purposes of the transaction, and that LCH SA will be the central
counterparty for each Index Swaption Cleared Transaction. The Index
Swaption Cleared Transaction Confirmation would also provide additional
terms regarding termination of the Swaption Transaction on the
Expiration Date.
    Section 2 of Part C also specifies procedures for compression
exercises for Index Swaption Cleared Transactions. In addition, certain
amendments to the 2014 ISDA Credit Derivatives Definitions would be
made

in order to enable LCH SA to designate a designee for delivering or
receiving Credit Event Notices or Notices to Exercise Movement Option
relating to an M(M)R Restructuring Credit Event.
c. Payments
    Section 3 of Part C would set forth the payment obligations of each
of LCH SA and each Clearing Member as well as the requirement to pay
Premiums in respect of Index Swaption Cleared Transactions. Section 3.1
of Part C would provide that each of LCH SA and each Clearing Member
will make each payment specified under the terms of each Cleared
Transaction to be made by it, subject to the other provisions of the
CDS Clearing Documentation and that payments under any Cleared
Transaction will be made on the due date for value on that date in the
place of the account specified for the relevant party in the CDS
Admission Agreement (or such other account as may be designated by it
from time to time). Section 3.2 of Part C would provide that if the
Premium is due and payable under the terms of an Original Transaction
on or before the Clearing Day on which the related Index Swaption
Cleared Transactions are created by novation, such amount would be
payable under and in accordance with the terms of such Original
Transaction. If the Premium Payment Date of an Original Transaction
would be a date falling after the Clearing Day on which the Index
Swaption Cleared Transactions related to such Original Transaction are
created by novation, then the corresponding Premium Payment Date for
the related Index Swaption Cleared Transactions shall occur on the
Transaction Business Day which is also a Clearing Day immediately
following the Clearing Day on which such related Index Swaption Cleared
Transactions are created and the Index Swaption Cleared Transaction
Confirmation shall be deemed to have been amended accordingly.
d. Credit Event and Succession Events
    Section 4 of Part C would outline the requirements and procedures
in the event of a Credit Event, Succession Event or M(M)R Restructuring
Credit Event. With respect to Credit Events and Succession Events,
Section 4.1 of Part C would provide that LCH SA (in its capacity as
Calculation Agent with respect to such Cleared Transaction) will not
make any determinations pursuant to the 2014 ISDA Credit Definitions on
substituting reference obligations or which may be subject to successor
resolutions of the ISDA Determinations Committee Rules and that neither
LCH SA nor any Clearing Member shall be entitled to deliver a Successor
Notice or a Credit Event Notice (other than Credit Event Notices in
relation to an M(M)R Restructuring Credit Event, as described below).
With respect to an M(M)R Restructuring Credit Event, Section 4.2 of
Part C would provide that upon an ISDA Determinations Committee Credit
Event Announcement of an M(M)R Restructuring Credit Event, LCH SA will
publish and make available to Clearing Members a timeline in respect of
the relevant Credit Event and related Cleared Transactions for which
the Underlying Index Transaction references the affected Reference
Entity, to notify, among other things, the relevant Novation Cut-off
Date, Compression Cut-off Date and First Novation Date. Any such
timeline may be subject to subsequent amendment by LCH SA, however, by
means of a Clearing Notice to Clearing Members, to reflect subsequent
ISDA Determinations Committee resolutions, timing provisions of any
relevant Transaction Auction Settlement Terms, or in each case any
subsequent amendments thereto. To the extent that an ISDA
Determinations Committee Announcement is reversed, Section 4.3 of Part
C would require LCH SA to calculate and LCH SA would be entitled to
call for margin and/or be obliged to return margin with respect to each
Clearing Member.
e. Restructuring
    Section 5 of Part C, entitled Restructuring, would set forth the
requirements and procedures for the creation of Swaption Restructuring
Matched Pairs, the triggering and partial triggering of Swaption
Restructuring Cleared Transactions, and the notification requirements
in respect of Swaption Restructuring Matched Pairs. Specifically,
Section 5.1 of Part C would provide that following the occurrence of an
ISDA Determinations Committee Announcement in respect of an M(M)R
Restructuring Credit Event in respect of a Reference Entity referenced
by the Underlying Index Transaction to which a set of Index Swaption
Cleared Transactions of the same Swaption Type relates, LCH SA will
create (on one or more occasions) Swaption Restructuring Matched Pairs
and each such Swaption Restructuring Matched Pair shall be composed of
two Swaption Restructuring Cleared Transactions.
    Under Section 5.2 of Part C, where two or more Index Swaption
Cleared Transactions have been combined into a single transaction as
part of the matching process and/or where any Index Swaption Cleared
Transaction has been split into two or more separate transactions as
part of the matching process, the relevant original Index Swaption
Cleared Transactions entered into by each Clearing Member with LCH SA
will be deemed terminated and new Swaption Restructuring Cleared
Transactions of the same Swaption Type will be deemed to be entered
into between each such Clearing Member and LCH SA, with each such
Swaption Restructuring Cleared Transaction having a Swaption Notional
Amount (and with the Underlying Index Transaction in respect of each
such Swaption Restructuring Cleared Transaction having an Original
Notional Amount) corresponding to the Swaption Restructuring Matched
Pair Amount of the Swaption Restructuring Matched Pair in which the
relevant Clearing Member is comprised as a Matched Buyer or a Matched
Seller, as applicable.
    Section 5.3 of Part C would provide when a Clearing Member may
deliver Credit Event Notices (as CDS Buyer or CDS Seller) in relation
to an M(M)R Restructuring Credit Event. Section 5.4 of Part C would
address a partial triggering of a Swaption Restructuring Cleared
Transaction. Section 5.5 of Part C would specify the requirements for
delivering a Notice to Exercise Movement Option. Section 5.6 would set
forth the effect of Credit Event Notices and Notices of Exercise
Movement Options, providing that a Matched Buyer and Matched Seller
shall have no payment or delivery obligations in respect of the M(M)R
Restructuring Credit Event as a result of the delivery of a Credit
Event Notice or Notice to Exercise Movement Option. Such payment and
delivery obligations shall instead arise under the Restructuring
Cleared Transactions created following exercise (if applicable).
Section 5.7 of Part C would outline the procedures upon the reversal of
an ISDA Determinations Committee M(M)R Restructuring Credit Event
announcement. Section 5.8 of Part C would set forth the reports that
LCH SA would deliver to relevant Clearing Members as a result of an
M(M)R Restructuring Credit Event. Finally, Section 5.9 of Part C would
set forth the procedures applicable upon the expiry of the CEN
Triggering Period (i.e., the period during which the parties to the
Swaption Restructuring Cleared Transaction of a Swaption Restructuring
Matched Pair may deliver a Credit Event Notice in relation to the
relevant M(M)R Restructuring Credit Event).

f. Exercise Matched Pairs
    Section 6 of Part C would address the exercise of Matched Pairs,
including the creation and notification of Exercise Matched Pairs, the
creation of Exercise Cleared Transactions, the delivery of Exercise and
Abandonment Notices, and Cleared Transaction Exercise Reports.
    On each Transaction Business Day during the EMP Creation Period
(i.e., the period from (and including) the final Transaction Business
Day of the calendar week immediately preceding the week in which the
Expiration Date falls to (but excluding) the Transaction Business Day
immediately preceding the Expiration Date), LCH SA will create Exercise
Matched Pairs for a set of Index Swaption Cleared Transactions of the
same Swaption Type, and each such Exercise Matched Pair shall be
composed of two Exercise Cleared Transactions. Upon the creation of an
Exercise Matched Pair, LCH SA will then notify the relevant Matched
Buyer and Matched Seller comprised within each Exercise Matched Pair
of: (i) The identity of the other Clearing Member of such Exercise
Matched Pair; and (ii) the associated Exercise Matched Pair Amount.
Section 6.1 of Part C would also provide that if Swaption Restructuring
Matched Pairs have previously been created, then such Swaption
Restructuring Matched Pairs and the Swaption Restructuring Cleared
Transactions from which they are formed shall also automatically
constitute Exercise Matched Pairs and Exercise Cleared Transactions (in
addition to being Swaption Restructuring Matched Pairs and Swaption
Restructuring Cleared Transactions) for the purposes of the Clearing
Supplement.
    Section 6.2 of Part C provides that upon the notification to the
relevant Clearing Members of Exercise Matched Pairs, where two or more
Index Swaption Cleared Transactions have been combined into a single
transaction as part of the matching process and/or where any Index
Swaption Cleared Transaction has been split into two or more separate
transactions as part of the matching process, the relevant original
Index Swaption Cleared Transactions entered into by each Clearing
Member with LCH SA will be deemed terminated and new Exercise Cleared
Transactions of the same Swaption Type will be deemed to be entered
into between each such Clearing Member and LCH SA.
    Section 6.3 of Part C would provide that Exercise Notices will be
delivered by Swaption Buyers to Swaption Sellers and that any Exercise
Notice delivered in respect of an Exercise Matched Pair for an amount
which is greater than the related Exercise Matched Pair Notional Amount
shall be ineffective as to such excess.
    Section 6.4 of Part C would provide that if on the Expiration Date
Swaption Buyer delivers a valid Abandonment Notice to Swaption Seller,
then upon delivery of such notice each Exercise Cleared Transaction
specified in such Abandonment Notice shall be terminated in whole and
no further amounts shall become due and payable by Swaption Buyer to
Swaption Seller or vice versa in respect of such Exercise Transaction.
    Finally, Section 6.5 of Part C would provide that LCH SA will
communicate to the relevant Clearing Members, on the basis of
information received from Clearing Members the aggregate Swaption
Notional Amounts of Exercise Cleared Transactions to which they are a
party as Swaption Buyer in respect of which Exercise Notices and
Abandonment Notices have been delivered and the aggregate Swaption
Notional Amounts of Exercise Cleared Transactions to which they are a
party as Swaption Seller in respect of which Exercise Notices and
Abandonment Notices have been delivered, in each case on an ongoing
basis on the Expiration Date.
g. Settlement
    Section 7 of Part C would address settlement, providing that
following Exercise, an Index Cleared Transaction shall be deemed to
have been entered into between each Clearing Member and LCH SA on the
terms of the Underlying Index Transaction to which the relevant
Exercise Cleared Transactions relates and evidenced by an Index Cleared
Transaction Confirmation. Following the creation of such Index Cleared
Transaction and any Initial Single Name Cleared Transaction(s) and
Restructuring Cleared Transaction(s), the Exercise Cleared Transaction
from which it was created shall be terminated. Section 7 would also
provide procedures for the creation of Single Name Cleared Transactions
following a Credit Event as well as creation of Restructuring Cleared
Transactions following an M(M)R Restructuring Credit Event.
h. Notices
    Section 8 of Part C would provide for general rules relating to
notices, including the methods of delivery of various notices and the
timing of delivery for such notices.
i. Matched Pair Designations
    Section 9 of Part C would outline the procedures for the creation
of Matched Pairs, the registration of new Swaption Restructuring
Cleared Transactions and Exercise Cleared Transactions, resetting of
Swaption Trade Dates, the exercise of rights by Matched Buyers and
Matched Sellers, and Matched Pairs with the same clearing member.
Section 9.1 of Part C would provide that LCH SA will create Matched
Pairs using a matching procedure that matches Swaption Sellers with
Swaption Buyers pursuant to an algorithm. Section 9.2 of Part C would
address the registration of Swaption Restructuring Cleared Transactions
and Exercise Cleared Transactions and removal of original Index
Swaption Cleared Transactions in accordance with DTCC Rules. Section
9.3 of Part C would provide the circumstances under which LCH SA may
reset a Swaption Trade Date for Swaption Restructuring Cleared
Transaction or Exercise Cleared Transaction. Section 9.4 of Part C
would set forth the notice mechanics with respect to applicable
notices, including with respect to Exercise Notices and Abandonment
Notices. Section 9.5 of Part C would provide that, in relation to each
Matched Pair, (x) the exercise of any rights by Matched Buyer against
LCH SA under a Matched Buyer Contract shall be deemed to constitute the
exercise of equal and simultaneous rights by LCH SA against Matched
Seller under the Matched Seller Contract of the relevant Matched Pair,
and (y) the exercise of any rights by Matched Seller against LCH SA
under a Matched Seller Contract shall be deemed to constitute the
exercise of equal and simultaneous rights by LCH SA against Matched
Buyer under the Matched Buyer Contract of the relevant Matched Pair. To
the extent that Matched Buyer and Matched Seller of a Matched Pair is
the same Clearing Member, Section 9.6 would provide that such Clearing
Member shall be deemed to have sent a notice from itself in its role as
Matched Buyer to itself in its role as Matched Seller (and vice versa)
upon such Clearing Member sending a Clearing Member Notice to LCH SA.
Section 9.7 of Part C would then set forth the notice mechanics with
respect to Matched Pair Buyer and Matched Pair Sellers.
j. Miscellaneous
    Sections 10 through 15 of Part C would contain miscellaneous
provisions, including ones that relate to the mandatory provisions to
be incorporated into CCM Client

Transactions, amendments, form of notices, limitation and exclusion of
liability, dispute resolution, and governing law. The appendices to
Part C would also include various forms, including the form of Exercise
Notice (Appendix I), Abandonment Notice (Appendix II), Credit Event
Notice (Appendix III), Notice to Exercise Movement Option (Appendix
IV), Notice of Dispute Relating to Any Swaption Restructuring Exercise
Matched Pair (Appendix V), and CCM Client Transaction Requirements
(Appendix VI).
iii. CDS Clearing Procedures
    Various changes to the Procedures would be made for Index
Swaptions.
a. Membership
    Section 1.1 of the Procedures sets forth the indicative timeline
for LCH SA's processing of membership applications. Section 1.1 of the
Procedures would be amended to clarify that an Applicant would be
required to identify operational personnel with knowledge of Index
Swaptions and that whether a Clearing Member's registration for the
Index Swaption Clearing Service is approved will be specified in the
LCH SA approval letter. Section 1.2 would be amended to state that if a
Clearing Member wishes to register, or to be no longer registered, for
the Index Swaption Clearing Service that Clearing Member must inform
LCH SA and that LCH SA will notify the Clearing Member of its decision
to register or terminate registration of the Clearing Member in respect
of the Index Swaption Clearing Service. Section 1.2 of the Procedures
would further provide that if a Clearing Member wishes to no longer be
registered for the Index Swaption Clearing Service, LCH SA will not
approve such a request as long as there is any Index Swaption Cleared
Transaction registered in that Clearing Member's Account Structure.
b. Margin and Price Alignment Interest
    Section 2.7 of the Procedures, which describes the Initial Margin
collected by LCH SA, would be modified to include a reference to Index
Swaptions and to clarify that Initial Margin covers potential costs
caused by a Defaulting Clearing Member and/or a ``double Event of
Default,'' in respect of which the Clearing Member is a protection
seller in respect of the Underlying Index Transaction of an Index
Swaption Cleared Transaction. Sections 2.7(a)-(b) also include
amendments for clarification purposes; Section 2.7(a) would note that
Spread Margin would be calculated using spread and volatility
variations; Section 2.7(b) would delete language for readability.
Section 2.7(c) of the Procedures would be amended to refer to Index
Swaption Cleared Transactions and to make clear the Short Charge Margin
would be imposed where a Clearing Member is acting as a protection
seller in respect of the Underlying Index Transaction of an Index
Swaption Cleared Transaction. Section 2.8 of the Procedures would be
amended to specify that Self-Referencing Protection Margin would be
imposed where a Clearing Member is acting as a protection seller in
respect of the Underlying Index Transaction of an Index Swaption
Cleared Transaction, for which such Clearing Member is, or becomes, the
Reference Entity. In Section 2.10 of the Procedures, changes would be
made to specify that each Clearing Member acting as a protection buyer
in respect of an Underlying Index Transaction of an Index Swaption
Cleared Transaction where the exercise of that Index Swaption Cleared
Transaction falls in the margin calculation time horizon would be
required to pay Accrued Fixed Amount Liquidation Risk Margin, to cover
the risk that it is subject to an Event of Default and accrued Fixed
Amounts are due during the period that the relevant House Cleared
Transactions or Non-Ported Cleared Transactions, as applicable, are
liquidated pursuant to the CDS Default Management Process. Section 2.11
of the Procedures, which relates to Credit Event Margin, would also be
amended to specify that where a Credit Event occurs with respect to the
Reference Entity which is the subject of the Cleared Transaction, each
Clearing Member is required to pay Credit Event Margin to cover the
risk of a potential adverse change in the estimated recovery rate, in
the event of non-payment of Variation Margin by the Index Swaption
Seller or Index Swaption Buyer in respect of an Index Swaption Cleared
Transaction. Section 2.13 of the Procedures would also be amended to
clarify that Variation Margin covers the variation of the market value
of an Index Swaption.
c. Collateral and Cash Payment
    Section 3.18 of the Procedures would be amended to state that a
Clearing Member is required to pay Premiums to satisfy its Cash Payment
obligation in respect of Index Swaptions.
d. Eligibility Requirements
    Section 4.1 of the Procedures, which provides that LCH SA provides
CDS Clearing Services only in relation to Original Transactions which
comply with the requirements of Section 4.1(c) of the Procedures, would
be modified to provide that in respect of an Original Transaction that
is an Index Swaption Intraday Transaction, the Clearing Member must be
registered for the Index Swaption Clearing Service. Section 4.1
(c)(iii)(C) would also be added to identify the eligibility
requirements for Index Swaption Intraday Transactions.
    A new Section 4.4 of the Procedures would be added to detail the
procedures and factors for LCH SA to identify those contracts which
will be considered Eligible Index Swaptions. Section 4.4 of the
Procedures would require that LCH SA, in consultation with the CDSClear
Product Committee, consider (i) each Expiration Date that is eligible
for clearing; (ii) each Index Version of the Underlying Index
Transaction which is eligible for clearing, as well as each term which
is eligible for clearing and the currency of the Original Notional
Amount which is eligible for clearing. Section 4.4(c) of the Procedures
would also require that eligible Index Swaptions be published on LCH
SA's Web site and Section 4.4(d) of the Procedures would permit LCH SA,
in consultation with the CDSClear Product Committee, to amend the
Eligible Index Swaptions List. Section 4.4(e)(ii) of the Procedures
would identify the circumstances in which a Clearing Member may submit
for clearing an Index Swaption that does not satisfy the relevant
criteria in Section 4.1(c)(vi) of the Procedures if such transaction is
a risk reducing transaction (as determined by LCH SA) in respect of a
relevant Margin Account and it is not unlawful or illegal for LCH SA to
accept such transaction for clearing.
e. CDS Clearing Operations
    Section 5 of the Procedures, which addresses CDS clearing
operations, would include various amendments to facilitate clearing of
Index Swaptions. Section 5.5 of the Procedures would be modified to
include a description of the trade compression process for Index
Swaption Cleared Transactions. Section 5.8 of the Procedures sets forth
the process and procedures to ensure that all Cleared Transactions are
stored and replicated on LCH SA's systems. Additional events required
to be recorded and stored would be added to the list of items in
Section 5.8 of the Procedures, including the creation of Swaption
Restructuring Cleared Transactions and Exercise Cleared Transactions as
well as the exercise of Exercise Cleared Transactions. Section 5.16 of
the Procedures would be amended to require that LCH SA publish a
Cleared Transaction Exercise Report. Section 5.18.2 (b) of the

Procedures would be amended to describe the process of the calculation
of End of Day Contributed Prices in respect of Index Swaptions, which
would include (i) the receipt and communication of market data from the
Index Publisher, (ii) the application of a bid/ask constraint by LCH
SA, with such values as defined by LCH SA from time to time, (iii)
determination of a clearing price by LCH SA, and (iv) determination of
any cross trades by LCH SA. Section 5.18.4 of the Procedures, relating
to the use of data from an Index Publisher, would be modified to
specify that if data is not received from the Index Publisher, LCH SA
will use, with respect to Index Swaption Cleared Transactions, a
computation of end of day contributed spreads and composite spreads for
the purpose of calculating the Variation Margin Requirement for each
Margin Account of a Clearing Member on the next following Business Day.
Section 5.18.5 of the Procedures would then be amended to include a
procedure for effecting cross trades where prices submitted by market
participants in accordance with Section 5.18 do not reflect the quoted
daily price for a particular Index Swaption. Finally, various other
conforming and clarifying changes to refer to Index Swaptions would be
made in Sections 5.3, 5.5, 5.12 and 5.16. Other amendments not related
to Index Swaptions were made in Sections 5.11, 5.15 and 5.18.2 (a) for
clarification purposes.
iv. Dispute Resolution Protocol
    Section 3.10 of the Dispute Resolution Protocol, which establishes
the procedures applicable to arbitration proceedings involving LCH SA,
would be amended to specify that these procedures also apply if the
parties to the arbitration include an Index Swaption Seller or Index
Swaption Buyer and if the dispute arises out of or in connection with
the Cleared Transactions which are the subject of a Swaption
Restructuring Matched Pair or Exercise Matched Pair.
2. Statutory Basis
    LCH SA believes that the proposed rule change and the clearing of
Index Swaptions is consistent with the requirements of Section 17A of
the Securities Exchange Act of 1934 \4\ (the ``Act'') and the
regulations thereunder, including the standards under Rule 17Ad-22.\5\
Section 17(A)(b)(3)(F) of the Act \6\ requires, among other things,
that the rules of a clearing agency be designed to promote the prompt
and accurate clearance and settlement of securities transactions and
derivative agreements, contracts, and transactions. As noted above, the
proposed rule change is designed to provide for the clearing of Index
Swaptions. From the operational point of view, Index Swaptions would
not require changes to the existing operational procedures and, upon
being exercised, the resulting exercised cleared transactions will be
cleared in the same manner as other index contracts, consistent with
LCH SA's operational arrangements. In addition, the proposed rule
change, including amendments to Titles IV, V, and VI of the Rulebook,
Part C of the Clearing Supplement, CDS Clearing Procedures, and Dispute
Resolution Protocol will also clearly set forth the terms and
conditions of Index Swaption Cleared Transactions, the payments to be
made thereunder, the rules and procedures upon the occurrence of a
Credit Event or Restructuring Event, the process for settlement, the
applicable documentation for Index Swaption Cleared Transactions, as
well as the dispute resolution protocol. Therefore, LCH SA believes
that the clearing of Index Swaptions and the related changes described
herein are consistent with the prompt and accurate clearance and
settlement of securities transactions and derivative agreements,
contracts and transactions, in accordance with 17(A)(b)(3)(F) of the
Act.\7\
---------------------------------------------------------------------------

    \4\ 15 U.S.C. 78q-1.
    \5\ 17 CFR 240.17Ad-22.
    \6\ 15 U.S.C. 78q-1(b)(3)(F).
    \7\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------

    In addition, the proposed amendments also satisfy the relevant
requirements of Rule 17Ad-22(e)(1), (13), and (18).\8\ Rule 17Ad-
22(e)(1) \9\ requires that a clearing agency maintain a well-founded,
clear, transparent, and enforceable legal basis for each aspect of its
activities in all relevant jurisdictions. The proposed rule change
would modify LCH SA's existing rules and procedures to clearly define
the requirements for Index Swaptions and establish a legal framework
for LCH SA to clear Index Swaptions. The proposed rule change would
also make certain corrections and clarifying and conforming changes in
the Rule Book. LCH SA therefore believes that the proposed rule change
is consistent with the requirements of Rule 17Ad-22(e)(1).
---------------------------------------------------------------------------

    \8\ 17 CFR 240.17Ad-22(e)(1), (4), (8), (12), (17), (18), and
(22).
    \9\ 17 CFR 240.17Ad-22(e)(1).
---------------------------------------------------------------------------

    Further, Rule 17Ad-22(e)(13) requires a covered clearing agency to
establish, maintain, and enforce policies and procedures reasonably
designed to ensure the covered clearing agency has the authority and
operational capacity to take timely action to contain losses and
liquidity demands and continue to meet its obligations. LCH SA will
apply its existing default management policies and procedures for Index
Swaptions, including the procedures for participation in a competitive
auction process for a Defaulting Clearing Member's transactions and the
appointment of at least two Clearing Members registered for the Index
Swaption Clearing Service to be part of the five-member CDS Default
Management Group, to allow LCH SA to take timely action to contain
losses and liquidity demands, in accordance with 17Ad-22(e)(13).\10\
---------------------------------------------------------------------------

    \10\ 17 CFR 240.17Ad-22(e)(13).
---------------------------------------------------------------------------

    Finally, Rule 17Ad-22(e)(18) requires a covered clearing agency to
have policies and procedures reasonably designed to establish
objective, risk-based, and publicly disclosed criteria for
participation, which permit fair and open access by direct, and where
relevant, indirect participants and other financial market utilities,
require participants to have sufficient financial resources and robust
operational capacity to meet obligations arising from participation in
clearing agency. As noted above, the proposed rule change would extend
existing participation requirements to persons proposing to enter into
Index Swaptions and make clear that such persons must have operational
competence in respect of Index Swaptions. Therefore, LCH SA believes
that the proposed rule change is consistent with the requirements of
Rule 17Ad-22(e)(18).\11\ Further, the membership requirements
applicable to persons proposing to enter into Index Swaptions are
designed to identify persons with sufficient operational capacity and
expertise in relation to Index Swaptions; such requirements or criteria
apply to every and all persons applying to enter into Index Swaptions
clearing service equally and, as such, are not designed to unfairly
discriminate in the admission of participants or among participants of
LCH SA, in accordance with 17(A)(b)(3)(F) of the Act.\12\
---------------------------------------------------------------------------

    \11\ 17 CFR 240.17Ad-22(e)(18).
    \12\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------

B. Clearing Agency's Statement on Burden on Competition

    Section 17A(b)(3)(I) of the Act requires that the rules of a
clearing agency not impose any burden on competition not necessary or
appropriate in furtherance of the

purposes of the Act.\13\ LCH SA does not believe that its clearing of
Index Swaptions will adversely affect competition in the trading market
for those contracts or CDS generally. By allowing LCH SA to clear Index
Swaptions, market participants will have additional choices on where to
clear and which products to use for risk management purposes, which, in
turn, will promote competition and further the development of CDS for
risk management. In addition, LCH SA will apply its existing fair and
open access criteria to the clearing of Index Swaptions and will apply
the same criteria to every person who proposes to enter into the
clearing of Index Swaptions. Such criteria are designed to identify
persons with sufficient operational capacity and expertise in relation
to Index Swaptions as part of the membership requirements that are
necessary and appropriate for LCH SA to manage the risk arising from
allowing persons to participate in Index Swaptions. Accordingly LCH SA
does not believe that the proposed rule change will impose any burden
on competition that is not necessary or appropriate in furtherance of
the purposes of the Act.
---------------------------------------------------------------------------

    \13\ 15 U.S.C. 78q-1(b)(3)(I).
---------------------------------------------------------------------------

C. Clearing Agency's Statement on Comments on the Proposed Rule Change
Received From Members, Participants or Others

    Written comments relating to the proposed rule change have not been
solicited or received. LCH SA will notify the Commission of any written
comments received by LCH SA.

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<EMAIL_ADDRESS>Please include
File Number SR-LCH SA-2017-006 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-LCH SA-2017-006. 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 LCH SA and on LCH
SA's Web site at http://www.lch.com/asset-classes/cdsclear.
    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-LCH SA-2017-
006 and should be submitted on or before September 21, 2017.

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\14\
---------------------------------------------------------------------------

    \14\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-18450 Filed 8-30-17; 8:45 am]
 BILLING CODE 8011-01-P


[Federal Register Volume 82, Number 71 (Friday, April 14, 2017)]
[Notices]
[Pages 17990-17991]
[FR Doc No: 2017-07542]

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DEPARTMENT OF ENERGY

Federal Energy Regulatory Commission

Combined Notice of Filings

    Take notice that the Commission has received the following Natural
Gas Pipeline Rate and Refund Report filings:

Filings Instituting Proceedings

    Docket Number: PR17-37-000.
    Applicants: Atlanta Gas Light Company.
    Description: Tariff filing per 284.123(b), (e)+(g): Rate Change to
Reflect Change in State-Approved Rates to be effective 3/1/2017; Filing
Type: 1300.
    Filed Date: 3/30/17.
    Accession Number:<PHONE_NUMBER>74.
    Comments Due: 5 p.m. ET 4/20/17.
    284.123(g) Protests Due: 5 p.m. ET 5/30/17.

    Docket Number: PR17-38-000.
    Applicants: Montana-Dakota Utilities Co.
    Description: Tariff filing per 284.123(b), (e)+(g): Revision to
Statement of Effective Rates to be effective 1/1/2017; Filing Type:
1300.
    Filed Date: 3/31/17.
    Accession Number:<PHONE_NUMBER>65.
    Comments Due: 5 p.m. ET 4/21/17.
    284.123(g) Protests Due: 5 p.m. ET 5/30/17.

    Docket Number: PR17-39-000.
    Applicants: Columbia Gas of Ohio, Inc.
    Description: Tariff filing per 284.123(b), (e)/: COH SOC to be
effective 3/30/2017; Filing Type: 980.
    Filed Date: 3/31/17.
    Accession Number:<PHONE_NUMBER>12.
    Comments/Protests Due: 5 p.m. ET 4/21/17.

    Docket Number: PR17-31-001.
    Applicants: Southern California Gas Company.
    Description: Tariff filing per 284.123(b), (e)+(g): Revision to
rates for Offshore Delivery (OSHD) Refile 2 to be effective 1/1/2017;
Filing Type: 1270.
    Filed Date: 4/3/17.
    Accession Number:<PHONE_NUMBER>04.
    Comments Due: 5 p.m. ET 4/24/17.
    284.123(g) Protests Due: 5 p.m. ET 5/1/17.

    Docket Numbers: RP17-256-001.
    Applicants: Texas Eastern Transmission, LP.
    Description: Texas Eastern Transmission, LP submits tariff filing
per 154.203: Gas Quality Settlement--RP17-256 Compliance Filing to be
effective 6/1/2017.
    Filed Date: 04/05/2017.
    Accession Number: 20170405-5021.
    Comment Date: 5:00 p.m. Eastern Time on Monday, April 17, 2017.

    Docket Numbers: RP17-643-000.
    Applicants: Gulf South Pipeline Company, LP.
    Description: Gulf South Pipeline Company, LP submits tariff filing
per 154.204: Amendment to Neg Rate Agmt (FPL 41618-26) to be effective
4/5/2017.
    Filed Date: 04/05/2017.
    Accession Number: 20170405-5180.
    Comment Date: 5:00 p.m. Eastern Time on Monday, April 17, 2017.

    Docket Numbers: RP17-644-000.
    Applicants: Gulf South Pipeline Company, LP.

    Description: Gulf South Pipeline Company, LP submits tariff filing
per 154.204: Remove Expired Agreements (Castleton 460, Wells Fargo
1696) to be effective 5/1/2017.
    Filed Date: 04/05/2017.
    Accession Number: 20170405-5303.
    Comment Date: 5:00 p.m. Eastern Time on Monday, April 17, 2017.

    The filings are accessible in the Commission's eLibrary system by
clicking on the links or querying the docket number.
    Any person desiring to intervene or protest in any of the above
proceedings must file in accordance with Rules 211 and 214 of the
Commission's Regulations (18 CFR 385.211 and 385.214) on or before 5:00
p.m. Eastern time on the specified date(s). Protests may be considered,
but intervention is necessary to become a party to the proceeding.
    eFiling is encouraged. More detailed information relating to filing
requirements, interventions, protests, service, and qualifying
facilities filings can be found at: http://www.ferc.gov/docs-filing/efiling/filing-req.pdf. For other information, call<PHONE_NUMBER>
(toll free). For TTY, call<PHONE_NUMBER>.

    Dated: April 6, 2017.
Kimberly D. Bose,
 Secretary.
[FR Doc. 2017-07542 Filed 4-13-17; 8:45 am]
 BILLING CODE 6717-01-P


[Federal Register Volume 82, Number 37 (Monday, February 27, 2017)]
[Notices]
[Pages 11952-11955]
[FR Doc No: 2017-03728]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-80073; File No. SR-NYSEMKT-2017-08]

Self-Regulatory Organizations; NYSE MKT LLC; Notice of Filing of
Proposed Rule Change To Amend Rule 925.1NY Regarding Market Maker
Quotations, Including To Adopt a Market Maker Light Only Quotation

February 21, 2017.
    Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of
1934 (the ``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby
given that on February 10, 2017, NYSE MKT LLC (the ``Exchange'' or
``NYSE MKT'') filed with the Securities and Exchange Commission (the
``Commission'') the proposed rule change as described in Items I and II
below, which Items have been prepared by the self-regulatory
organization. The Commission is publishing this notice to solicit
comments on the proposed rule change from interested persons.
---------------------------------------------------------------------------

    \1\ 15 U.S.C.78s(b)(1).
    \2\ 15 U.S.C. 78a.
    \3\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------

I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change

    The Exchange proposes to amend Rule 925.1NY regarding Market Maker
Quotations, including to adopt a Market Maker Light Only Quotation. The
proposed rule change is available on the Exchange's Web site at
www.nyse.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 self-regulatory organization
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 those 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 the
Statutory Basis for, the Proposed Rule Change

1. Purpose
    The purpose of this filing is to modify Rule 925.1NY regarding
Market Maker Quotations. Rule 925.1NY(a) provides that a Market Maker
may enter quotes in the option issues included in its appointment. The
Exchange proposes to amend Rule 925.1NY(a) to define Market Maker
quotes, add a new quote type, and specify how such quotes would be
processed when a series is open for trading.
Defining Market Maker Quotes and Adopting Market Maker Light Only
Quotes
    First, the Exchange proposes to define Market Maker quotes to
provide that ``[t]he term `quote' or `quotation' means a bid or offer
entered by a Market Maker that updates the Market Maker's previous bid
or offer, if any.'' \4\ This proposed definition, which would add
clarity, transparency, and internal consistency to Exchange rules, is
identical or substantially identical to the way quotes are defined on
at least two other options exchanges.\5\ Consistent with this change,
the Exchange also proposes to modify the current definition of ``Quote
with Size'' to include a cross reference to the proposed definition of
quotation, which would add clarity and transparency to Exchange
rules.\6\
---------------------------------------------------------------------------

    \4\ See proposed Rule 925.1NY(a)(1).
    \5\ See, e.g., International Securities Exchange Rule 100(42).
See also BOX Options Exchange LLC Rule 100(a)(55) (providing that
``[t]he term ``quote'' or ``quotation'' means a bid or offer entered
by a Market Maker as a firm order that updates the Market Maker's
previous bid or offer, if any'').
    \6\ See proposed Rule 900.2NY(65) (providing that ``the term
`Quote with Size' means a quotation (as defined in Rule 925.1NY
(a)(1)) to buy or sell a specific number of option contracts at a
specific price that a Market Maker has submitted to the System
through an electronic interface'').

---------------------------------------------------------------------------

    Second, the Exchange proposes to add a Market Maker Light Only
Quotation (``MMLO'') to provide Market Makers the option to designate
incoming quotes to trade solely with displayed interest on the
Consolidated Book.\7\ This proposed change would allow Market Makers to
designate quotes as MMLO to prevent such quotes from trading with
undisplayed liquidity upon arrival. Once an MMLO is added to the
Consolidated Book, the MMLO designation no longer applies and any
unexecuted portion could trade with displayed and undisplayed interest.
The Exchange believes that this functionality would give Market Makers
greater control over the circumstances in which their quotes interact
with contra-side trading interest on the Exchange. This increase in
control is desirable from the perspective of Market Makers because it
is difficult for them to account for undisplayed liquidity in their
quoting models.\8\ Because the options market is quote driven, Market
Makers are vital to the price discovery process, the Exchange believes
that the proposed MMLO would provide Market Makers with a greater level
of determinism, in terms of managing their exposure, and thus may
encourage more aggressive liquidity provision, resulting in more
trading opportunities and tighter spreads. Accordingly, the Exchange
believes that the proposal would improve overall market quality and
enhance competition on the Exchange to the benefit to all market
participants.9 10 The Exchange also notes that other options
exchanges have recently adopted quote types designed to strengthen
market making.\11\
---------------------------------------------------------------------------

    \7\ See proposed Rule 925.1NY(a)(2).
    \8\ The Exchange understands that, while a Market Maker's
quoting algorithm can take into account displayed liquidity in the
marketplace, the algorithm may not be able to accurately account for
the risk of interacting with undisplayed liquidity.
    \9\ The Exchange notes that the concept of allowing market
participants, including Market Makers, to avoid trading with
undisplayed liquidity is available on other options exchanges. See
e.g., NYSE Arca, Inc. (``Arca'') Rule 6.62(v) (defining PNP-Light
Orders as non-routable orders that are only eligible to execute
against displayed liquidity).
    \10\ The Exchange notes that another options exchange--Arca--
previously offered (and later eliminated) a Post No Preference Light
Only Quotation (``PNPLO''), which, like the MMLO, allowed Market
Makers to designate certain quotations to only interact with
displayed liquidity. The Commission approved the PNPLO, in part, on
grounds that market participants, including Market Makers, could
achieve functionality similar to the PNPLO through use of the PNP-
Light Order and that the PNPLO offer similar functionality for use
by Market Makers when quoting. See Securities Exchange Act Release
Nos. 67252 (June 25, 2012), 77 FR 38879 (June 29, 2012) (SR-
NYSEArca-2012-05) (order approving adoption of PNPLO, applicable to
Penny Pilot issues only); 68339 (December 3, 2012), 77 FR 73109
(December 7, 2012) (SR-NYSEArca-2012-130) (immediately effective
filing extending the PNPLO to non-Penny Pilot issues). The PNPLO was
eliminated approximately one year after it was adopted because the
functionality was not implemented in the time period contemplated.
See Securities Exchange Act Release No. 34-69641 (May 28, 2013), 78
FR 33134 (June 3, 2013) (SR-NYSEArca-2013-51) (immediately effective
filing deleting reference to the PNPLO from Rule 6.62(cc)).
    \11\ The Exchange notes that BOX recently added functionality to
only accept quotes that add liquidity. See Securities Exchange Act
Release Nos. 79311 (October 3 [sic], 2016), 81 FR 83322 (November 15
[sic], 2016) (SR-BOX-2016-45) (order approving change to only accept
liquidity-adding quotes); 78946 (September 27, 2016), 81 FR 68069
(October 3, 2016) (notice). See also BOX IM-8050-3 (providing that
``[i]f an incoming quote is marketable against the BOX Book and will
execute against a resting order or quote, it will be rejected'').
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* * * * *
Specifying the Treatment of Market Maker Quotes, Including MMLOs
    The Exchange also proposes to modify and add detail regarding how
Market Maker quotes, including MMLOs, would be processed when a series
is open for trading. As discussed below, the Exchange's proposal to
modify the processing of Market Maker quotations aligns with the NMS
plan for Options Order Protection And Locked/Crossed Market Plan
(``Plan''), to which the Exchange is a party.\12\
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    \12\ See Plan, dated April 14, 2009, available here, http://www.optionsclearing.com/components/docs/clearing/services/options_order_protection_plan.pdf. See also Securities Exchange Act
Release No. 60405 (July 30, 2009), 74 FR 39362 (August 6, 2009)
(File No. 4-546) (order approving the Plan). Consistent with the
Plan, the rules of the Exchange include prohibitions against trade-
throughs and a pattern or practice of displaying certain quotations
that lock or cross away markets. See, e.g., Rules 991NY, 992NY. See
also infra note 20.
---------------------------------------------------------------------------

    The Exchange proposes to change the treatment of incoming
quotations, including the conditions under which quotes would be
cancelled or rejected. Specifically, as proposed, an incoming quotation
would only trade against contra-side interest in the Consolidated Book
at prices that would not trade through interest on another Market
Center.\13\ Any untraded size of an incoming quote would be added to
the Consolidated Book, unless it locks or crosses interest on another
Market Center or if the quote is an MMLO and locks or crosses
undisplayed interest.\14\ The proposed rule would state that when such
quantity of an incoming quote is cancelled (as opposed to being
rejected outright), the Exchange would also cancel the Market Maker's
current quote on the opposite side of the market. In other words, both
sides of the Market Maker's quote residing on the Consolidated Book
would be cancelled, which allows a Market Maker to refresh both its bid
and offer simultaneously.
---------------------------------------------------------------------------

    \13\ See proposed 925.1NY(a)(3)(A). See Rule 900.2NY(36)
(defining Market Center as ``a national securities exchange that has
qualified for participation in the Options Clearing Corporation
pursuant to the provisions of the rules of the Options Clearing
Corporation'').
    \14\ See proposed Rule 925.1NY(a)(3)(B)(i).
---------------------------------------------------------------------------

    In addition, as proposed, an incoming quotation would be rejected
if it locks or crosses interest on another Market Center and if it
cannot trade with interest in the Consolidated Book at prices that do
not trade through another Market Center.\15\ An incoming quotation
designated as MMLO would be rejected if it locks or crosses undisplayed
interest and cannot trade with displayed interest in the Consolidated
Book at prices that do not trade through another Market Center.\16\ The
proposed rule would specify that when an incoming quote is rejected
outright (as opposed to being cancelled after a partial fill), the
Exchange would also cancel the Market Maker's current quote on the same
side of the market.\17\ Such treatment recognizes that the Market Maker
attempted (unsuccessfully) to update its bid or offer price and allows
the Market Maker to refresh that side of its quote.
---------------------------------------------------------------------------

    \15\ See proposed Rule 925.1NY(a)(3)(C)(i).
    \16\ See proposed Rule 925.1NY(a)(3)(C)(ii).
    \17\ See proposed Rule 925.1NY (a)(3)(C).
---------------------------------------------------------------------------

    In addition, when a series is open for trading, a quote will trade
only against interest in the Consolidated Book and will not route. The
Exchange does not route Market Maker quotations because such quotes are
designed to meet the Market Maker's obligation to have displayed
quotations on the Exchange. The Exchange proposes to specify this
functionality in Exchange rules.\18\
---------------------------------------------------------------------------

    \18\ See proposed Rule 925.1NY(a)(3), (D).
---------------------------------------------------------------------------

    The Exchange believes that processing Market Maker quotations, as
described in the proposed rules, aligns with the Plan.\19\ The Plan
obligates the participating exchanges to provide order protection,
including addressing locked and crossed markets and the potential for
trade-throughs in certain options classes.\20\ The Plan establishes
various obligations for participating exchanges, including that Market
Makers should ``reasonably avoid displaying, and shall not engage in a
pattern or practice of displaying, any quotations that lock or cross''
the best bid or offer on another Market Center.\21\ The Plan further
obligates participating exchanges to conduct surveillance of their
respective markets on a regular basis to ascertain the effectiveness of
the policies and procedures to prevent trade-throughs

and to take prompt action to remedy deficiencies in such policies and
procedures.\22\ Because Market Maker quotations do not route, and
incoming quotes, or portions thereof, would reject or cancel if such
quotes locked or crossed away markets, the Exchange believes the
proposal is consistent with the requirements of the Plan. In addition,
the proposed processing of quotes is consistent with the Plan because
it avoids trading-through better prices on other exchange and locking
or crossing markets. In addition, the Exchange believes this proposal
would assist Market Makers in maintaining a fair and orderly market, as
it would encourage Market Makers to provide greater liquidity.
---------------------------------------------------------------------------

    \19\ See Plan, supra note 12.
    \20\ See e.g., Securities Exchange Act Release No. 60526 (August
18, 2009), 74 FR 43185 (August 26, 2009) (SR-NYSEAmex-2009-19)
(adopting and updating Exchange rules to implement the Plan).
    \21\ See Plan at Section 6(c), supra note 12.
    \22\ See Plan at Section 5(a), supra note 12.
---------------------------------------------------------------------------

    The Exchange notes that this proposal does not relieve a Market
Maker of its continuous quoting, or firm quote, obligations pursuant to
Rules 925.1NY and 970NY, respectively. Further, the Exchange notes that
Market Makers would still be able to send orders in (and out of)
classes to which they are appointed, as orders are not affected by this
proposal.
Implementation
    The Exchange will announce the implementation of the proposed rule
change by Trader Update, which implementation will be no later than 30
days after the approval of this rule change.
2. Statutory Basis
    The Exchange believes that its proposal is consistent with Section
6(b) of the Securities Exchange Act of 1934 (the ``Act''),\23\ in
general, and furthers the objectives of Section 6(b)(5) of the Act,\24\
in particular, in that it is designed to prevent fraudulent and
manipulative acts and practices, 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.
---------------------------------------------------------------------------

    \23\ 15 U.S.C. 78f(b).
    \24\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    The proposal to add the definition of Market Maker quotes would
provide clarity and transparency to Exchange rules to the benefit of
investors as the additional clarity would promote just and equitable
principles of trade and remove impediments to, and perfect the
mechanism of, a free and open market and a national market system. The
proposed rule amendments would also provide internal consistency within
Exchange rules and operate to protect investors and the investing
public by making the Exchange rules easier to navigate and comprehend.
Because the proposed definition of quotes is identical or substantially
identical to definitions provided on other options exchanges, the
proposal presents no new or novel issues.\25\
---------------------------------------------------------------------------

    \25\ See supra note 5.
---------------------------------------------------------------------------

    The proposal to offer to Market Makers the ability to designate
quotes as MMLO would remove impediments to and perfect the mechanism of
a free and open market and a national market system because it would
provide Market Makers with increased control over interactions with
contra-side liquidity. Specifically, the proposal would improve market
making on the Exchange because it would prevent incoming Market Maker
quotes from trading with resting undisplayed interest, which interest
is difficult to take into account in quoting models. Accordingly, the
Exchange believes that the proposed MMLO designation would provide
Market Makers with a greater level of determinism, in terms of managing
their exposure, and would encourage more aggressive liquidity
provision, resulting in more trading opportunities for market
participants and tighter spreads. Accordingly, the Exchange believes
that the proposal would improve overall market quality and improve
competition on the Exchange, to the benefit of all market
participants.\26\
---------------------------------------------------------------------------

    \26\ Moreover, the Exchange notes that the concept of allowing
market participants, including Market Makers, to avoid trading with
undisplayed liquidity is available on other options exchanges. See
supra note 9.
---------------------------------------------------------------------------

    Because market participants that enter undisplayed interest (e.g.,
PNP-Blind Orders) \27\ are opting not to have their interest displayed,
the Exchange believes it is consistent with the Act for Market Makers
to choose to designate their quotes not to trade with such undisplayed
interest.\28\ For the forgoing reasons, the Exchange believes that the
proposal to offer to Market Makers the option to designate their quotes
as MMLO is not unfairly discriminatory. The Exchange also believes that
such offering would protect investors and the public interest because
it may contribute to more aggressive quoting by Market Makers, which
should increase the quality of the Exchange's market and benefit
investors.
---------------------------------------------------------------------------

    \27\ See Rule 900.3NY(x) (providing that a PNP (Post No
Preference) Blind Order is a Limit Order to buy or sell that is to
be executed in whole or in part on the Exchange, and the portion not
so executed is to be ranked in the Consolidated Book, without
routing any portion of the order to another Market Center).
    \28\ In this regard, the Exchange notes that undisplayed
liquidity is not afforded trade-through protection under Section 5
of the Plan. See Plan, supra note 12.
---------------------------------------------------------------------------

    The proposal to add detail and amend the treatment of Market Maker
quotes is consistent with, and facilitates the Exchange meeting its
obligations under the Plan and, thus, would remove impediments to, and
perfect the mechanism of, a free and open market and a national market
system. The Exchange believes the proposed processing of quotes is
consistent with the Plan because it avoids trading through better
prices on other exchanges and is designed to avoid locking and crossing
markets. By preventing Market Makers from locking or crossing trading
interest on away Market Centers, the proposal would prevent fraudulent
and manipulative acts and practices and would promote just and
equitable principles of trade to the benefit of all market
participants. The Exchange also believes the proposal regarding how the
Exchange processes quotes in the event that an incoming quote is
rejected, or a portion thereof is cancelled, would promote just and
equitable principles of trade. Specifically, the proposed rules would
enable Market Makers to simultaneously update both sides of their
resting quote when one side of the quote received a partial fill but
was subsequently cancelled and, where one side of a quote is rejected
and not booked, to leave undisturbed that opposite-side interest
because it remains valid. The Exchange believes this proposed handling
of quotes would assist Market Makers in maintaining a fair and orderly
market as it would encourage Market Makers to provide greater volumes
of liquidity, which would add value to market making on the Exchange.
    The Exchange believes that the entire proposal is just, equitable
and not unfairly discriminatory, as it would apply to all Market Makers
on the Exchange. Further, the proposal would protect investors and the
public interest by providing a more robust market, including because
the proposal may contribute to more aggressive quoting by Market
Makers. The Exchange believes that the proposal would lead to enhanced
liquidity on the Exchange, which in turn will benefit and protect
investors and the public interest through the potential for greater
volume of orders and executions on the Exchange.

B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change would
impose any burden on competition that is not necessary or appropriate
in furtherance

of the purposes of the Act. The Exchange believes the proposal adds
value to market making on the Exchange. The Exchange does not believe
the proposal would impose a burden on competition among the options
exchanges because of vigorous competition for order flow among the
options exchanges. In this highly competitive market, market
participants can easily and readily direct order flow to competing
venues. The proposal does not impose an undue burden on intramarket
competition because the proposed change would apply to all Market
Makers on the Exchange. The proposal is structured to offer the same
enhancement to all Market Makers, regardless of size, and would not
impose a competitive burden on any participant.
    The proposed MMLO, which provides Market Makers with enhanced
determinism over their quotes, may contribute to more aggressive
quoting by Market Makers, resulting in more trading opportunities and
tighter spreads. To the extent this purpose is achieved, the MMLO would
enhance the market making function on the Exchange, which would improve
overall market quality and improve competition on the Exchange to the
benefit of all market participants.
    The Exchange believes the proposal is pro-competitive because when
an exchange offers enhanced functionality that distinguishes it from
other exchanges and participants find it useful, it has been the
Exchange's experience that competing exchanges will move to adopt
similar functionality. Thus, the Exchange believes that this type of
competition amongst exchanges is beneficial to the market place as a
whole as it can result in enhanced processes, functionality, and
technologies.

C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others

    No written comments were solicited or received with respect to the
proposed rule change.

III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action

    Within 45 days of the date of publication of this notice in the
Federal Register or 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 the 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<EMAIL_ADDRESS>Please
include File Number SR-NYSEMKT-2017-08 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-NYSEMKT-2017-08. 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-NYSEMKT-2017-08 and should
be submitted on or before March 20, 2017.
---------------------------------------------------------------------------

    \29\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\29\
Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-03728 Filed 2-24-17; 8:45 am]
 BILLING CODE 8011-01-P


[Federal Register Volume 84, Number 82 (Monday, April 29, 2019)]
[Notices]
[Pages 18025-18026]
[FR Doc No: 2019-08603]

-----------------------------------------------------------------------

ENVIRONMENTAL PROTECTION AGENCY

[EPA-HQ-OW-2011-0442; FRL-9992-35-OMS]

Information Collection Request Submitted to OMB for Review and
Approval; Comment Request; Microbial Rules (Renewal)

AGENCY: Environmental Protection Agency (EPA).

ACTION: Notice.

-----------------------------------------------------------------------

SUMMARY: The Environmental Protection Agency (EPA) has submitted an
information collection request (ICR) for the Microbial Rules Renewal
Information Collection Request (EPA ICR Number 1895.10, OMB Control
Number 2040-0205) to the Office of Management and Budget (OMB) for
review and approval in accordance with the Paperwork Reduction Act.
This is a proposed extension of the ICR, which is currently approved
through April 30, 2019. Public comments were previously requested via
the Federal Register on September 11, 2018, during a 60-day comment
period. This notice allows for an additional 30 days for public
comments. A fuller description of the ICR is given below, including its
estimated burden and cost to the public. An agency may not conduct or
sponsor and a person is not required to respond to a collection of
information unless it displays a currently valid OMB control number.

DATES: Additional comments may be submitted on or before May 29, 2019.

ADDRESSES: Submit your comments, referencing Docket ID Number EPA-HQ-
OW-2011-0442, to (1) EPA online using www.regulations.gov (our
preferred method), by email to [email protected], or by mail to: EPA
Docket Center, Environmental Protection Agency, Mail Code 28221T, 1200
Pennsylvania Ave., NW, Washington, DC 20460, and (2) OMB via email to
[email protected]. Address comments to OMB Desk Officer for
EPA.
    The EPA's policy is that all comments received will be included in
the public docket without change including any personal information
provided, unless the comment includes profanity, threats, information
claimed to be Confidential Business Information (CBI), or other
information whose disclosure is restricted by statute.

FOR FURTHER INFORMATION CONTACT: Kevin Roland, Drinking Water
Protection Division, Office of Ground Water and Drinking Water,
(4606M), Environmental Protection Agency, 1200 Pennsylvania Ave. NW,
Washington, DC 20460; telephone number:<PHONE_NUMBER>: fax number: 202-
564-3755; email address: [email protected].

SUPPLEMENTARY INFORMATION: Supporting documents, which explain in
detail the information that the EPA will be collecting, are available
in the public docket for this ICR. The docket can be viewed online at
www.regulations.gov or in person at the EPA Docket Center, WJC West,
Room 3334, 1301 Constitution Ave., NW, Washington, DC. The telephone
number for the Docket Center is<PHONE_NUMBER>. For additional
information about the EPA's public docket, visit http://www.epa.gov/dockets.
    Abstract: The Microbial Rules Renewal ICR examines public water
system and primacy agency burden and costs for recordkeeping and
reporting requirements in support of the microbial drinking water
regulations. These recordkeeping and reporting requirements are
mandatory for compliance with 40 CFR parts 141 and 142. The ICR
includes the following microbial regulations: The Surface Water
Treatment Rule (SWTR), the Total Coliform Rule (TCR), the Revised Total
Coliform Rule (RTCR), the Interim Enhanced Surface Water Treatment Rule
(IESWTR), the Filter Backwash Recycling Rule (FBRR), the Long Term 1
Enhanced Surface Water Treatment Rule (LT1ESWTR), the Long Term 2

Enhanced Surface Water Treatment Rule (LT2ESWTR), the Ground Water Rule
(GWR), and the Aircraft Drinking Water Rule (ADWR). Future microbial-
related rulemakings will be added to this consolidated ICR after the
regulations are promulgated and the initial, rule-specific ICRs are due
to expire.
    Form Numbers: None.
    Respondents/affected entities: Public water systems and primacy
agencies.
    Respondent's obligation to respond: Mandatory for compliance with
40 CFR parts 141 and 142.
    Estimated number of respondents: 146,808 (total).
    Frequency of response: Varies by requirement (i.e., on occasion,
monthly, quarterly, semi-annually, and annually).
    Total estimated burden: 18,127,581 hours (per year). Burden is
defined at 5 CFR 1320.03(b).
    Total estimated cost: $972,102,000 (per year), includes
$228,972,000 annualized capital or operation & maintenance costs.
    Changes in the Estimates: There is an increase of 3,443,983 hours
in the total estimated respondent burden compared with the ICR
currently approved by OMB. This is due to full implementation of the
Revised Total Coliform Rule, as well as increased state burden
associated with recordkeeping, compliance tracking, and significant
deficiency and corrective action reporting for sanitary surveys at
large surface water systems.

Courtney Kerwin,
Director, Regulatory Support Division.
[FR Doc. 2019-08603 Filed 4-26-19; 8:45 am]
 BILLING CODE 6560-50-P