[Federal Register Volume 77, Number 188 (Thursday, September 27, 2012)]
[Rules and Regulations]
[Pages 59338-59339]
From the Federal Register Online via the Government Printing Office [http://www.gpo.gov/]
[FR Doc No: 2012-23819]

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ENVIRONMENTAL PROTECTION AGENCY

40 CFR Part 300

[EPA-HQ-SFUND-1983-0002; FRL-9735-3]

National Oil and Hazardous Substances Pollution Contingency Plan;
National Priorities List

AGENCY: Environmental Protection Agency.

ACTION: Withdrawal of direct final rule.

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SUMMARY: On August 20, 2012 EPA published a Notice of Intent to Delete
and a direct final Notice of Deletion for the Hooker (Hyde Park)
Superfund Site from the National Priorities List. The EPA is
withdrawing the Final Notice of Deletion due to adverse comments that
were received during the public comment period. After consideration of
the comments received, if appropriate, EPA will publish a Notice of
Deletion in the Federal Register based on the parallel Notice of Intent
to Delete and place a copy of the final deletion package, including a
Responsiveness Summary, if prepared, in the Site repositories.

DATES: Effective Date: This withdrawal of the direct final action
published August 20, 2012 (77 FR 50038) is effective as of September
27, 2012.

ADDRESSES:
    Information Repositories: Comprehensive information on the Site, as
well as the comments that we received during the comment period, are
available in docket EPA-HQ-SFUND-1983-0002, accessed through the http://www.regulations.gov/ Web site. Although listed in the docket index,
some information is not publicly available, e.g., CBI or other
information whose disclosure is restricted by statue. Certain other
material, such as copyrighted material, will be publicly available only
in hard copy. Publicly available docket materials are available either
electronically in http://www.regulations.gov/ or in hard copy at: U.S.
Environmental Protection Agency, Region 2, Superfund Records Center,
290 Broadway, 18th Floor, New York, NY 10007-1866, Phone:<PHONE_NUMBER>,
Hours: Monday to Friday from 9 a.m. to 5 p.m. and U.S. EPA Western NY
Public Information Office, 86 Exchange Place, Buffalo, NY 14204-2026,
Telephone:<PHONE_NUMBER>, Hours: Monday to Friday from 8:30 a.m.-4
p.m.

FOR FURTHER INFORMATION CONTACT: Gloria M. Sosa, Remedial Project
Manager, U.S. Environmental Protection Agency, Region 2, 290 Broadway,
20th Floor, New York, NY 10007-1866, telephone:<PHONE_NUMBER>, email:
<EMAIL_ADDRESS>
SUPPLEMENTARY INFORMATION:

List of Subjects in 40 CFR Part 300

    Environmental protection, Air pollution control, Chemicals,
Hazardous Waste, Hazardous substances, Intergovernmental relations,
Penalties, Reporting and recordkeeping requirements, Superfund, Water
pollution control, Water Supply.

    Authority: 33 U.S.C. 1321(c)(2); 42 U.S.C. 9601-9657; E.O.
12777, 56 FR 54757, 3 CFR, 1991 Comp., p. 351; E.O. 12580, 52 FR
2923; 3 CFR, 1987 Comp., p. 193.

    Dated: September 21, 2012.
Judith A. Enck,
Regional Administrator, Region 2.

0
Accordingly, the amendment to Table 1 of Appendix B to CFR Part 300 to
remove the entry ''Hooker (Hyde Park)'',

``Niagara Falls'', ``NY'' is withdrawn as of September 27, 2012.

[FR Doc. 2012-23819 Filed 9-26-12; 8:45 am]
BILLING CODE 6560-50-P


(a) Prepare the vehicle for testing (including measurement of
evaporative and refueling emissions if appropriate), as described in
the standard-setting part.
    (b) If you inspect a vehicle, keep a record of the inspection and
update your application to document any changes that result. You may
use any kind of equipment, instrument, or tool to identify bad engine
components or perform maintenance if it is available at dealerships and
other service outlets.
    (c) You may repair a test vehicle as needed for defective parts
that are unrelated to emission control. You must ask us to approve
repairs that might affect the vehicle's emission controls. If we
determine that a part failure, system malfunction, or associated
repairs make the vehicle's emission controls unrepresentative of
production engines, you may no longer use it as an emission-data
vehicle. Also, if engine installed in the test vehicle has a major
mechanical failure that requires you to take the vehicle apart, you may
no longer use the vehicle as an emission-data vehicle.
0
371. Amend Sec.  1066.420 by revising paragraph (d)(2) to read as
follows:

Sec.  1066.420  Test preparation.

* * * * *
    (d) * * *
    (2) For vehicles above 14,000 pounds GVWR, you may test vehicles at
any humidity.

       Table 1 of Sec.   1066.420--Test Cell Humidity Requirements
------------------------------------------------------------------------
                                       Humidity
                                      requirement    Tolerance  (grains
            Test cycle                (grains H2O     H2O per pound dry
                                     per pound dry          air)
                                         air)
------------------------------------------------------------------------
AC17..............................              69   5
                                                     average,
                                                     10
                                                     instantaneous
FTP\a\ and LA-92..................              50  ....................
HFET..............................              50  ....................
SC03..............................             100   5
US06..............................              50  ....................
------------------------------------------------------------------------
\a\ FTP humidity requirement does not apply for cold (-7 [deg]C),
  intermediate (10 [deg]C), and hot (35 [deg]C) temperature testing.

* * * * *
0
372. Amend Sec.  1066.605 by revising paragraphs (c)(4) and (h)(2)(i)
to read as follows:

Sec.  1066.605  Mass-based and molar-based exhaust emission
calculations.

* * * * *
    (c) * * *
    (4) For vehicles at or below 14,000 pounds GVWR, calculate HC
concentrations, including dilution air background concentrations, as
described in this section, and as described in Sec.  1066.635 for NMOG.
For emission testing of vehicles above 14,000 pounds GVWR, with fuels
that contain 25% or more oxygenated compounds by volume, calculate THCE
and NMHCE concentrations, including dilution air background
concentrations, as described in 40 CFR part 1065, subpart I.
* * * * *
    (h) * * *
    (2) * * *
    (i) Varying flow rate. If you continuously sample from a varying
exhaust flow rate, calculate V[flow] using the following
equation:
[GRAPHIC] [TIFF OMITTED] TP12MY20.169

Where:
[GRAPHIC] [TIFF OMITTED] TP12MY20.179

Example:

N = 505
Qcvs1 = 0.276 m\3\/s
Qcvs2 = 0.294 m\3\/s
frecord = 1 Hz

    Using Eq. 1066.605-11,

[Delta]t = 1/1 = 1 s
Vcvs (0.276 + 0.294 + ... + Qcvs505)[middot]1
Vcvs = 170.721 m\3\
* * * * *
0
373. Amend Sec.  1066.610 by revising paragraph (d) to read as follows:

Sec.  1066.610  Dilution air background correction.

* * * * *
    (d) Determine the time-weighted dilution factor, DFw,
over the duty cycle using the following equation:
[GRAPHIC] [TIFF OMITTED] TP12MY20.170

Where:

N = number of test intervals.
i = test interval number
t = duration of the test interval.
DF = dilution factor over the test interval.

Example:

    N = 3
    DF1 = 14.40
    t1 = 505 s
    DF2 = 24.48
    t2 = 867 s
    DF3 = 17.28
    t3 = 505 s
    [GRAPHIC] [TIFF OMITTED] TP12MY20.171

0
374. Amend Sec.  1066.710 by revising paragraph (c) to read as follows:

Sec.  1066.710  Cold temperature testing procedures for measuring CO
and NMHC emissions and determining fuel economy.

* * * * *
    (c) Heater and defroster. During the test, operate the vehicle's
interior climate control system with the heat on and air conditioning
off. You may not use any supplemental auxiliary heat during this
testing. You may set the heater to any temperature and fan setting
during vehicle preconditioning.
    (1) Manual control. Unless you rely on automatic control as
specified in paragraph (c)(2) of this section, take the following steps
to control heater settings:
    (i) Set the climate control system as follows before the first
acceleration (t = 20 s), or before starting the vehicle if the climate
control system allows it:
    (A) Temperature. Set controls to maximum heat. For systems that
allow the operator to select a specific temperature, set the heater
control to 72 [deg]F or higher.
    (B) Fan speed. Set the fan speed to full off or the lowest
available speed if a full off position is not available.
    (C) Airflow direction. Direct airflow to the front window (window
defrost mode).
    (D) Air source. If independently controllable, set the system to
draw in outside air.
    (ii) At the second idle of the test cycle, which occurs 125 seconds
after the start of the test, set the fan speed to maximum. Complete by
130 seconds after the start of the test. Leave temperature and air
source settings unchanged
    (iii) At the sixth idle of the test interval, which occurs at the
deceleration to zero miles per hour 505 seconds after the start of the
test, set the fan speed to the lowest setting that maintains air flow.
Complete these changes by 510 seconds after the start of the test. You
may use different vent and fan speed settings for the remainder of the
test. Leave the temperature and air source settings unchanged.
    (2) Automatic control. Vehicles with automatic control systems may
instead operate as described in this paragraph (c)(2). Set the
temperature to 72 [deg]F in automatic control for the whole test. If
the system allows the operator to select the location of the output
airflow without disabling automatic control, set the air flow control
to the front window defrost mode for the whole test.
    (3) Multiple-zone systems. For vehicles that have separate driver
and passenger controls or separate front and rear controls, you must
set all temperature and fan controls as described in paragraphs (c)(1)
and (2) of this section, except that rear controls need not be set to
defrost the front window.
    (4) Alternative test procedures. We may approve the use of other
settings under 40 CFR 86.1840 if a vehicle's climate control system is
not compatible with the provisions of this section.
* * * * *
0
375. Amend Sec.  1066.801 by revising paragraph (e) to read as follows:

Sec.  1066.801  Applicability and general provisions.

* * * * *
    (e) The following figure illustrates the FTP test sequence for
measuring exhaust and evaporative emissions:
BILLING CODE 6560-50-P

[GRAPHIC] [TIFF OMITTED] TP12MY20.172

BILLING CODE 6560-50-C
0
376. Amend Sec.  1066.835 by revising paragraph (a) to read as follows:

Sec.  1066.835  Exhaust emission test procedure for SC03 emissions.

* * * * *
    (a) Drain and refill the vehicle's fuel tank(s) if testing starts
more than 72 hours after the most recent FTP or HFET measurement (with
or without evaporative emission measurements).
* * * * *
0
377. Revise Sec.  1066.930 to read as follows:

Sec.  1066.930  Equipment for point-source measurement of running
losses.

    For point-source measurement of running loss emissions, use
equipment meeting the specifications in 40 CFR 86.107-96(i).
0
378. Amend Sec.  1066.1005 by revising paragraphs (c), (d), and (f) to
read as follows:

Sec.  1066.1005  Symbols, abbreviations, acronyms, and units of
measure.

* * * * *
    (c) Superscripts. This part uses the following superscripts for
modifying quantity symbols:

------------------------------------------------------------------------
                Superscript                            Meaning
------------------------------------------------------------------------
overbar (such as y).......................  arithmetic mean.
overdot (such as y).......................  quantity per unit time.
------------------------------------------------------------------------

    (d) Subscripts. This part uses the following subscripts for
modifying quantity symbols:

------------------------------------------------------------------------
          Subscript                             Meaning
------------------------------------------------------------------------
0............................  reference.
abs..........................  absolute quantity.
AC17.........................  air conditioning 2017 test interval.
act..........................  actual or measured condition.
actint.......................  actual or measured condition over the
                                speed interval.
adj..........................  adjusted.
air..........................  air, dry.
atmos........................  atmospheric.
b............................  base.
bkgnd........................  background.
c............................  cold.
comp.........................  composite.
cor..........................  corrected.
cs...........................  cold stabilized.
ct...........................  cold transient.
cUDDS........................  cold-start UDDS.
D............................  driven.
dew..........................  dewpoint.
dexh.........................  dilute exhaust quantity.
dil..........................  dilute.
e............................  effective.
emission.....................  emission specie.
error........................  error.
EtOH.........................  ethanol.
exh..........................  raw exhaust quantity.
exp..........................  expected quantity.
fil..........................  filter.
final........................  final.
flow.........................  flow measurement device type.
gas..........................  gaseous.
h............................  hot.
HFET.........................  highway fuel economy test.
hs...........................  hot stabilized.
ht...........................  hot transient.
hUDDS........................  hot-start UDDS.
i............................  an individual of a series.
ID...........................  driven inertia.
in...........................  inlet.
int..........................  intake.
init.........................  initial quantity, typically before an
                                emission test.
IT...........................  target inertia.
liq..........................  liquid.
max..........................  the maximum (i.e., peak) value expected
                                at the standard over a test interval;
                                not the maximum of an instrument range.
meas.........................  measured quantity.
mix..........................  dilute exhaust gas mixture.
out..........................  outlet.
PM...........................  particulate matter.
record.......................  record.
ref..........................  reference quantity.
rev..........................  revolution.
roll.........................  dynamometer roll.
s............................  settling.
s............................  slip.
s............................  stabilized.
sat..........................  saturated condition.
SC03.........................  air conditioning driving schedule.
span.........................  span quantity.
sda..........................  secondary dilution air.
std..........................  standard conditions.
T............................  target.
t............................  throat.
test.........................  test quantity.
uncor........................  uncorrected quantity.
w............................  weighted.
zero.........................  zero quantity.
------------------------------------------------------------------------

* * * * *
    (f) This part uses the following densities of chemical species:

----------------------------------------------------------------------------------------------------------------
                 Symbol                              Quantity \a\ \b\                 g/m\3\          g/ft\3\
----------------------------------------------------------------------------------------------------------------
[rho]CH4...............................  density of methane.....................         666.905         18.8847
[rho]CH3OH.............................  density of methanol....................         1332.02         37.7185
[rho]C2H5OH............................  C1-equivalent density of ethanol.......         957.559         27.1151
[rho]C2H4O.............................  C1-equivalent density of acetaldehyde..         915.658         25.9285
[rho]C3H8..............................  density of propane.....................         611.035         17.3026
[rho]C3H7OH............................  C1-equivalent density of propanol......          832.74         23.5806
[rho]CO................................  density of carbon monoxide.............         1164.41         32.9725
[rho]CO2...............................  density of carbon dioxide..............         1829.53         51.8064
[rho]HC-gas............................  effective density of hydrocarbon--              (see 3)         (see 3)
                                          gaseous fuel \c\.
[rho]CH2O..............................  density of formaldehyde................         1248.21         35.3455
[rho]HC-liq............................  effective density of hydrocarbon--              576.816         16.3336
                                          liquid fuel \d\.
[rho]NMHC-gas..........................  effective density of nonmethane                 (see 3)         (see 3)
                                          hydrocarbon--gaseous fuel \c\.
[rho]NMHC-liq..........................  effective density of nonmethane                 576.816         16.3336
                                          hydrocarbon--liquid fuel \d\.
[rho]NMHCE-gas.........................  effective density of nonmethane                 (see 3)         (see 3)
                                          equivalent hydrocarbon--gaseous fuel
                                          \c\.
[rho]NMHCE-liq.........................  effective density of nonmethane                 576.816         16.3336
                                          equivalent hydrocarbon--liquid fuel
                                          \d\.
[rho]NOx...............................  effective density of oxides of nitrogen          1912.5          54.156
                                          \e\.
[rho]N2O...............................  density of nitrous oxide...............         1829.66         51.8103
[rho]THC-liq...........................  effective density of total hydrocarbon--        576.816         16.3336
                                          liquid fuel \d\.
[rho]THCE-liq..........................  effective density of total equivalent           576.816         16.3336
                                          hydrocarbon--liquid fuel \d\.
----------------------------------------------------------------------------------------------------------------
\a\ Densities are given at 20 [deg]C and 101.325 kPa.
\b\Densities for all hydrocarbon containing quantities are given in g/m\3\-carbon atom and g/ft\3\-carbon atom.
\c\The effective density for natural gas fuel and liquefied petroleum gas fuel are defined by an atomic hydrogen-
  to-carbon ratio, [alpha], of the hydrocarbon components of the test fuel. [rho]HCgas = 41.57[middot](12.011 +
  ([alpha][middot]1.008)).
\d\The effective density for gasoline and diesel fuel are defined by an atomic hydrogen-to-carbon ratio,
  [alpha], of 1.85.
\e\The effective density of NOX is defined by the molar mass of nitrogen dioxide, NO2.

* * * * *
0
379. Amend Sec.  1066.1010 by revising paragraph (b)(2) to read as
follows:

Sec.  1066.1010  1010 Incorporation by reference.

* * * * *
    (b) * * *
    (2) SAE J1634, Battery Electric Vehicle Energy Consumption and
Range Test Procedure, revised July 2017, IBR approved for Sec.
1066.501(a).
* * * * *

PART 1068--GENERAL COMPLIANCE PROVISIONS FOR HIGHWAY, STATIONARY,
AND NONROAD PROGRAMS

0
380. The authority statement for part 1068 continues to read as
follows:

    Authority:  42 U.S.C. 7401-7671q.

0
381. Amend Sec.  1068.1 by revising paragraph (a) and removing and
reserving paragraph (d)(2) to n reads as follows:

Sec.  1068.1  Does this part apply to me?

    (a) The provisions of this part apply to everyone with respect to
the engine and equipment categories as described in this paragraph (a).
They apply to everyone, including owners, operators, parts
manufacturers, and persons performing maintenance. Where we identify an
engine category, the provisions of this part also apply with respect to
the equipment using such engines. This part 1068 applies to different
engine and equipment categories as follows:
    (1) This part 1068 applies to motor vehicles we regulate under 40
CFR part 86, subpart S, to the extent and in the manner specified in 40
CFR parts 85 and 86.
    (2) This part 1068 applies for heavy-duty motor vehicles we
regulate under 40 CFR part 1037, subject to the provisions of 40 CFR
parts 85 and 1037. This includes trailers. This part 1068 applies to
other heavy-duty motor vehicles and motor vehicle engines to the extent
and in the manner specified in 40 CFR parts 85, 86, and 1036.
    (3) This part 1068 applies to highway motorcycles we regulate under
40 CFR part 86, subparts E and F, to the extent and in the manner
specified in 40 CFR parts 85 and 86.
    (4) This part 1068 applies to aircraft we regulate under 40 CFR
part 87 to the extent and in the manner specified in 40 CFR part 87.
    (5) This part 1068 applies for locomotives that are subject to the
provisions of 40 CFR part 1033. This part 1068 does not apply for
locomotives or locomotive engines that were originally manufactured
before July 7, 2008, and that have not been remanufactured on or after
July 7, 2008.
    (6) This part 1068 applies for land-based nonroad compression-
ignition engines that are subject to the provisions of 40 CFR part
1039.
    (7) This part 1068 applies for stationary compression-ignition
engines certified using the provisions of 40 CFR parts 1039 and 1042 as
described in 40 CFR part 60, subpart IIII.
    (8) This part 1068 applies for marine compression-ignition engines
that are subject to the provisions of 40 CFR part 1042.
    (9) This part 1068 applies for marine spark-ignition engines that
are subject to the provisions of 40 CFR part 1045.
    (10) This part 1068 applies for large nonroad spark-ignition
engines that are subject to the provisions of 40 CFR part 1048.
    (11) This part 1068 applies for stationary spark-ignition engines
certified using the provisions of 40 CFR part 1048 or part 1054, as
described in 40 CFR part 60, subpart JJJJ.
    (12) This part 1068 applies for recreational engines and vehicles,
including snowmobiles, off-highway motorcycles, and all-terrain
vehicles that are subject to the provisions of 40 CFR part 1051.
    (13) This part applies for small nonroad spark-ignition engines
that are subject to the provisions of 40 CFR part 1054.
    (14) This part applies for fuel-system components installed in
nonroad equipment powered by volatile liquid fuels that are subject to
the provisions of 40 CFR part 1060.
* * * * *
0
382. Amend Sec.  1068.10 by revising the section heading and paragraphs
(b) and (c) to read as follows:

Sec.  1068.10  Confidential business information.

* * * * *
    (b) We will store your confidential business information as
described in 40 CFR part 2. Also, we will disclose it only as specified
in 40 CFR part 2. This applies both to any information you send us and
to any information we collect from inspections, audits, or other site
visits.
    (c) If you send us a second copy without the confidential business
information, we will assume it contains nothing confidential whenever
we need to release information from it.
* * * * *
0
383. Amend Sec.  1068.30 by adding a definition for ``Element of
design'' in alphabetical order to read as follows:

Sec.  1068.30  Definitions.

* * * * *
    Element of design includes any computer software, electronic
control system, emission control system, or computer logic, along with
any related calibrations. Element of design also includes the results
of related interaction with hardware items or other parameter settings
on engines/equipment.
* * * * *
0
384. Amend Sec.  1068.240 by revising paragraph (c)(3) to read as
follows:

Sec.  1068.240  Exempting new replacement engines.

* * * * *
    (c) * * *
    (3) Send the Designated Compliance Officer a report by September 30
of the year following any year in which you produced exempted
replacement engines under this paragraph (c). In your report include
the total number of replacement engines you produce under this
paragraph (c) for each category or subcategory, as appropriate, and the
corresponding total production volumes determined under paragraph
(c)(1) of this section. If you send us a report under this paragraph
(c)(3), you must also include the total number of replacement engines
you produced under paragraphs (b), (d), and (e) of this section
(including any replacement marine engines subject to reporting under 40
CFR 1042.615). Count exempt engines as tracked under paragraph (b) of
this section only if you meet all the requirements and conditions that
apply under paragraph (b)(2) of this section by the due date for the
annual report. You may include the information required under this
paragraph (c)(3) in production reports required under the standard-
setting part.
* * * * *
[FR Doc. 2020-05963 Filed 5-11-20; 8:45 am]
BILLING CODE 6560-50-P


[Federal Register Volume 84, Number 223 (Tuesday, November 19, 2019)]
[Notices]
[Pages 63912-63915]
[FR Doc No: 2019-24980]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-87522; File No. SR-LCH SA-2019-009]

Self-Regulatory Organizations; LCH SA; Notice of Filing of
Proposed Rule Change Relating to Amendments to CDSClear Reference Guide
To Allow Index Basis Packages Margining

November 13, 2019.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act'') \1\ and Rule 19b-4 thereunder \2\ notice is hereby given that
on October 29, 2019, 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.
---------------------------------------------------------------------------

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

I. Clearing Agency's Statement of the Terms of Substance of the
Proposed Rule Change

    Banque Centrale de Compensation, which conducts business under the
name LCH SA (``LCH SA''), is proposing to amend its (i) Reference
Guide: CDSClear Margin Framework (the ``CDSClear Risk Methodology'') in
order to allow Index Basis Packages margining as a single instrument.
    The text of the proposed rule change has been annexed as Exhibit
5.\3\
---------------------------------------------------------------------------

    \3\ All capitalized terms not defined herein have the same
definition as the Rule Book, Supplement or Procedures, as
applicable.
---------------------------------------------------------------------------

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
    LCH SA CDSClear is proposing to amend its CDSClear Risk Methodology
in order to consider any relevant and identified Index Basis Packages
identified as a single instrument.
(a) Index Basis Package Principles
    LCH SA CDSClear currently clears CDS on a number of indices such as
iTraxx Main, iTraxx Cross-over, iTraxx Senior Financials as well as all
the Single Name constituents of these indices. The iTraxx Subordinated
Financials indices will soon be made eligible for clearing as well.
Indices and their constituents are currently managed and margined as
independent instruments. However, market participants may execute Index
Basis Packages consisting of an Index CDS trade and individual Single
Name CDS trades on each of the reference entities constituents of such
Index perfectly offsetting the index.
    The following criteria would need to be required to constitute an
Index Basis Package:

 The package is constituted of an Index CDS and Single Names
CDS on all the entities constituting the index
 The position (Long/Short) on the Index offsets the positions
on the Single Names (Short/Long).
 The notional of the Index and across all the Singles Names
match exactly
 All the Single Names CDS trades to have the same currency,
coupon and maturity as the Index CDS
 All the Single Name CDS trades to have the same Seniority,
ISDA Definition and Restructuring Clause than as constituents of the
Index

    Clearing Members and/or Clients will be required to identify all
trades being part of an Index Basis Package and to notify LCH SA
CDSClear. CDSClear would then perform controls to ensure all principles
and requirements stated above for qualifying the trades as an Index
Basis Package are satisfied and would flag them with a common ID
number. These trades will continue to be margined as different trades
until these tasks and controls have been fully completed and the
qualification as an Index Basis Package confirmed.
    Once an Index Basis Package is validated as complete, the margin
enhancement proposed in the current rule change would then be applied
as part of the overnight margin calculation.
    In order to ensure that the trades continue to meet the criteria of
an Index Basis Package, controls will be performed every day at the
start of the overnight batch process.
    Index Basis Packages identified and flagged as such will be
excluded from compression runs with the rest of the portfolio in order
to avoid breaking any packages.
    Index Basis Packages can be un-flagged as such at the Clearing
Member and/or Client's request. The Index CDS and the Single Name CDS
would then be treated and margined separately as per the current
framework.
    In case of a Clearing Member's default, CDSClear will have the
ability to liquidate Index Basis Packages in a dedicated auction should
it be advised to do so by the Default Management Group in order to
minimize the liquidation costs.
(b) Proposed Changes to CDSClear Risk Methodology
    In order to take into account the specific risk created by Index
Basis Packages positions, LCH SA proposes to amend the calculation of
the Spread Margin and the calculation of the Liquidity Charge Margin as
described in its Reference Guide, CDSClear Margin Framework.
    LCH SA CDSClear currently considers an Index Basis Package as
multiple instruments in the calculation of its Spread Margin. In
accordance with the portfolio margining requirements under Article 27
of Commission Delegated

Regulation (EU) No 153/2013 \4\ (the ``RTS''), LCH SA CDSClear applies
a cap of 80% to the possible margin offsets reduction. Therefore the
Spread Margin of an Index Basis Package is calculated as the maximum
between the expected shortfall of the package and 20% of the sum of the
expected shortfalls calculated for each components of the package.
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    \4\ https://eur-lex.europa.eu/LexUriServ/LexUriServ.do?uri=OJ:L:2013:052:0041:0074:EN:PDF.
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    Considering that this does not appropriately reflect the actual
risk of an Index Basis Package meeting the criteria stated above,
CDSClear is proposing to amend its CDSClear Risk Methodology in order
to consider Index Basis Packages identified as such as a single
instrument when calculating the amount of margins required. In
particular, the 80% cap on offsets between the components of the Index
Basis Package would not be applied in the calculation of the Spread
Margin, but would be maintained between an Index Basis Package and all
the other positions in the portfolio.
    In the opinion published in April 2017 \5\ and clarifying the
application of Article 27 of the RTS, the European Securities and
Market Authority (``ESMA''), acknowledges the low level of risk
presented by a package consisting in a future on an index and futures
on each of the constituents of the index and allows a CCP to
acknowledge margin reduction in excess of 80% in this specific case.
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    \5\ https://www.esma.europa.eu/sites/default/files/library/esma70-708036281-18_opinion_on_portfolio_margining.pdf.
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    Considering that an Index Basis Package would likely be sold off in
a dedicated auction in case of default of a Clearing Member, LCH SA
also proposes to amend the calculation of the Liquidity Charge Margin
described in the CDSClear Risk Methodology in order to better reflect
the actual cost it would incur when liquidating an Index Basis Package.
CDSClear proposes to charge a specific bid/ask spread for each Index
family underlying an Index Basis Package identified as such rather than
use the current Liquidity Charge Margin algorithm based on charging
bid/ask spreads for each individual component in the package taken
independently. The current Liquidity Charge Margin methodology will
nevertheless remain in the calculation specific to Index Basis Packages
identified as such by acting as a cap to the new calculation method.
    Finally, Index Basis Packages flagged as such would be excluded
from the Recovery Risk, Interest Risk, or Wrong Way Risk Margin
calculations as by construction Index Basis Packages are immune to the
risks these margins aim at capturing.
    No other changes are made to the CDSClear Risk Methodology.
(c) Proposed Changes to CDSClear Risk Methodology
    The CDS Clearing Rulebook, Supplement and Procedures will not need
to be amended for the IBP initiative purposes. Only one new Clearing
Notice is expected to be published, this notice defines what an IBP is
and the procedure to be followed to request a set of Cleared Trades to
be identified as an IBP.
2. Statutory Basis
    LCH SA believes that the proposed rule change in connection with
the specific margin calculations for Index Basis Packages identified as
such is consistent with the requirements of Section 17A of the
Securities Exchange Act of 1934 \6\ (the ``Act'') and the regulations
thereunder, including the standards under Rule 17Ad-22.\7\ In
particular, Section 17(A)(b)(3)(F) \8\ of the Act 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 derivatives agreements, contracts, and transactions and to assure
the safeguarding of securities and funds which are in the custody or
control of the clearing agency or for which it is responsible.
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    \6\ 15 U.S.C. 78q-1.
    \7\ 17 CFR 240.17Ad-22.
    \8\ 15 U.S.C. 78q-1(b)(3)(F).
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    As noted above, the proposed rule change is designed to apply
specific margin calculations for Index Basis Packages flagged as such
in order:
    --To appropriately collect and maintain financial resources
intended to cover the risks to which LCH SA is exposed in connection
with offering clearing services for Index Basis Packages. As such, LCH
SA will be able to minimize the risk that losses associated with the
default of a participant (or participants) in the clearing service will
extend to other participants in the service.
    --To reflect the specific features of Index Basis Packages, notably
the way that these are executed by market participants, which in turn
promotes the prompt and accurate clearance and settlement of securities
transactions, derivatives agreements, contracts and transactions and
contributes to the safeguarding of securities and funds associated with
security-based swap transactions in LCH SA's custody or control, or for
which LCH SA is responsible.
    For these reasons, LCH SA believes that the proposed rule change
should help promote the prompt and accurate clearance and settlement of
securities transactions, derivatives agreements, contracts and
transactions. Similarly, it should enhance LCH SA's ability to help
assure the safeguarding of securities and funds which are in the
custody or control of LCH SA or for which it is responsible.
    LCH SA believes that the proposed changes to the CDSClear Margin
Framework and the Default Fund Methodology satisfy the requirements of
Rule 17Ad-22(e).\9\
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    \9\ 17 CFR 240.17Ad-22(e).
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    Rule 17Ad-22(e)(4) requires a covered clearing agency to
effectively identify, measure, monitor, and manage its credit exposures
to participants and those arising from its payment, clearing and
settlement processes by maintaining sufficient financial resources,\10\
and Rule 17Ad-22(e)(6) requires a covered clearing agency that provides
central counterparty services to cover its credit exposures to its
participants by establishing a risk-based margin system that meets
certain minimum requirements.\11\
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    \10\ 17 CFR 240.17Ad-22(e)(4)(i).
    \11\ 17 CFR 240.17Ad-22(e)(6)(i).
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    As described above, LCH SA proposes to amend its CDSClear
Methodology Framework to manage the risks associated with the clearing
of Index Basis Packages identified as such. Specifically, the proposed
rule change amends the Spread Margin calculation for Index Basis
Packages by not applying the 80% cap on offsets between the various
instruments constituting the package. It also amends the Liquidity
Charge Margin by applying a specific bid-ask spread per Index family
underlying of an Index Basis Package identified as such in order to
reflect the way that those packages trade in the market and would
likely be auctioned off in the case of a default of a Clearing Member,
as well as by capping the new Liquidity Charge Margin calculation by
the amount calculated using the current Liquidity Charge framework
based on an individual bid-ask spread per component of the Index Basis
Package. Finally, all the other margins part of the CDSClear Risk
Methodology will not be calculated on Index Basis Packages flagged as
such as immune to those risks due to the complete offsets between the
components of the package.
    These changes are designed to use an appropriate risk-based model
to set

margin requirements and use such margin requirements to limit LCH SA's
credit exposures to participants in clearing Index Basis Packages and/
or other CDS and CDS Options under normal market conditions, consistent
with Rule 17Ad-22(e)(3).\12\ LCH SA also believes that its risk-based
margin methodology takes into account, and generates margin levels
commensurate with the risks and particular attributes of each of Index
Basis Packages, other CDS as well as CDS Options at the product and
portfolio levels, appropriate to the relevant market it serves,
consistent with Rule 17Ad-22(e)(6)(i) and (v).\13\ In addition, LCH SA
believes that the margin calculation under the revised CDSClear Margin
Framework would sufficiently account for the 5-day liquidation period
for house account portfolios and 7-day liquidation period for client
portfolios and therefore, is reasonably designed to cover LCH SA's
potential future exposure to participants in the interval between the
last margin collection and the close out of positions following a
participant default, consistent with Rule 17Ad-22(e)(6)(iii).\14\
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    \12\ 17 CFR 240.17Ad-22(e)(3).
    \13\ 17 CFR 240.17Ad-22(e)(6)(i) and (v).
    \14\ 17 CFR 240.17Ad-22(e)(6)(iii).
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    Further, Rule 17Ad-22(e)(4)(ii) \15\ requires a covered clearing
agency that provides central counterparty services for security-based
swaps to maintain financial resources additional to margin to enable it
to cover a wide range of foreseeable stress scenarios that include, but
are not limited to, meeting the cover two standard. LCH SA believes
that its Default Fund Methodology, not being impacted by the proposed
rule change, will therefore still appropriately incorporate the risk of
clearing Index Basis Packages, CDS, and CDS Options which, together
with the proposed changes to the CDSClear Margin Framework, will be
reasonably designed to ensure that LCH SA maintains sufficient
financial resources to meet the cover two standard, in accordance with
Rule 17Ad-22(e)(4)(ii).\16\
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    \15\ 17 CFR 240.17Ad-22(e)(4)(ii).
    \16\ 17 CFR 240.17Ad-22(e)(4)(ii).
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    LCH SA also believes that the proposed rule changes are consistent
with the provisions of Rule 17Ad-22(e)(17) \17\ requiring a covered
clearing agency to manage operational risks by (i) identifying the
plausible sources of operational risk, both internal and external, and
mitigating their impact through the use of appropriate systems,
policies, procedures, and controls; (ii) ensuring that systems have a
high degree of security, resiliency, operational reliability, and
adequate, scalable capacity; and (iii) establishing and maintaining a
business continuity plan that addresses events posing a significant
risk of disrupting operations.\18\
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    \17\ 17 CFR 240.17Ad-22(e)(17).
    \18\ 17 CFR 240.17Ad-22(e)(17).
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    As stated above LCH SA will flag each component of an Index Basis
Package using a common ID number to ensure complete identification of
the package and perform checks to ensure all principles and
requirements for qualifying as an Index Basis Package are satisfied. No
margin enhancement will be given until the full Index Basis Package is
complete. Once an Index Basis Package is validated as complete, the
specific margin calculations will then be applied as part of the
overnight margin calculation.
    LCH SA will also implement additional automated controls in its
systems performed daily to ensure all the requirements are met on a
continuous basis.
    Index Basis Packages will be excluded from compressions with the
rest of the portfolio in order to avoid being broken up.
    LCH SA will update its operational procedures and IT systems to
ensure all the above is adequately implemented and operational risk
reduced to a very minimum.
    Rule 17Ad-22(e)(2) \19\ requires LCH SA to have governance
arrangements that are clear and transparent to fulfill the public
interest requirements in Section 17A of the Act.\20\
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    \19\ 17 CFR 240. 17Ad-22(e)(2).
    \20\ 15 U.S.C. 78q-1.
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    LCH SA's governance arrangements clearly assign and document
responsibility for risk decisions and require consultation with or
approval from the LCH SA Board, Risk committees, or management. LCH
SA's proposed rule change was decided in accordance with the LCH SA
governance process, which included review of the changes to the
CDSClear Margin Framework and related risk management considerations by
the LCH SA Executive Risk Committee. These governance arrangements
continue to be clear and transparent, such that information relating to
the assignment of responsibilities for risk decisions and the requisite
involvement of the LCH SA Board, committees, and management is clearly
documented, consistent with the requirements of Rule 17Ad-22(e)(2).\21\
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    \21\ 17 CFR 240.17Ad-22(e)(2).
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    For the reasons stated above, LCH SA believes that the proposed
rule change is consistent with the requirements of prompt and accurate
clearance and settlement of securities transactions, and assuring the
safeguarding of securities and funds in the custody or control of the
clearing agency or for which it is responsible, in accordance with
Section 17A(b)(3)(F) \22\ of the Act, with the requirements of
operational risk management in Rule 17Ad-22(e)(17),\23\ and with clear
and transparent governance arrangements in Rule 17Ad-22(e)(2).\24\
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    \22\ 15 U.S.C. 78q-1(b)(3)(F).
    \23\ 17 CFR 240.17Ad-22(e)(17).
    \24\ 17 CFR 240.17Ad-22(e)(2).
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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,\25\ LCH SA does
not believe that the proposed rule change would impose burdens on
competition that are not necessary or appropriate in furtherance of the
purposes of the Act. Specifically, the proposed changes to the CDSClear
Margin Framework, would apply equally to all Clearing Members and
Clients whose portfolios include Index Basis Packages as long as a
request to identify them as such was received by LCH SA and the
controls performed confirmed the completeness of the package. Because
the margin methodology is risk-based, consistent with the requirements
in Rule 17Ad-22(b)(2) and (e)(6), depending on a Clearing Member's
portfolio, each Clearing Member would be subject to a margin
requirement commensurate with the risk particular to its portfolio.
Such margin requirement impose burdens on a Clearing Member but such
burdens would be necessary and appropriate to manage LCH SA's credit
exposures to its CDSClear participants consistent with the requirements
under the Act as described above.
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    \25\ 15 U.S.C. 78q-1(b)(3)(I).
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    Therefore, LCH SA does not believe that the proposed rule change
would impose a burden on competition not necessary or appropriate in
furtherance of the purposes of the Act.

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-2019-009 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-2019-009. This
file number should be included on the subject line if email is used. To
help the Commission process and review your comments more efficiently,
please use only one method. The Commission will post all comments on
the Commission's internet website (http://www.sec.gov/rules/sro.shtml).
Copies of the submission, all subsequent amendments, all written
statements with respect to the proposed rule change that are filed with
the Commission, and all written communications relating to the proposed
rule change between the Commission and any person, other than those
that may be withheld from the public in accordance with the provisions
of 5 U.S.C. 552, will be available for website viewing and printing in
the Commission's Public Reference Room, 100 F Street NE, Washington, DC
20549 on official business days between the hours of 10:00 a.m. and
3:00 p.m. Copies of the filing also will be available for inspection
and copying at the principal office of LCH SA and on LCH SA's website
at: https://www.lch.com/resources/rules-and-regulations/proposed-rule-changes-0. All comments received will be posted without change. Persons
submitting comments are cautioned that we do not redact or edit
personal identifying information from comment submissions. You should
submit only information that you wish to make available publicly. All
submissions should refer to File Number SR-LCH SA-2019-009 and should
be submitted on or before December 10, 2019.

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\26\
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    \26\ 17 CFR 200.30-3(a)(12).
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Jill M. Peterson,
Assistant Secretary.
[FR Doc. 2019-24980 Filed 11-18-19; 8:45 am]
 BILLING CODE 8011-01-P