[Federal Register Volume 85, Number 139 (Monday, July 20, 2020)]
[Rules and Regulations]
[Pages 43684-43685]
[FR Doc No: 2020-15544]

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DEPARTMENT OF TRANSPORTATION

Federal Aviation Administration

14 CFR Part 71

[Docket No. FAA-2020-0359; Airspace Docket No. 15-AAL-5]
RIN 2120-AA66

Establishment of Class E Airspace, Sleetmute, AK

AGENCY: Federal Aviation Administration (FAA), DOT.

ACTION: Final rule.

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SUMMARY: This action establishes Class E airspace extending upward from
700 feet above the surface at Sleetmute Airport, Sleetmute, AK, to
accommodate new area navigation (RNAV) procedures. This action ensures
the safety and management of instrument flight rules (IFR) operations
within the National Airspace System.

DATES: Effective 0901 UTC, November 5, 2020. The Director of the
Federal Register approves this incorporation by reference action under
Title 1 Code of Federal Regulations part 51, subject to the annual
revision of FAA Order 7400.11 and publication of conforming amendments.

ADDRESSES: FAA Order 7400.11D, Airspace Designations and Reporting
Points, and subsequent amendments can be viewed online at https://www.faa.gov/air_traffic/publications/. For further information, you can
contact the Airspace Policy Group, Federal Aviation Administration, 800

Independence Avenue SW, Washington, DC 20591; telephone: (202) 267-
8783. The Order is also available for inspection at the National
Archives and Records Administration (NARA).
    For information on the availability of FAA Order 7400.11D at NARA,
email<EMAIL_ADDRESS>or go to https://www.archives.gov/federal-register/cfr/ibr-locations.html.

FOR FURTHER INFORMATION CONTACT: Richard Roberts, Federal Aviation
Administration, Western Service Center, Operations Support Group, 2200
S 216th Street, Des Moines, WA 98198; telephone<PHONE_NUMBER>.

SUPPLEMENTARY INFORMATION:

Authority for This Rulemaking

    The FAA's authority to issue rules regarding aviation safety is
found in Title 49 of the United States Code (U.S.C.). Subtitle I,
Section 106 describes the authority of the FAA Administrator. Subtitle
VII, Aviation Programs, describes in more detail the scope of the
Agency's authority. This rulemaking is promulgated under the authority
described in Subtitle VII, Part A, Subpart I, Section 40103. Under that
section, the FAA is charged with prescribing regulations to assign the
use of airspace necessary to ensure the safety of aircraft and the
efficient use of airspace. This regulation is within the scope of that
authority as it establishes new Class E airspace extending upward from
700 feet above the surface of the earth at Sleetmute Airport,
Sleetmute, AK, in support of IFR operations.

History

    The FAA published a notice of proposed rulemaking in the Federal
Register (FR) (85 FR 23931; April 30, 2020) for Docket No. FAA-2020-
0359 to establish Class E airspace at Sleetmute Airport, Sleetmute, AK,
in support of IFR operations at the airport. Interested parties were
invited to participate in this rulemaking effort by submitting written
comments on the proposal to the FAA. No comments were received.
    Class E airspace designations are published in paragraph 6005 of
FAA Order 7400.11D, dated August 8, 2019, and effective September 15,
2019, which is incorporated by reference in Title 14 Code of Federal
Regulations (14 CFR) 71.1. The Class E airspace designation listed in
this document will be published subsequently in the Order.

Availability and Summary of Documents for Incorporation by Reference

    This document amends FAA Order 7400.11D, Airspace Designations and
Reporting Points, dated August 8, 2019, and effective September 15,
2019. FAA Order 7400.11D is publicly available as listed in the
ADDRESSES section of this document. FAA Order 7400.11D lists Class A,
B, C, D, and E airspace areas, air traffic service routes, and
reporting points.

The Rule

    The FAA is amending 14 CFR part 71 by establishing Class E airspace
extending upward from 700 feet above the surface of the earth at
Sleetmute Airport, Sleetmute, AK. The Class E airspace is established
to within 6 miles of the airport and 2 miles each side of the 166[deg]
bearing from the airport extending from the 6-mile radius to 19 miles
south of the Airport. This area provides airspace for aircraft as they
descend through 1,500 feet and support IFR operations at Sleetmute
Airport, Sleetmute, AK.
    FAA Order 7400.11, Airspace Designations and Reporting Points, is
published yearly and effective on September 15.

Regulatory Notices and Analyses

    The FAA has determined that this regulation only involves an
established body of technical regulations for which frequent and
routine amendments are necessary to keep them operationally current, is
non-controversial and unlikely to result in adverse or negative
comments. It, therefore: (1) Is not a ``significant regulatory action''
under Executive Order (E.O.) 12866; (2) is not a ``significant rule''
under DOT Regulatory Policies and Procedures (44 FR 11034; February 26,
1979); and (3) does not warrant preparation of a Regulatory Evaluation
as the anticipated impact is so minimal. Since this is a routine matter
that only affects air traffic procedures and air navigation, it is
certified that this rule, when promulgated, will not have a significant
economic impact on a substantial number of small entities under the
criteria of the Regulatory Flexibility Act.

Environmental Review

    The FAA has determined that this action qualifies for categorical
exclusion under the National Environmental Policy Act in accordance
with FAA Order 1050.1F, ``Environmental Impacts: Policies and
Procedures,'' paragraph 5-6.5a. This airspace action is not expected to
cause any potentially significant environmental impacts, and no
extraordinary circumstances exist that warrant preparation of an
environmental assessment.

Lists of Subjects in 14 CFR Part 71

    Airspace, Incorporation by reference, Navigation (air).

Adoption of the Amendment

    In consideration of the foregoing, the Federal Aviation
Administration amends 14 CFR part 71 as follows:

PART 71--DESIGNATION OF CLASS A, B, C, D, AND E AIRSPACE AREAS; AIR
TRAFFIC SERVICE ROUTES; AND REPORTING POINTS

0
1. The authority citation for part 71 continues to read as follows:

    Authority: 49 U.S.C. 106(f), 106(g); 40103, 40113, 40120; E.O.
10854, 24 FR 9565, 3 CFR, 1959-1963 Comp., p. 389.

Sec.  71.1  [Amended]

0
2. The incorporation by reference in 14 CFR 71.1 of FAA Order 7400.11D,
Airspace Designations and Reporting Points, dated August 8, 2019, and
effective September 15, 2019, is amended as follows:

Paragraph 6005 Class E Airspace Areas Extending Upward From 700
Feet or More Above the Surface of the Earth.

* * * * *

AAL AK E5 Sleetmute, AK [New]

Sleetmute Airport, AK
    (Lat. 61[deg]42'02'' N, long. 157[deg]09'57'' W)

    That airspace extending upward from 700 feet above the surface
within 6 miles of the Sleetmute Airport, Sleetmute, Alaska, and that
airspace 2 miles each side of the 166 [deg] bearing from the airport
extending from the 6-mile radius to 19 miles south of the Sleetmute
Airport.

    Issued in Seattle, Washington, on July 14, 2020.
B.G. Chew,
Acting Group Manager, Operations Support Group, Western Service Center.
[FR Doc. 2020-15544 Filed 7-17-20; 8:45 am]
BILLING CODE 4910-13-P


[Federal Register Volume 79, Number 238 (Thursday, December 11, 2014)]
[Notices]
[Page 73573]
[FR Doc No: 2014-29050]

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DEPARTMENT OF ENERGY

Federal Energy Regulatory Commission

[Docket No. EL15-24-000]

InterAmerican Energy Sources LLC; Notice of Petition for
Declaratory Order

    Take notice that on December 3, 2014, pursuant to Rule 207 of the
Federal Energy Regulatory Commission's (Commission) Rules of Practice
and Procedure, 18 CFR 385.207 (2014), InterAmerican Energy Sources LLC
filed a petition for declaratory order requesting the Commission find
that: (1) it qualifies for exemption under the Federal Power Act
section 201(f), 16 U.S.C. 824(f), as a wholly owned subsidiary of a
state political subdivision and (2) after a potential underwater
transmission cable, interconnecting Puerto Rico Electric Power
Authority and the Virgin Islands Water and Power Authority power grids,
is constructed and placed in service, the reliability standards used by
Puerto Rico Electric Power Authority shall apply, not those imposed by
the North American Electric Reliability Corporation, as more fully
explained in the petition.
    Any person desiring to intervene or to protest this filing must
file in accordance with Rules 211 and 214 of the Commission's Rules of
Practice and Procedure (18 CFR 385.211, 385.214). Protests will be
considered by the Commission in determining the appropriate action to
be taken, but will not serve to make protestants parties to the
proceeding. Any person wishing to become a party must file a notice of
intervention or motion to intervene, as appropriate. Such notices,
motions, or protests must be filed on or before the comment date.
Anyone filing a motion to intervene or protest must serve a copy of
that document on the Petitioner.
    The Commission encourages electronic submission of protests and
interventions in lieu of paper using the ``eFiling'' link at http://www.ferc.gov. Persons unable to file electronically should submit an
original and 5 copies of the protest or intervention to the Federal
Energy Regulatory Commission, 888 First Street NE., Washington, DC
20426.
    This filing is accessible on-line at http://www.ferc.gov, using the
``eLibrary'' link and is available for review in the Commission's
Public Reference Room in Washington, DC. There is an ``eSubscription''
link on the Web site that enables subscribers to receive email
notification when a document is added to a subscribed docket(s). For
assistance with any FERC Online service, please email
<EMAIL_ADDRESS>or call<PHONE_NUMBER> (toll free). For
TTY, call<PHONE_NUMBER>.
    Comment Date: 5:00 p.m. Eastern time on January 2, 2015.

    Dated: December 4, 2014.
Kimberly D. Bose,
Secretary.
[FR Doc. 2014-29050 Filed 12-10-14; 8:45 am]
BILLING CODE 6717-01-P


[Federal Register Volume 76, Number 125 (Wednesday, June 29, 2011)]
[Notices]
[Pages 38232-38235]
[FR Doc No: 2011-16224]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-64729; File No. SR-NYSE-2011-24]

Self-Regulatory Organizations; New York Stock Exchange LLC;
Notice of Filing and Immediate Effectiveness of Proposed Rule Change
Amending NYSE Rule 17 To Codify Inbound Routing Functions Performed by
Its Affiliate Broker-Dealer, Archipelago Securities LLC

 June 23, 2011.
    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 June 16, 2011, New York Stock Exchange LLC (the ``Exchange''
or ``NYSE'') 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 NYSE. The Commission is
publishing this notice to solicit comments on the proposed rule change
from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change

    The Exchange proposes to amend NYSE Rule 17 to codify inbound
routing functions performed by its affiliate broker-dealer, Archipelago
Securities LLC (``Arca Securities''). The text of the proposed rule
change is available at the Exchange's principal office, at http://www.nyse.com, at the Commission's Public Reference Room, and at the
Commission's Web site at http://www.sec.gov.

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 Exchange proposes to amend NYSE Rule 17 to codify inbound
routing functions performed by its affiliate broker-dealer, Arca
Securities, which have previously been approved by the Commission.\3\
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    \3\ The Exchange's affiliates, NYSE Amex LLC (``NYSE Amex'') and
NYSE Arca, Inc. (``NYSE Arca''), are proposing substantially similar
rule changes. See SR-NYSEAmex-2011-39 and SR-NYSEArca-2011-38.
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Background--Arca Securities Functions as Routing Broker

    Arca Securities currently is the primary outbound and inbound
routing broker for NYSE. The outbound routing function for NYSE is
governed by NYSE Rules 13 and 17.\4\ These rules permit NYSE to utilize
Arca Securities to route orders to an away market center for execution
whenever such routing is

required by Exchange Rules and federal securities laws.\5\
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    \4\ See Securities Exchange Act Release No. 55590 (April 5,
2007), 72 FR 18707 (April 13, 2007) (SR-NYSE-2007-29).
    \5\ See id. NYSE Rules 13 and 17 were thereafter amended in 2008
to permit not only Arca Securities but also unaffiliated third-party
broker-dealers to perform the outbound routing function, which
serves as a risk management function in the event of a system
malfunction or failure. See Securities Exchange Act Release No.
57870 (May 27, 2008), 73 FR 31526 (June 2, 2008) (SR-NYSE-2008-37).
As such, Rule 17 currently refers generically to ``Routing
Broker(s),'' rather than just Arca Securities.
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    The inbound routing function of Arca Securities currently is
governed by pilot programs. In September 2008, the Commission approved
a pilot program that permitted Arca Securities, acting as the outbound
router for NYSE Arca, Inc., to route PO Plus Orders to NYSE.\6\ The
pilot was thereafter expanded to include all ``NYSE Arca order types
approved or implemented on or after'' July 7, 2009,\7\ and an
additional pilot was established to permit Arca Securities to route
orders from NYSE Amex to NYSE.\8\ The pilots were extended and are
currently scheduled to expire on September 30, 2011.\9\ The terms of
the inbound routing pilots are generally set forth in the Commission's
approval orders, rather than rule text (except as noted below).\10\ The
terms of the pilots are as follows:
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    \6\ See Securities Exchange Act Release No. 58680 (September 29,
2008), 73 FR 58283 (October 6, 2008) (SR-NYSE-2008-76).
    \7\ See Securities Exchange Act Release No. 60255 (July 7,
2009), 74 FR 34065 (July 14, 2009) (SR-NYSE-2009-58).
    \8\ See Securities Exchange Act Release No. 59011 (November 24,
2008), 73 FR 73360 (December 2, 2008) (SR-NYSE-2008-122).
    \9\ See Securities Exchange Act Release Nos. 60752 (September
30, 2009), 74 FR 51641 (October 7, 2009) (SR-NYSE-2009-101)
(extending pilot from September 29, 2009 to December 31, 2009);
61268 (December 31, 2009), 75 FR 1104 (January 8, 2010) (SR-NYSE-
2009-128) (extending pilot from December 31, 2009 to March 31,
2010); 61864 (March 31, 2010), 75 FR 17814 (April 7, 2010) (SR-NYSE-
2010-27) (extending pilot from March 31, 2010 to September 30,
2010); 62832 (September 2, 2010), 75 FR 55391 (September 10, 2010)
(SR-NYSE-2010-64) (extending pilot from September 30, 2010 to March
31, 2011); and 64013 (March 2, 2011), 76 FR 12774 (March 8, 2011)
(SR-NYSE-2011-08) (extending pilot from March 31, 2011 to September
30, 2011).
    \10\ See supra note 7.
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    The Exchange and the Financial Industry Regulatory Authority
(``FINRA'') have entered into a Rule 17d-2 agreement pursuant to which
FINRA is allocated regulatory responsibilities to review Arca
Securities' compliance with certain Exchange rules. The Exchange,
however, retains ultimate responsibility for enforcing its rules with
respect to Arca Securities.
    NYSE Regulation monitors Arca Securities for compliance with the
Exchange's trading rules and collects and maintains certain related
information. Specifically, NYSE Regulation collects and maintains the
following information of which NYSE Regulation staff becomes aware--
namely, all alerts, complaints, investigations and enforcement actions
where Arca Securities is identified as a participant that has
potentially violated Exchange or applicable SEC rules--in an easily
accessible manner so as to facilitate any review conducted by the SEC's
Office of Compliance Inspections and Examination.
    NYSE Regulation has agreed with the Exchange that it will provide a
report to the Exchange's Chief Regulatory Officer, on a quarterly
basis, that (i) Quantifies all alerts (of which NYSE Regulation is
aware) that identify Arca Securities as a participant that has
potentially violated Exchange or SEC rules, and (ii) quantifies the
number of all investigations that identify Arca Securities as a
participant that has potentially violated Exchange or Commission rules.
    NYSE Euronext, as parent of the Exchange, was obligated to adopt a
rule requiring it to establish and maintain procedures and internal
controls reasonably designed to ensure that Arca Securities does not
develop or implement changes to its system, based on non-public
information obtained regarding planned changes to the Exchange's
systems as a result of its affiliation with the Exchange, until such
information is available generally to similarly situated members of the
Exchange.\11\
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    \11\ See supra note 7. See also NYSE Rule 2B.
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    Since the initiation of the inbound routing pilot in 2008, the
Exchange in 2010 entered into a comprehensive Regulatory Services
Agreement (``RSA'') with FINRA that, among other things, allocated to
FINRA responsibility for the functions noted above that NYSE Regulation
previously performed with respect to Arca Securities (e.g., monitoring
Arca Securities' compliance with the Exchange's trading rules).\12\ As
a result of this RSA and the Rule 17d-2 agreement, the only regulatory
functions related to Arca Securities that remain with NYSE Regulation
are the provision to FINRA of the exceptions noted above of which NYSE
Regulation becomes aware (e.g., alerts involving Arca Securities) and
the receipt of the quarterly report noted above, which is now produced
by FINRA.
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    \12\ The Exchange notes that FINRA reviews both inbound and
outbound routing via Arca Securities pursuant to the 17d-2 agreement
and the RSA. The Exchange will review the terms of the RSA in
connection with this proposed rule change, and will amend it to
reflect the specific terms of this filing.
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    Arca Securities was also previously engaged in certain odd-lot and
sub-penny transactions as part of its routing function for the
Exchange.\13\ These functions were implemented on a permanent basis as
part of the same proposed rule change implementing the outbound routing
functions.\14\ As a result of subsequent rule changes, however, Arca
Securities no longer performs these functions.\15\
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    \13\ See supra note 5. No rule text was added to the NYSE Rules
to describe these functions.
    \14\ See id.
    \15\ NYSE has modified its electronic trading system in order to
accommodate away market center executions in odd-lots and sub-
pennies. See Securities Exchange Act Release No. 62578 (July 27,
2010), 75 FR 45185 (August 2, 2010) (SR-NYSE-2010-43) (amending
various NYSE rules to incorporate the receipt and execution of odd-
lot interest into the round lot market and decommission the use of
Odd-lot System); Securities Exchange Act Release No. 60915 (November
3, 2009), 74 FR 57724 (November 9, 2009) (SR-NYSE-2009-107)
(deleting Supplementary Material .20 from NYSE Rule 62 because
Exchange technology was modified to quote and execute bids/offers
priced below $1.00 per share in sub-penny increments of $0.0001).
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Proposed Rule Change
    In order to provide more clarity and transparency to all of the
functions that Arca Securities performs on behalf of the Exchange, NYSE
proposes to add text to Rule 17 to describe the inbound routing
functions. By doing so, the Exchange would establish a single, central
location in its Rules describing all routing broker functions,
including both inbound and outbound routing.
    Specifically, the existing text of Rule 17 concerning Routing
Brokers' outbound routing function, including with respect to Arca
Securities, would be redesignated as new Rule 17(c)(1). The Exchange
proposes to add new Rule 17(c)(2) to add text describing Arca
Securities' inbound routing functions. The rule text in paragraph
(c)(2) would be substantially the same as the language set forth in the
Commission notices applicable to the Exchange and virtually identical
to the inbound router rule text already implemented for another
exchange.\16\ In this regard, the rule text would track the terms of
the inbound routing pilot noted above (and as set forth in the rule
filings), with the following exceptions. First, the rule text would
reflect that certain regulatory functions are now carried out by FINRA
on behalf of NYSE Regulation, rather than by NYSE Regulation directly.
Second, the rule text would require

procedures and controls that are reasonably designed to prevent Arca
Securities from receiving any benefit, taking any action or engaging in
any activity, based on non-public information regarding planned changes
to Exchange systems obtained as a result of its affiliation with the
Exchange, until such information is available generally to similarly
situated member organizations of the Exchange, in connection with the
provision of inbound order routing to the Exchange.\17\ In comparison,
the current language from the inbound routing pilot requires procedures
and controls that are reasonably designed to ensure that Arca
Securities does not develop or implement changes to its system, based
on non-public information obtained regarding planned changes to the
Exchange's systems as a result of its affiliation with the Exchange,
until such information is available generally to similarly situated
members of the Exchange.
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    \16\ See BATS Rule 2.12. See also Securities Exchange Act
Release No. 62901 (September 13, 2010), 75 FR 57097 (September 17,
2010) (SR-BATS-2010-024).
    \17\ The Exchange notes that the text proposed in Rule
17(c)(2)(B) would make clear that the Exchange may furnish to Arca
Securities the same information on the same terms that the Exchange
makes available in the normal course of business to any other member
organization.
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    Additionally, the Exchange proposes certain technical changes to
NYSE Rule 17(c), which governs Arca Securities' outbound routing
functions, to align it with the changes proposed herein. The Exchange
also proposes to include specific rule text to codify the current date
upon which the inbound routing pilots are set to expire--September 30,
2011.
2. Statutory Basis
    The proposed rule change is consistent with Section 6(b) \18\ of
the Act, in general, and furthers the objectives of Section
6(b)(5),\19\ in particular, in that it is designed to prevent
fraudulent and manipulative acts and practices, to promote just and
equitable principles of trade, to foster cooperation and coordination
with persons engaged in facilitating transactions in securities, 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. The Exchange believes that the
proposed rule change, which would add specific rule text for routing
functionality that has already been approved in substance by the
Commission for the Exchange, would enhance the clarity and transparency
surrounding such functionality, including the responsibilities and
obligations attendant therewith, while also reflecting the Exchange's
ongoing efforts to effectively address the concerns previously
identified by the Commission regarding the potential for informational
advantages favoring Arca Securities vis-[agrave]-vis other non-
affiliated Exchange members. The Exchange also believes that the
proposed rule change would support the principles of Section 11A(a)(1)
of the Act \20\ in that it seeks to assure economically efficient
execution of securities transactions.
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    \18\ 15 U.S.C. 78f(b).
    \19\ 15 U.S.C. 78f(b)(5).
    \20\ 15 U.S.C. 78k-1(a)(1).
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B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will
impose any burden on competition that is not necessary or appropriate
in furtherance of the purposes of the Act.

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

    Because the proposed rule change: (i) Does not significantly affect
the protection of investors or the public interest; (ii) does not
impose any significant burden on competition; and (iii) does not become
operative for 30 days after the date of the filing, or such shorter
time as the Commission may designate if consistent with the protection
of investors and the public interest, the proposed rule change has
become effective pursuant to Section 19(b)(3)(A) of the Act \21\ and
Rule 19b-4(f)(6) thereunder.\22\
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    \21\ 15 U.S.C. 78s(b)(3)(A).
    \22\ 17 CFR 240.19b-4(f)(6).
---------------------------------------------------------------------------

    A proposed rule change filed under 19b-4(f)(6) normally may not
become operative prior to 30 days after the date of filing.\23\
However, Rule 19b-4(f)(6)(iii) \24\ permits the Commission to designate
a shorter time if such action is consistent with the protection of
investors and the public interest. The Exchange requests that the
Commission waive the 30-day operative delay. The Exchange believes that
waiver of the 30-day operative delay would provide more clarity and
transparency in its rule text concerning all of the functions that Arca
Securities performs on behalf of the Exchange without undue delay. In
addition, the Exchange notes that the proposal is consistent with the
rules of another national securities exchange. For these reason, the
Commission believes that waiving the 30-day operative delay is
consistent with the protection of investors and the public interest,
and designates the proposed rule change to be operative upon filing
with the Commission.\25\
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    \23\ 17 CFR 240.19b-4(f)(6)(iii). In addition, Rule 19b-
4(f)(6)(iii) requires that a self-regulatory organization submit to
the Commission written notice of its intent to file the proposed
rule change, along with a brief description and text of the proposed
rule change, at least five business days prior to the date of filing
of the proposed rule change, or such shorter time as designated by
the Commission. The Exchange has satisfied this requirement.
    \24\ Id.
    \25\ For purposes only of waiving the 30-day operative delay,
the Commission has considered the proposed rule's impact on
efficiency, competition, and capital formation. See 15 U.S.C.
78c(f).
---------------------------------------------------------------------------

    At any time within 60 days of the filing of the proposed rule
change, the Commission summarily may temporarily suspend such rule
change if it appears to the Commission that such action is necessary or
appropriate in the public interest, for the protection of investors, or
otherwise in furtherance of the purposes of the Act.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Act. Comments may be submitted by any of
the following methods:

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an e-mail to<EMAIL_ADDRESS>Please include
File Number SR-NYSE-2011-24 on the subject line.

Paper Comments

     Send paper comments in triplicate to Elizabeth M. Murphy,
Secretary, Securities and Exchange Commission, 100 F Street, NE.,
Washington, DC 20549-1090.
All submissions should refer to File Number SR-NYSE-2011-24. This file
number should be included on the subject line if e-mail 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 a.m. and 3 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-NYSE-2011-24 and should be submitted on or before July
20, 2011.
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    \26\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\26\
Cathy H. Ahn,
Deputy Secretary.
[FR Doc. 2011-16224 Filed 6-28-11; 8:45 am]
BILLING CODE 8011-01-P


                 UNITED STATES ENVIRONMENTAL PROTECTION AGENCY
                            WASHINGTON, D.C.  20460

                                        OFFICE OF CHEMICAL SAFETY
                                                       AND POLLUTION PREVENTION

MEMORANDUM

Date:  		6/6/2012

SUBJECT:	Clopyralid  Chronic Aggregate Dietary (Food and Drinking Water) Exposure and Risk Assessment for the Section 3 Registration Action on Apples, Teff, the Leafy Brassica Greens Subgroup (5-B), and the Rapeseed Subgroup (20-A)

PC Codes:  117403 (acid)
           117401 (alkanolamine salts)
DP Barcode:  D399390
Decision No.:  450262
Registration Nos.: 62719-73, 62719-80, 62719-81,   and 62719-84
Petition No.:  1E7882
Regulatory Action:  Section 3 Registration
Risk Assessment Type:  Dietary
Case No.:  NA
TXR No.:  NA
CAS No.:  1702-17-6 (acid)
         57754-85-5 (monoethanolamine salt)
MRID No.:  NA
40 CFR:  180.431

FROM:  	Douglas Dotson, Ph.D., Chemist
		Risk Assessment Branch II
		Health Effects Division (7509P)

THROUGH:	Meheret Negussie, Chemist
		Dennis McNeilly, Chemist
		Dietary Exposure Science Advisory Council (DESAC)

TO:		Laura Nollen/Barbara Madden, RM Team 5
	RIMUERB
		Registration Division (7505P)

Executive Summary

A chronic dietary (food + drinking water) exposure and risk assessment was conducted for the herbicide clopyralid using the Dietary Exposure Evaluation Model DEEM-FCID(TM), Version 2.03 which uses food consumption data from the U.S. Department of Agriculture's Continuing Surveys of Food Intakes by Individuals (CSFII) from 1994-1996 and 1998.  The analyses were performed to support Section 3 requests for the use of clopyralid on apples, teff, the Brassica leafy greens subgroup (Subgroup 5-B), and the rapeseed subgroup (Subgroup 20-A), except gold of pleasure.

The assessment is highly conservative with regard to protecting human health.  The assessment is based on tolerance-level residues for all commodities and the assumption that 100% of all commodities with tolerances will be treated (i.e., 100% crop treated).  In addition, DEEM (Version 7.81) default processing factors were used for all processed commodities for which they were available.  Modeled estimates of clopyralid residues in drinking water were incorporated into the analyses.  The general U.S. population uses 9.3% of the chronic population-adjusted dose (cPAD).  The population subgroup Children 1-2 years old is estimated to have the highest dietary exposure to clopyralid.  This subgroup uses 25% of the cPAD.  Generally, HED is concerned about dietary risk when the exposure estimate exceeds 100% of the PAD.  The combined dietary risk from exposure to residues of clopyralid in food and drinking water are not of concern for the U.S. population or any of the population groups.

There is no acute dietary endpoint for clopyralid.  As a result, an acute dietary exposure assessment was not conducted for the chemical.  Clopyralid is classified as "not likely to be carcinogenic to humans."  As a result, quantification of cancer risk is not required.

I.  Introduction

Dietary risk assessment incorporates both exposure and toxicity of a given pesticide.  For acute and chronic assessments, the risk is expressed as a percentage of a maximum acceptable dose (i.e., the dose which HED has concluded will result in no unreasonable adverse health effects).  This dose is referred to as the population adjusted dose (PAD).  The PAD is equivalent to the point of departure (POD, NOAEL, LOAEL, e.g.) divided by the required uncertainty or safety factors.

For acute and non-cancer chronic exposures, HED is concerned when estimated dietary risk exceeds 100% of the PAD.  HED is generally concerned when estimated cancer risk exceeds one in one million. References which discuss the acute and chronic risk assessments in more detail are available on the EPA/pesticides web site:  "Available Information on Assessing Exposure from Pesticides, A User's Guide," 21-JUN-2000, web link:  http://www.epa.gov/fedrgstr/EPA-PEST/2000/July/Day-12/6061.pdf ; or see SOP 99.6 (20-AUG-1999).

The most recent dietary risk assessment for clopyralid was conducted by M. Doherty (D368855, 10/27/2009).

II.  Residue Information

This chronic dietary exposure assessment is based on tolerance-level residues for all commodities.  Tolerances are established for residues of clopyralid in/on a wide variety of plant commodities at levels ranging from 0.5 ppm in/on stone fruits and the Bushberry subgroup (13-07B) to 500 ppm in/on grass forage and hay [40 CFR §180.431(a)].  Tolerances are also established for residues of clopyralid in livestock commodities at levels ranging from 0.1 ppm in eggs to 36 ppm in meat byproducts, except liver, of cattle, goats, horses and sheep.  There currently are no tolerances for inadvertent or indirect residues of clopyralid.  The residue of concern for both tolerance enforcement and risk assessment is the parent compound only.

The Interregional Project No. 4 (IR-4) submitted a petition proposing the use of clopyralid on apples, Brassica leafy greens (Subgroup 5-B), and rapeseed (Subgroup 20-A) except gold of pleasure.  In addition, IR-4 intends to submit a tolerance petition for the use of clopyralid on teff.  The only study that IR-4 submitted in support of the current petition was a combined field trial/processing study for apples.  The recommended tolerance for apple is 0.05 ppm.  For the other commodities, IR-4 is proposing that currently established tolerances be extended to the proposed commodities.  A tolerance of 5.0 ppm is established for mustard greens.  IR-4 is proposing that this tolerance be extended to the Brassica leafy greens subgroup.  A tolerance of 3.0 ppm is established for canola seed.  IR-4 is proposing that this tolerance be extended to rapeseed (Subgroup 20-A) except gold of pleasure.  The following tolerances are established for wheat and barley commodities:  3.0 ppm for grain, 9.0 ppm for straw, 9.0 ppm for forage (wheat only), and 9.0 ppm for hay (barley only).   IR-4 is proposing that these tolerances be extended to teff commodities.  These requested uses do not impact existing tolerances for livestock commodities.  Table 1 provides a summary of the recommended tolerances.

Table 1.  Recommended Tolerances

                                   Commodity
                             Recommended Tolerance
                                     (ppm)
Apple
                                     0.05
Leafy Brassica Greens, Subgroup 5-B
                                      5.0
Rapeseed, Subgroup 20-A, Except Gold of Pleasure
                                      3.0
Teff, Grain
                                      3.0

   Percent Crop Treated Information

The assessment is based on the assumption that 100% of all commodities with established or proposed tolerances will be treated.

   Drinking Water Data

The estimated drinking water concentrations (EDWCs) used in the dietary risk assessment were provided by the Environmental Fate and Effects Division (EFED) in the following memorandum: "Tier I Drinking Water Assessment for Proposed New Use of Clopyralid on Apple, Leafy Brassica Greens Subgroup 5B, and Rapeseed Subgroup 20A, except Camelina (Gold of Pleasure)" (D391398, W. Shaughnessy, 12/19/2011) and incorporated directly into this dietary assessment.  Water residues were incorporated in the DEEM-FCID into the food categories "water, direct, all sources" and "water, indirect, all sources."
A modeled estimate of the surface water concentration from the FQPA Index Reservoir Screening Tool (FIRST) Model was used for the assessment (Table 2).  This value is 11.9 ppb.  This estimate is greater than that for groundwater from the Screening Concentration in Ground Water (SCIGROW) Model.  The same value was used in the previous dietary exposure assessment.  The drinking water models and their descriptions are available at the EPA internet site:  http://www.epa.gov/oppefed1/models/water/.

Table 2.  Maximum Tier 1 Estimated Drinking Water Concentrations

                             Drinking Water Source
                              Model Used and Rate
                                  EDWC (ppb)
Groundwater
NAWQA (Oregon)
                                    0.2588
Surface Water (Acute)
FIRST (non-food crop, one application per year @ 0.5 lb ai/A)
                                      45
Surface Water (Chronic)
FIRST (non-food crop, one application per year @ 0.5 lb ai/A)
                                     11.9

V.  DEEM-FCID(TM) Program and Consumption Information

The clopyralid chronic dietary exposure assessment was conducted using the Dietary Exposure Evaluation Model software with the Food Commodity Intake Database DEEM-FCID(TM), Version 2.03 which incorporates consumption data from USDA's Continuing Surveys of Food Intakes by Individuals (CSFII), 1994-1996 and 1998.  The 1994-96, 98 data are based on the reported consumption of more than 20,000 individuals over two non-consecutive survey days.  Foods "as consumed" (e.g., apple pie) are linked to EPA-defined food commodities (e.g. apples, peeled fruit - cooked; fresh or N/S; baked; or wheat flour - cooked; fresh or N/S, baked) using publicly available recipe translation files developed jointly by USDA/ARS and EPA.  For chronic exposure assessment, consumption data are averaged for the entire U.S. population and within population subgroups, but for acute exposure assessment are retained as individual consumption events.  Based on analysis of the 1994-96, 98 CSFII consumption data, which took into account dietary patterns and survey respondents, HED concluded that it is most appropriate to report risk for the following population subgroups: the general U.S. population, all infants (<1 year old), children 1-2, children 3-5, children 6-12, youth 13-19, adults 20-49, females 13-49, and adults 50+ years old.

For chronic dietary exposure assessment, an estimate of the residue level in each food or food-form (e.g., orange or orange juice) on the food commodity residue list is multiplied by the average daily consumption estimate for that food/food form to produce a residue intake estimate.  The resulting residue intake estimate for each food/food form is summed with the residue intake estimates for all other food/food forms on the commodity residue list to arrive at the total average estimated exposure.  Exposure is expressed in mg/kg body weight/day and as a percent of the cPAD.  This procedure is performed for each population subgroup.

VI.  Toxicological Information

The toxicology database for clopyralid is incomplete at this time.  Based on the toxicology data requirements outlined in the recently revised 40 CFR Part 158, there are additional requirements for acute and subchronic neurotoxicity studies in the rat (§870.6200a and b), and an immunotoxicity study (§870.7800).  In addition, a 28-day inhalation toxicity study in the rat (§870.3465) is required.  Nevertheless, HED recommends reduction of the FQPA Safety Factor to 1x.  There was no evidence of increased pre- and/or postnatal qualitative or quantitative susceptibility in the developmental rat or rabbit studies, or the rat 2-generation reproduction study.  In the developmental rat study, no developmental effects were seen in at a dose that caused maternal toxicity.  Although acute and subchronic neurotoxicity studies and an immunotoxicity study have not been submitted and are required under the revised 40 CFR Part 158 guidelines, the available subchronic and chronic studies show no evidence of either neurotoxicity or immunotoxicity at doses up to or exceeding the limit dose.  The endpoints selected for risk assessment are therefore considered adequately protective of pre- and/or postnatal toxicity.  The endpoints selected for use in dietary risk assessment are summarized in Table 3, below.

Table 3.  Toxicological Doses and Endpoints for Clopyralid for Use in Dietary Human Health Risk Assessments

Exposure/
Scenario
Point of Departure
Uncertainty/FQPA Safety Factors
Level of Concern for Risk Assessment
Study and Toxicological Effects
Acute Dietary
(All populations including infants and children)
NA
NA
NA
There is no effect attributable to a single dose.  As a result, an acute dietary endpoint was not selected.
Chronic Dietary
(All populations including infants and children)
NOAEL=
15 mg/kg/day
UFA= 10x
UFH= 10x
SFFQPA=1
cRfD=
0.15 mg/kg/day

cPAD=
0.15 mg/kg/day
2-Year Combined Chronic Toxicity/Carcinogenicity (oral)  -  rat

LOAEL = 150 mg/kg/day, based on increased epithelial hyperplasia and thickening of the limiting ridge of the stomach in both sexes.
Cancer
Classified as "Not likely to be carcinogenic to humans."  Quantification of cancer risk is not required.
Point of Departure = A data point or an estimated point that is derived from observed dose-response data and used to mark the beginning of extrapolation to determine risk associated with lower environmentally relevant human exposures.  NOAEL = no observed adverse effect level.  LOAEL = lowest observed adverse effect level.  UF = uncertainty factor.  UFA = extrapolation from animal to human (interspecies).  UFH = potential variation in sensitivity among members of the human population (intraspecies).  FQPA SF = FQPA Safety Factor. c PAD = chronic population adjusted dose.  RfD = reference dose.  N/A = not applicable.

VII.  Results

As stated above, HED is concerned when dietary risk exceeds 100% of the PAD.  The DEEM-FCID(TM) analyses estimate the dietary exposure of the U.S. population and various population subgroups.  The results reported in Table 4 are for the general U.S. Population, all infants (<1 year old), children 1-2, children 3-5, children 6-12, youth 13-19, females 13-49, adults 20-49, and adults 50+ years.  Risk estimates are not of concern for the general U.S. population or any of the population subgroups.  The general U.S. population uses 9.3% of the cPAD.  The most highly exposed population subgroup, Children 1-2 years old, uses 25% of the cPAD.

 Table 4.  Summary of the Combined Dietary (Food + Drinking Water) Exposure and Risk Estimates for Clopyralid

 Population Subgroup
                                     Acute
                                    Chronic
                                     Cancer

                          Dietary Exposure (mg/kg/day)
                                    % aPAD*
                                Dietary Exposure
                                  (mg/kg/day)
                                    % cPAD*
                                Dietary Exposure
                                  (mg/kg/day)
                                      Risk
 General U.S. Population
                                      NA

                                      NA

0.013895
9.3
                                      N/A
                                      N/A
 All Infants (< 1 year old)

0.013726
9.2

 Children 1-2 years old

0.037039
25

 Children 3-5 years old

0.033869
23

 Children 6-12 years old

0.022590
15

 Youth 13-19 years old

0.013383
8.9

 Adults 20-49 years old

0.010847
7.2

 Adults 50+ years old

0.009407
6.3

 Females 13-49 years old

0.010170
6.8

 The values for the highest exposed population subgroup are bolded.

 VIII.  Characterization of Inputs/Outputs
HED considers the chronic dietary exposure assessment to be very conservative.  It is based on tolerance-level residues for all commodities.  Conservative processing factors (DEEM default) were used for all processed commodities.  In addition, it is assumed that 100% of all crops with registered or proposed will be treated.  The EDWCs were also conservative.  As all risk estimates are not of concern, it is not necessary to make any refinements to the dietary exposure assessment.

 IX.  Conclusions

The exposure estimates that were generated are very conservative estimates of the actual dietary exposures that might occur.  The aggregate (food + water) dietary risk estimates are below HED's level of concern for all population subgroups.  HED is confident that the dietary exposure assessment does not underestimate risk to the general U.S. population or any population subgroup.

 List of Attachments

 Attachment 1.  Chronic Residue Input File
 Attachment 2.  Results of Chronic Dietary Exposure Analysis

 Attachment 1:  Chronic Residue Input File

Chronic NOAEL:  15 mg/kg bw/day
Chronic PAD:  0.15 mg/kg bw/day

DEEM-FCID Program Version 2.03
Filename: C:\Documents and Settings\ddotson\My Documents\Deemfcid\Clopyralid\
        ClopyralidChronic2.R98

Date created/last modified: 03-02-2012/16:56:18/8

--------------------------------------------------------------------------------
  EPA    Crop                                   Def Res     Adj.Factors   Comment
  Code    Grp  Commodity Name                    (ppm)       #1    #2
-------- ---- -------------------------------  ----------  ------ ------  -------
01010500 1AB  Beet, garden, roots                4.000000   1.000  1.000
01010501 1AB  Beet, garden, roots-babyfood       4.000000   1.000  1.000
01010520 1A   Beet, sugar                        2.000000   1.000  1.000
01010521 1A   Beet, sugar-babyfood               2.000000   1.000  1.000
01010530 1A   Beet, sugar, molasses             10.000000   1.000  1.000
01010531 1A   Beet, sugar, molasses-babyfood    10.000000   1.000  1.000
01013880 1AB  Turnip, roots                      1.000000   1.000  1.000
02000510 2    Beet, garden, tops                 3.000000   1.000  1.000
04013550 4A   Spinach                            5.000000   1.000  1.000
04013551 4A   Spinach-babyfood                   5.000000   1.000  1.000
04023670 4B   Swiss chard                        3.000000   1.000  1.000
05010610 5A   Broccoli                           2.000000   1.000  1.000
05010611 5A   Broccoli-babyfood                  2.000000   1.000  1.000
05010620 5A   Broccoli, Chinese                  2.000000   1.000  1.000
05010640 5A   Brussels sprouts                   2.000000   1.000  1.000
05010690 5A   Cabbage                            2.000000   1.000  1.000
05010710 5A   Cabbage, Chinese, napa             2.000000   1.000  1.000
05010720 5A   Cabbage, Chinese, mustard          2.000000   1.000  1.000
05010830 5A   Cauliflower                        2.000000   1.000  1.000
05011960 5A   Kohlrabi                           2.000000   1.000  1.000
05020630 5B   Broccoli raab                      5.000000   1.000  1.000  1E7882
05020700 5B   Cabbage, Chinese, bok choy         5.000000   1.000  1.000  1E7882
05021170 5B   Collards                           5.000000   1.000  1.000  1E7882
05021940 5B   Kale                               5.000000   1.000  1.000  1E7882
05022290 5B   Mustard greens                     5.000000   1.000  1.000  1E7882
05023180 5B   Rape greens                        5.000000   1.000  1.000  1E7882
05023890 5B   Turnip, greens                     4.000000   1.000  1.000  1E7882
11000070 11   Apple, fruit with peel             0.050000   1.000  1.000  1E7882
11000080 11   Apple, peeled fruit                0.050000   1.000  1.000  1E7882
11000081 11   Apple, peeled fruit-babyfood       0.050000   1.000  1.000  1E7882
11000090 11   Apple, dried                       0.050000   8.000  1.000  1E7882
11000091 11   Apple, dried-babyfood              0.050000   8.000  1.000  1E7882
11000100 11   Apple, juice                       0.050000   1.300  1.000  1E7882
11000101 11   Apple, juice-babyfood              0.050000   1.300  1.000  1E7882
11000110 11   Apple, sauce                       0.050000   1.000  1.000  1E7882
11000111 11   Apple, sauce-babyfood              0.050000   1.000  1.000  1E7882
12000120 12   Apricot                            0.500000   1.000  1.000
12000121 12   Apricot-babyfood                   0.500000   1.000  1.000
12000130 12   Apricot, dried                     0.500000   6.000  1.000
12000140 12   Apricot, juice                     0.500000   1.000  1.000
12000141 12   Apricot, juice-babyfood            0.500000   1.000  1.000
12000900 12   Cherry                             0.500000   1.000  1.000
12000901 12   Cherry-babyfood                    0.500000   1.000  1.000
12000910 12   Cherry, juice                      0.500000   1.500  1.000
12000911 12   Cherry, juice-babyfood             0.500000   1.500  1.000
12002300 12   Nectarine                          0.500000   1.000  1.000
12002600 12   Peach                              0.500000   1.000  1.000
12002601 12   Peach-babyfood                     0.500000   1.000  1.000
12002610 12   Peach, dried                       0.500000   7.000  1.000
12002611 12   Peach, dried-babyfood              0.500000   7.000  1.000
12002620 12   Peach, juice                       0.500000   1.000  1.000
12002621 12   Peach, juice-babyfood              0.500000   1.000  1.000
12002850 12   Plum                               0.500000   1.000  1.000
12002851 12   Plum-babyfood                      0.500000   1.000  1.000
12002860 12   Plum, prune, fresh                 0.500000   1.000  1.000
12002861 12   Plum, prune, fresh-babyfood        0.500000   1.000  1.000
12002870 12   Plum, prune, dried                 1.500000   1.000  1.000
12002871 12   Plum, prune, dried-babyfood        1.500000   1.000  1.000
12002880 12   Plum, prune, juice                 0.500000   1.400  1.000
12002881 12   Plum, prune, juice-babyfood        0.500000   1.400  1.000
13020570 13B  Blueberry                          0.500000   1.000  1.000
13020571 13B  Blueberry-babyfood                 0.500000   1.000  1.000
13021360 13B  Currant                            0.500000   1.000  1.000
13021490 13B  Elderberry                         0.500000   1.000  1.000
13021740 13B  Gooseberry                         0.500000   1.000  1.000
13021910 13B  Huckleberry                        0.500000   1.000  1.000
15000250 15   Barley, pearled barley            12.000000   1.000  1.000
15000251 15   Barley, pearled barley-babyfood   12.000000   1.000  1.000
15000260 15   Barley, flour                      3.000000   1.000  1.000
15000261 15   Barley, flour-babyfood             3.000000   1.000  1.000
15000270 15   Barley, bran                      12.000000   1.000  1.000
15001200 15   Corn, field, flour                 1.000000   1.000  1.000
15001201 15   Corn, field, flour-babyfood        1.000000   1.000  1.000
15001210 15   Corn, field, meal                  1.000000   1.000  1.000
15001220 15   Corn, field, bran                  1.000000   1.000  1.000
15001230 15   Corn, field, starch                1.000000   1.000  1.000
15001231 15   Corn, field, starch-babyfood       1.000000   1.000  1.000
15001240 15   Corn, field, syrup                 1.000000   1.500  1.000
15001241 15   Corn, field, syrup-babyfood        1.000000   1.500  1.000
15001250 15   Corn, field, oil                   1.000000   1.000  1.000
15001251 15   Corn, field, oil-babyfood          1.000000   1.000  1.000
15001260 15   Corn, pop                          1.000000   1.000  1.000
15001270 15   Corn, sweet                        1.000000   1.000  1.000
15001271 15   Corn, sweet-babyfood               1.000000   1.000  1.000
15002310 15   Oat, bran                          3.000000   1.000  1.000
15002320 15   Oat, flour                         3.000000   1.000  1.000
15002321 15   Oat, flour-babyfood                3.000000   1.000  1.000
15002330 15   Oat, groats/rolled oats            3.000000   1.000  1.000
15002331 15   Oat, groats/rolled oats-babyfood   3.000000   1.000  1.000
15003810 15   Triticale, flour                   3.000000   1.000  1.000
15004010 15   Wheat, grain                       3.000000   1.000  1.000
15004011 15   Wheat, grain-babyfood              3.000000   1.000  1.000
15004020 15   Wheat, flour                       3.000000   1.000  1.000
15004021 15   Wheat, flour-babyfood              3.000000   1.000  1.000
15004030 15   Wheat, germ                       12.000000   1.000  1.000
15004040 15   Wheat, bran                       12.000000   1.000  1.000
20001630 20   Flaxseed, oil                      3.000000   1.000  1.000  1E7882
20003190 20   Rapeseed, oil                      3.000000   1.000  1.000  1E7882
20003191 20   Rapeseed, oil-babyfood             3.000000   1.000  1.000  1E7882
21000440 M    Beef, meat                         1.000000   1.000  1.000
21000441 M    Beef, meat-babyfood                1.000000   1.000  1.000
21000450 M    Beef, meat, dried                  1.000000   1.920  1.000
21000460 M    Beef, meat byproducts             36.000000   1.000  1.000
21000461 M    Beef, meat byproducts-babyfood    36.000000   1.000  1.000
21000470 M    Beef, fat                          1.000000   1.000  1.000
21000471 M    Beef,fat-babyfood                  1.000000   1.000  1.000
21000480 M    Beef, kidney                      36.000000   1.000  1.000
21000490 M    Beef, liver                        3.000000   1.000  1.000
21000491 M    Beef, liver-babyfood               3.000000   1.000  1.000
23001690 M    Goat, meat                         1.000000   1.000  1.000
23001700 M    Goat, meat byproducts             36.000000   1.000  1.000
23001710 M    Goat, fat                          1.000000   1.000  1.000
23001720 M    Goat, kidney                      36.000000   1.000  1.000
23001730 M    Goat, liver                        3.000000   1.000  1.000
24001890 M    Horse, meat                        1.000000   1.000  1.000
25002900 M    Pork, meat                         0.200000   1.000  1.000
25002901 M    Pork, meat-babyfood                0.200000   1.000  1.000
25002910 M    Pork, skin                         0.200000   1.000  1.000
25002920 M    Pork, meat byproducts              0.200000   1.000  1.000
25002921 M    Pork, meat byproducts-babyfood     0.200000   1.000  1.000
25002930 M    Pork, fat                          0.200000   1.000  1.000
25002931 M    Pork, fat-babyfood                 0.200000   1.000  1.000
25002940 M    Pork, kidney                       0.200000   1.000  1.000
25002950 M    Pork, liver                        0.200000   1.000  1.000
26003390 M    Sheep, meat                        1.000000   1.000  1.000
26003391 M    Sheep, meat-babyfood               1.000000   1.000  1.000
26003400 M    Sheep, meat byproducts            36.000000   1.000  1.000
26003410 M    Sheep, fat                         1.000000   1.000  1.000
26003411 M    Sheep, fat-babyfood                1.000000   1.000  1.000
26003420 M    Sheep, kidney                     36.000000   1.000  1.000
26003430 M    Sheep, liver                       3.000000   1.000  1.000
27002220 D    Milk, fat                          0.200000   1.000  1.000
27002221 D    Milk, fat - baby food/infant for   0.200000   1.000  1.000
27012230 D    Milk, nonfat solids                0.200000   1.000  1.000
27012231 D    Milk, nonfat solids-baby food/in   0.200000   1.000  1.000
27022240 D    Milk, water                        0.200000   1.000  1.000
27022241 D    Milk, water-babyfood/infant form   0.200000   1.000  1.000
27032251 D    Milk, sugar (lactose)-baby food/   0.200000   1.000  1.000
40000930 P    Chicken, meat                      0.200000   1.000  1.000
40000931 P    Chicken, meat-babyfood             0.200000   1.000  1.000
40000940 P    Chicken, liver                     0.200000   1.000  1.000
40000950 P    Chicken, meat byproducts           0.200000   1.000  1.000
40000951 P    Chicken, meat byproducts-babyfoo   0.200000   1.000  1.000
40000960 P    Chicken, fat                       0.200000   1.000  1.000
40000961 P    Chicken, fat-babyfood              0.200000   1.000  1.000
40000970 P    Chicken, skin                      0.200000   1.000  1.000
40000971 P    Chicken, skin-babyfood             0.200000   1.000  1.000
50003820 P    Turkey, meat                       0.200000   1.000  1.000
50003821 P    Turkey, meat-babyfood              0.200000   1.000  1.000
50003830 P    Turkey, liver                      0.200000   1.000  1.000
50003831 P    Turkey, liver-babyfood             0.200000   1.000  1.000
50003840 P    Turkey, meat byproducts            0.200000   1.000  1.000
50003841 P    Turkey, meat byproducts-babyfood   0.200000   1.000  1.000
50003850 P    Turkey, fat                        0.200000   1.000  1.000
50003851 P    Turkey, fat-babyfood               0.200000   1.000  1.000
50003860 P    Turkey, skin                       0.200000   1.000  1.000
50003861 P    Turkey, skin-babyfood              0.200000   1.000  1.000
60003010 P    Poultry, other, meat               0.200000   1.000  1.000
60003020 P    Poultry, other, liver              0.200000   1.000  1.000
60003030 P    Poultry, other, meat byproducts    0.200000   1.000  1.000
60003040 P    Poultry, other, fat                0.200000   1.000  1.000
60003050 P    Poultry, other, skin               0.200000   1.000  1.000
70001450 P    Egg, whole                         0.100000   1.000  1.000
70001451 P    Egg, whole-babyfood                0.100000   1.000  1.000
70001460 P    Egg, white                         0.100000   1.000  1.000
70001461 P    Egg, white (solids)-babyfood       0.100000   1.000  1.000
70001470 P    Egg, yolk                          0.100000   1.000  1.000
70001471 P    Egg, yolk-babyfood                 0.100000   1.000  1.000
86010000 O    Water, direct, all sources         0.011900   1.000  1.000
86020000 O    Water, indirect, all sources       0.011900   1.000  1.000
95000190 O    Asparagus                          1.000000   1.000  1.000
95001300 O    Cranberry                          4.000000   1.000  1.000
95001301 O    Cranberry-babyfood                 4.000000   1.000  1.000
95001310 O    Cranberry, dried                   4.000000   1.000  1.000
95001320 O    Cranberry, juice                   4.000000   1.100  1.000
95001321 O    Cranberry, juice-babyfood          4.000000   1.100  1.000
95001880 O    Hop                                5.000000   1.000  1.000
95002750 O    Peppermint                         3.000000   1.000  1.000
95002760 O    Peppermint, oil                    3.000000   1.000  1.000
95003520 O    Spearmint                          3.000000   1.000  1.000
95003530 O    Spearmint, oil                     3.000000   1.000  1.000
95003590 O    Strawberry                         4.000000   1.000  1.000
95003591 O    Strawberry-babyfood                4.000000   1.000  1.000
95003600 O    Strawberry, juice                  4.000000   1.000  1.000
95003601 O    Strawberry, juice-babyfood         4.000000   1.000  1.000

Attachment 2:  Results of Chronic Dietary Exposure Analysis

Chronic PAD:  0.15 mg/kg bw/day

Residue file name: C:\Documents and Settings\ddotson\My Documents\Deemfcid\Clopyralid\
                ClopyralidChronic2.R98

Residue file dated: 03-02-2012/16:56:18/8            Analysis Date 03-02-2012/16:57:23

===============================================================================
                    Total exposure by population subgroup
-------------------------------------------------------------------------------

                                                    Total Exposure
                                         -----------------------------------
          Population                         mg/kg             Percent of
           Subgroup                       body wt/day             Rfd
--------------------------------------   -------------       ---------------
U.S. Population (total)                     0.013895                 9.3%

U.S. Population (spring season)             0.014217                 9.5%
U.S. Population (summer season)             0.013855                 9.2%
U.S. Population (autumn season)             0.013748                 9.2%
U.S. Population (winter season)             0.013769                 9.2%
Northeast region                            0.014195                 9.5%
Midwest region                              0.014629                 9.8%
Southern region                             0.013132                 8.8%
Western region                              0.014052                 9.4%
Hispanics                                   0.014065                 9.4%
Non-hispanic whites                         0.013701                 9.1%
Non-hispanic blacks                         0.014851                 9.9%
Non-hisp/non-white/non-black                0.013954                 9.3%

All infants (< 1 year)                      0.013726                 9.2%
Nursing infants                             0.005766                 3.8%
Non-nursing infants                         0.016748                11.2%
Children 1-6  yrs                           0.034090                22.7%
Children 7-12 yrs                           0.021466                14.3%
Females 13-19 (not preg or nursing)         0.011665                 7.8%
Females 20+ (not preg or nursing)           0.009456                 6.3%
Females 13-50 yrs                           0.010835                 7.2%
Females 13+ (preg/not nursing)              0.011582                 7.7%
Females 13+ (nursing)                       0.012518                 8.3%
Males 13-19 yrs                             0.015007                10.0%
Males 20+ yrs                               0.011198                 7.5%
Seniors 55+                                 0.009329                 6.2%

Children 1-2 yrs                            0.037039                24.7%
Children 3-5 yrs                            0.033869                22.6%
Children 6-12 yrs                           0.022590                15.1%
Youth 13-19 yrs                             0.013383                 8.9%
Adults 20-49 yrs                            0.010847                 7.2%
Adults 50+ yrs                              0.009407                 6.3%
Females 13-49 yrs                           0.010170                 6.8%

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


[Federal Register Volume 85, Number 126 (Tuesday, June 30, 2020)]
[Notices]
[Pages 39226-39230]
[FR Doc No: 2020-14009]

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

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-89142; File No. SR-ICC-2020-002]

Self-Regulatory Organizations; ICE Clear Credit LLC; Order
Approving Proposed Rule Change Relating to the ICC Risk Management
Model Description, ICC Stress Testing Framework, ICC Liquidity Risk
Management Framework, ICC Back-Testing Framework, and ICC Risk
Parameter Setting and Review Policy

June 24, 2020.

I. Introduction

    On January 14, 2020, ICE Clear Credit LLC (``ICC'') filed with the
Securities and Exchange Commission (``Commission''), pursuant to
Section 19(b)(1) of the Securities Exchange Act of 1934 (the
``Act''),\1\ and Rule 19b-4 thereunder,\2\ a proposed rule change to
amend ICC's Risk Management Model Description, Stress Testing
Framework, Liquidity Risk Management Framework, Back-Testing Framework,
and Risk Parameter Setting and Review Policy (together, the ``Risk
Policies'') in connection with the clearing of credit

default index swaptions. The proposed rule change was published for
comment in the Federal Register on January 31, 2020.\3\ On March 13,
2020, the Commission designated a longer period of time for Commission
action on the proposed rule change until April 30, 2020.\4\ On April
29, 2020, the Commission issued an order instituting proceedings under
Section 19(b)(2)(B) of the Act \5\ to determine whether to approve or
disapprove the proposed rule change.\6\ The Commission did not receive
comments regarding the proposed rule change. For the reasons discussed
below, the Commission is approving the proposed rule change.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ Self-Regulatory Organizations; ICE Clear Credit LLC; Notice
of Filing of Proposed Rule Change, Security-Based Swap Submission,
or Advance Notice Relating to the ICC Risk Management Model
Description, ICC Stress Testing Framework, ICC Liquidity Risk
Management Framework, ICC Back-Testing Framework, and ICC Risk
Parameter Setting and Review Policy; Exchange Act Release No. 88047
(Jan. 27, 2020); 85 FR 5756 (Jan. 31, 2020) (SR-ICC-2020-002)
(``Notice'').
    \4\ Self-Regulatory Organizations; ICE Clear Credit LLC; Notice
of Designation of Longer Period of Time for Commission Action on
Proposed Rule Change Relating to the ICC Risk Management Model
Description, ICC Stress Testing Framework, ICC Liquidity Risk
Management Framework, ICC Back-Testing Framework, and ICC Risk
Parameter Setting and Review Policy; Exchange Act Release No. 88379
(Mar. 13, 2020); 85 FR 15829 (Mar. 19, 2020) (SR-ICC-2020-002).
    \5\ 15 U.S.C. 78s(b)(2)(B).
    \6\ Self-Regulatory Organizations; ICE Clear Credit LLC; Order
Instituting Proceedings to Determine Whether to Approve or
Disapprove Proposed Rule Change Relating to the ICC Risk Management
Model Description, ICC Stress Testing Framework, ICC Liquidity Risk
Management Framework, ICC Back-Testing Framework, and ICC Risk
Parameter Setting and Review Policy; Exchange Act Release No. 88775
(Apr. 29, 2020); 85 FR 26774 (May 5, 2020) (SR-ICC-2020-002).
---------------------------------------------------------------------------

II. Description of the Proposed Rule Change

    The proposed rule change would amend the Risk Policies in
connection with ICC's proposed clearing of credit default index
swaptions (``Index Swaptions'').\7\ Pursuant to an Index Swaption, one
party (the ``Swaption Buyer'') has the right (but not the obligation)
to cause the other party (the ``Swaption Seller'') to enter into an
index credit default swap transaction at a pre-determined strike price
on a specified expiration date on specified terms. In the case of Index
Swaptions that would be cleared by ICC, the underlying index credit
default swap would be limited to certain CDX and iTraxx Europe index
credit default swaps that are accepted for clearing by ICC and would be
automatically cleared by ICC upon exercise of the Index Swaption by the
Swaption Buyer in accordance with its terms. The Commission has
previously approved changes that ICC made to its Rules, End-of-Day
Price Discovery Policies and Procedures, and Risk Management Framework
related to the clearing of Index Swaptions (the ``Swaption Rule
Filing'').\8\ As explained in the Swaption Rule Filing, ICC would need
to adopt certain related policies and procedures in preparation for the
launch of clearing of Index Swaptions, including those set out in this
filing, and would not commence clearing of Index Swaptions until such
policies and procedures have been approved by the Commission or
otherwise become effective.\9\
---------------------------------------------------------------------------

    \7\ Index Swaptions are also referred to herein and in the Risk
Policies as ``index options'' or ``index CDS options'', or in
similar terms.
    \8\ Self-Regulatory Organizations; ICE Clear Credit LLC; Notice
of Filing of Filing of Partial Amendment No. 1 and Order Granting
Accelerated Approval of Proposed Rule Change, as Modified by Partial
Amendment No. 1, Relating to the ICC Rules, ICC End-of-Day Price
Discovery Policies and Procedures, and ICC Risk Management
Framework, Exchange Act Release No. 87297 (Oct. 15, 2019); 84 FR
56270 (Oct. 21, 2019) (SR-ICC-2019-007).
    \9\ Id. at 56270, n. 7.
---------------------------------------------------------------------------

    As discussed above, the proposed rule change would amend the Risk
Management Model Description, the Stress Testing Framework, Liquidity
Risk Management Framework, Back-Testing Framework, and Risk Parameter
Setting and Review Policy.

A. Amendments to the Risk Management Model Description

    The proposed rule change would amend ICC's Risk Management Model
Description (``RMMD'') to take into account ICC clearing and settling
Index Swaptions. Specifically, the proposed rule change would extend to
Index Swaptions the existing methodology that ICC uses to determining
initial margin and guaranty fund requirements for index and single-name
CDS. In addition, the proposed rule change would make typographical
corrections and would re-number and update cross-references.
i. Initial Margin
    The RMMD provides an overall description of ICC's initial margin
methodology describes in detail each component thereof. The proposed
rule change would first amend the overall description of ICC's initial
margin methodology to add a general definition for Index Swaptions. The
proposed rule change would define an Index Swaption as an option
instrument that is a specific combination of underlying index,
expiration date, strike price, optionality type, exercise style,
denomination currency, and transaction type. Moreover, the proposed
rule change would specify that for purposes of the initial margin
methodology, ICC would treat an Index Swaption as part of the risk sub-
factor underlying the index referenced by the Index Swaption.
    The proposed rule change would next amend the description of each
component of ICC's initial margin methodology to explain how ICC would
apply that component to Index Swaptions: Jump-to-default, liquidity
charge, concentration charge, interest rate sensitivity, basis risk,
spread response, and anti-procyclicality.
    Beginning with the jump-to-default requirement, the proposed rule
change would specify that ICC would determine an Index Swaption's jump-
to-default requirement by adding the Index Swaption's delta equivalent
notional amount to the aggregate outright position in index CDS and
then determining the jump-to-default requirement for that combined
position.
    With respect to the liquidity charge, the proposed rule change
would add an Index Swaption component to the liquidity charge for the
outright index CDS position. The proposed rule change would set out the
formulas that ICC would use to calculate an Index Swaption component of
the liquidity charge, and the formulas would take into account the
direction of the underlying position (bought or sold protection), other
option characteristics (such as call or put and the underlying index),
bid-offer width scaling factors, and the liquidity charge for the
underlying CDS position. ICC would calculate the specific liquidity
charge for an Index Swaption position by adding together the instrument
level liquidity charges for all Index Swaptions that share the same
effective underlying directionality. Finally, ICC's proposed approach
for Index Swaptions would not provide portfolio benefits between the
Index Swaption position and the outright underlying index position,
meaning that ICC would not reduce the liquidity charge to account for
offsets between the Index Swaption position and the outright underlying
index position.
    For the concentration charge, the proposed rule change would set
out the formulas that ICC would use to calculate the concentration
charge for Index Swaptions. ICC would base the calculation on each
Index Swaption's effective notional amount and 5-year equivalent
analog. Moreover, the proposed rule change would amend the overall
concentration charge analysis to consider Index Swaption positions
combined with outright index CDS positions.
    For the interest rate sensitivity requirement, the proposed rule
change

would extend the existing approach for index CDS to Index Swaptions.
The proposed rule change would adjust this approach to account for
price changes for Index Swaptions. Overall, ICC would use the interest
rate sensitivity requirement to account for the risk associated with
changes in the default-free discount interest rate term structure used
to price Index Swaption instruments.
    With respect to basis risk, the proposed rule change would
calculate basis risk requirements for Index Swaptions based on
decomposed index positions. Similar to the liquidity charge, the
proposed rule change would also specify that Index Swaptions would not
be eligible for decomposition benefits in terms of long-short offsets.
    For the spread response component of initial margin, the proposed
rule change would incorporate an options-implied credit spread
distribution. Specifically, ICC would model an implied distribution of
credit spread log-returns for each put and call instrument at each
given expiry, such that the implied distribution option prices would be
as close as possible to the option prices established via the end-of-
day process. The proposed rule change would also make amendments to
address the determination of expected options payoffs, forward prices
and spreads, and shape parameters for swaption instruments with the
relevant expiry, for purposes of determining the relevant distribution
of implied prices. Finally, the proposed rule change would add formulas
to the profit and loss estimates to take into account Index Swaptions.
    With respect to the anti-procyclicality aspect of initial margin,
currently the RMMD describes how ICC examines instrument price changes
observed during the Lehman Brothers default, including consideration of
the greatest price decreases between end-of-day prices on September 11,
2008 and any of the next five consecutive trading days. The proposed
rule change would extend this period for consideration to the next six
consecutive trading days instead of five. The proposed rule change
would also make this change for the opposite Lehman Brothers scenario.
The proposed rule change would also add formulas to compute the profit
and loss for Index Swaptions under these scenarios. Finally, to
determine the impact of price change on Index Swaption prices, ICC
would re-price the Index Swaptions instruments in the underlying stress
scenarios.
ii. Guaranty Fund
    The proposed rule change would add Index Swaptions to ICC's
calculation of Guaranty Fund requirements. Under the proposed rule
change, ICC would combine the Index Swaption profit and loss with the
index CDS profit and loss to determine the worst combined profit and
loss for both Index Swaptions and Index CDS, and then use that amount
to determine Guaranty Fund requirements. The proposed rule change would
also add language to explain the assumptions that ICC uses when
computing the profit and loss for Index Swaptions.

B. Liquidity Risk Management Framework

    The proposed rule change would amend the Liquidity Risk Management
Framework to add references to Index Swaptions and to further explain
how ICC would consider the liquidity risk associated with Index
Swaptions. Specifically, the proposed rule change would amend the
Liquidity Risk Management Framework to require that ICC consider
extreme but plausible scenarios for Index Swaptions when engaging in
stress testing. The proposed rule change would further add language to
explain the Index Swaption specific scenarios and how ICC creates them,
including the assumptions that ICC uses when creating the scenarios.

C. Risk Parameter Setting and Review Policy

    The proposed rule change would revise the Risk Parameter Setting
and Review Policy to describe the parameters associated with the
liquidity charge, concentration charge, and spread response components
for Index Swaptions, as described above. The proposed rule change would
also describe the assumptions maintained for purposes of pricing Index
Swaptions. Finally, consistent with parameters that ICC uses for
single-name and index CDS,\10\ the proposed rule change would require
that ICC's Risk Management Department review the parameters and
assumptions associated with Index Swaptions at least monthly and
present any proposed updates to the Risk Working Group.
---------------------------------------------------------------------------

    \10\ Self-Regulatory Organizations; ICE Clear Credit LLC; Order
Approving Proposed Rule Change Relating to the ICC Risk Parameter
Setting and Review Policy; Exchange Act Release No. 85495 (Apr. 3,
2019); 84 FR 14158 (Apr. 9, 2019) (SR-ICC-2019-002).
---------------------------------------------------------------------------

    Currently, the Risk Parameter Setting and Review Policy explains
the analyses that ICC performs to explore the sensitivity of the
outputs of ICC's risk management model to certain core parameters.\11\
The proposed rule change would likewise require that ICC perform
sensitivity analysis of estimates used for Index Swaptions. As part of
this sensitivity analysis, the proposed rule change would also require
that ICC use alternative assumptions and methods for implied
distributions and other factors to provide supplementary information to
assess on an ongoing basis the validity and quality of assumptions used
to price Index Swaptions.
---------------------------------------------------------------------------

    \11\ Id.
---------------------------------------------------------------------------

    Finally, the proposed rule change would add references to Index
Swaptions as appropriate and make clarifying amendments and corrections
to the Risk Parameter Setting and Review Policy.

D. Back-Testing Framework

    The proposed rule change would amend the Back-Testing Framework to
ensure that ICC conducts back-testing with respect to Index Swaptions.
The proposed rule change would do so by adding five special strategy
portfolios to assess hypothetical positions in Index Swaptions. As with
other special strategy portfolios, ICC would use the back-testing
results for the special strategy portfolios involving Index Swaptions
to identify and assess potential weaknesses in the risk management
model with respect to Index Swaptions.
    Currently, the Back-Testing Framework requires that ICC Risk report
results of back-testing on a univariate basis, meaning per instrument
and risk factor, periodically and as appropriate depending on market
conditions.\12\ The proposed rule change would similarly require that
ICC conduct periodic univariate back-testing analysis on Index
Swaptions and report the exceedances as an average over all strikes for
each time-to-expiry strip.
---------------------------------------------------------------------------

    \12\ Self-Regulatory Organizations; ICE Clear Credit LLC; Order
Approving Proposed Rule Change Relating to the ICE CDS Clearing:
Back-Testing Framework; Exchange Act Release No. 85357 (Mar. 19,
2019); 84 FR 11146 (Mar. 25, 2019) (SR-ICC-2019-001).
---------------------------------------------------------------------------

    Currently, the Back-Testing Framework provides guidelines for
remediating poor back-testing results.\13\ The proposed rule change
would likewise set out requirements for remediating poor back-testing
results with respect to Index Swaptions. Specifically, under the Back-
Testing Framework as amended, if ICC found that poor back-testing
results were directly related to Index Swaptions, it would conduct an
analysis of the CDS index option implied distribution assumptions,
estimation techniques and estimated parameters. The proposed rule
change would also require that the

ICC Risk Management Department review results and statistical
assumptions related to Index Swaptions. If the back-testing results
based on daily parameter estimates did not exhibit poor performance,
the ICC Risk Management Department could immediately update the
statistical parameters and increase the frequency of parameter updates.
If the daily parameter updates did not remediate poor back-testing
results, the ICC Risk Management Department could recalibrate and
update certain scaling factors related to Index Swaptions.
---------------------------------------------------------------------------

    \13\ Id.
---------------------------------------------------------------------------

E. Stress Testing Framework

    ICC uses stress testing to establish if its available financial
resources are sufficient to cover hypothetical losses associated with
uncollateralized stress losses in extreme but plausible scenarios of
the two greatest groups of Clearing Participants that fall under a
common parent entity (a ``Clearing Participant Affiliate Group''). The
proposed rule change would stress test Index Swaptions by applying each
of the defined stress scenario categories to Index Swaptions. The
proposed rule change would further explain that for each of the stress
scenario categories, ICC would create Index Swaption pricing scenarios
by pricing the option instruments using the calibrated implied
distribution, at the corresponding underlying stress levels and stress
options-implied levels associated with the various pricing scenarios.
Moreover, for each of the stress scenario categories the proposed rule
change would explain in detail how ICC would apply that category to
Index Swaptions. Finally, the proposed rule change would make other
conforming changes to incorporate references to Index Swaptions
throughout the Stress Testing Framework.

III. Discussion and Commission Findings

    Section 19(b)(2)(C) of the Act directs the Commission to approve a
proposed rule change of a self-regulatory organization if it finds that
such proposed rule change is consistent with the requirements of the
Act and the rules and regulations thereunder applicable to such
organization.\14\ For the reasons given below, the Commission finds
that the proposed rule change is consistent with Section 17A(b)(3)(F)
of the Act \15\ and Rules 17Ad-22(b)(2), (b)(3), and (d)(8)
thereunder.\16\
---------------------------------------------------------------------------

    \14\ 15 U.S.C. 78s(b)(2)(C).
    \15\ 15 U.S.C. 78q-2(b)(3)(F).
    \16\ 17 CFR 240.17Ad-22(b)(2), (b)(3), (d)(8).
---------------------------------------------------------------------------

A. Consistency With Section 17A(b)(3)(F) of the Act

    Section 17A(b)(3)(F) of the Act requires, among other things, that
the rules of a clearing agency, like ICC, be designed to promote the
prompt and accurate clearance and settlement of securities transactions
and, to the extent applicable, derivative agreements, contracts, and
transactions, as well as to assure the safeguarding of securities and
funds which are in its custody or control or for which it is
responsible, and, in general, to protect investors and the public
interest.\17\ The Commission believes that the proposed changes to the
Risk Policies generally should help to ensure that ICC collects
sufficient Initial Margin and Guaranty Fund requirements for clearing
Index Swaptions. For example, by amending ICC's Risk Management Model
Description to apply ICC's risk management model to Index Swaptions,
including Initial Margin and Guaranty Fund requirements, the Commission
believes the proposed rule change should help to ensure that ICC
collects Initial Margin and Guaranty Fund contributions necessary to
manage the risks associated with clearing Index Swaptions. Similarly,
by applying the Stress Testing Framework to Index Swaptions, the
Commission believes that the proposed rule change should help to ensure
that ICC maintains sufficient available financial resources to cover
hypothetical losses associated with Index Swaptions for the two
greatest Clearing Participant Affiliate Group uncollateralized stress
losses in extreme but plausible scenarios.
---------------------------------------------------------------------------

    \17\ 15 U.S.C. 78q-2(b)(3)(F).
---------------------------------------------------------------------------

    In addition, by applying the Risk Parameter Setting and Review
Policy to Index Swaptions, the Commission believes the proposed rule
change should help to ensure that the parameters and assumptions that
ICC uses in establishing the Initial Margin and Guaranty Fund
requirements associated with Index Swaptions are appropriately reviewed
and calibrated. Finally, by applying the Back-Testing Framework to
Index Swaptions, the Commission believes the proposed rule change
should help to ensure that ICC tests the requirements produced by the
risk management model with respect to clearing Index Swaptions and
should therefore help to ensure the sound operation of the risk
management model with respect to Index Swaptions.
    Moreover, the Commission also believes the proposed rule change
should help to ensure that ICC maintains adequate liquid resources for
clearing Index Swaptions. Specifically, in applying the Liquidity Risk
Management Framework to the clearing of Index Swaptions, the Commission
believes the proposed rule change should help to ensure that ICC is
able to manage the liquidity risk associated with, and has sufficient
liquid resources to meet the liquidity demands resulting from, clearing
Index Swaptions.
    By helping to ensure that ICC collects and maintains sufficient
Initial Margin and Guaranty Fund requirements for clearing Index
Swaptions, which ICC would use to manage the credit exposures
associated with clearing Index Swaptions, the Commission believes that
the proposed rule change should help improve ICC's ability to avoid
losses that could result from the miscalculation of ICC's credit
exposures resulting from clearing Index Swaptions. Similarly, the
Commission believes the proposed rule change should help ICC to avoid
potential losses that could result from mismanaging the liquidity risks
associated with, or having insufficient liquid resources to satisfy the
liquidity demands resulting from, clearing Index Swaptions. Because
these losses could disrupt ICC's ability to operate, and thus clear and
settle securities transactions, the Commission finds the proposed rule
change should promote the prompt and accurate clearance and settlement
of securities transactions. Because such losses could also threaten
access to securities and funds in ICC's control, the Commission finds
the proposed rule change should help assure the safeguarding of
securities and funds that are in the custody or control of ICC or for
which it is responsible.
    Therefore, the Commission finds that the proposed rule change
should promote the prompt and accurate clearance and settlement of
securities transactions and assure the safeguarding of securities and
funds in ICC's custody and control, consistent with the Section
17A(b)(3)(F) of the Act.\18\
---------------------------------------------------------------------------

    \18\ 15 U.S.C. 78q-2(b)(3)(F).
---------------------------------------------------------------------------

B. Consistency With Rule 17Ad-22(b)(2)

    Rule 17Ad-22(b)(2) requires that ICC establish, implement, maintain
and enforce written policies and procedures reasonably designed to use
margin requirements to limit its credit exposures to participants under
normal market conditions and use risk-based models and parameters to
set margin requirements and review such margin requirements and the
related risk-based models and parameters at least

monthly.\19\ As discussed above, the proposed rule change would amend
ICC's Risk Management Model Description to apply ICC's Initial Margin
requirements to Index Swaptions, which the Commission believes should
help to ensure that ICC uses margin requirements to limit its credit
exposures with respect to Index Swaptions. Moreover, in applying the
Risk Parameter Setting and Review Policy to Index Swaptions, the
proposed rule change would require that ICC's Risk Management
Department reviews the parameters and assumptions associated with Index
Swaptions at least monthly and present any proposed updates to the Risk
Working Group. Therefore, for these reasons, the Commission finds that
the proposed rule change is consistent with Rule 17Ad-22(b)(2).\20\
---------------------------------------------------------------------------

    \19\ 17 CFR 240.17Ad-22(b)(2).
    \20\ 17 CFR 240.17Ad-22(b)(2).
---------------------------------------------------------------------------

C. Consistency With Rule 17Ad-22(b)(3)

    Rule 17Ad-22(b)(3) requires that ICC establish, implement, maintain
and enforce written policies and procedures reasonably designed to
maintain sufficient financial resources to withstand, at a minimum, a
default by the two participant families to which it has the largest
exposures in extreme but plausible market conditions.\21\ As discussed
above, the proposed rule change would amend ICC's Risk Management Model
Description to apply ICC's Guaranty Fund requirements to Index
Swaptions, which the Commission believes should help to ensure that ICC
maintains sufficient financial resources to withstand, at a minimum, a
default by the two participant families to which it has the largest
exposures in extreme but plausible market conditions. Moreover, in
applying the Stress Testing Framework to Index Swaptions, the proposed
rule change would require that ICC take Index Swaptions into
consideration when conducting the stress testing that ICC uses to
establish if its available financial resources are sufficient to cover
hypothetical losses associated with the two greatest Clearing
Participant Affiliate Group uncollateralized stress losses in extreme
but plausible scenarios. Therefore, for these reasons, the Commission
finds that the proposed rule change is consistent with Rule 17Ad-
22(b)(3).\22\
---------------------------------------------------------------------------

    \21\ 17 CFR 240.17Ad-22(b)(3).
    \22\ 17 CFR 240.17Ad-22(b)(3).
---------------------------------------------------------------------------

D. Consistency With Rule 17Ad-22(d)(8)

    Rule 17Ad-22(d)(8) requires that ICC establish, implement, maintain
and enforce written policies and procedures reasonably designed to have
governance arrangements that are clear and transparent to fulfill the
public interest requirements in Section 17A of the Act and to promote
the effectiveness of ICC's risk management procedures.\23\ As discussed
above, in applying the Risk Parameter Setting and Review Policy to
Index Swaptions, the proposed rule change would require that ICC's Risk
Management Department review the parameters and assumptions associated
with Index Swaptions at least monthly and present any proposed updates
to the Risk Working Group. The Commission believes this should
establish a clear and transparent governance arrangement with respect
to reviewing and update those parameter and assumptions. Moreover, as
discussed above, the proposed rule change would revise the Back-Testing
Framework to require that the ICC Risk Management Department review
results and statistical assumptions related to Index Swaptions and
specify actions to remediate poor results. The Commission believes this
should clearly assign responsibility to the ICC Risk Management
Department for reviewing and remediating poor results. Therefore, for
these reasons, the Commission finds that the proposed rule change is
consistent with Rule 17Ad-22(d)(8).\24\
---------------------------------------------------------------------------

    \23\ 17 CFR 240.17Ad-22(d)(8).
    \24\ 17 CFR 240.17Ad-22(d)(8).
---------------------------------------------------------------------------

IV. Conclusion

    On the basis of the foregoing, the Commission finds that the
proposed rule change is consistent with the requirements of the Act,
and in particular, with the requirements of Section 17A(b)(3)(F) of the
Act \25\ and Rules 17Ad-22(b)(2), (b)(3), and (d)(8) thereunder.\26\
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    \25\ 15 U.S.C. 78q-2(b)(3)(F).
    \26\ 17 CFR 240.17Ad-22(b)(2), (b)(3), (d)(8).
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    It is therefore ordered pursuant to Section 19(b)(2) of the Act
\27\ that the proposed rule change (SR-ICC-2020-002), be, and hereby
is, approved.\28\
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    \27\ 15 U.S.C. 78s(b)(2).
    \28\ In approving the proposed rule change, the Commission
considered the proposal's impact on efficiency, competition, and
capital formation. 15 U.S.C. 78c(f).

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\29\
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    \29\ 17 CFR 200.30-3(a)(12).
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J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2020-14009 Filed 6-29-20; 8:45 am]
BILLING CODE 8011-01-P