[Federal Register Volume 85, Number 198 (Tuesday, October 13, 2020)]
[Notices]
[Pages 64551-64556]
[FR Doc No: 2020-22474]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-90099; File No. SR-LCH SA-2020-005]

Self-Regulatory Organizations; LCH SA; Notice of Filing of
Proposed Rule Change Relating to the Clearing of Options on Index
Credit Default Swaps in Respect of North American Indices (More
Specifically, CDX.NA.IG and CDX.NA.HY)

October 6, 2020.
    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 September 24, 2020, Banque Centrale de Compensation, which conducts
business under the name LCH SA (``LCH SA''), filed with the Securities
and Exchange Commission (``Commission'') the proposed rule change
described in Items I, II, and III below, which Items have been prepared
primarily by LCH SA. The Commission is publishing this notice to
solicit comments on the proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Clearing Agency's Statement of the Terms of Substance of the
Proposed Rule Change

    Banque Centrale de Compensation, which conducts business under the
name LCH SA (``LCH SA''), is proposing to amend its rules to permit the
clearing of options on index credit default swaps in respect of North
American indices (more specifically, CDX.NA.IG and CDX.NA.HY) (``CDX
Swaptions'') (the ``Proposed Rule Change'').

    According to filings LCH SA-2017-006 and 007, currently, LCH SA
clears today options on certain European index CDS as the underlying,
i.e., CDS on Markit iTraxx[supreg] Europe Index and iTraxx[supreg]
Crossover Index (``iTraxx Swaptions'').
    The text of the Proposed Rule Change has been annexed as Exhibit
5.\3\
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    \3\ All capitalized terms not defined herein have the same
definition as the Framework or Default Fund Methodology, as
applicable.
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    The launch of the CDX Swaptions initiative will be contingent on
LCH SA's receipt of all necessary regulatory approvals.

II. Clearing Agency's Statement of the Purpose of, and Statutory Basis
for, the Proposed Rule Change

    In its filing with the Commission, LCH SA included statements
concerning the purpose of and basis for the proposed rule change and
discussed any comments it received on the proposed rule change. The
text of these statements may be examined at the places specified in
Item IV below. LCH SA has prepared summaries, set forth in sections A,
B, and C below, of the most significant aspects of these statements.

A. Clearing Agency's Statement of the Purpose of, and Statutory Basis
for, the Proposed Rule Change

1. Purpose
    The Proposed Rule Change will permit LCH SA to introduce clearing
of CDX Swaptions.
    As part of this initiative, LCH SA is proposing to amend its (i)
Reference Guide: CDS Margin Framework (``CDSClear Margin Framework'')
and (ii) CDS Clearing Supplement (``Supplement'') and (iii) CDS
Clearing Procedures (``Procedures'').
i. CDSClear Margin Framework
    The introduction of CDX Swaptions requires minimal changes to
extend the existing risk framework to the new product, these are
reflected in the LCH SA Reference Guide: CDS Margin Framework alongside
other changes described below enabling it to cover the clearing of CDX
Swaptions. This has led to an opportunity to make other changes,
unrelated to the CDX Swaptions, also described below, including changes
to the Vega Margin which would apply to both iTraxx Swaptions and CDX
Swaptions.
    Paragraph 2.3.4 which deals with the Daily Contributions Assessment
has been expanded in order to include CDX Swaptions. Members' price
contribution will be mandatory on CDX Swaptions for all strikes that
are multiples of 2.5 bps for CDX.NA.IG and 0.5 point for CDX.NA.HY of a
given expiry from the moment Members have at least one open position on
one of that expiry's strike, in order to ensure implied volatility
measurements are updated on a daily basis. Otherwise, LCH SA will fall
back to Markit's composite prices or according to section <IP_ADDRESS> of
the Reference Guide: CDS Margin Framework, use pre-defined rules to
fill in missing data.
    The proposed changes in section 3.9 (which are unrelated to the
requirements for clearing CDS Options on CDX) serve to enrich and align
the methodology for calculating Vega Margin with LCH SA's approach
across all products and business segments. Vega Margin captures the
risk of volatility changes in the options premium relative to the
strikes, i.e., the skew risk and the risk of changes in the volatility
of volatility. As a result of a risk model validation finding, LCH SA
is proposing to transition from a parametric model to a historical
model, using predefined scenarios to simulate the risk of volatility
change. In order to introduce shocks on the volatility itself rather
than on the calculation's model parameters only as was the case before,
the new methodology would rely on use of four regular and four stressed
historical scenarios for each index family, calibrated based on the
worst skew risk and the volatility of volatility risk at given
confidence levels. Since Vega Margin represents an add-on amount to
spread margin that accounts for potential moves in assumed volatility,
the P&L impact of the proposed change is not expected to be
significant.
    (a) The volatility scenarios are built using data going back to
April 3, 2007 whereby for each index family, historical scenarios are
identified by making an estimate of the largest 5-day shifts in
volatility distance, at a given percentile, between At-The-Money
strikes and implied volatilities for options with a delta of 10, 25, 75
and 90%, so as to capture the deformation of volatility surface across.
    (b) The Skew and Smile scenarios are calibrated against the worst
volatility surface distortion (i.e., largest changes of the volatility
distance previously defined) at a given confidence level. The scenarios
are derived in the form of volatility shocks at each delta level, these
are used to shift the end of day volatilities, at the corresponding
delta levels, to calibrate a set of shifted or Stochastic Volatility
Inspired (SVI) scenarios as depicted in the updated table in paragraph
3.9.2.
    (c) The number of scenarios calculated for each index family has
been adjusted from eight previously to four as a result of the shocks
now being applied at volatility level.
    In paragraph 4.1.9 of CDSClear Margin Framework,

--As requested by the LCH SA Risk model validation department, a
comment has been added to highlight that although the example given
pertains to iTraxx Swaptions, the same logic applies to CDX Swaptions;
--in the description of Step 2 regarding the calculation of the cost of
vega hedging, it has been detailed that the volume of delta neutral
Swaption notional that can be reasonably unwound by LCH SA in a day is
derived from a clearing member survey and that the volume of principal
index 5YR Off-The-Run-1 series Swaption notional that can be reasonably
unwound by LCH SA in a day is defined in the section on indices;
--in the description of Step 3, the contributions to the macro-hedge
cost, the CDX Swaptions have been added to the description of the
variable beta (``[beta]'') that defines an index sub-family, either
Main or Xover for iTraxx, and IG or HY for CDX.
--in the description of Step 4 regarding the final Liquidity Charge and
in order to aggregate the costs of delta hedging and vega hedging,
while no changes are required to the liquidity and concentration risk
margin methodology, a formula has been added to clarify that the
existing methodology would also apply and to describe how the Foreign
Exchange rate is introduced into the final Liquidity Charge formula in
order to cater for CDX Swaptions.

    With respect to the calculation of liquidity charge, in the event
of a clearing member default the market does not require for swaptions
to be liquidated as a delta-hedged package intended to trade and hedge
an option along with an index but it is deemed more optimal to do so
from a friction cost standpoint as per the market feedback. LCH SA atte
mpts to source the hedges from the CDS part of the defaulting member's
portfolio using a delta hedging algorithm to ensure minimal hedging
costs before sourcing the hedges from the market, and language has been
added to note that the volume of the delta neutral package of the
selected option that can be reasonably unwound per day is based on a
member survey. Finally, additional commentary serves to confirm how
currency conversion from USD to EUR

will apply where options forming part of the delta-hedged package are
priced in USD.
    Paragraph 4.2 sets forth accrued coupon liquidation risk margin
(margin covering the risk that a protection buyer will not be paying
any accrued coupon via the VM between the time it defaukts and the end
of the liquiditation of its portfolio) for both CDS and CDS options.
The accrued coupon liquidation risk margin with respect to CDS Options
remains the same, but now reflects that any such amount for CDX
Swaptions contracts is converted from USD to EUR.
    Finally, the following changes, unrelated to the CDX Swaptions
initiative were made.
    (a) Section 3 provides for the total initial margin framework with
respect to both CDS and CDS Options. While the methodology for
calculating Short Charge margin in section 3.2 remains the same, the
summary language in paragraph 3.1 has been amended to explicit that it
covers the Profit and Loss impact of liquidating a defaulting member's
portfolio under one or two credit events, whereas the number of credit
events considered was previously set to two.
    This is also reflected in the Risk Overview table in paragraph 3.2.
The specific rule to calculate the Short Charge on Financial entities
(which covered the default risk by the two largest Financials entities
comprising the underlying constituent entities of the relevant index)
has been removed. The Short Charge accounts for the risk of default by
the underlying constituent entities of the relevant index, and per the
model used for linear U.S. products this amount would also cover the
possibility of a default in respect of an exposure representing the
average net short exposure of the ten (10) riskiest exposures with the
defined recovery rate cap. Since the approach in respect of iTraxx
Swaptions only accounts for the risk of default of the entity with the
largest net short exposure, the language has been amended to include
the additional default risk that must be taken into account in respect
of CDX Swaptions on CDX.NA.HY. Additionally, the Financial Short Charge
(which covered the default risk by the two largest Financials entities
comprising the underlying constituent entities of the relevant index)
has been deleted. A corresponding change has been made to section 3.2,
which provides an overview of the risks captured by each margin
component.
    (b) Reference to a 10 year sample for the Foreign Exchange rate has
been removed from paragraph <IP_ADDRESS> as it was not an accurate
description of how the Foreign Exchange rate was computed.
    (c) A typographical error in paragraph 3.8.2 has been corrected
(double parenthesis and period missing).
    The Content table and the summary of changes to the document have
been updated as a result of the above mentioned items. Finally,
corresponding changes to provision numbering throughout the Reference
Guide: CDS Margin Framework have been made as necessary.
ii. Supplement
(a) CDX Swaption-Related Amendments
    The Supplement has been amended in order to include the relevant
provisions to allow the clearing of the new CDX Swaptions.
    In Part C of the Supplement, the following amendments have been
made to Section 1.2 (Terms defined in the CDS Clearing Supplement):
    i. The ``CDX Swaption Standard Terms Supplement'' definition has
been added to refer to the applicable documentation to the CDX
Swaptions, as published by Markit North America Inc. and as amended by
the Supplement;
    ii. the definition of the term ``Index Swaption Cleared Transaction
Confirmation'' has been amended to make a reference to the applicable
form of confirmation which is relevant for CDX Swaptions and make some
minor corrections in new indent (a) and in the last paragraph of the
definition;
    iii. the new defined term of ``Submission Deadline'' has been added
in order to cater for both the Markit iTraxx and CDX exercise windows
in respect of a swaption which differ; and
    iv. the definition of ``Transaction Data'' has been amended to make
a reference to the Option Type which is relevant for CDX Swaptions.
    In Sections 6.3, 6.4, 6.5 (paragraph (c)), 6.10 (paragraph (b)) and
Sections 5.3, 5.5 and 5.7 of Appendix VIII (CCM Client Transaction
Requirements) of Part C of the Supplement, references to the standard
fixed time of 4:00 p.m. (London time) or 5:00 p.m. (Central European
Time), which would only be applicable to iTraxx Swaptions, have been
replaced by a reference to the new defined term of ``Submission
Deadline''.
    In Section 7.2, references to the relevant paragraph of the CDX
Swaption Standard Terms Supplement for consistency purpose have been
added.
    References to a CDX as an Underlying Index and the Swaption Type
have been added to the Schedules of Appendix 1 (Form of Exercise
Notice) and Appendix II (Form of Abandonment Notice) to Part C of the
Supplement.
    In Appendix VIII (CCM Client Transaction Requirements) to Part C of
the Supplement, Section 1 has been amended to refer to the CDX
Swaptions Standard Terms Supplement and the definition of ``STS
Supplement'' has been removed. Consequently, the reference to the ``STS
Supplement'' in Section 8.2. of this Appendix has been replaced by a
reference to the ``iTraxx Swaption Standard Terms Supplement'' as this
only concerns iTraxx Swaptions. References to the relevant paragraph of
the CDX Swaption Standard Terms Supplement or the relevant paragraph of
such Supplement have been added where relevant and any reference to the
STS Supplement has been removed from Sections 8.3 and 8.4 of this
Appendix.
(b) Miscellaneous Amendments
    LCH SA is also taking the opportunity of the modification of the
Supplement to make a few changes for clarification/harmonization
purposes.
    In Part C of the Supplement, Section 9.1 (Creation of Matched
Pairs), a principle governing the size of the Matched Pairs created by
LCH SA in the context of a Restructuring or an Exercise has been added
to align with equivalent provisions of Parts A and B of the Supplement.
We have taken the opportunity to remove the amounts of the Matched Pair
from Section 8.1 (Creation of Matched Pairs) of Parts A and Part B of
the Supplement since such amounts are proposed to be set out in a new
Clearing Notice which outlines the maximum applicable Matched Pair
notional amounts to allow for greater flexibility in adapting these
amounts according to market conditions and evolution of open interest
going forward.
    Since the Protocol Effectiveness Condition in respect of the ISDA
2019 NTCE Protocol published by ISDA on 27 August 2019 is now
satisfied, the conditional with the reference to ``if'' have been
removed from Section 2.4 and Appendix XIII (Section 2.6) of Part B of
the Supplement and from Section 2.3 and Appendix VIII (Section 2.4) of
Part C of the Supplement. An equivalent amendment has been made to
Appendix XIII of Part A of the Supplement (Section 2.6) in respect of
the 2014 ISDA Credit Derivatives Definitions Protocol published by ISDA
on 21 August 2014 for consistency purpose.
    References to the Implementation Date as provided for in the 2019
ISDA Narrowly Tailored Credit Event Protocol have been removed from the
definition of the '' iTraxx[supreg] Swaption Standard

Terms Supplement'' in Section 1.2 of Part C of the Supplement to refer
to the current version of this document which is the version published
on 20 March 2017. Indeed, at the time the 2019 ISDA NTCE Protocol-
related amendments were drafted and submitted to the regulatory
process, an initial Swaption Standard Terms Supplement draft taking
into account this Protocol was available. Finally, this draft was taken
no further and the most recent version which is applicable remains the
version published in 2017. Consequently, in Section 2.2 (Index Swaption
Cleared Transaction Confirmation) of Part C of the Supplement, any
confirmation in respect of a Swaption will be amended by specifying in
a new indent (d) that the Standard Terms Date applicable to the
underlying transaction of a Swaption will be the most updated version
of the Standard Terms Supplement to ensure that the applicable version
is the one that has taken into account the 2019 ISDA NTCE Protocol
(i.e., the versions applicable to Markit iTraxx and CDX published on
the Implementation Date of such Protocol). As consequence, the
following indents in Section 2.2 have been renumbered from (e) to (i).
    Finally, the following corrections have been made to the
Supplement:
    i. In Sections 7.10 of Parts A and B, the reference to a ``CDS
Clearing Member'' has been replaced by ``Clearing Member'' which is the
correct defined term to be used;
    ii. In Sections 9.1 of Parts A and B, paragraph (c), it is
specified that the Self Referencing Transaction is a Clearing Member
Self Referencing Transaction to be consistent with the title of Section
9.1;
    iii. In Section 1.2 of Part B, in the definition of ``Index Cleared
Transaction Confirmation'', the correct name of the publisher of the
documentation for Markit CDX has been inserted;
    iv. In Section 1.2 of Part C, a typographical error has been
corrected in the definition of ``Swaption Restructuring Cleared
Transaction'' and the word ``Eligible'' has been removed from the
definition of ``Underlying Index Transaction'' as an Eligible Index
Swaption is not a defined term; and
    v. In Appendix VIII of Part C, the definitions have been removed
from Section 1 as these terms are already defined in Section 1.2 of
Part C.
iii. Procedures
    LCH SA also proposes to modify Section 5 of the Procedures (CDS
Clearing Operations) in order to include the CDX Swaptions in the scope
of the End of Day Price Contribution as set out in Paragraph 5.18.
    Therefore, references to ``CDS'' have been changed to ``CDS and an
Index Swaption'' in paragraphs 5.18.3 and 5.18.5, for instruments with
a CDS Contractual Currency in U.S. Dollar. In paragraph 5.18.4, the
first sentence has been modified to ensure perfect clarity,
additionally the scope of the End of Day Contributed Prices in respect
of CDS with a Contractual Currency in U.S. Dollar has been extended to
include Index Swaptions.
    In paragraph 5.18 (b), the restriction to Index Swaptions with a
CDS Contractual Currency in Euro has been removed and the Delta Hedged
Swaption Package has been split into two sub-sections in order to cater
for the two different timings for the iTraxx Swaptions on the one hand
and the CDX Swaptions on the other.
(b) Statutory Basis
    LCH SA believes that the Proposed Rule Change in connection with
the clearing of CDS Options on CDX is consistent with the requirements
of Section 17A of the Securities Exchange Act of 1934 \4\ (the ``Act'')
and the regulations thereunder, including the standards under Rule
17Ad-22.\5\ Section 17(A)(b)(3)(F) \6\ of the Act requires, among other
things, that the rules of a clearing agency be designed to promote the
prompt and accurate clearance and settlement of securities transactions
and derivative agreements, contracts, and transactions and to assure
the safeguarding of securities and funds which are in the custody or
control of the clearing agency or for which it is responsible. As noted
above, the Proposed Rule Change is designed to manage the risk arising
from the clearing of CDX Swaptions and to streamline the description of
the existing margin framework for CDS Options to take into account CDX
Swaptions and improve the organization and clarity of the CDSClear
Margin Framework.
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    \4\ 15 U.S.C. 78q-1.
    \5\ 17 CFR 240.17Ad-22.
    \6\ 15 U.S.C. 78q-1(b)(3)(F).
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    LCH SA believes that the proposed changes to the CDSClear Margin
Framework satisfy the requirements of Rule 17Ad-22(b)(2), (e)(1), and
(e)(6).\7\
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    \7\ 17 CFR 240.17Ad-22(b)(2), (e)(1) and (e)(6).
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    Rule 17Ad-22(b)(2) requires a clearing agency to use margin
requirements to limit its credit exposures to participants under normal
market conditions and to use risk- based models and parameters to set
margin requirements.\8\
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    \8\ 17 CFR 240.17Ad-22(b)(2).
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    Rule 17Ad-22(e)(6) requires a covered clearing agency that provides
central counterparty services to cover its credit exposures to its
participants by establishing a risk-based margin system that meets
certain minimum requirements.\9\
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    \9\ 17 CFR 240.17Ad-22(e)(6)(i).
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    As described above, LCH SA proposes to amend its margin framework
to manage the risks associated with clearing CDX Swaptions.
Specifically, the proposed rule change amends the existing short charge
component of the total initial margin to take into account a
specificity in respect of options on CDX.NA.HY consistent with Rule
17Ad-22(e)(6)(i) requiring a covered clearing agency that provides CCP
services to establish, implement, maintain and enforce written policies
and procedures reasonably designed to result in a margin system that,
at a minimum, considers and produces margin levels commensurate with
the risks and particular attributes of each relevant product,
portfolio, and market.
    In addition, the proposed rule change adds the new methodology for
calculating Vega Margin, based on a historical model approach rather
than a parametric model, to account for the skew risk and volatility of
volatility risk specific to CDS Options. These changes are unrelated to
the clearing of CDX Swaptions and intended to align LCH SA's approach
across all products and business segments, while still relying on use
of a risk-based model to set margin requirements and limit LCH SA's
credit exposures to participants in clearing CDS and/or CDS Options
under normal market conditions, consistent with Rule 17Ad-22(b)(2).
    For the same reasons, the Proposed Rule Change would improve LCH
SA's ability to manage financial risk exposures that may arise in the
course of its ongoing clearance and settlement activities and thus
better allow LCH SA to complete the accurate clearance and settlement
process in the event of a member default. Similarly, it should enhance
LCH SA's ability to help assure the safeguarding of securities and
funds which are in the custody or control of LCH SA or for which it is
responsible, consistent with the section 17(A)(b)(3)(F).
    LCH SA also believes that the Proposed Rule Change is consistent
with Rule 17Ad-22(e)(6)(i) and (v) requiring a covered clearing agency
to

establish, implement, maintain and enforce written policies and
procedures reasonably designed to ensure the use of an appropriate
method for measuring credit exposure that accounts for relevant product
risk factors and portfolio effects across products. Its risk-based
margin methodology, including the new Vega Margin approach, takes into
account, and generates margin levels commensurate with, the risks and
particular attributes of each of the CDS and CDS Options at the product
and portfolio levels, appropriate to the relevant market it serves. CDX
Swaptions initiative will not introduce any new product risk factors.
All risk factors of North American CDX indices are already covered as
LCH SA already clears them, and the implied volatilities were already
captured by the existing model for iTraxx options (partly in the spread
margin for the at-the-money volatility moves, and partly in the vega
margin for skew and smile risk). Portfolio effects are still captured
in the same way, also consistent with the EMIR 80% cap on offsets.
    In addition, LCH SA believes that the margin calculation under the
revised CDSClear Margin Framework would sufficiently account for the 5-
day liquidation period for house account portfolio and 7-day
liquidation period for client portfolio and therefore, is reasonably
designed to cover LCH SA's potential future exposure to participants in
the interval between the last margin collection and the close out of
positions following a participant default, consistent with the
provisions of Rule 17Ad-22(e)(6)(iii) requiring a covered clearing
agency to establish, implement, maintain and enforce written policies
and procedures reasonably designed to calculate margin sufficient to
cover its potential future exposure to participants in the interval
between the last margin collection and the close out of positions
following a participant default.\10\
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    \10\ 17 CFR 240.17Ad-22(e)(6)(iii).
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    LCH SA also believes that the proposed rule change is consistent
with Rule 17Ad-22(e)(1), which requires each covered clearing agency's
policies and procedures reasonably designed to provide for a well-
founded, clear, transparent, and enforceable legal basis for each
aspect of its activities in all relevant jurisdictions. As described
above, the proposed rule change would streamline the description of
margin methodology in CDSClear legal and Margin Framework. Instead of
relying on shocks applied to unobservable parameters of a risk model,
the change introduced to the methodology for calculating Vega Margin is
focusing on the observable changes in volatilities. LCH SA believes
that the Proposed Rule Change change would improve the organization and
clarity of these policies and provide for a clear and transparent legal
basis for LCH SA's margin requirements, consistent with Rule 17Ad-
22(e)(1).\11\
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    \11\ 17 CFR 240.17Ad-22(e)(1).
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    For the reasons stated above, LCH SA believes that the proposed
rule change with respect to CDSClear Margin Framework in connection
with clearing of CDS Options on CDX is consistent with the requirements
of prompt and accurate clearance and settlement of securities
transactions and derivative agreements, contracts and transactions, and
assuring the safeguarding of securities and funds in the custody or
control of the clearing agency or for which it is responsible, in
accordance with 17(A)(b)(3)(F) of the Act.\12\
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    \12\ 15 U.S.C. 78q-1(b)(3)(F).
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B. Clearing Agency's Statement on Burden on Competition.

    Section 17A(b)(3)(I) of the Act requires that the rules of a
clearing agency not impose any burden on competition not necessary or
appropriate in furtherance of the purposes of the Act.\13\ LCH SA does
not believe that the proposed rule change would impose burdens on
competition that are not necessary or appropriate in furtherance of the
purposes of the Act. Specifically, the proposed changes to CDSClear
Margin Framework would apply equally to all Clearing Members whose
portfolio includes CDS and/or CDS Options. Because the margin
methodology is risk-based, consistent with the requirements in Rule
17Ad-22(b)(2) and (e)(6), depending on a Clearing Member's portfolio,
each Clearing Member would be subject to a margin requirement
commensurate with the risk particular to its portfolio. Such margin
requirement imposes burdens on a Clearing Member but such burdens would
be necessary and appropriate to manage LCH SA's credit exposures to its
CDSClear participants and to maintain sufficient financial resources to
withstand a default of two participant families to which LCH SA has the
largest exposures in extreme but plausible market conditions,
consistent with the requirements under the Act.
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    \13\ 15 U.S.C. 78q-1(b)(3)(I).
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    Therefore, LCH SA does not believe that the proposed rule change
would impose a burden on competition not necessary or appropriate in
furtherance of the purposes of the Act.

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

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

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

    Within 45 days of the date of publication of this notice in the
Federal Register or within such longer period up to 90 days (i) as the
Commission may designate if it finds such longer period to be
appropriate and publishes its reasons for so finding or (ii) as to
which the self-regulatory organization consents, the Commission will:
    (A) By order approve or disapprove such proposed rule change, or
    (B) institute proceedings to determine whether the proposed rule
change should be disapproved.

IV. Solicitation of Comments

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

Electronic Comments

     Use the Commission's internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to<EMAIL_ADDRESS>Please include
File Number SR-LCH SA-2020-005 on the subject line.

Paper Comments

     Send paper comments in triplicate to Secretary, Securities
and Exchange Commission, 100 F Street NE, Washington, DC 20549-1090.

All submissions should refer to File Number SR-LCH SA-2020-005. This
file number should be included on the subject line if email is used. To
help the Commission process and review your comments more efficiently,
please use only one method. The Commission will post all comments on
the Commission's internet website (http://www.sec.gov/rules/sro.shtml).
Copies of the submission, all subsequent amendments, all written
statements with respect to the proposed rule change that are filed with
the Commission, and all written communications relating to the proposed
rule change between the Commission and any person, other than

those that may be withheld from the public in accordance with the
provisions of 5 U.S.C. 552, will be available for website viewing and
printing in the Commission's Public Reference Room, 100 F Street NE,
Washington, DC 20549 on official business days between the hours of
10:00 a.m. and 3:00 p.m. Copies of the filing also will be available
for inspection and copying at the principal office of LCH SA and on LCH
SA's website at: https://www.lch.com/resources/rules-and-regulations/proposed-rule-changes-0. All comments received will be posted without
change. Persons submitting comments are cautioned that we do not redact
or edit personal identifying information from comment submissions. You
should submit only information that you wish to make available
publicly. All submissions should refer to File Number SR-LCH SA-2020-
005 and should be submitted on or before November 3, 2020.
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    \14\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\14\
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2020-22474 Filed 10-9-20; 8:45 am]
BILLING CODE 8011-01-P