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Federal Register / Vol. 86, No. 164 / Friday, August 27, 2021 / Notices All submissions should refer to File No.
SRPEARL202138. 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 Commissions 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 Commissions Public Reference Room, 100 F Street NE, Washington, DC 20549, on official business days between the hours of 10:00 a.m. and 3:00 p.m. Copies of the filing also will be available for inspection and copying at the principal office of the Exchange. All comments received will be posted without change.
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 No.
SRPEARL202138, and should be submitted on or before September 17, 2021.

I. Clearing Agencys Statement of the Terms of Substance of the Proposed Rule Change
BILLING CODE 801101P

a Banque Centrale de Compensation, which conducts business under the name LCH SA, is proposing to expand the non-cash collateral that a Clearing Member 3 may post with LCH SA to meet the members margin requirements the Eligible Collateral to include certain additional non-Euro government bonds by i amending its CDS Clearing Rulebook the Rule Book to clarify that such additional non-Euro government bonds are excluded from the Pledged Eligible Collateral, and ii publishing a new Clearing Notice, in accordance with Article 4.2.6.1 of the CDS Clearing Rule Book, specifying the additional acceptable non-Euro government bonds. LCH SA is also proposing to expand the custodians at which Clearing Members may deposit Eligible Collateral by adding Clearstream Banking Luxembourg as a central securities depository for LCH SA
in Section 3 of the CDS Clearing ProceduresCollateral, Variation Margin and Cash Payment. Finally, LCH
SA is proposing to amend its Liquidity Risk Modelling Framework the Framework to take into account the expanded list of Eligible Collateral.

SECURITIES AND EXCHANGE
COMMISSION

II. Clearing Agencys Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change
For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.20
Jill M. Peterson, Assistant Secretary.
FR Doc. 202118463 Filed 82621; 8:45 am
Release No. 3492723; File No. SRLCH
SA2021002

Self-Regulatory Organizations; LCH
SA; Notice of Filing of Proposed Rule Change Relating to Eligible Collateral and Liquidity Risk Management August 23, 2021.
lotter on DSK11XQN23PROD with NOTICES1

18, 2021, 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 Proposed Rule Change described in Items I, II
and III below, which Items have been primarily prepared primarily by LCH
SA. The Commission is publishing this notice to solicit comments on the Proposed Rule Change from interested persons.

Pursuant to Section 19b1 of the Securities Exchange Act of 1934
Act,1 and Rule 19b4 thereunder,2
notice is hereby given that on August
3 Capitalized terms used but not defined herein shall have the meaning specified in the Rule Book, the Clearing Supplement, the Procedures and the Clearing Regulations, as applicable.

20 17

CFR 200.303a12.
1 15 U.S.C. 78sb1.
2 17 CFR 240.19b4.

VerDate Sep<11>2014

17:52 Aug 26, 2021

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 such statements.

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A. Clearing Agencys Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change 1. Purpose The Proposed Rule Change is being adopted to expand the non-Euro government bonds that a Clearing Member may post with LCH SA in order to satisfy the clearing members margin requirements. Currently, the only nonEuro Eligible Collateral are Gilts, issued by the United Kingdom, and Treasury Bills, issued by the United States. LCH
SA is proposing to expand the list of Eligible Collateral in response to clearing member requests and in order to harmonize permitted Eligible Collateral with the Eligible Collateral permitted to satisfy clearing member margin requirements at LCH SAs affiliate LCH Limited.4
To effect this change, LCH SA is proposing to issue a new Clearing Notice identifying the additional nonEuro Eligible Collateral, defined as New Instruments in the Clearing Notice.5 LCH SA has determined that i each of the non-Euro jurisdictions whose bonds have been added have a high credit score, and ii each of the New Instruments has sufficient liquidity.6 However, because the European Central Bank will not convert the additional non-Euro Eligible Collateral to Euros and LCH SA
currently does not otherwise have the operational capacity to convert the additional non-Euro Eligible Collateral to Euros, the Clearing Notice will also provide that non-Euro Eligible Collateral may satisfy no more than 15 percent 15% of a Clearing Members total margin requirements.
In addition, the Clearing Notice will provide that the New Instruments will not be eligible as Pledged Eligible Collateral and, therefore, may not be pledged in accordance with a pledge agreement entered into between LCH SA
4 LCH Limited is a recognized central counterparty supervised in the United Kingdom by the Bank of England and a derivatives clearing organization registered with the Commodity Futures Trading Commission.
5 The additional non-Euro Eligible Collateral, identified as New Instruments in the Clearing Notice, include: i Australian Treasury Bills and Government Bonds; ii Canadian Treasury Bills and Government Bonds; iii Danish Treasury Bills and Government Bonds; iv Japanese Treasury Bills, Treasury Discount Bills, and Government Bonds; v Norwegian Treasury Bills and Government Bonds; vi Swedish Treasury Bills and Government Bonds; and vii Swiss Treasury Bills and Government Bonds. The complete list of Eligible Collateral, together with all applicable haircuts, is also found on LCH SAs website as set out in Paragraph 3.9 of the Procedures.
6 Only instruments with a minimum outstanding amount of 500 million or greater will be eligible to be posted with LCH SA.

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