Self-Regulatory Organizations; International Securities Exchange, LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change Relating to Fee Changes, 5775-5776 [E7-1997]
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Federal Register / Vol. 72, No. 25 / Wednesday, February 7, 2007 / Notices
sroberts on PROD1PC70 with NOTICES
In addition, FICC will be able to
include in a member’s clearing fund
requirement a ‘‘special charge’’ based on
such factors as FICC determines to be
appropriate from time to time. Such
factors may include, but are not limited
to, such things as price fluctuation,
volatility, or lack of liquidity.
The proposed VaR methodology will
necessitate a change to FICC’s risk
management consequences of the late
allocation of repo substitution collateral.
Because offset classes and margin rates
will no longer be present in the revised
GSD rules, FICC will base the margining
for such a generic CUSIP on the same
calculation as that used for securities
whose volatility is less amenable to
statistical analysis.7
The VaR methodology will not
include calculations that are
incorporated in the GSD’s current crossmargining programs with The Clearing
Corporation (‘‘TCC’’) and with the
Chicago Mercantile Exchange (‘‘CME’’).
In order to provide for continuity of
cross-margining following the
implementation of the VaR methodology
and because certain key calculations
required for cross-margining are unique
to cross-margining, FICC will continue
to perform the applicable crossmargining calculations outside of the
VaR model. FICC will then adjust the
cross-margining clearing fund
calculation using a scaling ratio of the
VaR clearing fund calculation to the
cross-margining clearing fund
calculation so that the clearing fund
amount available for cross-margining is
appropriately aligned with the VaR
model. The proposed changes described
herein will necessitate amendments to
FICC’s cross-margining agreements with
TCC and with CME as follows:
1. The definition of FICC’s ‘‘Margin
Rate’’ in each of the agreements will be
amended to reflect that the margin rate
will no longer be based on margin
factors published in the current rules (as
these will no longer be applied under
the VaR methodology). Instead, they
will be determined based on a
percentage that will be determined
using the same parameters and data
(e.g., confidence level and historic
indices) as those used to generate
margin factors in the current rules.
2. Section 5(a) of each crossmargining agreement will be amended
to state that FICC’s residual margin
amount will be calculated as specified
in the agreement and will be adjusted,
7 Securities Exchange Act Release No. 53534
(March 21, 2006), 71 FR 15781 (March 29, 2006)
(File No. SR–FICC–2005–18). This rule change
created a generic CUSIP offset and applicable
margin rate for determining clearing fund
consequences for such late allocations.
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21:36 Feb 06, 2007
Jkt 211001
if necessary, to correct for differences
between the methodology of calculating
the residual margin amount as described
in the agreement and the VaR
methodology. This change will be
necessary to account for the deletion of
relevant margin factors and
disallowance schedules (which, like the
margin factors, are incorporated into the
agreements by reference) from GSD
rules and to adjust for the possibility
that the new VaR methodology could
generate a charge that would otherwise
allow for a cross-margining reduction
that is greater than the margin
requirement.
III. Discussion
Section 19(b) 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. Section 17A(b)(3)(F)
of the Act requires that the rules of a
clearing agency be designed to assure
the safeguarding of securities and funds
in FICC’s custody or control or for
which it is responsible.8 Because FICC’s
proposed rule change implements a VaR
methodology that should better reflect
market volatility and should more
thoroughly distinguish the levels of risk
presented by individual securities, FICC
should be able to more accurately
calculate the risk presented by each of
its member’s activity and to collect
clearing fund to protect against that risk.
As a result, FICC should be in a better
position to assure the safeguarding of
securities and funds in its custody or
control or for which it is responsible.
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 Section 17A of the Act and
the rules and regulations thereunder. In
approving the proposed rule change, the
Commission considered the proposal’s
impact on efficiency, competition and
capital formation.9
It is therefore ordered, pursuant to
Section 19(b)(2) of the Act, that the
proposed rule change (File No. SR–
FICC–2006–16) be and hereby is
approved.
8 15
U.S.C. 78q–1(b)(3)(F).
U.S.C. 78c(f).
10 17 CFR 200.30–3(a)(12).
9 15
PO 00000
Frm 00101
Fmt 4703
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5775
For the Commission by the Division of
Market Regulation, pursuant to delegated
authority.10
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E7–1948 Filed 2–6–07; 8:45 am]
BILLING CODE 8010–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–55221; File No. SR–ISE–
2007–06]
Self-Regulatory Organizations;
International Securities Exchange,
LLC; Notice of Filing and Immediate
Effectiveness of Proposed Rule
Change Relating to Fee Changes
February 1, 2007.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934 (the
‘‘Act’’),1 and Rule 19b–4 thereunder,2
notice is hereby given that on January
22, 2007, the International Securities
Exchange, LLC (‘‘ISE’’ or ‘‘Exchange’’)
filed with the Securities and Exchange
Commission (‘‘Commission’’) the
proposed rule change as described in
Items I, II, and III below, which Items
have been substantially prepared by the
ISE. The ISE has designated this
proposal as one establishing or changing
a due, fee, or other charge applicable
only to a member under Section
19(b)(3)(A)(ii) of the Act,3 and Rule
19b–4(f)(2) thereunder,4 which renders
the proposal effective upon filing with
the Commission. The Commission is
publishing this notice to solicit
comments on the proposed rule change
from interested persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The ISE is proposing to amend its
Schedule of Fees to establish fees for
transactions in options on one Premium
Product.5 The text of the proposed rule
change is available on the ISE’s Web site
(https://www.iseoptions.com/legal/
proposed_rule_changes.asp), at the ISE,
and at the Commission’s Public
Reference Room.
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission, the
ISE included statements concerning the
1 15
U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 15 U.S.C. 78s(b)(3)(A)(ii).
4 17 CFR 240.19b–4(f)(2).
5 ‘‘Premium Products’’ is defined in the Schedule
of Fees as the products enumerated therein.
2 17
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07FEN1
5776
Federal Register / Vol. 72, No. 25 / Wednesday, February 7, 2007 / Notices
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. The ISE has prepared
summaries, set forth in Sections A, B,
and C below, of the most significant
aspects of such statements.
Exchange for all other Premium
Products. Further, since options on PMP
are not multiply-listed, the Payment for
Order Flow fee shall not apply. The
Exchange believes the proposed rule
change will further the Exchange’s goal
of introducing new products to the
marketplace that are competitively
priced.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
2. Statutory Basis
1. Purpose
The Exchange is proposing to amend
its Schedule of Fees to establish fees for
transactions in options on the following
Premium Product: The ISE Integrated
Oil & Gas Index (‘‘PMP’’).6 Specifically,
the Exchange is proposing to adopt an
execution fee and a comparison fee for
all transactions in options on PMP.7 The
amount of the execution fee and
comparison fee for PMP shall be $0.15
and $0.03 per contract, respectively, for
all Public Customer Orders 8 and Firm
Proprietary orders. The amount of the
execution fee and comparison fee for all
ISE Market Maker transactions shall be
equal to the execution fee and
comparison fee currently charged by the
Exchange for ISE Market Maker
transactions in equity options.9 Finally,
the amount of the execution fee and
comparison fee for all non-ISE Market
Maker transactions shall be $0.16 and
$0.03 per contract, respectively. All of
the applicable fees covered by this filing
are identical to fees charged by the
sroberts on PROD1PC70 with NOTICES
6 The
Exchange represents that PMP, a narrowbased index, meets the standards of ISE Rule
2002(b), which allows the ISE to begin trading this
product by filing a Form 19b–4(e) at least five
business days after commencement of trading this
new products pursuant to Rule 19b–4(e) under the
Act. Accordingly, the ISE represents that it has
submitted the required Form 19b–4(e) to the
Commission. See Telephone conversation between
Samir Patel, Assistant General Counsel, ISE, and
Richard Holley III, Special Counsel, Division of
Market Regulation, Commission, on January 25,
2007.
7 These fees will be charged only to Exchange
members. Under a pilot program that is set to expire
on July 31, 2007, these fees will also be charged to
Linkage Orders (as defined in ISE Rule 1900). See
Securities Exchange Act Release No. 54204 (July 25,
2006), 71 FR 43548 (August 1, 2006) (SR–ISE–2006–
38).
8 ‘‘Public Customer Order’’ is defined in ISE Rule
100(a)(39) as an order for the account of a Public
Customer. ‘‘Public Customer’’ is defined in ISE Rule
100(a)(38) as a person that is not a broker or dealer
in securities.
9 The execution fee is currently between $.21 and
$.12 per contract side, depending on the Exchange
Average Daily Volume, and the comparison fee is
currently $.03 per contract side.
VerDate Aug<31>2005
21:36 Feb 06, 2007
Jkt 211001
The basis under the Act for this
proposed rule change is the requirement
under Section 6(b)(4) of the Act 10 that
the rules of an exchange provide for the
equitable allocation of reasonable dues,
fees and other charges among its
members and other persons using its
facilities.
B. Self-Regulatory Organization’s
Statement on Burden on Competition
The proposed rule change does not
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
The Exchange has not solicited, and
does not intend to solicit, comments on
this proposed rule change. The
Exchange has not received any
unsolicited written comments from
members or other interested parties.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
Because the foregoing rule change
establishes or changes a due, fee, or
other charge imposed by the Exchange,
it has become effective pursuant to
Section 19(b)(3)(A) of the Act 11 and
Rule 19b–4(f)(2) 12 thereunder. At any
time within 60 days of the filing of such
proposed rule change, the Commission
may summarily abrogate 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 (https://www.sec.gov/
rules/sro.shtml); or
• Send an e-mail to rulecomments@sec.gov. Please include File
Number SR–ISE–2007–06 on the subject
line.
Paper Comments
• Send paper comments in triplicate
to Nancy M. Morris, Secretary,
Securities and Exchange Commission,
Station Place, 100 F Street, NE.,
Washington, DC 20549–1090.
All submissions should refer to File
Number SR–ISE–2007–06. 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 (https://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 inspection and copying in
the Commission’s Public Reference
Room. Copies of such filing also will be
available for inspection and copying at
the principal office of the ISE. 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–ISE–2007–06 and should be
submitted on or before February 28,
2007.
For the Commission, by the Division of
Market Regulation, pursuant to delegated
authority.13
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E7–1997 Filed 2–6–07; 8:45 am]
BILLING CODE 8010–01–P
10 15
U.S.C. 78f(b)(4).
U.S.C. 78s(b)(3)(A).
12 17 CFR 19b–4(f)(2).
11 15
PO 00000
Frm 00102
Fmt 4703
13 17
Sfmt 4703
E:\FR\FM\07FEN1.SGM
CFR 200.30–3(a)(12).
07FEN1
]]>Agencies
[Federal Register Volume 72, Number 25 (Wednesday, February 7, 2007)]
[Notices]
[Pages 5775-5776]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E7-1997]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-55221; File No. SR-ISE-2007-06]
Self-Regulatory Organizations; International Securities Exchange,
LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule
Change Relating to Fee Changes
February 1, 2007.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(the ``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given
that on January 22, 2007, the International Securities Exchange, LLC
(``ISE'' or ``Exchange'') filed with the Securities and Exchange
Commission (``Commission'') the proposed rule change as described in
Items I, II, and III below, which Items have been substantially
prepared by the ISE. The ISE has designated this proposal as one
establishing or changing a due, fee, or other charge applicable only to
a member under Section 19(b)(3)(A)(ii) of the Act,\3\ and Rule 19b-
4(f)(2) thereunder,\4\ which renders the proposal effective upon filing
with the Commission. The Commission is publishing this notice to
solicit comments on the proposed rule change from interested persons.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ 15 U.S.C. 78s(b)(3)(A)(ii).
\4\ 17 CFR 240.19b-4(f)(2).
---------------------------------------------------------------------------
I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
The ISE is proposing to amend its Schedule of Fees to establish
fees for transactions in options on one Premium Product.\5\ The text of
the proposed rule change is available on the ISE's Web site (https://
www.iseoptions.com/legal/proposed_rule_changes.asp), at the ISE, and
at the Commission's Public Reference Room.
---------------------------------------------------------------------------
\5\ ``Premium Products'' is defined in the Schedule of Fees as
the products enumerated therein.
---------------------------------------------------------------------------
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 ISE included statements
concerning the
[[Page 5776]]
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.
The ISE has prepared summaries, set forth in Sections A, B, and C
below, of the most significant aspects of such statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
1. Purpose
The Exchange is proposing to amend its Schedule of Fees to
establish fees for transactions in options on the following Premium
Product: The ISE Integrated Oil & Gas Index (``PMP'').\6\ Specifically,
the Exchange is proposing to adopt an execution fee and a comparison
fee for all transactions in options on PMP.\7\ The amount of the
execution fee and comparison fee for PMP shall be $0.15 and $0.03 per
contract, respectively, for all Public Customer Orders \8\ and Firm
Proprietary orders. The amount of the execution fee and comparison fee
for all ISE Market Maker transactions shall be equal to the execution
fee and comparison fee currently charged by the Exchange for ISE Market
Maker transactions in equity options.\9\ Finally, the amount of the
execution fee and comparison fee for all non-ISE Market Maker
transactions shall be $0.16 and $0.03 per contract, respectively. All
of the applicable fees covered by this filing are identical to fees
charged by the Exchange for all other Premium Products. Further, since
options on PMP are not multiply-listed, the Payment for Order Flow fee
shall not apply. The Exchange believes the proposed rule change will
further the Exchange's goal of introducing new products to the
marketplace that are competitively priced.
---------------------------------------------------------------------------
\6\ The Exchange represents that PMP, a narrow-based index,
meets the standards of ISE Rule 2002(b), which allows the ISE to
begin trading this product by filing a Form 19b-4(e) at least five
business days after commencement of trading this new products
pursuant to Rule 19b-4(e) under the Act. Accordingly, the ISE
represents that it has submitted the required Form 19b-4(e) to the
Commission. See Telephone conversation between Samir Patel,
Assistant General Counsel, ISE, and Richard Holley III, Special
Counsel, Division of Market Regulation, Commission, on January 25,
2007.
\7\ These fees will be charged only to Exchange members. Under a
pilot program that is set to expire on July 31, 2007, these fees
will also be charged to Linkage Orders (as defined in ISE Rule
1900). See Securities Exchange Act Release No. 54204 (July 25,
2006), 71 FR 43548 (August 1, 2006) (SR-ISE-2006-38).
\8\ ``Public Customer Order'' is defined in ISE Rule 100(a)(39)
as an order for the account of a Public Customer. ``Public
Customer'' is defined in ISE Rule 100(a)(38) as a person that is not
a broker or dealer in securities.
\9\ The execution fee is currently between $.21 and $.12 per
contract side, depending on the Exchange Average Daily Volume, and
the comparison fee is currently $.03 per contract side.
---------------------------------------------------------------------------
2. Statutory Basis
The basis under the Act for this proposed rule change is the
requirement under Section 6(b)(4) of the Act \10\ that the rules of an
exchange provide for the equitable allocation of reasonable dues, fees
and other charges among its members and other persons using its
facilities.
---------------------------------------------------------------------------
\10\ 15 U.S.C. 78f(b)(4).
---------------------------------------------------------------------------
B. Self-Regulatory Organization's Statement on Burden on Competition
The proposed rule change does not 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
The Exchange has not solicited, and does not intend to solicit,
comments on this proposed rule change. The Exchange has not received
any unsolicited written comments from members or other interested
parties.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
Because the foregoing rule change establishes or changes a due,
fee, or other charge imposed by the Exchange, it has become effective
pursuant to Section 19(b)(3)(A) of the Act \11\ and Rule 19b-4(f)(2)
\12\ thereunder. At any time within 60 days of the filing of such
proposed rule change, the Commission may summarily abrogate 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.
---------------------------------------------------------------------------
\11\ 15 U.S.C. 78s(b)(3)(A).
\12\ 17 CFR 19b-4(f)(2).
---------------------------------------------------------------------------
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 (https://
www.sec.gov/rules/sro.shtml); or
Send an e-mail to rule-comments@sec.gov. Please include
File Number SR-ISE-2007-06 on the subject line.
Paper Comments
Send paper comments in triplicate to Nancy M. Morris,
Secretary, Securities and Exchange Commission, Station Place, 100 F
Street, NE., Washington, DC 20549-1090.
All submissions should refer to File Number SR-ISE-2007-06. 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 (https://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 inspection
and copying in the Commission's Public Reference Room. Copies of such
filing also will be available for inspection and copying at the
principal office of the ISE. 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-ISE-2007-06 and should be submitted on or before
February 28, 2007.
For the Commission, by the Division of Market Regulation,
pursuant to delegated authority.\13\
---------------------------------------------------------------------------
\13\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E7-1997 Filed 2-6-07; 8:45 am]
BILLING CODE 8010-01-P
