Self-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change Extending the Portfolio Margin Pilot Program Under NYSE Rules 431 (Margin Requirements) and 726 (Delivery of Options Disclosure Document and Prospectus), 41377-41380 [E7-14503]
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Federal Register / Vol. 72, No. 144 / Friday, July 27, 2007 / Notices
For the Commission, by the Division of
Market Regulation, pursuant to delegated
authority.11
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E7–14504 Filed 7–26–07; 8:45 am]
BILLING CODE 8010–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–56113; File No. SR–NSX–
2007–05]
Self-Regulatory Organizations;
National Stock Exchange, Inc.; Order
Approving Proposed Rule Change to
Modify Chapter VII of the Exchange’s
Rules Regarding Suspensions of an
ETP Holder by Certain Exchange
Officers
July 20, 2007.
I. Introduction
On May 9, 2007, the National Stock
Exchange, Inc. (‘‘NSX’’ or the
‘‘Exchange’’) filed with the Securities
and Exchange Commission
(‘‘Commission’’) a proposed rule
change, pursuant to section 19(b)(1) of
the Securities Exchange Act of 1934
(‘‘Act’’) 1 and Rule 19b–4 thereunder 2 to
modify Chapter VII of the Exchange’s
rules to provide that the Chairman of
the Exchange’s Board of Directors
(‘‘Chairman’’) or the Exchange’s Chief
Regulatory Officer, or their respective
designees, would have the authority to
summarily suspend or place limitations
or conditions on an ETP Holder or
summarily suspend a person from
access to Exchange services in certain
circumstances. Notice of the proposed
rule change was published for comment
in the Federal Register on June 18,
2007.3 The Commission received no
comments on the proposal. This order
approves the proposed rule change.
jlentini on PROD1PC65 with NOTICES
II. Description of the Proposed Rule
Change
NSX Rule 7.1 currently authorizes the
Chairman of the NSX Board of Directors
(‘‘Chairman’’) or NSX’s President
(‘‘President’’) to summarily suspend an
ETP Holder, or impose such conditions
and restrictions upon an ETP Holder as
are reasonably necessary for the
protection of investors, the Exchange,
the creditors, and the customers of such
ETP Holder, if such ETP Holder, among
other things, has failed to perform its
contracts, is insolvent, or is in such
11 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
3 See Securities Exchange Act Release No. 55893
(June 11, 2007), 72 FR 33551.
1 15
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financial or operational condition or
operating its business in such a manner
that it cannot be permitted to continue
in business with safety to its customers,
creditors, and other ETP Holders of the
Exchange.4 The Chairman or President
may also lift such a suspension without
further proceedings, if appropriate.5
NSX Rule 7.6 currently permits the
Chairman or President to, under certain
circumstances, summary limit or
prohibit, persons from access to services
offered by the Exchange.
NSX proposes to amend Rules 7.1 and
7.6 to authorize the Chairman or NSX’s
Chief Regulatory Officer (‘‘CRO’’), or
their respective designees, to impose
and lift suspensions as described above.
NSX’s President would no longer have
such authority. The Exchange represents
that the designee for the Chairman
would be the Chairman of the
Exchange’s Regulatory Oversight
Committee (‘‘ROC’’), a member of the
ROC, or another independent member of
the Exchange’s Board of Directors,6 in
that order of priority. The designee for
the CRO would be an officer in the
Exchange’s Regulatory Services
Division. The proposal does not
otherwise modify NSX’s rules regarding
suspension, including its provisions for
review of summary actions.
III. Discussion and Commission
Findings
The Commission has reviewed the
proposed rule change and finds that it
is consistent with the Act and the rules
and regulations thereunder applicable to
a national securities exchange.7
Specifically, the Commission finds that
the proposed rule change furthers the
objectives of section 6(b)(1) 8 of the Act,
which requires the Exchange to be so
organized and have the capacity to be
able to carry out the purposes of the Act
and to comply, and to enforce
compliance by its members, with the
Act and the rules of the Exchange. In
addition, the Commission finds that the
proposed rule change, as amended, is
consistent with section 6(b)(5) of the
Act,9 which requires, among other
things, that the rules of a national
NSX Rule 7.1(a).
NSX Rule 7.1(c).
6 NSX By-Law Section 1.1(I)(1) defines
‘‘Independent Director’’ as a member of the Board
that the Board has determined to have no material
relationship with the Exchange or any affiliate of
the Exchange, or any ETP Holder or any affiliate of
any ETP Holder, other than as a member of the
Board.
7 In approving this proposed rule change, the
Commission notes that it has considered the
proposed rule’s impact on efficiency, competition,
and capital formation. See 15 U.S.C. 78c(f).
8 15 U.S.C. 78f(b)(1).
9 15 U.S.C. 78f(b)(5).
PO 00000
4 See
5 See
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41377
securities exchange be designed to
promote just and equitable principles of
trade, 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 Commission believes that the
reallocation of authority under NSX
Rules 7.1 and 7.6 from the Chairman
and President to the Chairman and CRO,
or their respective designees, is
consistent with the Act. The
Commission also believes that the
reallocation is designed to provide for
continuity in the event that the
Chairman or CRO is unavailable. The
Commission notes that the Exchange’s
rules governing the review of
suspensions remain unchanged.
IV. Conclusion
It is therefore ordered, pursuant to
section 19(b)(2) of the Act,10 that the
proposed rule change (File No. SR–
NSX–2007–05) be, and hereby is,
approved.
For the Commission, by the Division of
Market Regulation, pursuant to delegated
authority.11
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E7–14506 Filed 7–26–07; 8:45 am]
BILLING CODE 8010–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–56107; File No. SR–NYSE–
2007–56]
Self-Regulatory Organizations; New
York Stock Exchange LLC; Notice of
Filing and Immediate Effectiveness of
a Proposed Rule Change Extending
the Portfolio Margin Pilot Program
Under NYSE Rules 431 (Margin
Requirements) and 726 (Delivery of
Options Disclosure Document and
Prospectus)
July 19, 2007.
Pursuant to section 19(b)(1) of the
Securities Exchange Act of 1934 (the
‘‘Exchange Act’’),1 and Rule 19b–4
thereunder,2 notice is hereby given that
on June 28, 2007, the New York Stock
Exchange LLC (‘‘NYSE’’ or the
‘‘Exchange’’) filed with the Securities
and Exchange Commission (‘‘SEC’’ or
the ‘‘Commission’’) the proposed rule
change as described in Items I, II, and
III below, which Items have been
substantially prepared by the Exchange.
10 15
U.S.C. 78s(b)(2).
CFR 200.30–3(a)(12).
1 15 U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
11 17
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Federal Register / Vol. 72, No. 144 / Friday, July 27, 2007 / Notices
The Exchange has designated the
proposed rule change as constituting a
‘‘non-controversial’’ rule change
pursuant to section 19(b)(3)(A) of the
Act 3 and Rule 19b–4(f)(6) 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 NYSE is filing with the
Commission rules previously approved
in order to secure a one-year extension
of the pilot program (from August 1,
2007 until July 31, 2008) reflected in the
changes embodied in SR–NYSE–2006–
13, which was approved by the
Commission on December 12, 2006 on
a pilot basis, to expire on July 31, 2007.5
The previously approved changes to
NYSE Rule 431 (‘‘Margin
Requirements’’) expanded the scope of
products that are eligible for treatment
as part of the original Commissionapproved portfolio margin pilot
program 6 and expanded pilot; 7
eliminated the $5 million equity
requirement, except for accounts that
carry unlisted derivatives; and
eliminated the use of a cross-margin
account for margining eligible securities
products with eligible commodity
products. The approved pilot rules also
deleted the ‘‘Sample Portfolio Margining
and Cross Margining Risk Disclosure
Statement to Satisfy Requirements of
Exchange Rule 431(g),’’ previously
found in NYSE Rule 726 (‘‘Delivery of
Options Disclosure Document and
Prospectus’’).8
There is no change to the rule text
with this proposed rule change. The text
of the proposed rule change is available
at the NYSE’s Web site (https://
www.nyse.com), at the principal office
of the NYSE, and at the Commission’s
Public Reference Room.
3 15
U.S.C. 78s(b)(3)(A).
CFR 240.19b–4.
5 See Exchange Act Release No. 54918 (December
12, 2006), 71 FR 75790 (December 18, 2006) [SR–
NYSE–2006–13].
6 See Exchange Act Release No. 52031 (July 14,
2005), 70 FR 42130 (July 21, 2005) [SR–NYSE–
2002–19]; see also NYSE Information Memo 05–56,
dated August 18, 2005, for additional information.
7 See Exchange Act Release No. 54125 (July 11,
2006), 71 FR 40766 (July 18, 2006) (SR–NYSE–
2005–93); see also NYSE Information Memo 06–57,
dated August 2, 2006, for additional information.
8 See supra note 5.
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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
Exchange included statements
concerning the purpose of, and basis for,
the proposed rule change. The text of
these 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 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 extend
for one year the portfolio margin pilot
program,9 which has been expanded to
make the following products eligible for
treatment under portfolio margin
requirements: all margin equity
securities,10 listed options, unlisted
derivatives, and security futures
products, provided certain requirements
are met. The Exchange believes that the
benefits which these regulations deliver,
together with the widespread industry
acceptance of the changes, supports a
one year extension of the pilot program.
Such an extension will give the
Exchange an opportunity to better gauge
the impact of the changes to the credit
profile of its member organizations and
to determine whether changes to the
pilot are needed. The Exchange will also
seek to determine whether fixed income
securities should be added to the list of
eligible products.
The proposed rule change will
facilitate the continuing evaluation of
the portfolio margin pilot. The Exchange
believes that the proposed rule change
is non-controversial, given the extensive
prior publication of the portfolio
margining rules, their previous approval
in pilot status, the lack of problematic
public comment on prior filings, and the
lack of comment on the December 2006
approval of the pilot program.11
a. The Original Pilot
On July 14, 2005, the Commission
approved the original portfolio margin
rules that amended Exchange Rules 431
and 726 to permit, on a two-year pilot
basis, the use of a prescribed risk-based
supra note 5.
term ‘‘margin equity security’’ utilizes the
definition at Section 220.2 of Regulation T of the
Board of Governors of the Federal Reserve System,
excluding a non-equity security.
11 See supra note 5.
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9 See
10 The
Frm 00094
Fmt 4703
Sfmt 4703
methodology 12 for listed, broad-based
U.S. index options and index warrants,
along with any underlying instruments,
as an alternative to the strategy or
position based margin requirements,13
currently required in Rule 431(a)
through (f).
b. Portfolio Margin Requirements
Portfolio margining is a margin
methodology that sets margin
requirements for an account based on
the greatest projected net loss of all
positions in a product class or group.
The pilot utilizes a Commissionapproved theoretical options pricing
model.14 These scenarios are designed
to measure the theoretical loss of the
positions given changes in both the
underlying price and implied volatility
inputs to the model. Accordingly, the
margin required is based on the greatest
loss that would be incurred in a
portfolio if the value of its components
move up or down by a predetermined
amount. Member organizations are no
longer required to compute a margin
requirement for each individual
position or strategy for eligible positions
in a customer’s portfolio margin
account.15
Utilizing portfolio margin enables the
portfolio to be subjected to certain
preset market volatility parameters that
reflect historical moves in the
underlying security thereby assessing
potential loss in the portfolio in the
aggregate. Accordingly, such a
methodology provides a more risk based
calculation of margin requirements.
As a pre-condition to permitting
portfolio margining, member
organizations are required to establish
12 See
supra note 6.
to the portfolio margin pilot, member
organizations were solely subject, pursuant to NYSE
Rule 431, to strategy or positioned-based margin
requirements. This methodology applied specific
margin percentage requirements as prescribed in
Rule 431 to each security position and/or strategy,
either long or short, held in a customer’s account,
irrespective of the fact that all security (e.g.,
options) prices do not change equally (in percentage
terms) with a change in the price of the underlying
security. When utilizing a portfolio margin
methodology, offsets are fully realized, whereas
under strategy or position-based methodology,
positions and/or groups of positions comprising a
single strategy are margined independently of each
other and offsets between them do not efficiently
impact the total margin requirement.
14 The theoretical options pricing model is used
to derive position values at each valuation point for
the purpose of determining the gain or loss. For
purposes of the portfolio margin pilot, the amount
of initial and maintenance margin required with
respect to a portfolio is the larger of: (1) The greatest
loss amount among the valuation calculations; or
(2) the sum of $.375 for each option and security
future in the portfolio multiplied by the contract’s
(e.g. 100 shares per contract) or instrument’s
multiplier.
15 See NYSE Rule 431.
13 Prior
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Federal Register / Vol. 72, No. 144 / Friday, July 27, 2007 / Notices
comprehensive procedures and controls
to monitor credit risk to the member
organization’s capital, including intraday credit risk and stress testing of
portfolio margin accounts. Further,
member organizations must establish
procedures for regular review and
testing of these required risk analysis
procedures and controls.16
c. Expanded Pilot
On December 29, 2005, the Exchange
filed with the Commission a proposed
rule change to Rule 431 to expand the
approved products for certain customers
eligible for treatment under portfolio
margin requirements to include security
futures and single stock options.17
Collectively, these approved pilot rules
are referred to as the ‘‘Expanded
Pilot.’’ 18 The Expanded Pilot was
noticed for comment in the Federal
Register on January 23, 2006.19 The
comment period that ended February
13, 2006, resulted in three comment
letters received, dated February 13,
2006, from the Securities Industry
Association, Citigroup Global Markets
Inc. and the Futures Industry
Association.
On June 2, 2006 the Exchange filed
with the Commission a response to the
comment letters. In its response to
comments, the Exchange noted that
many of the comments included in
these three letters were addressed in a
subsequent rule filing, SR–NYSE–2006–
13 20 that was made by the Exchange
with the Commission on March 1, 2006.
Specifically, in SR–NYSE–2006–13, the
Exchange proposed the elimination of
the cross-margin account and the
expansion of the types of eligible
products that could be included in a
portfolio margining account.21
On July 11, 2006, the Commission
approved the Expanded Pilot 22 to
include listed security futures and listed
16 See
NYSE Rule 431(g).
Exchange and CBOE received letters in late
September 2005 from SEC Chairman Cox asking the
SROs to consider expanding portfolio margining to
a broader universe of products. The SEC
encouraged the Exchanges to file a rule proposal
before year-end 2005.
18 The discussion under the ‘‘Expanded Pilot’’
section includes the portfolio margin rules, as
expanded to include security futures and single
stock options only. This discussion does not
include the portfolio margin rules as approved by
the Commission in December 2006. See Sections I
and II.A.1. for a discussion of the portfolio margin
rules as approved in December 2006; see also supra
note 5.
19 See Exchange Act Release No. 53126 (January
13, 2006) 71 FR 3586 (January 23, 2006) [SR–NYSE–
2005–93].
20 See Exchange Act Release No. 53577 (March
30, 2006) 71 FR 17539 (April 6, 2006) [SR–NYSE–
2006–13].
21 See supra note 5.
22 See supra notes 7 and 18.
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17 The
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16:53 Jul 26, 2007
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single stock options as eligible products
for customer portfolio margining.
2. Statutory Basis
The Exchange believes that the
proposed rule change is consistent with
the section 6(b) of the Act,23 in general,
and furthers the objectives of section
6(b)(5) 24 of the Act, in particular,
because it is designed to promote just
and equitable principles of trade, to
prevent fraudulent and manipulative
acts and practices, and, in general, to
protect investors and the public interest.
A one-year extension of the portfolio
margin pilot program is consistent with
this section in that it will enable the
Exchange to better judge the operation
and benefit of the rules, which in turn
are expected to better align margin
requirements with the actual risk of
hedged products, potentially alleviate
excess margin calls and potentially
reduce the risk of forced liquidations of
positions in customer accounts. In
addition, it will allow the Exchange to
study the impact of these changes to the
credit profile of its member
organizations.
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 Exchange Act.
C. Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received From
Members, Participants or Others
The Exchange has neither solicited
nor received written comments on the
proposed rule change.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
Because the foregoing rule change
does not: (i) Significantly affect the
protection of investors or the public
interest; (ii) impose any significant
burden on competition; and (iii) become
operative prior to 30 days after the date
of filing, or such shorter time as the
Commission may designate, it has
become effective pursuant to section
19(b)(3)(A) of the Act 25 and Rule 19b–
4(f)(6) thereunder.26
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
PO 00000
23 15
U.S.C. 78f(b).
U.S.C. 78(f)(b)(5).
25 15 U.S.C. 78s(b)(3)(A).
26 17 CFR 240.19b–4(f)(6).
24 15
Frm 00095
Fmt 4703
Sfmt 4703
41379
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–NYSE–2007–56 on the
subject line.
Paper Comment
• Send paper comments in triplicate
to Nancy M. Morris, Secretary,
Securities and Exchange Commission,
100 F Street, NE., Washington, DC
20549–1090.
All submissions should refer to File
Number SR–NYSE–2007–56. 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, 100 F Street, NE., Washington,
DC 20549, on official business days
between the hours of 10 a.m. and 3 p.m.
Copies of such filing also will be
available for inspection and copying at
the principal office of NYSE. 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–2007–56 and should
be submitted on or before August 17,
2007.
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Federal Register / Vol. 72, No. 144 / Friday, July 27, 2007 / Notices
For the Commission, by the Division of
Market Regulation, pursuant to delegated
authority.27
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E7–14503 Filed 7–26–07; 8:45 am]
BILLING CODE 8010–01–P
SMALL BUSINESS ADMINISTRATION
[License No. 09/79–0454]
Emergence Capital Partners SBIC,
L.P.; Notice Seeking Exemption Under
Section 312 of the Small Business
Investment Act, Conflicts of Interest
jlentini on PROD1PC65 with NOTICES
Notice is hereby given that Emergence
Capital Partners SBIC, L.P., 160 Bovet
Road, Suite 300, San Mateo, CA 94402,
a Federal Licensee under the Small
Business Investment Act of 1958, as
amended (‘‘the Act’’), in connection
with the financing of a small concern,
has sought an exemption under Section
312 of the Act and Section 107.730,
Financings which Constitute Conflicts
of Interest of the Small Business
Administration (‘‘SBA’’) Rules and
Regulations (13 CFR 107.730).
Emergence Capital Partners SBIC, L.P.
proposes to provide equity/debt security
financing to Intacct Corporation
(‘‘Intacct’’), 125 S. Market Street, Suite
600, San Jose, CA 95113. The financing
is contemplated to fund the ongoing
operating needs of the business.
The financing is brought within the
purview of § 107.730(a)(1) of the
Regulations because Emergence Capital
Partners, L.P. and Emergence Capital
Associates, L.P., all Associates of
Emergence Capital Partners SBIC, L.P.,
own more than ten percent of Intacct,
and therefore Intacct is considered an
Associate of Emergence Capital Partners
SBIC, L.P. as detailed in § 107.50 of the
Regulations.
Notice is hereby given that any
interested person may submit written
comments on the transaction to the
Associate Administrator for Investment,
U.S. Small Business Administration,
409 Third Street, SW., Washington, DC
20416.
Dated: July 6, 2007.
Harry Haskins,
Acting Associate Administrator.
[FR Doc. E7–14592 Filed 7–26–07; 8:45 am]
BILLING CODE 8025–01–P
27 17
CFR 200.30–3(a)(12).
VerDate Aug<31>2005
16:53 Jul 26, 2007
Jkt 211001
SMALL BUSINESS ADMINISTRATION
[Disaster Declaration #10866 and #10867]
Kansas Disaster Number KS–00018
U.S. Small Business
Administration.
ACTION: Amendment 10.
AGENCY:
SUMMARY: This is an amendment of the
Presidential declaration of a major
disaster for the State of Kansas (FEMA–
1699–DR), dated 05/06/2007.
Incident: Severe Storms, Tornadoes,
and Flooding.
Incident Period: 05/04/2007 through
06/01/2007.
Effective Date: 07/18/2007.
Physical Loan Application Deadline
Date: 08/06/2007.
EIDL Loan Application Deadline Date:
02/06/2008.
ADDRESSES: Submit Completed Loan
Applications to: U.S. Small Business
Administration, Processing and
Disbursement Center, 14925 Kingsport
Road, Fort Worth, TX 76155.
FOR FURTHER INFORMATION CONTACT: A.
Escobar, Office of Disaster Assistance,
U.S. Small Business Administration,
409 3rd Street, SW., Suite 6050,
Washington, DC 20416.
SUPPLEMENTARY INFORMATION: The notice
of the Presidential disaster declaration
for the State of Kansas, dated 05/06/
2007 is hereby amended to include the
following areas as adversely affected by
the disaster:
Primary Counties: Mcpherson,
Pottawatomie, Smith.
Contiguous Counties: Kansas, Nemaha,
Nebraska, Webster.
All other information in the original
declaration remains unchanged.
Incident Period: 06/26/2007 and
continuing.
Effective Date: 07/18/2007.
Physical Loan Application Deadline
Date: 09/04/2007.
EIDL Loan Application Deadline Date:
04/07/2008.
ADDRESSES: Submit Completed Loan
Applications to: U.S. Small Business
Administration, Processing and
Disbursement Center, 14925 Kingsport
Road, Fort Worth, TX 76155.
FOR FURTHER INFORMATION CONTACT: A.
Escobar, Office of Disaster Assistance,
U.S. Small Business Administration,
409 3rd Street, SW., Suite 6050,
Washington, DC 20416.
SUPPLEMENTARY INFORMATION: The notice
of the Presidential disaster declaration
for the State of Kansas, dated 07/05/
2007 is hereby amended to include the
following areas as adversely affected by
the disaster:
Primary Counties: Anderson, Bourbon,
Butler, Chautauqua, Cherokee,
Coffey, Crawford, Franklin,
Greenwood, Osage, Woodson.
Contiguous Counties:
Kansas: Chase, Harvey, Lyon, Marion,
Shawnee, Wabaunsee.
Missouri: Barton, Jasper, Newton.
Oklahoma: Ottawa.
All other information in the original
declaration remains unchanged.
(Catalog of Federal Domestic Assistance
Numbers 59002 and 59008).
Herbert L. Mitchell,
Associate Administrator for Disaster
Assistance.
[FR Doc. E7–14517 Filed 7–26–07; 8:45 am]
BILLING CODE 8025–01–P
SMALL BUSINESS ADMINISTRATION
(Catalog of Federal Domestic Assistance
Numbers 59002 and 59008).
[Disaster Declaration # 10946 and # 10947]
Herbert L. Mitchell,
Associate Administrator for Disaster
Assistance.
[FR Doc. E7–14515 Filed 7–26–07; 8:45 am]
Massachusetts Disaster # MA–00011
BILLING CODE 8025–01–P
SMALL BUSINESS ADMINISTRATION
[Disaster Declaration #10923 and #10924]
Kansas Disaster Number KS–00022
U.S. Small Business
Administration.
ACTION: Amendment 2.
AGENCY:
SUMMARY: This is an amendment of the
Presidential declaration of a major
disaster for the State of Kansas (FEMA–
1711–DR), dated 07/05/2007.
Incident: Severe Storms and Flooding.
PO 00000
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Fmt 4703
Sfmt 4703
U.S. Small Business
Administration
ACTION: Notice.
AGENCY:
SUMMARY: This is a notice of an
Administrative declaration of a disaster
for the Commonwealth of Massachusetts
dated 07/23/2007.
Incident: Bernat Mill Complex Fire.
Incident Period: 07/21/2007.
Effective Date: 07/23/2007.
Physical Loan Application Deadline
Date: 09/21/2007.
Economic Injury (EIDL) Loan
Application Deadline Date: 04/23/2008.
ADDRESSES: Submit completed loan
applications to: U.S. Small Business
Administration, Processing and
Disbursement Center, 14925 Kingsport
Road, Fort Worth, TX 76155.
E:\FR\FM\27JYN1.SGM
27JYN1
]]>Agencies
[Federal Register Volume 72, Number 144 (Friday, July 27, 2007)]
[Notices]
[Pages 41377-41380]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E7-14503]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-56107; File No. SR-NYSE-2007-56]
Self-Regulatory Organizations; New York Stock Exchange LLC;
Notice of Filing and Immediate Effectiveness of a Proposed Rule Change
Extending the Portfolio Margin Pilot Program Under NYSE Rules 431
(Margin Requirements) and 726 (Delivery of Options Disclosure Document
and Prospectus)
July 19, 2007.
Pursuant to section 19(b)(1) of the Securities Exchange Act of 1934
(the ``Exchange Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is
hereby given that on June 28, 2007, the New York Stock Exchange LLC
(``NYSE'' or the ``Exchange'') filed with the Securities and Exchange
Commission (``SEC'' or the ``Commission'') the proposed rule change as
described in Items I, II, and III below, which Items have been
substantially prepared by the Exchange.
[[Page 41378]]
The Exchange has designated the proposed rule change as constituting a
``non-controversial'' rule change pursuant to section 19(b)(3)(A) of
the Act \3\ and Rule 19b-4(f)(6) 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.
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ 15 U.S.C. 78s(b)(3)(A).
\4\ 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 NYSE is filing with the Commission rules previously approved in
order to secure a one-year extension of the pilot program (from August
1, 2007 until July 31, 2008) reflected in the changes embodied in SR-
NYSE-2006-13, which was approved by the Commission on December 12, 2006
on a pilot basis, to expire on July 31, 2007.\5\ The previously
approved changes to NYSE Rule 431 (``Margin Requirements'') expanded
the scope of products that are eligible for treatment as part of the
original Commission-approved portfolio margin pilot program \6\ and
expanded pilot; \7\ eliminated the $5 million equity requirement,
except for accounts that carry unlisted derivatives; and eliminated the
use of a cross-margin account for margining eligible securities
products with eligible commodity products. The approved pilot rules
also deleted the ``Sample Portfolio Margining and Cross Margining Risk
Disclosure Statement to Satisfy Requirements of Exchange Rule 431(g),''
previously found in NYSE Rule 726 (``Delivery of Options Disclosure
Document and Prospectus'').\8\
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\5\ See Exchange Act Release No. 54918 (December 12, 2006), 71
FR 75790 (December 18, 2006) [SR-NYSE-2006-13].
\6\ See Exchange Act Release No. 52031 (July 14, 2005), 70 FR
42130 (July 21, 2005) [SR-NYSE-2002-19]; see also NYSE Information
Memo 05-56, dated August 18, 2005, for additional information.
\7\ See Exchange Act Release No. 54125 (July 11, 2006), 71 FR
40766 (July 18, 2006) (SR-NYSE-2005-93); see also NYSE Information
Memo 06-57, dated August 2, 2006, for additional information.
\8\ See supra note 5.
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There is no change to the rule text with this proposed rule change.
The text of the proposed rule change is available at the NYSE's Web
site (https://www.nyse.com), at the principal office of the NYSE, 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 Exchange included statements
concerning the purpose of, and basis for, the proposed rule change. The
text of these 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 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 extend for one year the portfolio
margin pilot program,\9\ which has been expanded to make the following
products eligible for treatment under portfolio margin requirements:
all margin equity securities,\10\ listed options, unlisted derivatives,
and security futures products, provided certain requirements are met.
The Exchange believes that the benefits which these regulations
deliver, together with the widespread industry acceptance of the
changes, supports a one year extension of the pilot program. Such an
extension will give the Exchange an opportunity to better gauge the
impact of the changes to the credit profile of its member organizations
and to determine whether changes to the pilot are needed. The Exchange
will also seek to determine whether fixed income securities should be
added to the list of eligible products.
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\9\ See supra note 5.
\10\ The term ``margin equity security'' utilizes the definition
at Section 220.2 of Regulation T of the Board of Governors of the
Federal Reserve System, excluding a non-equity security.
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The proposed rule change will facilitate the continuing evaluation
of the portfolio margin pilot. The Exchange believes that the proposed
rule change is non-controversial, given the extensive prior publication
of the portfolio margining rules, their previous approval in pilot
status, the lack of problematic public comment on prior filings, and
the lack of comment on the December 2006 approval of the pilot
program.\11\
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\11\ See supra note 5.
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a. The Original Pilot
On July 14, 2005, the Commission approved the original portfolio
margin rules that amended Exchange Rules 431 and 726 to permit, on a
two-year pilot basis, the use of a prescribed risk-based methodology
\12\ for listed, broad-based U.S. index options and index warrants,
along with any underlying instruments, as an alternative to the
strategy or position based margin requirements,\13\ currently required
in Rule 431(a) through (f).
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\12\ See supra note 6.
\13\ Prior to the portfolio margin pilot, member organizations
were solely subject, pursuant to NYSE Rule 431, to strategy or
positioned-based margin requirements. This methodology applied
specific margin percentage requirements as prescribed in Rule 431 to
each security position and/or strategy, either long or short, held
in a customer's account, irrespective of the fact that all security
(e.g., options) prices do not change equally (in percentage terms)
with a change in the price of the underlying security. When
utilizing a portfolio margin methodology, offsets are fully
realized, whereas under strategy or position-based methodology,
positions and/or groups of positions comprising a single strategy
are margined independently of each other and offsets between them do
not efficiently impact the total margin requirement.
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b. Portfolio Margin Requirements
Portfolio margining is a margin methodology that sets margin
requirements for an account based on the greatest projected net loss of
all positions in a product class or group. The pilot utilizes a
Commission-approved theoretical options pricing model.\14\ These
scenarios are designed to measure the theoretical loss of the positions
given changes in both the underlying price and implied volatility
inputs to the model. Accordingly, the margin required is based on the
greatest loss that would be incurred in a portfolio if the value of its
components move up or down by a predetermined amount. Member
organizations are no longer required to compute a margin requirement
for each individual position or strategy for eligible positions in a
customer's portfolio margin account.\15\
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\14\ The theoretical options pricing model is used to derive
position values at each valuation point for the purpose of
determining the gain or loss. For purposes of the portfolio margin
pilot, the amount of initial and maintenance margin required with
respect to a portfolio is the larger of: (1) The greatest loss
amount among the valuation calculations; or (2) the sum of $.375 for
each option and security future in the portfolio multiplied by the
contract's (e.g. 100 shares per contract) or instrument's
multiplier.
\15\ See NYSE Rule 431.
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Utilizing portfolio margin enables the portfolio to be subjected to
certain preset market volatility parameters that reflect historical
moves in the underlying security thereby assessing potential loss in
the portfolio in the aggregate. Accordingly, such a methodology
provides a more risk based calculation of margin requirements.
As a pre-condition to permitting portfolio margining, member
organizations are required to establish
[[Page 41379]]
comprehensive procedures and controls to monitor credit risk to the
member organization's capital, including intra-day credit risk and
stress testing of portfolio margin accounts. Further, member
organizations must establish procedures for regular review and testing
of these required risk analysis procedures and controls.\16\
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\16\ See NYSE Rule 431(g).
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c. Expanded Pilot
On December 29, 2005, the Exchange filed with the Commission a
proposed rule change to Rule 431 to expand the approved products for
certain customers eligible for treatment under portfolio margin
requirements to include security futures and single stock options.\17\
Collectively, these approved pilot rules are referred to as the
``Expanded Pilot.'' \18\ The Expanded Pilot was noticed for comment in
the Federal Register on January 23, 2006.\19\ The comment period that
ended February 13, 2006, resulted in three comment letters received,
dated February 13, 2006, from the Securities Industry Association,
Citigroup Global Markets Inc. and the Futures Industry Association.
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\17\ The Exchange and CBOE received letters in late September
2005 from SEC Chairman Cox asking the SROs to consider expanding
portfolio margining to a broader universe of products. The SEC
encouraged the Exchanges to file a rule proposal before year-end
2005.
\18\ The discussion under the ``Expanded Pilot'' section
includes the portfolio margin rules, as expanded to include security
futures and single stock options only. This discussion does not
include the portfolio margin rules as approved by the Commission in
December 2006. See Sections I and II.A.1. for a discussion of the
portfolio margin rules as approved in December 2006; see also supra
note 5.
\19\ See Exchange Act Release No. 53126 (January 13, 2006) 71 FR
3586 (January 23, 2006) [SR-NYSE-2005-93].
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On June 2, 2006 the Exchange filed with the Commission a response
to the comment letters. In its response to comments, the Exchange noted
that many of the comments included in these three letters were
addressed in a subsequent rule filing, SR-NYSE-2006-13 \20\ that was
made by the Exchange with the Commission on March 1, 2006.
Specifically, in SR-NYSE-2006-13, the Exchange proposed the elimination
of the cross-margin account and the expansion of the types of eligible
products that could be included in a portfolio margining account.\21\
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\20\ See Exchange Act Release No. 53577 (March 30, 2006) 71 FR
17539 (April 6, 2006) [SR-NYSE-2006-13].
\21\ See supra note 5.
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On July 11, 2006, the Commission approved the Expanded Pilot \22\
to include listed security futures and listed single stock options as
eligible products for customer portfolio margining.
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\22\ See supra notes 7 and 18.
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2. Statutory Basis
The Exchange believes that the proposed rule change is consistent
with the section 6(b) of the Act,\23\ in general, and furthers the
objectives of section 6(b)(5) \24\ of the Act, in particular, because
it is designed to promote just and equitable principles of trade, to
prevent fraudulent and manipulative acts and practices, and, in
general, to protect investors and the public interest. A one-year
extension of the portfolio margin pilot program is consistent with this
section in that it will enable the Exchange to better judge the
operation and benefit of the rules, which in turn are expected to
better align margin requirements with the actual risk of hedged
products, potentially alleviate excess margin calls and potentially
reduce the risk of forced liquidations of positions in customer
accounts. In addition, it will allow the Exchange to study the impact
of these changes to the credit profile of its member organizations.
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\23\ 15 U.S.C. 78f(b).
\24\ 15 U.S.C. 78(f)(b)(5).
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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 Exchange Act.
C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants or Others
The Exchange has neither solicited nor received written comments on
the proposed rule change.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
Because the foregoing rule change does not: (i) Significantly
affect the protection of investors or the public interest; (ii) impose
any significant burden on competition; and (iii) become operative prior
to 30 days after the date of filing, or such shorter time as the
Commission may designate, it has become effective pursuant to section
19(b)(3)(A) of the Act \25\ and Rule 19b-4(f)(6) thereunder.\26\
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\25\ 15 U.S.C. 78s(b)(3)(A).
\26\ 17 CFR 240.19b-4(f)(6).
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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 rule-comments@sec.gov. Please include
File Number SR-NYSE-2007-56 on the subject line.
Paper Comment
Send paper comments in triplicate to Nancy M. Morris,
Secretary, Securities and Exchange Commission, 100 F Street, NE.,
Washington, DC 20549-1090.
All submissions should refer to File Number SR-NYSE-2007-56. 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, 100 F Street, NE.,
Washington, DC 20549, on official business days between the hours of 10
a.m. and 3 p.m. Copies of such filing also will be available for
inspection and copying at the principal office of NYSE. 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-2007-56 and
should be submitted on or before August 17, 2007.
[[Page 41380]]
For the Commission, by the Division of Market Regulation,
pursuant to delegated authority.\27\
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\27\ 17 CFR 200.30-3(a)(12).
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Florence E. Harmon,
Deputy Secretary.
[FR Doc. E7-14503 Filed 7-26-07; 8:45 am]
BILLING CODE 8010-01-P
