Self-Regulatory Organizations; Fixed Income Clearing Corporation; Notice of Filing and Immediate Effectiveness of Proposed Rule Change, as Modified, To Eliminate the Coverage Component and Margin Requirement Differential From the Mortgage-Backed Securities Division Participants Fund Calculation, 29797-29798 [E8-11425]

Download as PDF Federal Register / Vol. 73, No. 100 / Thursday, May 22, 2008 / Notices 2. Statutory Basis The Exchange believes the proposed rule change is consistent with Section 6(b) of the Act,4 in general, and furthers the objectives of Section 6(b)(5) of the Act,5 in particular, in that it is designed to foster cooperation and coordination with persons engaged in regulating, clearing, settling, processing information with respect to, and facilitating transactions in securities, to remove impediments to and perfect the mechanism of a free and open market and a national market system, and, in general, to protect investors and the public interest. In particular, the Exchange believes that the proposed rule change will provide additional opportunities for price improvement and guaranteed executions at a price at least as good as the NBBO. Additionally, it will allow members to avoid paying taker fees. B. Self-Regulatory Organization’s Statement on Burden on Competition CBOE does not believe that the proposed rule change will impose any burden on competition not necessary or appropriate in furtherance of the purposes of the Act. C. Self-Regulatory Organization’s Statement on Comments on the Proposed Rule Change Received From Members, Participants or Others No written comments were solicited or received with respect to the proposed rule change. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action rwilkins on PROD1PC63 with NOTICES Within 35 days of the date of publication of this notice in the Federal Register or within such longer period (i) as the Commission may designate up to 90 days of such date if it finds such longer period to be appropriate and publishes its reasons for so finding or (ii) as to which the Exchange consents, the Commission will: (A) By order approve such proposed rule change, or customer purchasing an option can be considerably higher on an exchange that charges a taker fee. For example, a customer that enters a marketable limit order to buy 10 contracts for $0.10 would pay $100 on CBOE and $104.50 if executed on an exchange that charges a $0.45 taker fee (an effective 4.5% increase). Because orders cannot be executed at prices inferior to the NBBO, members are effectively forced to pay taker fees when an exchange with a taker fee structure is at the NBBO and the members’ orders are directly routed to such an exchange or indirectly routed to such an exchange through the Intermarket Options Linkage (where the fees are passed through). 4 15 U.S.C. 78f(b). 5 15 U.S.C. 78f(b)(5). VerDate Aug<31>2005 17:03 May 21, 2008 Jkt 214001 (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: 29797 For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.6 Florence E. Harmon, Deputy Secretary. [FR Doc. E8–11419 Filed 5–21–08; 8:45 am] BILLING CODE 8010–01–P SECURITIES AND EXCHANGE COMMISSION Electronic Comments [Release No. 34–57821; File No. SR–FICC– 2008–03] • Use the Commission’s Internet comment form (http://www.sec.gov/ rules/sro.shtml); or • Send an e-mail to rulecomments@sec.gov. Please include File Number SR–CBOE–2008–41 on the subject line. Self-Regulatory Organizations; Fixed Income Clearing Corporation; Notice of Filing and Immediate Effectiveness of Proposed Rule Change, as Modified, To Eliminate the Coverage Component and Margin Requirement Differential From the Mortgage-Backed Securities Division Participants Fund Calculation Paper Comments May 15, 2008. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (‘‘Act’’),1 notice is hereby given that on April 18, 2008, the Fixed Income Clearing Corporation (‘‘FICC’’) filed with the Securities and Exchange All submissions should refer to File Commission (‘‘Commission’’) and on Number SR–CBOE–2008–41. This file April 21, 2008, amended the proposed number should be included on the rule change described in Items I, II, and subject line if e-mail is used. To help the III below, which items have been Commission process and review your prepared primarily by FICC. The comments more efficiently, please use Commission is publishing this notice to only one method. The Commission will solicit comments on the proposed rule post all comments on the Commission’s change from interested parties. Internet Web site (http://www.sec.gov/ I. Self-Regulatory Organization’s rules/sro.shtml). Copies of the Statement of the Terms of Substance of submission, all subsequent the Proposed Rule Change amendments, all written statements The purpose of the proposed rule with respect to the proposed rule change is to modify FICC’s Mortgagechange that are filed with the Backed Securities Division (‘‘MBSD’’) Commission, and all written participant fund calculation as set forth communications relating to the in Article IV, Rule 1 (Total Required proposed rule change between the Commission and any person, other than Fund Deposit) by eliminating the Coverage Component and the Margin those that may be withheld from the Requirement Differential from the public in accordance with the calculation. provisions of 5 U.S.C. 552, will be available for inspection and copying in II. Self-Regulatory Organization’s the Commission’s Public Reference Statement of the Purpose of, and Room on official business days between Statutory Basis for, the Proposed Rule the hours of 10 a.m. and 3 p.m. Copies Change of such filing also will be available for In its filing with the Commission, inspection and copying at the principal FICC included statements concerning office of the CBOE. All comments the purpose of and basis for the received will be posted without change; proposed rule change and discussed any the Commission does not edit personal comments it received on the proposed identifying information from rule change. The text of these statements submissions. You should submit only may be examined at the places specified information that you wish to make in Item IV below. FICC has prepared available publicly. All submissions summaries, set forth in sections (A), (B), should refer to File Number SR–CBOE– 2008–41 and should be submitted on or 6 17 CFR 200.30–3(a)(12). before June 12, 2008. 1 15 U.S.C. 78s(b)(1). • Send paper comments in triplicate to Nancy M. Morris, Secretary, Securities and Exchange Commission, Station Place, 100 F Street, NE., Washington, DC 20549–1090. PO 00000 Frm 00064 Fmt 4703 Sfmt 4703 E:\FR\FM\22MYN1.SGM 22MYN1 29798 Federal Register / Vol. 73, No. 100 / Thursday, May 22, 2008 / Notices and (C) below, of the most significant aspects of these statements.2 B. Self-Regulatory Organization’s Statement on Burden on Competition A. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change FICC does not believe that the proposed rule change will have any impact on or impose any burden on competition. On August 31, 2007, FICC filed with the Commission and on September 27, 2007, amended proposed rule change SR–FICC–2007–10 pursuant to Section 19(b)(1) of the Act. On March 31, 2008, the Commission approved the proposed rule change.3 The rule change modified FICC’s MBSD rules, replacing the current participants fund methodology (which used haircuts and offsets) with a Valueat-Risk (‘‘VaR’’) model, which was expected to better account for market volatility and more thoroughly distinguish levels of risk presented by individual securities.4 As approved by the Commission, the revised participants fund calculation included: (1) An end-of-day charge (which is the greater of the VaR-based charge and a defined minimum charge), (2) a Coverage Component (which is an additional charge to bring the participant’s coverage to a targeted confidence level), (3) an additional payment (which is called a ‘‘Special Charge’’) as determined by FICC from time to time, and (4) a Margin Requirement Differential (which takes into account intra-day portfolio variations and the potential for a late margin deficit satisfaction). FICC has determined not to implement the Coverage Component and the Margin Requirement Differential, while it continues to study the methodology. Accordingly, FICC is modifying MBSD Article I (Definitions and General Provisions) and Article IV (Participants Fund) to remove references to these components. FICC believes that the proposed rule change is consistent with the requirements of Section 17A of the Act 5 and the rules and regulations thereunder applicable to FICC because the proposed rule change should better enable FICC to assure the safeguarding of securities and funds in its custody or control or for which it is responsible by enabling FICC to more effectively manage the risks presented by participants’ activities. C. Self-Regulatory Organization’s Statement on Comments on the Proposed Rule Change Received From Members, Participants, or Others rwilkins on PROD1PC63 with NOTICES 2 The Commission has modified the text of the summaries prepared by FICC. 3 Securities Exchange Act Release No. 57586 (March 31, 2008), 73 FR 19537 (SR–FICC–2007–10). 4 VaR is defined to be the maximum amount of money that may be lost on a portfolio over a given period of time, within a given level of confidence. 5 15 U.S.C. 78q–1. VerDate Aug<31>2005 17:03 May 21, 2008 Jkt 214001 No written comments relating to the proposed rule change have been solicited or received. FICC will notify the Commission of any written comments received by FICC. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action The foregoing rule change has become effective upon filing pursuant to Section 19(b)(3)(A)(iii) of the Act 6 and Rule 19b–4(f)(4) 7 thereunder because the proposed rule change effects a change in an existing service of FICC that (i) does not adversely affect the safeguarding of securities or funds in the custody or control of FICC or for which it is responsible and (ii) does not significantly affect the respective rights of the clearing agency or persons using the service. At any time within sixty days of the filing of such 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.8 IV. Solicitation of Comments Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether the proposed rule change is consistent with the Act. Comments may be submitted by any of the following methods: Electronic Comments • Use the Commission’s Internet comment form (http://www.sec.gov/ rules/sro.shtml) or • Send an e-mail to rulecomments@sec.gov. Please include File Number SR–FICC–2008–03 on the subject line. U.S.C. 78s(b)(3)(A)(iii). CFR 240.19b–4(f)(4). 8 For purposes of calculating the 60-day period within which the Commission may summarily abrogate the proposed rule change under Section 19(b)(3)(C) of the Act, the Commission considers the period to commence on April 21, 2008, the date on which the last amendment to the proposed rule change was filed with the Commission. 15 U.S.C. 78s(b)(3)(C). Paper Comments • 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–FICC–2008–03. This file number should be included on the subject line if e-mail is used. To help the Commission process and review your comments more efficiently, please use only one method. The Commission will post all comments on the Commission’s Internet Web site (http://www.sec.gov/ rules/sro.shtml). Copies of the submission, all subsequent amendments, all written statements with respect to the proposed rule changes 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 Section, 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 filings also will be available for inspection and copying at the principal office of FICC and on FICC’s Web site at http://www.dtcc.com/ legal/rule_filings/ficc/2008.php. 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–FICC–2008–03 and should be submitted on or before June 12, 2008. For the Commission by the Division of Trading and Markets, pursuant to delegated authority.9 Florence E. Harmon, Deputy Secretary. [FR Doc. E8–11425 Filed 5–21–08; 8:45 am] BILLING CODE 8010–01–P 6 15 7 17 PO 00000 Frm 00065 Fmt 4703 Sfmt 4703 9 17 CFR 200.30–3(a)(12). E:\FR\FM\22MYN1.SGM 22MYN1

Agencies

[Federal Register Volume 73, Number 100 (Thursday, May 22, 2008)]
[Notices]
[Pages 29797-29798]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E8-11425]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-57821; File No. SR-FICC-2008-03]


Self-Regulatory Organizations; Fixed Income Clearing Corporation; 
Notice of Filing and Immediate Effectiveness of Proposed Rule Change, 
as Modified, To Eliminate the Coverage Component and Margin Requirement 
Differential From the Mortgage-Backed Securities Division Participants 
Fund Calculation

May 15, 2008.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act''),\1\ notice is hereby given that on April 18, 2008, the Fixed 
Income Clearing Corporation (``FICC'') filed with the Securities and 
Exchange Commission (``Commission'') and on April 21, 2008, amended the 
proposed rule change described in Items I, II, and III below, which 
items have been prepared primarily by FICC. The Commission is 
publishing this notice to solicit comments on the proposed rule change 
from interested parties.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The purpose of the proposed rule change is to modify FICC's 
Mortgage-Backed Securities Division (``MBSD'') participant fund 
calculation as set forth in Article IV, Rule 1 (Total Required Fund 
Deposit) by eliminating the Coverage Component and the Margin 
Requirement Differential from the calculation.

II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, FICC 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. FICC has prepared summaries, set forth in sections (A), 
(B),

[[Page 29798]]

and (C) below, of the most significant aspects of these statements.\2\
---------------------------------------------------------------------------

    \2\ The Commission has modified the text of the summaries 
prepared by FICC.
---------------------------------------------------------------------------

A. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    On August 31, 2007, FICC filed with the Commission and on September 
27, 2007, amended proposed rule change SR-FICC-2007-10 pursuant to 
Section 19(b)(1) of the Act. On March 31, 2008, the Commission approved 
the proposed rule change.\3\
---------------------------------------------------------------------------

    \3\ Securities Exchange Act Release No. 57586 (March 31, 2008), 
73 FR 19537 (SR-FICC-2007-10).
---------------------------------------------------------------------------

    The rule change modified FICC's MBSD rules, replacing the current 
participants fund methodology (which used haircuts and offsets) with a 
Value-at-Risk (``VaR'') model, which was expected to better account for 
market volatility and more thoroughly distinguish levels of risk 
presented by individual securities.\4\
---------------------------------------------------------------------------

    \4\ VaR is defined to be the maximum amount of money that may be 
lost on a portfolio over a given period of time, within a given 
level of confidence.
---------------------------------------------------------------------------

    As approved by the Commission, the revised participants fund 
calculation included: (1) An end-of-day charge (which is the greater of 
the VaR-based charge and a defined minimum charge), (2) a Coverage 
Component (which is an additional charge to bring the participant's 
coverage to a targeted confidence level), (3) an additional payment 
(which is called a ``Special Charge'') as determined by FICC from time 
to time, and (4) a Margin Requirement Differential (which takes into 
account intra-day portfolio variations and the potential for a late 
margin deficit satisfaction).
    FICC has determined not to implement the Coverage Component and the 
Margin Requirement Differential, while it continues to study the 
methodology. Accordingly, FICC is modifying MBSD Article I (Definitions 
and General Provisions) and Article IV (Participants Fund) to remove 
references to these components.
    FICC believes that the proposed rule change is consistent with the 
requirements of Section 17A of the Act \5\ and the rules and 
regulations thereunder applicable to FICC because the proposed rule 
change should better enable FICC to assure the safeguarding of 
securities and funds in its custody or control or for which it is 
responsible by enabling FICC to more effectively manage the risks 
presented by participants' activities.
---------------------------------------------------------------------------

    \5\ 15 U.S.C. 78q-1.
---------------------------------------------------------------------------

B. Self-Regulatory Organization's Statement on Burden on Competition

    FICC does not believe that the proposed rule change will have any 
impact on or impose any burden on competition.

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants, or Others

    No written comments relating to the proposed rule change have been 
solicited or received. FICC will notify the Commission of any written 
comments received by FICC.

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

    The foregoing rule change has become effective upon filing pursuant 
to Section 19(b)(3)(A)(iii) of the Act \6\ and Rule 19b-4(f)(4) \7\ 
thereunder because the proposed rule change effects a change in an 
existing service of FICC that (i) does not adversely affect the 
safeguarding of securities or funds in the custody or control of FICC 
or for which it is responsible and (ii) does not significantly affect 
the respective rights of the clearing agency or persons using the 
service. At any time within sixty days of the filing of such 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.\8\
---------------------------------------------------------------------------

    \6\ 15 U.S.C. 78s(b)(3)(A)(iii).
    \7\ 17 CFR 240.19b-4(f)(4).
    \8\ For purposes of calculating the 60-day period within which 
the Commission may summarily abrogate the proposed rule change under 
Section 19(b)(3)(C) of the Act, the Commission considers the period 
to commence on April 21, 2008, the date on which the last amendment 
to the proposed rule change was filed with the Commission. 15 U.S.C. 
78s(b)(3)(C).
---------------------------------------------------------------------------

IV. Solicitation of Comments

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

Electronic Comments

     Use the Commission's Internet comment form (http://
www.sec.gov/rules/sro.shtml) or
     Send an e-mail to rule-comments@sec.gov. Please include 
File Number SR-FICC-2008-03 on the subject line.

Paper Comments

     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-FICC-2008-03. This file 
number should be included on the subject line if e-mail is used. To 
help the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's Internet Web site (http://www.sec.gov/rules/
sro.shtml). Copies of the submission, all subsequent amendments, all 
written statements with respect to the proposed rule changes 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 Section, 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 filings also will be available for 
inspection and copying at the principal office of FICC and on FICC's 
Web site at http://www.dtcc.com/legal/rule_filings/ficc/2008.php. 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-FICC-2008-03 and should be 
submitted on or before June 12, 2008.

    For the Commission by the Division of Trading and Markets, 
pursuant to delegated authority.\9\
---------------------------------------------------------------------------

    \9\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Florence E. Harmon,
Deputy Secretary.
 [FR Doc. E8-11425 Filed 5-21-08; 8:45 am]
BILLING CODE 8010-01-P