Self-Regulatory Organizations; The Options Clearing Corporation; Notice of Filing of Proposed Rule Change Relating to the Margining of Segregated Futures Customer Accounts on a Gross Basis, 59231-59233 [2012-23635]
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Federal Register / Vol. 77, No. 187 / Wednesday, September 26, 2012 / Notices
rule change is consistent with Section
6(b)(5) of the Act 30 and the rules and
regulations thereunder applicable to a
national securities exchange.
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
IV. Conclusion
In its filing with the Commission,
OCC 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. OCC has prepared
summaries, set forth in sections (A), (B)
and (C) below, of the most significant
aspects of such statements.3
It is therefore ordered, pursuant to
Section 19(b)(2) of the Act,31 that the
proposed rule change (SR–BATS–2012–
033), as modified by Amendment No. 1
thereto, be, and it hereby is, approved.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.32
Kevin M. O’Neill,
Deputy Secretary.
[FR Doc. 2012–23633 Filed 9–25–12; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–67896; File No. SR–OCC–
2012–17]
Self-Regulatory Organizations; The
Options Clearing Corporation; Notice
of Filing of Proposed Rule Change
Relating to the Margining of
Segregated Futures Customer
Accounts on a Gross Basis
September 20, 2012.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’) 1 and Rule 19b–4 thereunder 2
notice is hereby given that on
September 14, 2012, The Options
Clearing Corporation (‘‘OCC’’) filed with
the Securities and Exchange
Commission (‘‘Commission’’) the
proposed rule change as described in
Items I and II below, which Items have
been prepared primarily by OCC. The
Commission is publishing this notice to
solicit comments on the proposed rule
change from interested persons.
mstockstill on DSK4VPTVN1PROD with NOTICES
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The proposed rule change would
allow OCC to become compliant with
Commodity Futures Trading
Commission (‘‘CFTC’’) Rule
39.13(g)(8)(i) which requires the
margining of segregated futures
customer accounts on a gross basis.
30 15
U.S.C. 78f(b)(5).
U.S.C. 78s(b)(2).
32 17 CFR 200.30–3(a)(12).
1 15 U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
31 15
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17:27 Sep 25, 2012
Jkt 226001
(A) Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
The purpose of this proposed rule
change is to provide for the margining
of OCC segregated futures customer
accounts on a gross basis, as required by
CFTC Rule 39.13(g)(8)(i).4
The CFTC’s Customer Gross Margin
Rule
On October 18, 2011, the CFTC issued
final regulations implementing many of
the new statutory core principles for
CFTC-registered derivatives clearing
organizations (‘‘DCOs’’) enacted under
the Dodd-Frank Wall Street Reform and
Consumer Protection Act (the ‘‘DoddFrank Act’’). As a registered DCO (as
well as a registered securities clearing
agency), OCC has previously
implemented rule changes designed to
bring OCC into compliance with CFTC
rules applicable to DCOs that went into
effect on January 9, 2012 5 and May 7,
2012.6 OCC believes it is necessary to
amend its Rules in order to ensure
compliance with the gross margin rule,
which requires a DCO to ‘‘collect initial
margin on a gross basis for each clearing
member’s customer account(s) equal to
the sum of the initial margin amounts
that would be required by the
derivatives clearing organization for
each individual customer within that
account if each individual customer
were a clearing member.’’ 7 The gross
margin rule goes into effect on
November 8, 2012, however, OCC
intends to begin complying with the
gross margin rule on November 5, 2012
as described herein.
3 The Commission has modified the text of the
summaries prepared by OCC.
4 17 CFR 39.13(g)(8)(i).
5 See SR–OCC–2011–18.
6 See SR–OCC–2012–06.
7 Derivatives Clearing Organization General
Provisions and Core Principles, 76 FR 69334, 69439
(November 8, 2011).
PO 00000
Frm 00069
Fmt 4703
Sfmt 4703
59231
OCC’s System for Calculating Margin
OCC currently calculates margin
requirements for each clearing member’s
segregated futures customer account
held at OCC on a net basis by applying
OCC’s System for Theoretical Analysis
and Numerical Simulations (‘‘STANS’’).
STANS calculates margin with respect
to each account of a clearing member,
including each clearing member’s
futures customer account(s), on a net
basis. STANS includes both a net asset
value (‘‘NAV’’) component and a risk
component. The NAV component marks
all positions to market and nets long
and short positions to determine the
NAV of each clearing member’s
portfolio of customer positions. The
NAV component represents the cost to
liquidate the portfolio at current prices
by selling the net long positions and
buying in the net short positions. The
risk component is estimated by means
of an expected shortfall risk measure
obtained from ‘‘Monte Carlo’’
simulations designed to measure the
additional asset value required in any
portfolio to eliminate an unacceptable
level of risk that the portfolio would
liquidate to a deficit.
OCC presently lacks sufficient
information about individual customer
positions to calculate margin at the level
of each individual customer. However,
OCC has been coordinating with other
DCOs to establish an industry-wide
mechanism for complying with the
customer gross margin rule. Pursuant to
this new system, each DCO’s clearing
members will submit data files to the
DCO identifying positions by numerical
customer identifiers.8 OCC will use this
information to calculate margins, using
STANS, for each customer identifier of
a clearing member and to aggregate
those margin calculations to determine
the total futures customer margin
requirement for the clearing member’s
segregated futures customer account(s)
held at OCC.9 OCC will then compare
8 The position data provided to OCC by clearing
members will not include (a) information with
respect to the allocation of margin assets to
particular customers, nor (b) information with
respect to settlement obligations arising from the
exercise, assignment or maturity of cleared
contracts. For this reason, OCC will treat all margin
assets and settlement obligations for each account
to which the gross margin rule applies as being in
sub-accounts of the Clearing Member. OCC will
calculate margin, using STANS, separately for each
sub-account and will aggregate the calculated
margin requirements at the level of the clearing
member’s segregated futures customer account to
which the sub-accounts relate.
9 OCC currently carries the following account
types that are segregated pursuant to Section 4d of
the Commodity Exchange Act: Segregated Futures
Accounts, Segregated Futures Professional
Accounts, non-Proprietary X–M accounts, and
E:\FR\FM\26SEN1.SGM
Continued
26SEN1
59232
Federal Register / Vol. 77, No. 187 / Wednesday, September 26, 2012 / Notices
the aggregate positions reported by each
clearing member with its own records
and make any needed adjustments to
the margin calculation to ensure all
positions on OCC’s books are properly
margined.
Proposed By-Law and Rule Changes
The proposed changes to OCC’s Rules
provide for the calculation of margin for
segregated futures customer accounts on
a gross basis and mandate submission of
the clearing member data files necessary
to allow OCC to calculate margin at the
level of each futures customer. In the
event that the data included in these
data files is incomplete (for example, if
OCC shows positions held in a clearing
member’s segregated futures accounts,
but those positions are not reflected in
the data file), OCC will create a separate
sub-account to be used for margin
calculation purposes only. Positions
recorded on OCC’s books and records,
but not reflected in the data file, will be
attributed to this sub-account and a
margin amount will be calculated for
the sub-account. This margin amount
will be added to a clearing member’s
margin requirement. OCC has
determined to adopt this conservative
approach to dealing with discrepancies
between its own records and clearing
member data files in order to ensure that
OCC does not collect an inadequate
amount of margin from clearing
members.
The proposed changes to OCC’s ByLaws are consistent with the purposes
and requirements of Section 17A of the
Exchange Act because they are designed
to permit OCC to perform clearing
services for products that are subject to
the jurisdiction of the CFTC without
adversely affecting OCC’s obligations
with respect to the prompt and accurate
clearance and settlement of securities
transactions or the protection of
securities investors and the public
interest. The proposed rule change is
not inconsistent with any rules of OCC.
mstockstill on DSK4VPTVN1PROD with NOTICES
(B) Self-Regulatory Organization’s
Statement on Burden on Competition
OCC does not believe that the
proposed rule change would 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
Written comments were not and are
not intended to be solicited with respect
internal non-proprietary cross-margining accounts.
All such accounts would be margined on a gross
basis under the proposed amendments to Rule 601.
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17:27 Sep 25, 2012
Jkt 226001
to the proposed rule change and none
have been received.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
Within 45 days of the date of
publication of this notice in the Federal
Register or within such longer period
up to 90 days (i) as the Commission may
designate if it finds such longer period
to be appropriate and publishes its
reasons for so finding or (ii) as to which
the self-regulatory organization
consents, the Commission will: (A) By
order approve or disapprove the
proposed rule change or (B) institute
proceedings to determine whether the
proposed rule change should be
disapproved.
OCC has also filed the proposed rule
change as an advance notice under
Section 806(e)(1) of the Payment,
Clearing, and Settlement Supervision
Act of 2010 (‘‘Clearing Supervision
Act’’).10 The proposed changes
contained in the advance notice may be
implemented pursuant to Section
806(e)(1)(G) of Clearing Supervision
Act 11 if the Commission does not object
to the proposed changes within 60 days
of the later of (i) the date that the
advance notice was filed with the
Commission or (ii) the date that any
additional information requested by the
Commission is received. The clearing
agency shall not implement the
proposed changes contained in the
advance notice if the Commission
objects to the proposed changes.
The Commission may extend the
period for review by an additional 60
days if the proposed changes raise novel
or complex issues, subject to the
Commission providing the clearing
agency with prompt written notice of
the extension. Proposed changes may be
implemented in fewer than 60 days
from the date the advance notice is
filed, or the date further information
requested by the Commission is
received, if the Commission notifies the
clearing agency in writing that it does
not object to the proposed changes and
authorizes the clearing agency to
implement the proposed changes on an
earlier date, subject to any conditions
imposed by the Commission.
The proposals contained in the
proposed rule change and advance
notice shall not take effect until all
regulatory actions required with respect
to the proposals are completed. The
clearing agency shall post notice on its
web site of proposed changes that are
implemented.
10 12
11 12
PO 00000
U.S.C. 5465(e)(1).
U.S.C 5465(e)(1)(G).
Frm 00070
Fmt 4703
Sfmt 4703
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 email to rulecomments@sec.gov. Please include File
Number SR–OCC–2012–17 on the
subject line.
Paper Comments
• Send paper comments in triplicate
to Elizabeth M. Murphy, Secretary,
Securities and Exchange Commission,
100 F Street NE., Washington, DC
20549–1090.
All submissions should refer to File
Number SR–OCC–2012–17. This file
number should be included on the
subject line if email is used. To help the
Commission process and review your
comments more efficiently, please use
only one method. The Commission will
post all comments on the Commission’s
Internet 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 Web site viewing and
printing in the Commission’s Public
Reference Section, 100 F Street NE.,
Washington, DC 20549, on official
business days between the hours of
10:00 a.m. and 3:00 p.m. Copies of such
filings will also be available for
inspection and copying at the principal
office of OCC and on OCC’s Web site
(https://www.optionsclearing.com/
components/docs/legal/
rules_and_bylaws/sr_occ_12_17.pdf).
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–OCC–2012–17 and should
be submitted on or before October 17,
2012.
E:\FR\FM\26SEN1.SGM
26SEN1
Federal Register / Vol. 77, No. 187 / Wednesday, September 26, 2012 / Notices
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.12
Kevin M. O’Neill,
Deputy Secretary.
[FR Doc. 2012–23635 Filed 9–25–12; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–67898; File No. SR–
NYSEARCA–2012–95]
Self-Regulatory Organizations; NYSE
Arca, Inc.; Notice of Filing of Proposed
Rule Change and Amendment No. 1
Amending Commentary .07 to NYSE
Arca Options Rule 6.4 To Expand the
Number of Expirations Available Under
the Short Term Option Series Program
(‘‘STOS Program’’), To Allow for the
Exchange To Delist any Series in the
STOS That Do Not Have Open Interest
and To Expand the Number of Series
in STOS Under Limited Circumstances
September 20, 2012.
mstockstill on DSK4VPTVN1PROD with NOTICES
Pursuant to Section 19(b)(1) 1 of the
Securities Exchange Act of 1934 (the
‘‘Act’’) 2 and Rule 19b–4 thereunder,3
notice is hereby given that, on
September 6, 2012, NYSE Arca, Inc. (the
‘‘Exchange’’ or ‘‘NYSE Arca’’) filed with
the Securities and Exchange
Commission (the ‘‘Commission’’) the
proposed rule change as described in
Items I, II, and III below, which Items
have been prepared by the selfregulatory organization. On September
18, 2012, the Exchange filed
Amendment No. 1. 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 Exchange proposes to amend
Commentary .07 to NYSE Arca Options
Rule 6.4 to expand the number of
expirations available under the Short
Term Option Series Program (‘‘STOS
Program’’), to allow for the Exchange to
delist any series in the STOS that do not
have open interest and to expand the
number of series in STOS under limited
circumstances. The text of the proposed
rule change is available on the
Exchange’s Web site at www.nyse.com,
at the principal office of the Exchange,
and at the Commission’s Public
Reference Room.
12 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 15 U.S.C. 78a.
3 17 CFR 240.19b–4.
1 15
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17:27 Sep 25, 2012
Jkt 226001
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
self-regulatory organization 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 those 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 parts of such
statements.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and the
Statutory Basis for, the Proposed Rule
Change
1. Purpose
The purpose of the proposal is to
amend Commentary .07 to NYSE Arca
Options Rule 6.4 to provide for the
ability to open up to five consecutive
expirations under the Short Term
Option Series Program (‘‘STOS
Program’’) for trading on the Exchange,
to allow for the Exchange to delist any
series in the STOS that do not have
open interest and to expand the number
of series in STOS under limited
circumstances when there are no series
at least 10% but not more than 30%
away from the current price of the
underlying security.4
Currently, the Exchange may select up
to 5 currently listed option classes on
which STOS options may be opened in
the STOS Program and the Exchange
may also match any option classes that
are selected by other securities
exchanges that employ a similar
program under their respective rules.5
For each option class eligible for
participation in the STOS Program, the
Exchange may open up to 30 Short
Term Option Series for each expiration
date in that class.
This proposal seeks to allow the
Exchange to open STOS option series
for up to five consecutive week
expirations. The Exchange intends to
add a maximum of five consecutive
week expirations under the STOS
4 On July 12, 2005, the Commission approved the
Weeklies Program on a pilot basis. See Securities
Exchange Act Release No. 52013 (July 12, 2005), 70
FR 41471 (July 19, 2005) (SR–PCX–2005–32). The
Weeklies Program was made permanent on June 23,
2010. See Securities Exchange Act Release
No.62369 (June 23, 2010), 75 FR 37868 (June 30,
2010) (SR–NYSEArca–2010–59).
5 See Securities Exchange Act Release Nos. 65806
(November 22, 2011), 76 FR 73753 (November 29,
2011) (SR–NYSEArca–2011–88); 67178 (June 11,
2012), 77 FR 36305 (June 18, 2012) (SR–NYSEArca–
2012–60).
PO 00000
Frm 00071
Fmt 4703
Sfmt 4703
59233
Program, however it will not add a
STOS expiration in the same week that
a monthly options series expires or, in
the case of Quarterly Option Series, on
an expiration that coincides with an
expiration of Quarterly Option Series on
the same class. In other words, the total
number of consecutive expirations will
be five, including any existing monthly
or quarterly expirations.6 This change is
being proposed notwithstanding the
current cap of 30 series per class under
the STOS Program. The Exchange notes
that the STOS Program has been wellreceived by market participants, in
particular by retail investors.7 The
Exchange believes that the current
proposed revision to the STOS Program
will permit the Exchange to meet
increased customer demand and
provide market participants with the
ability to hedge in a greater number of
option classes and series.
With regard to the impact of this
proposal on system capacity, the
Exchange has analyzed its capacity and
represents that it and the Options Price
Reporting Authority have the necessary
systems capacity to handle the potential
additional traffic associated with trading
of an expanded number of expirations
that participate in the STOS Program.
In addition, to provide for
circumstances where the underlying
security has moved such that there are
no series that are at least 10% above or
below the current price of the
underlying security, the Exchange is
proposing to add new language to
Commentary .07 to provide that the
Exchange would delist series with no
open interest in both the call and the
put series having a: (i) Strike higher
than the highest price with open interest
in the put and/or call series for a given
expiration month; and (ii) strike lower
than the lowest strike price with open
interest in the put and/or the call series
for a given expiration month, so as to
6 For example, if quarterly options expire week 1
and monthly options expire week 3 from now, the
proposal would allow the following expirations:
week 1 quarterly, week 2 STOS, week 3 monthly,
week 4 STOS, and week 5 STOS. If quarterly
options expire week 3 and monthly options expire
week 5, the following expirations would be
allowed: week 1 STOS, week 2 STOS, week 3
monthly, week 4 STOS, and week 5 quarterly.
7 Since the STOS Program [sic] been adopted, it
has seen rapid acceptance among industry
participants as evidenced by the expansion of the
number of classes eligible for the STOS Program by
various Exchanges. See Securities Exchange Act
Release Nos. 65775 (November 17, 2011), 76 FR
72473 (November 23, 2011) (SR–NASDAQ–2011–
138); 65776 (November 17, 2011), 76 FR 72482
(November 23, 2011) (SR–PHLX–2011–131); 66563
(March 9, 2012), 77 FR 15426 (March 15, 2012);
67194 (June 13, 2012), 77 FR 36597 (June 19, 2012)
(SR–NYSEMKT–2012–08); and 67178 (June 11,
2012), 77 FR 36305 (June 18, 2012) (SR–NYSEArca–
2012–60).
E:\FR\FM\26SEN1.SGM
26SEN1
]]>Agencies
[Federal Register Volume 77, Number 187 (Wednesday, September 26, 2012)]
[Notices]
[Pages 59231-59233]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2012-23635]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-67896; File No. SR-OCC-2012-17]
Self-Regulatory Organizations; The Options Clearing Corporation;
Notice of Filing of Proposed Rule Change Relating to the Margining of
Segregated Futures Customer Accounts on a Gross Basis
September 20, 2012.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act'') \1\ and Rule 19b-4 thereunder \2\ notice is hereby given that
on September 14, 2012, The Options Clearing Corporation (``OCC'') filed
with the Securities and Exchange Commission (``Commission'') the
proposed rule change as described in Items I and II below, which Items
have been prepared primarily by OCC. 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.
---------------------------------------------------------------------------
I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
The proposed rule change would allow OCC to become compliant with
Commodity Futures Trading Commission (``CFTC'') Rule 39.13(g)(8)(i)
which requires the margining of segregated futures customer accounts on
a gross basis.
II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
In its filing with the Commission, OCC 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. OCC has prepared summaries, set forth in sections (A),
(B) and (C) below, of the most significant aspects of such
statements.\3\
---------------------------------------------------------------------------
\3\ The Commission has modified the text of the summaries
prepared by OCC.
---------------------------------------------------------------------------
(A) Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
The purpose of this proposed rule change is to provide for the
margining of OCC segregated futures customer accounts on a gross basis,
as required by CFTC Rule 39.13(g)(8)(i).\4\
---------------------------------------------------------------------------
\4\ 17 CFR 39.13(g)(8)(i).
---------------------------------------------------------------------------
The CFTC's Customer Gross Margin Rule
On October 18, 2011, the CFTC issued final regulations implementing
many of the new statutory core principles for CFTC-registered
derivatives clearing organizations (``DCOs'') enacted under the Dodd-
Frank Wall Street Reform and Consumer Protection Act (the ``Dodd-Frank
Act''). As a registered DCO (as well as a registered securities
clearing agency), OCC has previously implemented rule changes designed
to bring OCC into compliance with CFTC rules applicable to DCOs that
went into effect on January 9, 2012 \5\ and May 7, 2012.\6\ OCC
believes it is necessary to amend its Rules in order to ensure
compliance with the gross margin rule, which requires a DCO to
``collect initial margin on a gross basis for each clearing member's
customer account(s) equal to the sum of the initial margin amounts that
would be required by the derivatives clearing organization for each
individual customer within that account if each individual customer
were a clearing member.'' \7\ The gross margin rule goes into effect on
November 8, 2012, however, OCC intends to begin complying with the
gross margin rule on November 5, 2012 as described herein.
---------------------------------------------------------------------------
\5\ See SR-OCC-2011-18.
\6\ See SR-OCC-2012-06.
\7\ Derivatives Clearing Organization General Provisions and
Core Principles, 76 FR 69334, 69439 (November 8, 2011).
---------------------------------------------------------------------------
OCC's System for Calculating Margin
OCC currently calculates margin requirements for each clearing
member's segregated futures customer account held at OCC on a net basis
by applying OCC's System for Theoretical Analysis and Numerical
Simulations (``STANS''). STANS calculates margin with respect to each
account of a clearing member, including each clearing member's futures
customer account(s), on a net basis. STANS includes both a net asset
value (``NAV'') component and a risk component. The NAV component marks
all positions to market and nets long and short positions to determine
the NAV of each clearing member's portfolio of customer positions. The
NAV component represents the cost to liquidate the portfolio at current
prices by selling the net long positions and buying in the net short
positions. The risk component is estimated by means of an expected
shortfall risk measure obtained from ``Monte Carlo'' simulations
designed to measure the additional asset value required in any
portfolio to eliminate an unacceptable level of risk that the portfolio
would liquidate to a deficit.
OCC presently lacks sufficient information about individual
customer positions to calculate margin at the level of each individual
customer. However, OCC has been coordinating with other DCOs to
establish an industry-wide mechanism for complying with the customer
gross margin rule. Pursuant to this new system, each DCO's clearing
members will submit data files to the DCO identifying positions by
numerical customer identifiers.\8\ OCC will use this information to
calculate margins, using STANS, for each customer identifier of a
clearing member and to aggregate those margin calculations to determine
the total futures customer margin requirement for the clearing member's
segregated futures customer account(s) held at OCC.\9\ OCC will then
compare
[[Page 59232]]
the aggregate positions reported by each clearing member with its own
records and make any needed adjustments to the margin calculation to
ensure all positions on OCC's books are properly margined.
---------------------------------------------------------------------------
\8\ The position data provided to OCC by clearing members will
not include (a) information with respect to the allocation of margin
assets to particular customers, nor (b) information with respect to
settlement obligations arising from the exercise, assignment or
maturity of cleared contracts. For this reason, OCC will treat all
margin assets and settlement obligations for each account to which
the gross margin rule applies as being in sub-accounts of the
Clearing Member. OCC will calculate margin, using STANS, separately
for each sub-account and will aggregate the calculated margin
requirements at the level of the clearing member's segregated
futures customer account to which the sub-accounts relate.
\9\ OCC currently carries the following account types that are
segregated pursuant to Section 4d of the Commodity Exchange Act:
Segregated Futures Accounts, Segregated Futures Professional
Accounts, non-Proprietary X-M accounts, and internal non-proprietary
cross-margining accounts. All such accounts would be margined on a
gross basis under the proposed amendments to Rule 601.
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Proposed By-Law and Rule Changes
The proposed changes to OCC's Rules provide for the calculation of
margin for segregated futures customer accounts on a gross basis and
mandate submission of the clearing member data files necessary to allow
OCC to calculate margin at the level of each futures customer. In the
event that the data included in these data files is incomplete (for
example, if OCC shows positions held in a clearing member's segregated
futures accounts, but those positions are not reflected in the data
file), OCC will create a separate sub-account to be used for margin
calculation purposes only. Positions recorded on OCC's books and
records, but not reflected in the data file, will be attributed to this
sub-account and a margin amount will be calculated for the sub-account.
This margin amount will be added to a clearing member's margin
requirement. OCC has determined to adopt this conservative approach to
dealing with discrepancies between its own records and clearing member
data files in order to ensure that OCC does not collect an inadequate
amount of margin from clearing members.
The proposed changes to OCC's By-Laws are consistent with the
purposes and requirements of Section 17A of the Exchange Act because
they are designed to permit OCC to perform clearing services for
products that are subject to the jurisdiction of the CFTC without
adversely affecting OCC's obligations with respect to the prompt and
accurate clearance and settlement of securities transactions or the
protection of securities investors and the public interest. The
proposed rule change is not inconsistent with any rules of OCC.
(B) Self-Regulatory Organization's Statement on Burden on Competition
OCC does not believe that the proposed rule change would 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
Written comments were not and are not intended to be solicited with
respect to the proposed rule change and none have been received.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
Within 45 days of the date of publication of this notice in the
Federal Register or within such longer period up to 90 days (i) as the
Commission may designate if it finds such longer period to be
appropriate and publishes its reasons for so finding or (ii) as to
which the self-regulatory organization consents, the Commission will:
(A) By order approve or disapprove the proposed rule change or (B)
institute proceedings to determine whether the proposed rule change
should be disapproved.
OCC has also filed the proposed rule change as an advance notice
under Section 806(e)(1) of the Payment, Clearing, and Settlement
Supervision Act of 2010 (``Clearing Supervision Act'').\10\ The
proposed changes contained in the advance notice may be implemented
pursuant to Section 806(e)(1)(G) of Clearing Supervision Act \11\ if
the Commission does not object to the proposed changes within 60 days
of the later of (i) the date that the advance notice was filed with the
Commission or (ii) the date that any additional information requested
by the Commission is received. The clearing agency shall not implement
the proposed changes contained in the advance notice if the Commission
objects to the proposed changes.
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\10\ 12 U.S.C. 5465(e)(1).
\11\ 12 U.S.C 5465(e)(1)(G).
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The Commission may extend the period for review by an additional 60
days if the proposed changes raise novel or complex issues, subject to
the Commission providing the clearing agency with prompt written notice
of the extension. Proposed changes may be implemented in fewer than 60
days from the date the advance notice is filed, or the date further
information requested by the Commission is received, if the Commission
notifies the clearing agency in writing that it does not object to the
proposed changes and authorizes the clearing agency to implement the
proposed changes on an earlier date, subject to any conditions imposed
by the Commission.
The proposals contained in the proposed rule change and advance
notice shall not take effect until all regulatory actions required with
respect to the proposals are completed. The clearing agency shall post
notice on its web site of proposed changes that are implemented.
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 email to rule-comments@sec.gov. Please include
File Number SR-OCC-2012-17 on the subject line.
Paper Comments
Send paper comments in triplicate to Elizabeth M. Murphy,
Secretary, Securities and Exchange Commission, 100 F Street NE.,
Washington, DC 20549-1090.
All submissions should refer to File Number SR-OCC-2012-17. This file
number should be included on the subject line if email is used. To help
the Commission process and review your comments more efficiently,
please use only one method. The Commission will post all comments on
the Commission's Internet 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 Web site viewing and
printing in the Commission's Public Reference Section, 100 F Street
NE., Washington, DC 20549, on official business days between the hours
of 10:00 a.m. and 3:00 p.m. Copies of such filings will also be
available for inspection and copying at the principal office of OCC and
on OCC's Web site (https://www.optionsclearing.com/components/docs/legal/rules_and_bylaws/sr_occ_12_17.pdf).
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-OCC-2012-17
and should be submitted on or before October 17, 2012.
[[Page 59233]]
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\12\
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\12\ 17 CFR 200.30-3(a)(12).
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Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2012-23635 Filed 9-25-12; 8:45 am]
BILLING CODE 8011-01-P
