Sunshine Act Meetings, 60252 [2017-27359]
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60252
Federal Register / Vol. 82, No. 242 / Tuesday, December 19, 2017 / Notices
those that may be withheld from the
public in accordance with the
provisions of 5 U.S.C. 552, will be
available for website viewing and
printing in the Commission’s Public
Reference Room, 100 F Street NE,
Washington, DC 20549 on official
business days between the hours of
10:00 a.m. and 3:00 p.m. Copies of the
filing also will be available for
inspection and copying at the principal
office of LCH SA and on LCH SA’s
website at https://www.lch.com/assetclasses/cdsclear.
All comments received will be posted
without change. Persons submitting
comments are cautioned that we do not
redact or edit personal identifying
information from comment submissions.
You should submit only information
that you wish to make available
publicly. All submissions should refer
to File Number SR–LCH SA–2017–012
and should be submitted on or before
January 9, 2018.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.18
Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017–27235 Filed 12–18–17; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
2:00 p.m. on Thursday,
December 21, 2017.
PLACE: Closed Commission Hearing
Room 10800.
STATUS: This meeting will be closed to
the public.
MATTERS TO BE CONSIDERED:
Commissioners, Counsel to the
Commissioners, the Secretary to the
Commission, and recording secretaries
will attend the closed meeting. Certain
staff members who have an interest in
the matters also may be present.
The General Counsel of the
Commission, or his designee, has
certified that, in his opinion, one or
more of the exemptions set forth in 5
U.S.C. 552b(c)(3), (5), (6), (7), (8), 9(B)
and (10) and 17 CFR 200.402(a)(3),
(a)(5), (a)(6), (a)(7), (a)(8), (a)(9)(ii) and
(a)(10), permit consideration of the
scheduled matters at the closed meeting.
Commissioner Stein, as duty officer,
voted to consider the items listed for the
closed meeting in closed session.
The subject matters of the closed
meeting will be:
sradovich on DSK3GMQ082PROD with NOTICES
18 17
CFR 200.30–3(a)(12).
VerDate Sep<11>2014
17:47 Dec 18, 2017
Jkt 244001
Dated: December 14, 2017.
Brent J. Fields,
Secretary.
[FR Doc. 2017–27359 Filed 12–15–17; 11:15 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–82311; File No. SR–OCC–
2017–008]
Self-Regulatory Organizations; The
Options Clearing Corporation; Order
Approving Proposed Rule Change
Related to The Options Clearing
Corporation’s Collateral Risk
Management Policy
December 13, 2017.
Sunshine Act Meetings
TIME AND DATE:
Institution and settlement of
injunctive actions;
Institution and settlement of
administrative proceedings;
Resolution of litigation claims; and
Other matters relating to enforcement
proceedings.
At times, changes in Commission
priorities require alterations in the
scheduling of meeting items.
CONTACT PERSON FOR MORE INFORMATION:
For further information and to ascertain
what, if any, matters have been added,
deleted or postponed; please contact
Brent J. Fields from the Office of the
Secretary at (202) 551–5400.
I. Introduction
On October 27, 2017, the Options
Clearing Corporation (‘‘OCC’’) filed with
the Securities and Exchange
Commission (‘‘Commission’’), pursuant
to Section 19(b)(1) of the Securities
Exchange Act of 1934 (‘‘Act’’) 1 and Rule
19b–4 thereunder,2 a proposed rule
change (SR–OCC–2017–008) to
formalize and update OCC’s Collateral
Risk Management Policy. The proposed
rule change was published for comment
in the Federal Register on November 9,
2017.3 The Commission received one
comment letter regarding the proposed
change.4 For the reasons discussed
below, the Commission is approving the
proposed rule change.
II. Description of the Proposed Rule
Change
This proposed rule change would
formalize and update OCC’s Collateral
1 15
U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 Securities Exchange Act Release No. 82009
(Nov. 3, 2017), 82 FR 52079 (Nov. 9, 2017) (SR–
OCC–2017–008) (‘‘Notice’’).
4 Letter from Michael Kitlas, dated November 3,
2017. See comments on the proposed rule change
(SR–OCC–2017–008), https://www.sec.gov/
comments/sr-occ-2017-008/occ2017008.htm.
2 17
PO 00000
Frm 00080
Fmt 4703
Sfmt 4703
Risk Management Policy (‘‘CRM
Policy’’). The CRM Policy describes the
categories of risk that are considered by
OCC in determining which asset classes
should be acceptable forms of collateral
as margin assets and Clearing Fund
contributions. OCC’s assessment of an
asset class generally includes an
evaluation of credit risk, liquidity risk,
and market risk.5 With respect to credit
risk, the CRM Policy requires OCC staff
to evaluate the creditworthiness of
counterparties, including custodial
agents and settlement banks and to
monitor the health of such
counterparties on an ongoing basis.6
Regarding liquidity risk, OCC gives no
value to a participant for its own (or its
affiliate’s) debt or equity securities, and
limits the amount of a particular asset
type that a participant may pledge
under the CRM Policy.7 With respect to
market risks, the CRM Policy provides
that eligible asset classes are accepted
after consideration of their liquidity,
price transparency, price volatility,
offset potential with contracts cleared
by OCC, modeling implications and
projected inventories.8
The CRM Policy describes OCC’s
approach to valuing collateral and
setting and applying haircuts. OCC’s
pricing information, as described in the
CRM Policy, feeds into OCC’s processes
for establishing haircuts, daily mark-tomarket valuation of collateral, and
intraday valuation of collateral. Given
the importance of pricing data to inform
these processes, OCC maintains
redundant information feeds from
multiple sources to help ensure
accuracy and quality.9
The CRM Policy also summarizes
OCC’s two approaches for valuing
collateral: Collateral in Margins (‘‘CiM’’)
and haircuts.10 Under the CiM
approach, the current market value of
margin assets is included as a positive
asset value in the calculation of a
portfolio’s net asset value within OCC’s
System for Theoretical Analysis and
Numerical Simulations (‘‘STANS’’).
OCC then offsets this positive asset
value based on, among other things, the
expected shortfall and stress test charges
associated with an account, resulting in
a net excess or net deficit.11 For
collateral that is not managed using the
CiM process, the CRM Policy provides
that OCC subjects such collateral to
percentage haircuts established at the
5 Notice,
82 FR at 52080.
6 Id.
7 Id.
8 Id.
9 Notice,
82 FR at 52080–81.
82 FR at 52081.
11 Notice, 82 FR at 52081, note 23.
10 Notice,
E:\FR\FM\19DEN1.SGM
19DEN1
]]>Agencies
[Federal Register Volume 82, Number 242 (Tuesday, December 19, 2017)]
[Notices]
[Page 60252]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-27359]
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SECURITIES AND EXCHANGE COMMISSION
Sunshine Act Meetings
Time and Date: 2:00 p.m. on Thursday, December 21, 2017.
Place: Closed Commission Hearing Room 10800.
Status: This meeting will be closed to the public.
Matters to be Considered: Commissioners, Counsel to the Commissioners,
the Secretary to the Commission, and recording secretaries will attend
the closed meeting. Certain staff members who have an interest in the
matters also may be present.
The General Counsel of the Commission, or his designee, has
certified that, in his opinion, one or more of the exemptions set forth
in 5 U.S.C. 552b(c)(3), (5), (6), (7), (8), 9(B) and (10) and 17 CFR
200.402(a)(3), (a)(5), (a)(6), (a)(7), (a)(8), (a)(9)(ii) and (a)(10),
permit consideration of the scheduled matters at the closed meeting.
Commissioner Stein, as duty officer, voted to consider the items
listed for the closed meeting in closed session.
The subject matters of the closed meeting will be:
Institution and settlement of injunctive actions;
Institution and settlement of administrative proceedings;
Resolution of litigation claims; and
Other matters relating to enforcement proceedings.
At times, changes in Commission priorities require alterations in
the scheduling of meeting items.
Contact Person for More Information: For further information and to
ascertain what, if any, matters have been added, deleted or postponed;
please contact Brent J. Fields from the Office of the Secretary at
(202) 551-5400.
Dated: December 14, 2017.
Brent J. Fields,
Secretary.
[FR Doc. 2017-27359 Filed 12-15-17; 11:15 am]
BILLING CODE 8011-01-P
