Self-Regulatory Organizations; The Options Clearing Corporation; Notice of Filing of Proposed Rule Change by The Options Clearing Corporation Concerning Amendments to Its Rules and Comprehensive Stress Testing & Clearing Fund Methodology, and Liquidity Risk Management Description, 44752-44757 [2024-11078]
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44752
Federal Register / Vol. 89, No. 99 / Tuesday, May 21, 2024 / Notices
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withhold entirely from publication
submitted material that is obscene or
subject to copyright protection. All
submissions should refer to file number
SR–BOX–2023–20 and should be
submitted on or before June 11, 2024.
V. Accelerated Approval of Proposed
Rule Change, as Modified by
Amendment No. 3
The Commission finds good cause to
approve the proposed rule change, as
modified by Amendment No. 3, prior to
the thirtieth day after the date of
publication of notice of the filing of
Amendment No. 3 in the Federal
Register. The Commission notes that the
original proposal and the proposal as
modified by Amendment No. 2 were
published for comment in the Federal
Register.369
In Amendment No. 3, the Exchange
amended the proposal to: (i) remove
proposed Rule 5055(e)(2)(v)(a) regarding
when a FLEX Equity Option order may
be submitted; (ii) add rule language to
proposed Rule 5055(b)(3) to clarify that
FOO Orders may only be traded on the
Trading Floor; (iii) modified proposed
Rule 7605(c) to clarify who is applicable
to apply to be a FLEX Market Maker;
and (iv) made various clarifications to
the rule text, including proposed Rule
7605(d)(4), and add additional clarifying
changes to the purpose section and
statutory basis for the proposed rule
change. These changes help to clarify
the proposal by providing additional
specificity and justification about the
proposal.
In addition, the Exchange made
several changes to bring the proposed
rules into closer alignment with the
rules governing the trading of FLEX
Equity Options on other national
securities exchanges, including
removing proposed Rule
5055(e)(2)(v)(a). These changes help
make these aspects of the proposal
substantially similar to the existing
rules of national securities exchanges.
For these reasons, the changes and
additional information in Amendment
No. 3 assist the Commission in
evaluating the Exchange’s proposal and
in determining that it is consistent with
the Exchange Act. Accordingly, the
Commission finds good cause, pursuant
to Section 19(b)(2) of the Exchange
Act,370 to approve the proposed rule
change, as modified by Amendment No.
3, on an accelerated basis.
VI. Conclusion
For the foregoing reasons, the
Commission finds that the proposed
369 See
370 15
Notice, supra note 3; OIP, supra note 8.
U.S.C. 78f(b)(2).
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rule change, as modified by Amendment
No. 3, is consistent with the Exchange
Act and the rules and regulations
thereunder applicable to a national
securities exchange. In addition, the
Commission finds, pursuant to Rule 9b–
1 under the Exchange Act, that FLEX
Equity Options are standardized options
for purposes of the options disclosure
framework established under Rule 9b–1
of the Exchange Act.371
It is therefore ordered, pursuant to
Section 19(b)(2) of the Exchange Act,372
that the proposed rule change SR–BOX–
2023–20, as modified by Amendment
No. 3, be, and it hereby is, approved on
an accelerated basis.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.373
J. Matthew DeLesDernier,
Deputy Secretary.
[FR Doc. 2024–11079 Filed 5–20–24; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–100147; File No. SR–OCC–
2024–006]
Self-Regulatory Organizations; The
Options Clearing Corporation; Notice
of Filing of Proposed Rule Change by
The Options Clearing Corporation
Concerning Amendments to Its Rules
and Comprehensive Stress Testing &
Clearing Fund Methodology, and
Liquidity Risk Management
Description
May 15, 2024.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Exchange Act’’ or ‘‘Act’’),1 and Rule
19b–4 thereunder,2 notice is hereby
given that on May 2, 2024, The Options
Clearing Corporation (‘‘OCC’’) filed with
the Securities and Exchange
Commission (‘‘SEC’’ or ‘‘Commission’’)
the proposed rule change as described
in Items I, II, and III below, which Items
have been prepared primarily by OCC.
The Commission is publishing this
notice to solicit comments on the
371 17 CFR 240.9b–1(a)(4). As part of the original
approval process of the FLEX Options framework,
the Commission delegated to the Director of the
Division of Market Regulation the authority to
authorize the issuance of orders designating
securities as ‘‘standardized options’’ pursuant to
Rule 9b–1(a)(4) under the Act. See Securities
Exchange Act Release No. 31911 (February 23,
1993), 58 FR 11792 (March 1, 1993).
372 15 U.S.C. 78s(b)(2).
373 17 CFR 200.30–3(a)(12).
1 15 U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
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proposed rule change from interested
persons.
I. Clearing Agency’s Statement of the
Terms of Substance of the Proposed
Rule Change
This proposed rule change would (1)
implement additional stress scenarios
designed to test the sufficiency of its
prefunded financial resources and (2)
amend OCC’s Rules to provide greater
context and detail on margin collection
and Clearing Fund sizing that may
result from this type of sufficiency stress
testing. The proposed changes to OCC’s
(A) Comprehensive Stress Testing &
Clearing Fund Methodology, and
Liquidity Risk Management Description
(‘‘Methodology Description’’); and (B)
Rules are included in Exhibits 5A and
5B [sic] to filing SR–OCC–2024–006.
Material proposed to be added is
underlined and material proposed to be
deleted is marked in strikethrough text.
All capitalized terms not defined herein
have the same meaning as set forth in
the OCC By-Laws and Rules.3
II. Clearing Agency’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 these statements.
(A) Clearing Agency’s Statement of the
Purpose of, and Statutory Basis for, the
Proposed Rule Change
As the sole clearing agency for
standardized equity options listed on a
national securities exchange registered
with the Commission, and for the other
products it clears, OCC is exposed to
certain risks, including credit risk and
liquidity risk arising from its Clearing
Members’ cleared contracts, for which
OCC becomes the buyer to every seller
and the seller to every buyer. The
management of credit and liquidity risks
are essential elements of OCC’s risk
management framework. Given the
critical role OCC plays within the U.S.
financial markets, it is vital that OCC
maintains sufficient financial resources
to cover its exposures under normal and
stressed conditions and adequate
resources to satisfy liquidity needs
3 OCC’s By-Laws and Rules can be found on
OCC’s public website: https://www.theocc.com/
Company-Information/Documents-and-Archives/
By-Laws-and-Rules.
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arising from its settlement obligations.
OCC manages its credit risk related to
Clearing Members by collecting margin
and Clearing Fund resources based on a
Clearing Member’s risk profile. OCC
manages its liquidity risk by
maintaining a reliable and diverse set of
committed resources and liquidity
providers, establishing a contingent
funding plan for additional resources,
and performing stress testing that covers
a wide range of scenarios.
OCC performs daily stress testing of
its financial resources using a wide
range of scenarios. OCC’s stress testing
inventory contains, among others,
scenarios 4 designed to measure the
potential exposures that Clearing
Member Group portfolios present
relative to OCC’s credit and liquidity
resources and determine potential calls
for additional collateral, either as
margin or as Clearing Fund collateral, or
adjust the forms of collateral on deposit
(‘‘Sufficiency Scenarios’’); and monitor
and assess the size of OCC’s prefunded
financial resources against a wide range
of stress scenarios for informational and
risk monitoring purposes
(‘‘Informational Scenarios’’). OCC’s
stress tests are used for evaluating both
credit and liquidity risk, and the output
of these scenarios is also used for
liquidity resource evaluation.
Informational Scenarios are not used
directly to size the Clearing Fund or
drive calls for additional financial
resources from OCC’s Clearing
Members. Informational Scenarios may
be re-categorized as Adequacy,
Sufficiency, or Sizing scenarios upon
the approval of OCC’s Risk Committee.
As part of the regular review of stress
scenario output, OCC identified two of
its existing Informational Scenarios that
generated exposures that were
consistently higher than those generated
by the corresponding Sufficiency
Scenarios. Such Informational Scenarios
are variations of existing Sufficiency
Scenarios representing the most extreme
market rally and decline moves in 2008.
The proposed scenarios differ from the
existing scenarios in terms of how
individual risk factor price shocks are
determined, as further described below.
OCC proposes to elevate these
Informational Scenarios to Sufficiency
Scenarios by amending a list in the
Methodology Description,5 which is
4 OCC’s stress testing inventory also contains
scenarios designed to assess whether the resources
collected are adequate to cover OCC’s risk tolerance
of a 1-in-50 year statistical market event over a twoyear lookback period (‘‘Adequacy Scenarios’’) and
to inform the size of OCC’s financial resources
(‘‘Sizing Scenarios’’).
5 The Methodology Description describes the
Comprehensive Stress Testing & Clearing Fund
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filed as a rule with the Commission.6
Such list represents a subset of
Adequacy, Sizing, and Sufficiency
Scenarios that have been implemented
in OCC’s stress testing system. OCC
believes that the proposed rule change
would enhance its ability to manage
risks by considering a different
approach to the determination of price
shocks to evaluate how such an event
could occur under current market
conditions. While the proposed change
to implement additional Sufficiency
Scenarios could have an impact on
Clearing Members if OCC called for
additional financial resources based on
the results of the new Sufficiency
Scenarios in accordance with OCC’s
Rules, OCC believes the proposed
Sufficiency Scenarios would generate
stress test exposures that are generally
in line with its current, most impactful
Sufficiency Scenarios.7
Based on the results of the Sufficiency
Scenarios, OCC may call for additional
financial resources from its Clearing
Members. For example, the results of
OCC’s Sufficiency Stress Tests may
require the collection of intra-day
margin from a Clearing Member Group
under OCC Rule 609 8 or an intra-month
resizing of the Clearing Fund under
OCC Rule 1001(c).9 While these Rules
provide the authority or requirement to
call for additional resources based on
the Sufficiency Stress Tests, details
about how the calculations related to
the relevant thresholds are made are
documented in OCC’s Clearing Fund
Methodology Policy,10 which is itself
Methodology, and Liquidity Risk Management that
OCC uses to analyze the adequacy of its financial
resources and to challenge its risk management
framework.
6 See Exchange Act Release Nos. 90827 (Dec. 30,
2020), 86 FR 659 (Jan. 6, 2021) (SR–OCC–2020–
015); 89014 (June 4, 2020), 85 FR 35446 (June 10,
2020) (SR–OCC–2020–003); 87718 (Dec. 11, 2019),
84 FR 68992 (Dec. 17, 2019) (SR–OCC–2019–010);
87717 (Dec. 11, 2019), 84 FR 68985 (Dec. 17, 2019)
(SR–OCC–2019–009); 83735 (July 27, 2018), 83 FR
37855 (Aug. 2, 2018) (SR–OCC–2018–008).
7 See infra note 17 and accompanying text.
8 See OCC Rule 609(a)(5) (providing that OCC
may require the deposit of intra-day margin when
a Sufficiency Stress Test identifies an exposure that
exceeds 75% of the current Clearing Fund
requirement less deficits).
9 See OCC Rule 1001(c) (providing that if a
Sufficiency Stress Test identifies a breach that
exceeds 90% of the size of the Clearing Fund
requirement (less any margin collected as a result
of a Sufficiency Stress Test breach pursuant to Rule
609), the calculated size of the Clearing Fund shall
be increased by the greater of $1 billion or 125%
of the difference between the relevant risk exposure
and the then-current Clearing Fund size).
10 OCC’s Clearing Fund Methodology Policy
summarizes the manner in which OCC determines
the level of financial resources necessary to satisfy
the regulatory requirements and the Board’s
direction with respect to the additional financial
resources necessary to withstand a wide range of
foreseeable stress scenarios including, but are not
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44753
filed as a rule with the Commission.11
Based on feedback received from staff of
the Commission, OCC proposes to
amend Rules 609 and 1001(c) to provide
additional context and detail about the
circumstances in which OCC would
exercise this authority to call for
additional resources. OCC does not
believe the proposed changes to the
Rules would have any effect on Clearing
Members because the changes would
merely incorporate additional detail
already in effect under the Commissionapproved Clearing Fund Methodology
Policy.
(1) Purpose
OCC is proposing to (1) take two of its
existing informational stress scenarios
and add them to the list of stress
scenarios designed to test the
sufficiency of OCC’s prefunded
financial resources in the Methodology
Description and (2) amend Rules 609
and 1001(c) to provide greater context
and detail in the Rules on margin
collection and Clearing Fund sizing that
may result from this type of sufficiency
stress testing.
Proposed Changes to the Methodology
Description
OCC proposes to elevate two of its
existing Informational Scenarios to
Sufficiency Scenarios. OCC’s inventory
of Sufficiency Scenarios under the
Methodology Description consists of
historical scenarios designed to
replicate historical events, including the
most extreme market rally and decline
moves (‘‘Largest Rally/Decline’’) in 2008
and 2020, under current market
conditions. The proposed Sufficiency
Scenarios are a variation of the existing
Largest Rally/Decline Sufficiency
Scenarios from 2008.
Price shocks are applied to individual
securities or risk factors to replicate
historical events under the Methodology
Description. The existing Sufficiency
Scenarios are historically based
scenarios that employ a waterfall
approach to determine which price
limited to, the default of the two Clearing Member
Groups that would potentially cause the largest
aggregate credit exposure in extreme but plausible
market conditions.
11 See Exchange Act Release Nos. 96566 (Dec. 22,
2022), 87 FR 80207 (Dec. 29, 2022) (SR–OCC–2022–
010); 94950 (May 19, 2022), 87 FR 31916 (May 25,
2022) (SR–OCC–2022–004); 93436 (Oct. 27, 2021),
86 FR 60499 (Nov. 2, 2021) (SR–OCC–2021–010);
92038 (May 27, 2021), 86 FR 29861 (June 3, 2021)
(SR–OCC–2021–003); 89037 (June 10, 2020), 85 FR
36442 (June 16, 2020) (SR–OCC–2020–006); 89014
(June 4, 2020), 85 FR 35446 (June 10, 2020) (SR–
OCC–2020–003); 87718 (Dec. 11, 2019), 84 FR
68992 (Dec. 17, 2019) (SR–OCC–2019–010); 86436
(July 23, 2019), 84 FR 36632 (July 29, 2019) (SR–
OCC–2019–006); 83735 (July 27, 2018), 83 FR 37855
(Aug. 2, 2018) (SR–OCC–2018–008).
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shocks to apply to risk factors.12 To
start, the actual return of the risk factor
during the historical event is utilized as
the price shock, if available. If
unavailable,13 a proxy market return
from a corresponding sector is utilized
as the price shock. Finally, if data is
unavailable for both actual and sector
returns, the price shock is determined
by the ‘‘beta’’ 14 of the risk factor to its
assigned risk driver 15 multiplied by the
corresponding risk driver shock (the
‘‘risk driver beta derived price shock’’).
The risk driver shock is the actual
return of a given risk driver from the
historical event. For example, the risk
driver beta derived price shock for
equity security ABC would be derived
by multiplying ABC’s historical beta to
SPX (its risk driver) by the SPX risk
driver shock.
The proposed Sufficiency Scenarios,
which are currently classified as
Informational, are a variation of the
existing Largest Rally/Decline from 2008
Sufficiency Scenarios, the only
difference being the determination of
price shocks applied to individual risk
factors. Namely, unlike the existing
Largest Rally/Decline from 2008
Sufficiency Scenarios, the proposed
Sufficiency Scenarios would not utilize
the waterfall approach described above
to apply price shocks. Instead, the
proposed scenarios would directly
apply the risk driver beta derived price
shock. This approach is consistent with
other statistical scenarios, including the
Sizing Scenarios, which directly apply
risk driver beta derived price shocks.
Given that these existing Informational
Scenarios generated exposures that were
consistently higher than those generated
by the corresponding Sufficiency
Scenarios,16 OCC proposes to elevate
these Informational Scenarios to
Sufficiency Scenarios. To effect such
12 A ‘‘risk factor’’ is a product or attribute whose
historical data is used to estimate and simulate the
risk for an associated product. Risk factors include
the returns on individual equity securities, returns
on equity indexes, and returns on implied volatility
risk factors, among others.
13 An actual return may be unavailable as not all
current risk factors existed during a given historical
period. For example, TSLA, a current risk factor,
was not a risk factor in 2008.
14 The ‘‘beta’’ is the sensitivity of a security with
respect to its corresponding risk driver (i.e., the
sensitivity of the price of the security relative to the
price of the risk driver).
15 The main risk drivers are price and volatility
for equity securities. For example, the Cboe S&P
500 Index (‘‘SPX’’) and Cboe Volatility Index
(‘‘VIX’’) are the main risk drivers for shocks of the
equity risk factors. Other relevant risk drivers are
utilized, including but not limited to, risk drivers
to cover U.S. and Canadian Government Security
collateral positions, risk drivers to cover
commodity-based exchange traded funds and risk
drivers to cover commodity-based futures products.
16 See infra note 17.
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changes, OCC would update the list of
scenarios contained in the Methodology
Description to include the proposed
Sufficiency Scenarios. Additionally,
OCC proposes to make minor
typographical edits to correct the
formatting of footnotes throughout the
text of the Methodology Description.
Elevating the subject Informational
Scenarios to Sufficiency Scenarios will
serve to enhance the existing suite of
Sufficiency Scenarios by considering a
different determination of price shocks
to evaluate how such an event could
occur under current market conditions.
In their current state as Informational
Scenarios, these scenarios do not drive
the size of the Clearing Fund or calls for
additional resources. However, as
Sufficiency Scenarios, they would be
used to measure the exposure of OCC’s
Clearing Fund to the portfolios of
individual Clearing Member Groups and
determine whether any such exposure is
sufficiently large as to necessitate OCC
calling for additional resources in the
form of margin or an intra-month
resizing of the Clearing Fund. The
proposed rule change would enable
OCC to test the sufficiency of its
financial resources under a wider range
of relevant stress scenarios and respond
quickly when OCC believes additional
financial resources are necessary. The
proposed rule change would thereby
improve OCC’s ability to measure,
monitor and manage its exposures to its
participants and enhance OCC’s ability
to manage risks in its role as a
systemically important financial market
utility. OCC’s analysis indicates that the
proposed Sufficiency Scenarios generate
stress test exposures that are generally
in line with its current, most impactful
Sufficiency Scenarios.17
Proposed Changes to the Rules
OCC proposes to provide further
context and detail in the Rules on
current Sufficiency Stress Test
practices. As described above,
Sufficiency Stress Tests are run through
OCC’s Sufficiency Scenarios, which,
under the proposal, would include the
proposed Sufficiency Scenarios. The
results of OCC’s Sufficiency Stress Tests
may require the collection of intra-day
margin from a Clearing Member Group
or an intra-month resizing of the
Clearing Fund. For example, pursuant to
17 OCC has provided data and analysis concerning
the proposed rule change in Confidential Exhibit
3A [sic] to SR–OCC–2024–006, including the
performance of the proposed scenarios relative to
the existing 2008 scenarios, an assessment of the
risk drivers for which the proposed scenarios
produce more conservative results, and an
evaluation of the impact the proposed scenarios
would have had on collection of additional
financial resources.
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OCC Rule 609(a)(5),18 if any of OCC’s
Sufficiency Scenarios identify
exposures that exceed 75% of the
current Clearing Fund requirement less
deficits, OCC may require additional
margin deposits (‘‘intra-day margin’’)
from the Clearing Member Group(s)
driving the breach. Additionally,
pursuant to Rule 1001(c),19 if a
Sufficiency Scenario identifies a breach
that exceeds 90% of the current Clearing
Fund requirement (after subtracting any
margin collected in accordance with a
breach of the 75% threshold), OCC will
promptly take action to initiate an
increase in the size of the Clearing Fund
on an intra-month basis to ensure that
it continues to maintain sufficient
prefunded financial resources.20
OCC proposes to amend Rule 609 to
address the case where a Clearing
Member is subject to multiple intra-day
margin calls over the course of a month
(i.e., between resizing of the Clearing
Fund, which is typically conducted
monthly). Under OCC Rule 609(a)(5), if
any of OCC’s Sufficiency Scenarios
identify exposures that exceed 75% of
the current Clearing Fund requirement
less deficits, OCC may require intra-day
margin deposits from the Clearing
Member Group(s) driving the breach.
Currently, prior to the issuance of such
margin call, OCC confirms the margin
call amount against any existing intraday margin call amounts for the
monthly period under OCC Rule
609(a)(5). If the margin call amount is
greater, a new margin call is issued for
that amount.21 The new margin call
remains in effect until the next monthly
resizing of the Clearing Fund or it is
superseded by a larger margin call
amount. Accordingly, OCC proposes
language in the Rule to specify that, if
a Clearing Member Group is subject to
intra-day margin calls under more than
one Sufficiency Stress Test, the largest
call will be applied and remain in effect
until the next monthly resizing. This
18 See Exchange Act Release No. 83406 (June 11,
2018), 83 FR 28018, 28025 (June 15, 2018).
19 Id. at 28025–26.
20 In addition to these Rules, which provide OCC
authority to call for additional financial resources
to mitigate credit risk identified under the
Sufficiency Scenarios, OCC also may address
liquidity risk identified under such Sufficiency
Scenarios. See, e.g., OCC Rules 601(g) & 609(b)
(providing OCC authority to require the Clearing
Member Group to provide additional cash collateral
(‘‘Required Cash Deposits’’) if OCC forecasts that a
Clearing Member’s potential settlement obligations,
including potential settlement obligations under
stressed market conditions, could be in excess of
OCC’s liquidity resources to satisfy such
obligations).
21 For the avoidance of doubt, a new margin call
is not issued if the margin call amount is equal to,
or smaller than, an existing margin call amount for
the monthly period.
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proposed language is consistent with
the language in OCC’s Clearing Fund
Methodology Policy.22
OCC also proposes minor changes for
clarity and readability in Rule 609(a)(5).
For example, OCC proposes replacing
‘‘such that’’ with ‘‘from.’’ Additionally,
OCC proposes to remove ‘‘less deficits’’
in reference to OCC’s Sufficiency
Scenarios identifying exposures that
exceed 75% of the current Clearing
Fund requirement less deficits. Such
language was relevant when OCC’s
Rules provided a two-day period for
Clearing Members to deposit additional
required Clearing Fund assets.23 OCC
has since shortened this collection
period following Clearing Fund resizing
from two business days to the next
Settlement Time, making the reference
to ‘‘less deficits’’ unnecessary as OCC
considers such deficits covered.24 The
removal of such language is also
consistent with the Commissionapproved Clearing Fund Methodology
Policy.25 OCC believes such changes
would provide additional transparency
in the Rules by including greater context
and detail, would not change current
practices, and would promote
consistency between OCC Rules and
related policies.
OCC also proposes to amend Rule
1001(c) to provide additional
transparency and clarity regarding intramonth Clearing Fund sizing
adjustments. Under OCC Rule 1001(c), if
a Sufficiency Scenario identifies a
breach that exceeds 90% of the size of
the Clearing Fund requirement (after
subtracting any margin ‘‘collected’’ in
accordance with a breach of the 75%
threshold), OCC will promptly take
action to initiate an increase in the size
of the Clearing Fund on an intra-month
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22 The
Clearing Fund Methodology Policy states
that, if a Clearing Member Group’s Clearing Fund
draws exceed the 75% threshold in more than one
Sufficiency Stress Test scenario, the Clearing
Member Group ‘‘shall be subject to the largest
margin call.’’ See supra note 18 at 28025.
23 See Exchange Act Release No. 94950 (May 19,
2022), 87 FR 31916, 31918 (May 25, 2022) (File No.
SR–OCC–2022–004) (describing the then-current
process that allows members two business days to
meet routine funding obligations related to the
Clearing Fund).
24 Id. (describing the changes designed to require
funding by the next Settlement Time, effectively
requiring funding by the business day following
notice of an obligation).
25 A conforming reference to remove ‘‘less
deficits’’ was made to OCC’s Clearing Fund
Methodology Policy in reference to OCC’s
Sufficiency Scenarios identifying exposures that
exceed 75% of the current Clearing Fund
requirement as part of File No. SR–OCC–2022–004.
Id. (‘‘These changes are intended to conform the
Clearing Fund Methodology Policy with the
proposed changes to OCC’s Rules and support the
reduced operational complexity that OCC expects to
achieve by creating a more uniform settlement
time.’’).
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18:13 May 20, 2024
Jkt 262001
basis. OCC proposes to amend the
parenthetical to more clearly include
amounts to be collected from a breach
of the 75% threshold by adding ‘‘or to
be collected.’’ This change would
provide greater clarity to reflect that any
margin calls issued pursuant to Rule
609(a)(5) are also subtracted in the
calculation in Rule 1001(c).26 Such
change would conform with OCC’s
current practices set out in the Clearing
Fund Methodology Policy, which does
not limit the parenthetical in Rule
1001(c) to previously collected margin
call amounts.27
OCC believes the proposed changes
are intended to better align the
descriptions in the Rules with OCC’s
current practices for the collection of
intra-day margin or an intra-month
resizing of the Clearing Fund resulting
from OCC’s Sufficiency Stress Tests.
These changes would have no impact on
Clearing Members and would not affect
the Clearing Fund size, as they are
consistent with the Commissionapproved Clearing Fund Methodology
Policy.
Implementation Timeframe
OCC expects to implement the
proposed changes no later than sixty
days from the date that OCC receives all
necessary regulatory approvals for the
filing in light of the technical system
changes that are required to implement
the additional stress scenarios. OCC will
announce the implementation date of
the proposed changes by an Information
Memorandum posted to its public
website at least seven days prior to
implementation.28
(2) Statutory Basis
OCC believes the proposed rule
change is consistent with the
requirements of the Act and the rules
and regulations thereunder applicable to
a registered clearing agency. In
particular, OCC believes that the
proposed rule change is consistent with
Section 17A(b)(3)(F) of the Act 29 and
26 In practice deficits due to an intra-month
resizing are due by the first Settlement Time
following notification or such later time as provided
by OCC pursuant to Rule 1005(b).
27 The current Commission-approved Clearing
Fund Methodology Policy, which OCC has
provided as Exhibit 3B [sic] to File No. SR–OCC–
2024–006, states that, if a Sufficiency Stress Test
identifies a Clearing Fund draw that exceeds 90%
of the current Clearing Fund requirement ‘‘after
subtracting margin calls resulting from a breach of
[the 75% threshold],’’ OCC will promptly act to
initiate an intra-month increase in the Clearing
Fund size.
28 Implementation of this rule change will be
delayed until this change is deemed certified under
CFTC Regulation 40.6.
29 15 U.S.C. 78q–1(b)(3)(F).
PO 00000
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44755
Rule 17Ad–22(e)(4) 30 and Rule 17Ad–
22(e)(7) 31 thereunder, for the reasons
described below.
Section 17A(b)(3)(F) of the Exchange
Act 32 requires, among other things, that
the rules of a clearing agency be
designed to promote the prompt and
accurate clearance and settlement of
securities and derivatives transactions
and, in general, protect investors and
the public interest. OCC proposes to (1)
implement additional Sufficiency
Scenarios in the Methodology
Description and (2) provide greater
context and detail in the OCC Rules on
margin collection and Clearing Fund
sizing that may result from this type of
sufficiency stress testing. The proposed
rule change would enhance OCC’s
framework for measuring, monitoring,
and managing its credit risks.
Implementation of the additional
Sufficiency Scenarios would enable
OCC to test the sufficiency of its
prefunded financial resources under a
wider range of stress scenarios and
respond quickly when OCC believes the
collection of additional financial
resources is necessary. The ability to
appropriately size and test the
sufficiency of prefunded financial
resources is critical to ensuring that
OCC can continue to provide prompt
and accurate clearance and settlement of
securities and derivatives transactions
in the event of a Clearing Member
default and manage the risks associated
with its role as a systemically important
financial market utility. Amending the
Methodology Description to incorporate
the proposed Sufficiency Scenarios and
make minor typographical edits would
help ensure that such document
remains clear and effective so that the
requirements under this document
continue to be carried out properly.
Additionally, the proposed changes to
the OCC Rules would enhance clarity
and transparency regarding OCC
practices on intra-day margin collection
and intra-month Clearing Fund sizing
adjustments resulting from Sufficiency
Stress Tests. Such changes would
promote understanding of the Rules by
market participants and ensure
consistency of the Rules with existing
policies to reduce potential confusion,
which would promote the prompt and
accurate clearance and settlement of
securities and derivatives transactions
and, in general, protect investors and
the public interest. Accordingly, OCC
believes the proposed rule change is
30 17
CFR 240.17Ad–22(e)(4).
CFR 240.17Ad–22(e)(7).
32 15 U.S.C. 78q–1(b)(3)(F).
31 17
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Federal Register / Vol. 89, No. 99 / Tuesday, May 21, 2024 / Notices
consistent with the requirements of
Section 17A(b)(3)(F) of the Act.33
Rule 17Ad–22(e)(4)(iii) 34 requires, in
part, that a covered clearing agency
establish, implement, maintain and
enforce written policies and procedures
reasonably designed to effectively
identify, measure, monitor, and manage
its credit exposures to participants and
those arising from its payment, clearing,
and settlement processes, including by
maintaining additional financial
resources (beyond those collected as
margin) at the minimum to enable it to
cover a wide range of foreseeable stress
scenarios that include, but are not
limited to, the default of the participant
family that would potentially cause the
largest aggregate credit exposure for the
covered clearing agency in extreme but
plausible market conditions. Rule
17Ad–22(e)(4)(vi)(A) 35 further requires,
in part, that such policies and
procedures are reasonably designed to
test the sufficiency of the covered
clearing agency’s total financial
resources available to meet the
minimum financial resource
requirements under Rule 17Ad–
22(e)(4)(iii) 36 by conducting stress
testing of its total financial resources
once each day using standard
predetermined parameters and
assumptions. As described above, OCC’s
Sufficiency Stress Tests are run through
OCC’s Sufficiency Scenarios, which,
under the proposal, would include the
proposed Sufficiency Scenarios. The
results of Sufficiency Stress Tests may
require collection of intra-day margin
from a Clearing Member Group or an
intra-month resizing of the Clearing
Fund. The proposed changes would
thus enable OCC to test the sufficiency
of its prefunded financial resources
under a wider range of stress scenarios,
respond quickly to collect additional
financial resources from its Clearing
Members if the Sufficiency Scenario
exposures breach the predetermined
thresholds established in OCC’s Rules
and Clearing Fund Methodology Policy,
and promote clarity and transparency
on its Sufficiency Stress Tests in the
OCC Rules. Moreover, the proposed
Sufficiency Scenarios were constructed
in accordance with OCC’s existing
Methodology Description using
standard predetermined parameters and
assumptions. As a result, OCC believes
the proposed rule change is designed to
further OCC’s compliance with the
requirements of Rules 17Ad–22(e)(4)(iii)
and (vi)(A).37
Rule 17Ad–22(e)(7)(vi) 38 requires, in
part, that a covered clearing agency
establish, implement, maintain and
enforce written policies and procedures
reasonably designed to effectively
measure, monitor, and manage the
liquidity risk that arises in or is borne
by the covered clearing agency,
including measuring, monitoring, and
managing its settlement and funding
flows on an ongoing and timely basis,
and its use of intraday liquidity by
determining the amount and regularly
testing the sufficiency of the liquid
resources held for purposes of meeting
the minimum liquid resource
requirement. The proposed changes
would allow OCC to test the sufficiency
of its liquid resources under a wider
range of stress scenarios and respond
quickly to collect additional liquid
resources from its Clearing Members if
the Sufficiency Scenario output
breaches the predetermined threshold
established in OCC’s Liquidity Risk
Management Framework. The inclusion
of the proposed scenarios as Sufficiency
Scenarios would increase the likelihood
that OCC maintains sufficient liquid
resources at all times. OCC thus believes
the proposed rule change is consistent
with the requirements of Rules 17Ad–
22(e)(7)(vi).39
(B) Clearing Agency’s Statement on
Burden on Competition
Section 17A(b)(3)(I) of the Exchange
Act 40 requires that the rules of a
clearing agency not impose any burden
on competition not necessary or
appropriate in furtherance of the
purposes of the Exchange Act. The
proposed changes to the OCC Rules
would have no impact on Clearing
Members and would not affect the
Clearing Fund size as they are
consistent with current OCC policies, as
described above. Such changes would
enhance clarity and transparency
regarding OCC practices for the
collection of intra-day margin and intramonth resizing of the Clearing Fund
resulting from Sufficiency Stress Tests
by providing further detail and context
in the Rules. While the proposed change
to implement additional Sufficiency
Scenarios could have an impact on
certain Clearing Members, OCC does not
believe that the proposed rule change
would impose any burden on
competition not necessary or
appropriate in furtherance of the
33 Id.
37 17
34 17
38 17
CFR 240.17Ad–22(e)(4)(iii).
35 17 CFR 240.17Ad–22(e)(4)(vi)(A).
36 17 CFR 240. 17Ad–22(e)(4)(iii).
VerDate Sep<11>2014
18:13 May 20, 2024
Jkt 262001
CFR 240.17Ad–22(e)(4)(iii) and (vi)(A).
CFR 240.17Ad–22(e)(7)(vi).
39 Id.
40 15
PO 00000
U.S.C. 78q–1(b)(3)(I).
Frm 00132
Fmt 4703
Sfmt 4703
purposes of the Act. OCC’s analysis
indicates that the proposed Sufficiency
Scenarios generate stress test exposures
that are generally in line with its
current, most impactful Sufficiency
Scenarios.41 OCC notes, however, that
the results of these proposed scenarios
may vary depending on the composition
of each individual Clearing Member’s
portfolio at a given point in time. As a
result, the proposed scenarios could
from time to time result in more
frequent or larger sufficiency stress test
margin calls.
The implementation of the new
Sufficiency Scenarios would enable
OCC to test the sufficiency of its
financial resources under a wider range
of relevant stress scenarios and respond
quickly when OCC believes additional
financial resources are required. The
proposed changes are designed to
improve OCC’s ability to measure,
monitor and manage its credit exposures
to its participants consistent with its
regulatory requirements under Rule
17Ad–22(e)(4),42 to effectively measure,
monitor, and manage the liquidity risk
that arises in or is borne by OCC under
Rule 17Ad–22(e)(7),43 and to enhance
OCC’s ability to manage risks in its role
as a systemically important financial
market utility. Moreover, the proposed
Sufficiency Scenarios were constructed
in accordance with OCC’s approved
stress testing methodology using
standard predetermined parameters and
assumptions. These scenarios provide
diversification in terms of how price
shocks are applied to individual risk
factors and would help capture risks
that OCC’s current inventory of
Sufficiency Scenarios may not capture.
Accordingly, OCC believes that any
impact on competition or OCC’s
Clearing Members would be necessary
and appropriate in furtherance of the
protection of investors and the public
interest under the Act. For the foregoing
reasons, OCC believes that the proposed
rule change is in the public interest,
would be consistent with the
requirements of the Exchange Act
applicable to clearing agencies, and
would not impose a burden on
competition not necessary or
appropriate in furtherance of the
purposes of the Exchange Act.44
41 OCC has provided data and analysis concerning
the proposed rule change in Confidential Exhibit
3A [sic] to SR–OCC–2024–006.
42 17 CFR 240.17Ad–22(e)(4).
43 17 CFR 240.17Ad–22(e)(7).
44 15 U.S.C. 78s(b)(1).
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Federal Register / Vol. 89, No. 99 / Tuesday, May 21, 2024 / Notices
(C) Clearing Agency’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 the 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
such proposed rule change, or
(B) institute proceedings to determine
whether the proposed rule change
should be disapproved.
The proposal shall not take effect
until all regulatory actions required
with respect to the proposal are
completed.
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:
• 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–2024–006 on the subject line.
ddrumheller on DSK120RN23PROD with NOTICES1
Paper Comments
• Send paper comments in triplicate
to Vanessa Countryman, Secretary,
Securities and Exchange Commission,
100 F Street NE, Washington, DC
20549–1090.
All submissions should refer to file
number SR–OCC–2024–006. 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 website (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
18:13 May 20, 2024
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.45
Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2024–11078 Filed 5–20–24; 8:45 am]
BILLING CODE 8011–01–P
SMALL BUSINESS ADMINISTRATION
Electronic Comments
VerDate Sep<11>2014
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 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
a.m. and 3 p.m. Copies of such filing
also will be available for inspection and
copying at the principal office of OCC
and on OCC’s website at https://
www.theocc.com/CompanyInformation/Documents-and-Archives/
By-Laws-and-Rules.
Do not include personal identifiable
information in submissions; you should
submit only information that you wish
to make available publicly. We may
redact in part or withhold entirely from
publication submitted material that is
obscene or subject to copyright
protection.
All submissions should refer to file
number SR–OCC–2024–006 and should
be submitted on or before June 11, 2024.
Jkt 262001
Meeting of the Interagency Task Force
on Veterans Small Business
Development
U.S. Small Business
Administration (SBA).
ACTION: Notice of open Federal advisory
committee meeting.
AGENCY:
The SBA is issuing this notice
to announce the date, time, and agenda
for the next meeting of the Interagency
Task Force on Veterans Small Business
Development (IATF).
DATES: Wednesday, June 5, 2024, from
1 p.m. to 3 p.m. ET.
ADDRESSES: The public meeting will be
held virtually via Microsoft Teams.
FOR FURTHER INFORMATION CONTACT: The
virtual meeting is open to the public;
however advance notice of attendance is
strongly encouraged. To RSVP and
confirm attendance, the general public
should email veteransbusiness@sba.gov
with subject line, ‘‘RSVP for June 5,
SUMMARY:
2024, IATF Virtual Public Meeting.’’ To
submit a written comment, individuals
should email veteransbusiness@sba.gov
with subject line, ‘‘Response for June 5,
2024, IATF Virtual Public Meeting’’ no
later than May 24, 2024, or contact
Timothy Green, Deputy Associate
Administrator, Office of Veterans
Business Development (OVBD) at (202)
205–6773. Comments received in
advance will be addressed as time
allows during the public comment
period. All other submitted comments
will be included in the meeting record.
During the live meeting, those who wish
to comment will be able to do so during
the public comment period. Participants
can join the meeting via computer at
this link: https://bit.ly/IATF-Jun24 or by
phone. Call in (audio only): Dial: +1
206–413–7980: Phone Conference ID:
547 522 842#. Special accommodation
requests should be directed to OVBD at
(202) 205–6773 or veteransbusiness@
sba.gov. All applicable documents will
be posted on the IATF website prior to
the meeting: https://www.sba.gov/aboutsba/sba-locations/headquarters-offices/
office-veterans-businessdevelopment#sba-card-collection-heading-7153. For more information on
veteran-owned small business programs,
please visit www.sba.gov/ovbd.
Pursuant
to section 10(a)(2) of the Federal
Advisory Committee Act (5 U.S.C.
appendix 2), SBA announces the
meeting of the Interagency Task Force
on Veterans Small Business
Development (IAFT). The IATF is
established pursuant to Executive Order
13540 to coordinate the efforts of
Federal agencies to improve capital,
business development opportunities,
and pre-established federal contracting
goals for small business concerns owned
and controlled by veterans and servicedisabled veterans. The purpose of this
meeting is to discuss efforts that support
veteran-owned small businesses,
updates on past and current events, and
the IATF’s objectives for fiscal year
2024.
SUPPLEMENTARY INFORMATION:
Dated: May 15, 2024.
Andrienne Johnson,
Committee Manager Officer.
[FR Doc. 2024–11053 Filed 5–20–24; 8:45 am]
BILLING CODE 8026–09–P
SMALL BUSINESS ADMINISTRATION
Meeting of the Advisory Committee on
Veterans Business Affairs
U.S. Small Business
Administration (SBA).
AGENCY:
45 17
PO 00000
CFR 200.30–3(a)(12).
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]]>Agencies
[Federal Register Volume 89, Number 99 (Tuesday, May 21, 2024)]
[Notices]
[Pages 44752-44757]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2024-11078]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-100147; File No. SR-OCC-2024-006]
Self-Regulatory Organizations; The Options Clearing Corporation;
Notice of Filing of Proposed Rule Change by The Options Clearing
Corporation Concerning Amendments to Its Rules and Comprehensive Stress
Testing & Clearing Fund Methodology, and Liquidity Risk Management
Description
May 15, 2024.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Exchange Act'' or ``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice
is hereby given that on May 2, 2024, The Options Clearing Corporation
(``OCC'') filed with the Securities and Exchange Commission (``SEC'' or
``Commission'') the proposed rule change as described in Items I, II,
and III 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. Clearing Agency's Statement of the Terms of Substance of the
Proposed Rule Change
This proposed rule change would (1) implement additional stress
scenarios designed to test the sufficiency of its prefunded financial
resources and (2) amend OCC's Rules to provide greater context and
detail on margin collection and Clearing Fund sizing that may result
from this type of sufficiency stress testing. The proposed changes to
OCC's (A) Comprehensive Stress Testing & Clearing Fund Methodology, and
Liquidity Risk Management Description (``Methodology Description'');
and (B) Rules are included in Exhibits 5A and 5B [sic] to filing SR-
OCC-2024-006. Material proposed to be added is underlined and material
proposed to be deleted is marked in strikethrough text. All capitalized
terms not defined herein have the same meaning as set forth in the OCC
By-Laws and Rules.\3\
---------------------------------------------------------------------------
\3\ OCC's By-Laws and Rules can be found on OCC's public
website: https://www.theocc.com/Company-Information/Documents-and-Archives/By-Laws-and-Rules.
---------------------------------------------------------------------------
II. Clearing Agency'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 these
statements.
(A) Clearing Agency's Statement of the Purpose of, and Statutory Basis
for, the Proposed Rule Change
As the sole clearing agency for standardized equity options listed
on a national securities exchange registered with the Commission, and
for the other products it clears, OCC is exposed to certain risks,
including credit risk and liquidity risk arising from its Clearing
Members' cleared contracts, for which OCC becomes the buyer to every
seller and the seller to every buyer. The management of credit and
liquidity risks are essential elements of OCC's risk management
framework. Given the critical role OCC plays within the U.S. financial
markets, it is vital that OCC maintains sufficient financial resources
to cover its exposures under normal and stressed conditions and
adequate resources to satisfy liquidity needs
[[Page 44753]]
arising from its settlement obligations. OCC manages its credit risk
related to Clearing Members by collecting margin and Clearing Fund
resources based on a Clearing Member's risk profile. OCC manages its
liquidity risk by maintaining a reliable and diverse set of committed
resources and liquidity providers, establishing a contingent funding
plan for additional resources, and performing stress testing that
covers a wide range of scenarios.
OCC performs daily stress testing of its financial resources using
a wide range of scenarios. OCC's stress testing inventory contains,
among others, scenarios \4\ designed to measure the potential exposures
that Clearing Member Group portfolios present relative to OCC's credit
and liquidity resources and determine potential calls for additional
collateral, either as margin or as Clearing Fund collateral, or adjust
the forms of collateral on deposit (``Sufficiency Scenarios''); and
monitor and assess the size of OCC's prefunded financial resources
against a wide range of stress scenarios for informational and risk
monitoring purposes (``Informational Scenarios''). OCC's stress tests
are used for evaluating both credit and liquidity risk, and the output
of these scenarios is also used for liquidity resource evaluation.
Informational Scenarios are not used directly to size the Clearing Fund
or drive calls for additional financial resources from OCC's Clearing
Members. Informational Scenarios may be re-categorized as Adequacy,
Sufficiency, or Sizing scenarios upon the approval of OCC's Risk
Committee.
---------------------------------------------------------------------------
\4\ OCC's stress testing inventory also contains scenarios
designed to assess whether the resources collected are adequate to
cover OCC's risk tolerance of a 1-in-50 year statistical market
event over a two-year lookback period (``Adequacy Scenarios'') and
to inform the size of OCC's financial resources (``Sizing
Scenarios'').
---------------------------------------------------------------------------
As part of the regular review of stress scenario output, OCC
identified two of its existing Informational Scenarios that generated
exposures that were consistently higher than those generated by the
corresponding Sufficiency Scenarios. Such Informational Scenarios are
variations of existing Sufficiency Scenarios representing the most
extreme market rally and decline moves in 2008. The proposed scenarios
differ from the existing scenarios in terms of how individual risk
factor price shocks are determined, as further described below. OCC
proposes to elevate these Informational Scenarios to Sufficiency
Scenarios by amending a list in the Methodology Description,\5\ which
is filed as a rule with the Commission.\6\ Such list represents a
subset of Adequacy, Sizing, and Sufficiency Scenarios that have been
implemented in OCC's stress testing system. OCC believes that the
proposed rule change would enhance its ability to manage risks by
considering a different approach to the determination of price shocks
to evaluate how such an event could occur under current market
conditions. While the proposed change to implement additional
Sufficiency Scenarios could have an impact on Clearing Members if OCC
called for additional financial resources based on the results of the
new Sufficiency Scenarios in accordance with OCC's Rules, OCC believes
the proposed Sufficiency Scenarios would generate stress test exposures
that are generally in line with its current, most impactful Sufficiency
Scenarios.\7\
---------------------------------------------------------------------------
\5\ The Methodology Description describes the Comprehensive
Stress Testing & Clearing Fund Methodology, and Liquidity Risk
Management that OCC uses to analyze the adequacy of its financial
resources and to challenge its risk management framework.
\6\ See Exchange Act Release Nos. 90827 (Dec. 30, 2020), 86 FR
659 (Jan. 6, 2021) (SR-OCC-2020-015); 89014 (June 4, 2020), 85 FR
35446 (June 10, 2020) (SR-OCC-2020-003); 87718 (Dec. 11, 2019), 84
FR 68992 (Dec. 17, 2019) (SR-OCC-2019-010); 87717 (Dec. 11, 2019),
84 FR 68985 (Dec. 17, 2019) (SR-OCC-2019-009); 83735 (July 27,
2018), 83 FR 37855 (Aug. 2, 2018) (SR-OCC-2018-008).
\7\ See infra note 17 and accompanying text.
---------------------------------------------------------------------------
Based on the results of the Sufficiency Scenarios, OCC may call for
additional financial resources from its Clearing Members. For example,
the results of OCC's Sufficiency Stress Tests may require the
collection of intra-day margin from a Clearing Member Group under OCC
Rule 609 \8\ or an intra-month resizing of the Clearing Fund under OCC
Rule 1001(c).\9\ While these Rules provide the authority or requirement
to call for additional resources based on the Sufficiency Stress Tests,
details about how the calculations related to the relevant thresholds
are made are documented in OCC's Clearing Fund Methodology Policy,\10\
which is itself filed as a rule with the Commission.\11\ Based on
feedback received from staff of the Commission, OCC proposes to amend
Rules 609 and 1001(c) to provide additional context and detail about
the circumstances in which OCC would exercise this authority to call
for additional resources. OCC does not believe the proposed changes to
the Rules would have any effect on Clearing Members because the changes
would merely incorporate additional detail already in effect under the
Commission-approved Clearing Fund Methodology Policy.
---------------------------------------------------------------------------
\8\ See OCC Rule 609(a)(5) (providing that OCC may require the
deposit of intra-day margin when a Sufficiency Stress Test
identifies an exposure that exceeds 75% of the current Clearing Fund
requirement less deficits).
\9\ See OCC Rule 1001(c) (providing that if a Sufficiency Stress
Test identifies a breach that exceeds 90% of the size of the
Clearing Fund requirement (less any margin collected as a result of
a Sufficiency Stress Test breach pursuant to Rule 609), the
calculated size of the Clearing Fund shall be increased by the
greater of $1 billion or 125% of the difference between the relevant
risk exposure and the then-current Clearing Fund size).
\10\ OCC's Clearing Fund Methodology Policy summarizes the
manner in which OCC determines the level of financial resources
necessary to satisfy the regulatory requirements and the Board's
direction with respect to the additional financial resources
necessary to withstand a wide range of foreseeable stress scenarios
including, but are not limited to, the default of the two Clearing
Member Groups that would potentially cause the largest aggregate
credit exposure in extreme but plausible market conditions.
\11\ See Exchange Act Release Nos. 96566 (Dec. 22, 2022), 87 FR
80207 (Dec. 29, 2022) (SR-OCC-2022-010); 94950 (May 19, 2022), 87 FR
31916 (May 25, 2022) (SR-OCC-2022-004); 93436 (Oct. 27, 2021), 86 FR
60499 (Nov. 2, 2021) (SR-OCC-2021-010); 92038 (May 27, 2021), 86 FR
29861 (June 3, 2021) (SR-OCC-2021-003); 89037 (June 10, 2020), 85 FR
36442 (June 16, 2020) (SR-OCC-2020-006); 89014 (June 4, 2020), 85 FR
35446 (June 10, 2020) (SR-OCC-2020-003); 87718 (Dec. 11, 2019), 84
FR 68992 (Dec. 17, 2019) (SR-OCC-2019-010); 86436 (July 23, 2019),
84 FR 36632 (July 29, 2019) (SR-OCC-2019-006); 83735 (July 27,
2018), 83 FR 37855 (Aug. 2, 2018) (SR-OCC-2018-008).
---------------------------------------------------------------------------
(1) Purpose
OCC is proposing to (1) take two of its existing informational
stress scenarios and add them to the list of stress scenarios designed
to test the sufficiency of OCC's prefunded financial resources in the
Methodology Description and (2) amend Rules 609 and 1001(c) to provide
greater context and detail in the Rules on margin collection and
Clearing Fund sizing that may result from this type of sufficiency
stress testing.
Proposed Changes to the Methodology Description
OCC proposes to elevate two of its existing Informational Scenarios
to Sufficiency Scenarios. OCC's inventory of Sufficiency Scenarios
under the Methodology Description consists of historical scenarios
designed to replicate historical events, including the most extreme
market rally and decline moves (``Largest Rally/Decline'') in 2008 and
2020, under current market conditions. The proposed Sufficiency
Scenarios are a variation of the existing Largest Rally/Decline
Sufficiency Scenarios from 2008.
Price shocks are applied to individual securities or risk factors
to replicate historical events under the Methodology Description. The
existing Sufficiency Scenarios are historically based scenarios that
employ a waterfall approach to determine which price
[[Page 44754]]
shocks to apply to risk factors.\12\ To start, the actual return of the
risk factor during the historical event is utilized as the price shock,
if available. If unavailable,\13\ a proxy market return from a
corresponding sector is utilized as the price shock. Finally, if data
is unavailable for both actual and sector returns, the price shock is
determined by the ``beta'' \14\ of the risk factor to its assigned risk
driver \15\ multiplied by the corresponding risk driver shock (the
``risk driver beta derived price shock''). The risk driver shock is the
actual return of a given risk driver from the historical event. For
example, the risk driver beta derived price shock for equity security
ABC would be derived by multiplying ABC's historical beta to SPX (its
risk driver) by the SPX risk driver shock.
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\12\ A ``risk factor'' is a product or attribute whose
historical data is used to estimate and simulate the risk for an
associated product. Risk factors include the returns on individual
equity securities, returns on equity indexes, and returns on implied
volatility risk factors, among others.
\13\ An actual return may be unavailable as not all current risk
factors existed during a given historical period. For example, TSLA,
a current risk factor, was not a risk factor in 2008.
\14\ The ``beta'' is the sensitivity of a security with respect
to its corresponding risk driver (i.e., the sensitivity of the price
of the security relative to the price of the risk driver).
\15\ The main risk drivers are price and volatility for equity
securities. For example, the Cboe S&P 500 Index (``SPX'') and Cboe
Volatility Index (``VIX'') are the main risk drivers for shocks of
the equity risk factors. Other relevant risk drivers are utilized,
including but not limited to, risk drivers to cover U.S. and
Canadian Government Security collateral positions, risk drivers to
cover commodity-based exchange traded funds and risk drivers to
cover commodity-based futures products.
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The proposed Sufficiency Scenarios, which are currently classified
as Informational, are a variation of the existing Largest Rally/Decline
from 2008 Sufficiency Scenarios, the only difference being the
determination of price shocks applied to individual risk factors.
Namely, unlike the existing Largest Rally/Decline from 2008 Sufficiency
Scenarios, the proposed Sufficiency Scenarios would not utilize the
waterfall approach described above to apply price shocks. Instead, the
proposed scenarios would directly apply the risk driver beta derived
price shock. This approach is consistent with other statistical
scenarios, including the Sizing Scenarios, which directly apply risk
driver beta derived price shocks. Given that these existing
Informational Scenarios generated exposures that were consistently
higher than those generated by the corresponding Sufficiency
Scenarios,\16\ OCC proposes to elevate these Informational Scenarios to
Sufficiency Scenarios. To effect such changes, OCC would update the
list of scenarios contained in the Methodology Description to include
the proposed Sufficiency Scenarios. Additionally, OCC proposes to make
minor typographical edits to correct the formatting of footnotes
throughout the text of the Methodology Description.
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\16\ See infra note 17.
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Elevating the subject Informational Scenarios to Sufficiency
Scenarios will serve to enhance the existing suite of Sufficiency
Scenarios by considering a different determination of price shocks to
evaluate how such an event could occur under current market conditions.
In their current state as Informational Scenarios, these scenarios do
not drive the size of the Clearing Fund or calls for additional
resources. However, as Sufficiency Scenarios, they would be used to
measure the exposure of OCC's Clearing Fund to the portfolios of
individual Clearing Member Groups and determine whether any such
exposure is sufficiently large as to necessitate OCC calling for
additional resources in the form of margin or an intra-month resizing
of the Clearing Fund. The proposed rule change would enable OCC to test
the sufficiency of its financial resources under a wider range of
relevant stress scenarios and respond quickly when OCC believes
additional financial resources are necessary. The proposed rule change
would thereby improve OCC's ability to measure, monitor and manage its
exposures to its participants and enhance OCC's ability to manage risks
in its role as a systemically important financial market utility. OCC's
analysis indicates that the proposed Sufficiency Scenarios generate
stress test exposures that are generally in line with its current, most
impactful Sufficiency Scenarios.\17\
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\17\ OCC has provided data and analysis concerning the proposed
rule change in Confidential Exhibit 3A [sic] to SR-OCC-2024-006,
including the performance of the proposed scenarios relative to the
existing 2008 scenarios, an assessment of the risk drivers for which
the proposed scenarios produce more conservative results, and an
evaluation of the impact the proposed scenarios would have had on
collection of additional financial resources.
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Proposed Changes to the Rules
OCC proposes to provide further context and detail in the Rules on
current Sufficiency Stress Test practices. As described above,
Sufficiency Stress Tests are run through OCC's Sufficiency Scenarios,
which, under the proposal, would include the proposed Sufficiency
Scenarios. The results of OCC's Sufficiency Stress Tests may require
the collection of intra-day margin from a Clearing Member Group or an
intra-month resizing of the Clearing Fund. For example, pursuant to OCC
Rule 609(a)(5),\18\ if any of OCC's Sufficiency Scenarios identify
exposures that exceed 75% of the current Clearing Fund requirement less
deficits, OCC may require additional margin deposits (``intra-day
margin'') from the Clearing Member Group(s) driving the breach.
Additionally, pursuant to Rule 1001(c),\19\ if a Sufficiency Scenario
identifies a breach that exceeds 90% of the current Clearing Fund
requirement (after subtracting any margin collected in accordance with
a breach of the 75% threshold), OCC will promptly take action to
initiate an increase in the size of the Clearing Fund on an intra-month
basis to ensure that it continues to maintain sufficient prefunded
financial resources.\20\
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\18\ See Exchange Act Release No. 83406 (June 11, 2018), 83 FR
28018, 28025 (June 15, 2018).
\19\ Id. at 28025-26.
\20\ In addition to these Rules, which provide OCC authority to
call for additional financial resources to mitigate credit risk
identified under the Sufficiency Scenarios, OCC also may address
liquidity risk identified under such Sufficiency Scenarios. See,
e.g., OCC Rules 601(g) & 609(b) (providing OCC authority to require
the Clearing Member Group to provide additional cash collateral
(``Required Cash Deposits'') if OCC forecasts that a Clearing
Member's potential settlement obligations, including potential
settlement obligations under stressed market conditions, could be in
excess of OCC's liquidity resources to satisfy such obligations).
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OCC proposes to amend Rule 609 to address the case where a Clearing
Member is subject to multiple intra-day margin calls over the course of
a month (i.e., between resizing of the Clearing Fund, which is
typically conducted monthly). Under OCC Rule 609(a)(5), if any of OCC's
Sufficiency Scenarios identify exposures that exceed 75% of the current
Clearing Fund requirement less deficits, OCC may require intra-day
margin deposits from the Clearing Member Group(s) driving the breach.
Currently, prior to the issuance of such margin call, OCC confirms the
margin call amount against any existing intra-day margin call amounts
for the monthly period under OCC Rule 609(a)(5). If the margin call
amount is greater, a new margin call is issued for that amount.\21\ The
new margin call remains in effect until the next monthly resizing of
the Clearing Fund or it is superseded by a larger margin call amount.
Accordingly, OCC proposes language in the Rule to specify that, if a
Clearing Member Group is subject to intra-day margin calls under more
than one Sufficiency Stress Test, the largest call will be applied and
remain in effect until the next monthly resizing. This
[[Page 44755]]
proposed language is consistent with the language in OCC's Clearing
Fund Methodology Policy.\22\
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\21\ For the avoidance of doubt, a new margin call is not issued
if the margin call amount is equal to, or smaller than, an existing
margin call amount for the monthly period.
\22\ The Clearing Fund Methodology Policy states that, if a
Clearing Member Group's Clearing Fund draws exceed the 75% threshold
in more than one Sufficiency Stress Test scenario, the Clearing
Member Group ``shall be subject to the largest margin call.'' See
supra note 18 at 28025.
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OCC also proposes minor changes for clarity and readability in Rule
609(a)(5). For example, OCC proposes replacing ``such that'' with
``from.'' Additionally, OCC proposes to remove ``less deficits'' in
reference to OCC's Sufficiency Scenarios identifying exposures that
exceed 75% of the current Clearing Fund requirement less deficits. Such
language was relevant when OCC's Rules provided a two-day period for
Clearing Members to deposit additional required Clearing Fund
assets.\23\ OCC has since shortened this collection period following
Clearing Fund resizing from two business days to the next Settlement
Time, making the reference to ``less deficits'' unnecessary as OCC
considers such deficits covered.\24\ The removal of such language is
also consistent with the Commission-approved Clearing Fund Methodology
Policy.\25\ OCC believes such changes would provide additional
transparency in the Rules by including greater context and detail,
would not change current practices, and would promote consistency
between OCC Rules and related policies.
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\23\ See Exchange Act Release No. 94950 (May 19, 2022), 87 FR
31916, 31918 (May 25, 2022) (File No. SR-OCC-2022-004) (describing
the then-current process that allows members two business days to
meet routine funding obligations related to the Clearing Fund).
\24\ Id. (describing the changes designed to require funding by
the next Settlement Time, effectively requiring funding by the
business day following notice of an obligation).
\25\ A conforming reference to remove ``less deficits'' was made
to OCC's Clearing Fund Methodology Policy in reference to OCC's
Sufficiency Scenarios identifying exposures that exceed 75% of the
current Clearing Fund requirement as part of File No. SR-OCC-2022-
004. Id. (``These changes are intended to conform the Clearing Fund
Methodology Policy with the proposed changes to OCC's Rules and
support the reduced operational complexity that OCC expects to
achieve by creating a more uniform settlement time.'').
---------------------------------------------------------------------------
OCC also proposes to amend Rule 1001(c) to provide additional
transparency and clarity regarding intra-month Clearing Fund sizing
adjustments. Under OCC Rule 1001(c), if a Sufficiency Scenario
identifies a breach that exceeds 90% of the size of the Clearing Fund
requirement (after subtracting any margin ``collected'' in accordance
with a breach of the 75% threshold), OCC will promptly take action to
initiate an increase in the size of the Clearing Fund on an intra-month
basis. OCC proposes to amend the parenthetical to more clearly include
amounts to be collected from a breach of the 75% threshold by adding
``or to be collected.'' This change would provide greater clarity to
reflect that any margin calls issued pursuant to Rule 609(a)(5) are
also subtracted in the calculation in Rule 1001(c).\26\ Such change
would conform with OCC's current practices set out in the Clearing Fund
Methodology Policy, which does not limit the parenthetical in Rule
1001(c) to previously collected margin call amounts.\27\
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\26\ In practice deficits due to an intra-month resizing are due
by the first Settlement Time following notification or such later
time as provided by OCC pursuant to Rule 1005(b).
\27\ The current Commission-approved Clearing Fund Methodology
Policy, which OCC has provided as Exhibit 3B [sic] to File No. SR-
OCC-2024-006, states that, if a Sufficiency Stress Test identifies a
Clearing Fund draw that exceeds 90% of the current Clearing Fund
requirement ``after subtracting margin calls resulting from a breach
of [the 75% threshold],'' OCC will promptly act to initiate an
intra-month increase in the Clearing Fund size.
---------------------------------------------------------------------------
OCC believes the proposed changes are intended to better align the
descriptions in the Rules with OCC's current practices for the
collection of intra-day margin or an intra-month resizing of the
Clearing Fund resulting from OCC's Sufficiency Stress Tests. These
changes would have no impact on Clearing Members and would not affect
the Clearing Fund size, as they are consistent with the Commission-
approved Clearing Fund Methodology Policy.
Implementation Timeframe
OCC expects to implement the proposed changes no later than sixty
days from the date that OCC receives all necessary regulatory approvals
for the filing in light of the technical system changes that are
required to implement the additional stress scenarios. OCC will
announce the implementation date of the proposed changes by an
Information Memorandum posted to its public website at least seven days
prior to implementation.\28\
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\28\ Implementation of this rule change will be delayed until
this change is deemed certified under CFTC Regulation 40.6.
---------------------------------------------------------------------------
(2) Statutory Basis
OCC believes the proposed rule change is consistent with the
requirements of the Act and the rules and regulations thereunder
applicable to a registered clearing agency. In particular, OCC believes
that the proposed rule change is consistent with Section 17A(b)(3)(F)
of the Act \29\ and Rule 17Ad-22(e)(4) \30\ and Rule 17Ad-22(e)(7) \31\
thereunder, for the reasons described below.
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\29\ 15 U.S.C. 78q-1(b)(3)(F).
\30\ 17 CFR 240.17Ad-22(e)(4).
\31\ 17 CFR 240.17Ad-22(e)(7).
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Section 17A(b)(3)(F) of the Exchange Act \32\ requires, among other
things, that the rules of a clearing agency be designed to promote the
prompt and accurate clearance and settlement of securities and
derivatives transactions and, in general, protect investors and the
public interest. OCC proposes to (1) implement additional Sufficiency
Scenarios in the Methodology Description and (2) provide greater
context and detail in the OCC Rules on margin collection and Clearing
Fund sizing that may result from this type of sufficiency stress
testing. The proposed rule change would enhance OCC's framework for
measuring, monitoring, and managing its credit risks. Implementation of
the additional Sufficiency Scenarios would enable OCC to test the
sufficiency of its prefunded financial resources under a wider range of
stress scenarios and respond quickly when OCC believes the collection
of additional financial resources is necessary. The ability to
appropriately size and test the sufficiency of prefunded financial
resources is critical to ensuring that OCC can continue to provide
prompt and accurate clearance and settlement of securities and
derivatives transactions in the event of a Clearing Member default and
manage the risks associated with its role as a systemically important
financial market utility. Amending the Methodology Description to
incorporate the proposed Sufficiency Scenarios and make minor
typographical edits would help ensure that such document remains clear
and effective so that the requirements under this document continue to
be carried out properly. Additionally, the proposed changes to the OCC
Rules would enhance clarity and transparency regarding OCC practices on
intra-day margin collection and intra-month Clearing Fund sizing
adjustments resulting from Sufficiency Stress Tests. Such changes would
promote understanding of the Rules by market participants and ensure
consistency of the Rules with existing policies to reduce potential
confusion, which would promote the prompt and accurate clearance and
settlement of securities and derivatives transactions and, in general,
protect investors and the public interest. Accordingly, OCC believes
the proposed rule change is
[[Page 44756]]
consistent with the requirements of Section 17A(b)(3)(F) of the
Act.\33\
---------------------------------------------------------------------------
\32\ 15 U.S.C. 78q-1(b)(3)(F).
\33\ Id.
---------------------------------------------------------------------------
Rule 17Ad-22(e)(4)(iii) \34\ requires, in part, that a covered
clearing agency establish, implement, maintain and enforce written
policies and procedures reasonably designed to effectively identify,
measure, monitor, and manage its credit exposures to participants and
those arising from its payment, clearing, and settlement processes,
including by maintaining additional financial resources (beyond those
collected as margin) at the minimum to enable it to cover a wide range
of foreseeable stress scenarios that include, but are not limited to,
the default of the participant family that would potentially cause the
largest aggregate credit exposure for the covered clearing agency in
extreme but plausible market conditions. Rule 17Ad-22(e)(4)(vi)(A) \35\
further requires, in part, that such policies and procedures are
reasonably designed to test the sufficiency of the covered clearing
agency's total financial resources available to meet the minimum
financial resource requirements under Rule 17Ad-22(e)(4)(iii) \36\ by
conducting stress testing of its total financial resources once each
day using standard predetermined parameters and assumptions. As
described above, OCC's Sufficiency Stress Tests are run through OCC's
Sufficiency Scenarios, which, under the proposal, would include the
proposed Sufficiency Scenarios. The results of Sufficiency Stress Tests
may require collection of intra-day margin from a Clearing Member Group
or an intra-month resizing of the Clearing Fund. The proposed changes
would thus enable OCC to test the sufficiency of its prefunded
financial resources under a wider range of stress scenarios, respond
quickly to collect additional financial resources from its Clearing
Members if the Sufficiency Scenario exposures breach the predetermined
thresholds established in OCC's Rules and Clearing Fund Methodology
Policy, and promote clarity and transparency on its Sufficiency Stress
Tests in the OCC Rules. Moreover, the proposed Sufficiency Scenarios
were constructed in accordance with OCC's existing Methodology
Description using standard predetermined parameters and assumptions. As
a result, OCC believes the proposed rule change is designed to further
OCC's compliance with the requirements of Rules 17Ad-22(e)(4)(iii) and
(vi)(A).\37\
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\34\ 17 CFR 240.17Ad-22(e)(4)(iii).
\35\ 17 CFR 240.17Ad-22(e)(4)(vi)(A).
\36\ 17 CFR 240. 17Ad-22(e)(4)(iii).
\37\ 17 CFR 240.17Ad-22(e)(4)(iii) and (vi)(A).
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Rule 17Ad-22(e)(7)(vi) \38\ requires, in part, that a covered
clearing agency establish, implement, maintain and enforce written
policies and procedures reasonably designed to effectively measure,
monitor, and manage the liquidity risk that arises in or is borne by
the covered clearing agency, including measuring, monitoring, and
managing its settlement and funding flows on an ongoing and timely
basis, and its use of intraday liquidity by determining the amount and
regularly testing the sufficiency of the liquid resources held for
purposes of meeting the minimum liquid resource requirement. The
proposed changes would allow OCC to test the sufficiency of its liquid
resources under a wider range of stress scenarios and respond quickly
to collect additional liquid resources from its Clearing Members if the
Sufficiency Scenario output breaches the predetermined threshold
established in OCC's Liquidity Risk Management Framework. The inclusion
of the proposed scenarios as Sufficiency Scenarios would increase the
likelihood that OCC maintains sufficient liquid resources at all times.
OCC thus believes the proposed rule change is consistent with the
requirements of Rules 17Ad-22(e)(7)(vi).\39\
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\38\ 17 CFR 240.17Ad-22(e)(7)(vi).
\39\ Id.
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(B) Clearing Agency's Statement on Burden on Competition
Section 17A(b)(3)(I) of the Exchange Act \40\ requires that the
rules of a clearing agency not impose any burden on competition not
necessary or appropriate in furtherance of the purposes of the Exchange
Act. The proposed changes to the OCC Rules would have no impact on
Clearing Members and would not affect the Clearing Fund size as they
are consistent with current OCC policies, as described above. Such
changes would enhance clarity and transparency regarding OCC practices
for the collection of intra-day margin and intra-month resizing of the
Clearing Fund resulting from Sufficiency Stress Tests by providing
further detail and context in the Rules. While the proposed change to
implement additional Sufficiency Scenarios could have an impact on
certain Clearing Members, 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. OCC's analysis
indicates that the proposed Sufficiency Scenarios generate stress test
exposures that are generally in line with its current, most impactful
Sufficiency Scenarios.\41\ OCC notes, however, that the results of
these proposed scenarios may vary depending on the composition of each
individual Clearing Member's portfolio at a given point in time. As a
result, the proposed scenarios could from time to time result in more
frequent or larger sufficiency stress test margin calls.
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\40\ 15 U.S.C. 78q-1(b)(3)(I).
\41\ OCC has provided data and analysis concerning the proposed
rule change in Confidential Exhibit 3A [sic] to SR-OCC-2024-006.
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The implementation of the new Sufficiency Scenarios would enable
OCC to test the sufficiency of its financial resources under a wider
range of relevant stress scenarios and respond quickly when OCC
believes additional financial resources are required. The proposed
changes are designed to improve OCC's ability to measure, monitor and
manage its credit exposures to its participants consistent with its
regulatory requirements under Rule 17Ad-22(e)(4),\42\ to effectively
measure, monitor, and manage the liquidity risk that arises in or is
borne by OCC under Rule 17Ad-22(e)(7),\43\ and to enhance OCC's ability
to manage risks in its role as a systemically important financial
market utility. Moreover, the proposed Sufficiency Scenarios were
constructed in accordance with OCC's approved stress testing
methodology using standard predetermined parameters and assumptions.
These scenarios provide diversification in terms of how price shocks
are applied to individual risk factors and would help capture risks
that OCC's current inventory of Sufficiency Scenarios may not capture.
Accordingly, OCC believes that any impact on competition or OCC's
Clearing Members would be necessary and appropriate in furtherance of
the protection of investors and the public interest under the Act. For
the foregoing reasons, OCC believes that the proposed rule change is in
the public interest, would be consistent with the requirements of the
Exchange Act applicable to clearing agencies, and would not impose a
burden on competition not necessary or appropriate in furtherance of
the purposes of the Exchange Act.\44\
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\42\ 17 CFR 240.17Ad-22(e)(4).
\43\ 17 CFR 240.17Ad-22(e)(7).
\44\ 15 U.S.C. 78s(b)(1).
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[[Page 44757]]
(C) Clearing Agency'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 the 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 such proposed rule change, or
(B) institute proceedings to determine whether the proposed rule
change should be disapproved.
The proposal shall not take effect until all regulatory actions
required with respect to the proposal are completed.
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 [email protected]. Please include
file number SR-OCC-2024-006 on the subject line.
Paper Comments
Send paper comments in triplicate to Vanessa Countryman,
Secretary, Securities and Exchange Commission, 100 F Street NE,
Washington, DC 20549-1090.
All submissions should refer to file number SR-OCC-2024-006. 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 website (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 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
a.m. and 3 p.m. Copies of such filing also will be available for
inspection and copying at the principal office of OCC and on OCC's
website at https://www.theocc.com/Company-Information/Documents-and-Archives/By-Laws-and-Rules.
Do not include personal identifiable information in submissions;
you should submit only information that you wish to make available
publicly. We may redact in part or withhold entirely from publication
submitted material that is obscene or subject to copyright protection.
All submissions should refer to file number SR-OCC-2024-006 and
should be submitted on or before June 11, 2024.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\45\
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\45\ 17 CFR 200.30-3(a)(12).
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Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2024-11078 Filed 5-20-24; 8:45 am]
BILLING CODE 8011-01-P
