520 Federal Register / Vol. 77, No. 3 / Thursday, January 5, 2012 / Notices 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3Securities Exchange Act Release No. 65483 

(October 4, 2011), 76 FR 62981 (October 11, 2011). 

4Securities Exchange Act Release No. 65807 

(September 21, 2011), 76 FR 73752 (November 29, 

2011). 

5The staff notes that on August 17, 2011, the 

Commission issued an Order granting approval to 

this proposed rule change. See Securities Exchange 

Act Release No. 34–65149, 76 FR 52729 (August 23, 

2011). 

6The staff notes that OCC is also adding a 

definition of ‘‘relative performance index’’ to 

Section 1, which will be defined as an index 

designed to measure the relative performance of a 

reference security or reference index in relation to 

another reference security or reference index. 

7See Securities Exchange Act Release No. 34– 

62290, 75 FR 35861 (June 23, 2010); CFTC Order 

Exempting the Trading and Clearing of Certain 

Products Related to the CBOE Gold ETF Volatility 

Index and Similar Products, 75 FR 81977 

(December 29, 2010). 

8The staff notes that Amendment Nos. 2 and 3 

provide that the interpretation will not include 

options on relative performance indexes for which 

a reference security is an exchange-traded fund 

designed to measure the return of a commodity 

other than gold or silver. 

9 15 U.S.C. 78q–1(b)(3)(F). 

10 15 U.S.C. 78q–1. 

11 15 U.S.C. 78s(b)(2). 

12 In approving this proposed rule change the 

Commission has considered the proposed rule’s 

impact of efficiency, competition, and capital 

formation. See 15 U.S.C. 78c(f). 

13 17 CFR 200.30–3(a)(12). 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.13

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2011–33789 Filed 1–4–12; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–66070; File No. SR–OCC– 

2011–13] 

Self-Regulatory Organizations; 

Options Clearing Corporation; Order 

Approving Proposed Rule Change, as 

Modified by Amendments No. 1, No. 2, 

and No. 3, Relating to Relative 

Performance Indexes 

December 29, 2011. 

I. Introduction 

On September 21, 2011, the Options 

Clearing Corporation (‘‘OCC’’) filed with 

the Securities and Exchange 

Commission (‘‘Commission’’) the 

proposed rule change SR–OCC–2011–13 

pursuant to Section 19(b)(1) of the 

Securities Exchange Act of 1934 

(‘‘Act’’) 1 and Rule 19b–4 thereunder.2

On October 4, 2011, OCC filed 

Amendment No. 1 to the proposed rule 

change. The proposed rule change, as 

modified by Amendment No. 1, was 

published for comment in the Federal 

Register on October 11, 2011.3 On 

November 17, 2011, OCC filed 

Amendment No. 2 and Amendment No. 

3 to the proposed rule change. The 

proposed rule change, as modified by 

Amendments No. 1, No. 2 and No. 3 was 

published in the Federal Register on 

November 29, 2011.4 The Commission 

received no comment letters on the 

proposed rule change, as modified by 

Amendments No. 1, No. 2, and No. 3. 

This order approves the proposed rule 

change as modified by Amendments No. 

1, No. 2, and No. 3. 

II. Description 

The purpose of the proposed rule 

change is to remove any potential cloud 

on the jurisdictional status of relative 

performance indexes. NASDAQ OMX 

PHLX has proposed to trade options on 

indexes (‘‘Alpha Index Options’’) that 

measure the relative total returns of a 

stock or exchange-traded fund (‘‘ETF’’) 

against another stock or ETF, including 

where one of the reference ETFs 

measured by the index is a gold- or 

silver-based ETF.5 Generally, OCC 

believes that a relative performance 

index should be considered to be an 

index of securities since the 

components of a relative performance 

index are ETFs or other securities. 

However, OCC would like to confirm 

the jurisdictional treatment of relative 

performance indexes in situations in 

which a reference security of an 

underlying relative performance index 

is an ETF designed to measure the 

return of gold or silver. To accomplish 

this purpose, OCC is adding an 

interpretation following Section 2 in 

Article XVII of its By-Laws,6 clarifying 

that OCC will clear and treat as 

securities any relative performance 

index. The Commission and Commodity 

Futures Trading Commission (‘‘CFTC’’) 

have previously approved changes to 

OCC’s By-Laws clarifying that options 

on the CBOE Gold ETF Volatility Index 

will be cleared and treated as 

securities.7

In its capacity as a ‘‘derivatives 

clearing organization’’ registered as such 

with the CFTC, OCC filed the proposed 

rule change for prior approval by the 

CFTC pursuant to provisions of the 

Commodity Exchange Act (the ‘‘CEA’’) 

in order to foreclose any potential 

liability under the CEA based on an 

argument that the clearing by OCC of 

such options as securities options 

constitutes a violation of the CEA. OCC 

amended the rule filing at the request of 

the CFTC to clarify that OCC will clear 

and treat as options on securities any 

options on relative performance indexes 

for which a reference security is an 

exchange-traded fund designed to 

measure the return of gold or silver.8

III. Discussion 

Section 17A(b)(3)(F) of the Act 

requires, among other things, that the 

rules of a clearing agency be designed to 

promote the prompt and accurate 

clearance and settlement of securities 

transactions and derivative 

transactions.9 The proposed rule change 

is similar to a proposed rule change the 

Commission approved previously with 

respect to the jurisdictional status CBOE 

Gold ETF Volatility Index and clarifies 

that OCC will clear and treat as 

securities any relative performance 

index, including in situations in which 

one of the reference securities of a 

relative performance index is an ETF 

designed to measure the return of gold 

or silver. Any uncertainty regarding the 

jurisdictional status of a product could 

presumably interfere with OCC’s ability 

to provide clearance and settlement 

services with respect to the product. 

The proposed rule change, by allowing 

OCC to clarify in its rules the treatment 

of a relative performance index, should 

facilitate the clearance and settlement of 

such products and, thus, should help 

promote the prompt and accurate 

clearance and settlement of securities 

transactions and of derivative 

transactions. 

IV. Conclusion 

On the basis of the foregoing, the 

Commission finds that the proposal is 

consistent with the requirements of the 

Act and in particular with the 

requirements of Section 17A of the 

Act 10 and the rules and regulations 

thereunder. 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,11 that the 

proposed rule change, as modified by 

Amendments No. 1, No. 2, and No. 3, 

(File No. SR–OCC–2011–13) be, and 

hereby is, approved.12

For the Commission by the Division of 

Trading and Markets, pursuant to delegated 

authority.13

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2011–33795 Filed 1–4–12; 8:45 am] 

BILLING CODE 8011–01–P 


emcdonald on DSK5VPTVN1PROD with NOTICES