Federal Register / Vol. 83, No. 247 / Thursday, December 27, 2018 / Notices 66789 

19Section 19(b)(2) of the Act, as amended by the 

Securities Act Amendments of 1975, Public Law 

94–29 (June 4, 1975), grants the Commission 

flexibility to determine what type of proceeding— 

either oral or notice and opportunity for written 

comments—is appropriate for consideration of a 

particular proposal by a self-regulatory 

organization. See Securities Act Amendments of 

1975, Senate Comm. on Banking, Housing & Urban 

Affairs, S. Rep. No. 75, 94th Cong., 1st Sess. 30 

(1975). 20See Notice, supra note 3. 

21 17 CFR 200.30–3(a)(57). 

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

2 15 U.S.C. 78a. 

3 17 CFR 240.19b–4. 

Exchange’s proposal to eliminate the 

requirement that a minimum percentage 

of component foreign country securities 

or foreign country securities underlying 

ADRs in an index be traded primarily 

on markets that are members of ISG or 

on markets that are parties to 

comprehensive surveillance sharing 

agreements with the Exchange? In light 

of the proposed amendment to NYSE 

Arca Rule 5.2–E (j)(6)(B)(I)(1)(b)(v) that 

would eliminate the requirement that a 

minimum percentage of component 

foreign country securities or foreign 

country securities underlying ADRs in 

an index be traded primarily on markets 

that are members of ISG or on markets 

that are parties to comprehensive 

surveillance sharing agreements with 

the Exchange, what are commenters’ 

views about whether the Exchange has 

met its burden in demonstrating that the 

proposal is consistent with Section 

6(b)(5) of the Act, which requires the 

rules of the Exchange be designed to, 

among other things, prevent fraudulent 

and manipulative acts and practices? 

The Commission requests any comment, 

data, or analysis that commenters think 

may be relevant to the Commission’s 

consideration of the Exchange’s 

proposal. 

III. Procedure: Request for Written 

Comments 

The Commission requests that 

interested persons provide written 

submissions of their views, data, and 

arguments with respect to the issues 

identified above, as well as any other 

concerns they may have with the 

proposal. In particular, the Commission 

invites the written views of interested 

persons concerning whether the 

proposal is consistent with Section 

6(b)(5) or any other provision of the Act, 

or the rules and regulations thereunder. 

Although there do not appear to be any 

issues relevant to approval or 

disapproval that would be facilitated by 

an oral presentation of views, data, and 

arguments, the Commission will 

consider, pursuant to Rule 19b–4, any 

request for an opportunity to make an 

oral presentation.19

Interested persons are invited to 

submit written data, views, and 

arguments regarding whether the 

proposal should be approved or 

disapproved by January 17, 2019. Any 

person who wishes to file a rebuttal to 

any other person’s submission must file 

that rebuttal by January 31, 2019. The 

Commission asks that commenters 

address the sufficiency of the 

Exchange’s statements in support of the 

proposal, which are set forth in the 

Notice,20 in addition to any other 

comments they may wish to submit 

about the proposed rule change. 

Comments may be submitted by any 

of the following methods: 

Electronic Comments 

• Use the Commission’s internet 

comment form (http://www.sec.gov/ 

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include File Number SR– 

NYSEArca–2018–67 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE, 

Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–NYSEArca–2018–67. 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 (http://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 

10:00 a.m. and 3:00 p.m. Copies of the 

filing also will be available for 

inspection and copying at the principal 

office of the Exchange. All comments 

received will be posted without change. 

Persons submitting comments are 

cautioned that we do not redact or edit 

personal identifying information from 

comment submissions. You should 

submit only information that you wish 

to make available publicly. All 

submissions should refer to File 

Number SR–NYSEArca–2018–67 and 

should be submitted by January 17, 

2019. Rebuttal comments should be 

submitted by January 31, 2019. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.21

Brent J. Fields, 

Secretary. 

[FR Doc. 2018–27999 Filed 12–26–18; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–84871; File No. SR– 

NYSEAMER–2018–57] 

Self-Regulatory Organizations; NYSE 

American LLC.; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change to Amend Commentary 

.02 to Rule 960NY in Order to Extend 

the Penny Pilot in Options Classes in 

Certain Issues Through June 30, 2019 

December 19, 2018. 

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

Securities Exchange Act of 1934 (the 

‘‘Act’’) 2 and Rule 19b–4 thereunder,3

notice is hereby given that on December 

18, 2018, NYSE American LLC (the 

‘‘Exchange’’ or ‘‘NYSE American’’) filed 

with the Securities and Exchange 

Commission (the ‘‘Commission’’) the 

proposed rule change as described in 

Items I and II below, which Items have 

been prepared by the self-regulatory 

organization. The Commission is 

publishing this notice to solicit 

comments on the proposed rule change 

from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to amend 

Commentary .02 to Rule 960NY in order 

to extend the Penny Pilot in options 

classes in certain issues (‘‘Pilot 

Program’’) previously approved by the 

Securities and Exchange Commission 

(‘‘Commission’’) through June 30, 2019. 

The Pilot Program is currently 

scheduled to expire on December 31, 

2018. The proposed rule change is 

available on the Exchange’s website at 

www.nyse.com, at the principal office of 

the Exchange, and at the Commission’s 

Public Reference Room. 


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66790 Federal Register / Vol. 83, No. 247 / Thursday, December 27, 2018 / Notices 

4See Securities Exchange Act Release No. 83507 

(June 25, 2018), 83 FR 30808 (June 29, 2018) (SR– 

NYSEAMER–2018–33). 

5The month immediately preceding a 

replacement class’s addition to the Pilot Program 

(i.e., December) would not be used for purposes of 

the analysis for determining the replacement class. 

Thus, a replacement class to be added on the 

second trading day following January 1, 2019 would 

be identified based on The Option Clearing 

Corporation’s trading volume data from June 1, 

2018 through November 30, 2018. The Exchange 

will announce the replacement issues to the 

Exchange’s membership through a Trader Update. 

6 15 U.S.C. 78f(b). 

7 15 U.S.C. 78f(b)(5). 

8 15 U.S.C. 78s(b)(3)(A). 

9 17 CFR 240.19b–4(f)(6). 

10 15 U.S.C. 78s(b)(3)(A). 

11 17 CFR 240.19b–4(f)(6). In addition, Rule 19b– 

4(f)(6) requires a self-regulatory organization to give 

the Commission written notice of its intent to file 

the proposed rule change at least five business days 

prior to the date of filing of the proposed rule 

change, or such shorter time as designated by the 

Commission. The Exchange has satisfied this 

requirement. 

12 17 CFR 240.19b–4(f)(6). 

13 17 CFR 240.19b–4(f)(6)(iii). 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

self-regulatory organization included 

statements concerning the purpose of, 

and basis for, the proposed rule change 

and discussed any comments it received 

on the proposed rule change. The text 

of those statements may be examined at 

the places specified in Item IV below. 

The Exchange has prepared summaries, 

set forth in sections A, B, and C below, 

of the most significant parts of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and the 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange hereby proposes to 

amend Commentary .02 to Rule 960NY 

to extend the time period of the Pilot 

Program, which is currently scheduled 

to expire on December 31, 2018, through 

June 30, 2019.4 The Exchange also 

proposes that the date to replace issues 

in the Pilot Program that have been 

delisted be revised to the second trading 

day following January 1, 2019.5 The 

Exchange believes that extending the 

Pilot would allow for further analysis of 

the Pilot Program and a determination 

of how the Pilot Program should be 

structured in the future. 

This filing does not propose any 

substantive changes to the Pilot 

Program: all classes currently 

participating will remain the same and 

all minimum increments will remain 

unchanged. The Exchange believes the 

benefits to public customers and other 

market participants who will be able to 

express their true prices to buy and sell 

options have been demonstrated to 

outweigh the increase in quote traffic. 

2. Statutory Basis 

The proposed rule change is 

consistent with Section 6(b) 6 of the Act, 

in general, and furthers the objectives of 

Section 6(b)(5),7 in particular, in that it 

is designed to prevent fraudulent and 

manipulative acts and practices, to 

promote just and equitable principles of 

trade, to foster cooperation and 

coordination with persons engaged in 

facilitating transactions in securities, 

and to remove impediments to and 

perfect the mechanisms of a free and 

open market and a national market 

system. 

In particular, the proposed rule 

change, which extends the Penny Pilot 

Program for six months, allows the 

Exchange to continue to participate in a 

program that has been viewed as 

beneficial to traders, investors and 

public customers and viewed as 

successful by the other options 

exchanges participating in it. 

Accordingly, the Exchange believes that 

the proposal is consistent with the Act 

because it would allow the Exchange to 

extend the Pilot Program prior to its 

expiration on December 31, 2018. The 

Exchange notes that this proposal does 

not propose any new policies or 

provisions that are unique or unproven, 

but instead relates to the continuation of 

an existing program that operates on a 

pilot basis. 

The Exchange believes that the Pilot 

Program promotes just and equitable 

principles of trade by enabling public 

customers and other market participants 

to express their true prices to buy and 

sell options to the benefit of all market 

participants. 

The proposal to extend the Pilot 

Program is designed to promote just and 

equitable principles of trade, to foster 

cooperation and coordination with 

persons engaged in facilitating 

transactions in securities, and to remove 

impediments to and perfect the 

mechanisms of a free and open market 

and a national market system, by 

allowing the Exchange and the 

Commission additional time to analyze 

the impact of the Pilot Program while 

also allowing the Exchange to continue 

to compete for order flow with other 

exchanges in option issues trading as 

part of the Pilot Program. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will impose 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act. Specifically, 

the Exchange believes that, by extending 

the expiration of the Pilot Program, the 

proposed rule change will allow for 

further analysis of the Pilot Program and 

a determination of how this Program 

should be structured in the future. In 

doing so, the proposed rule change will 

also serve to promote regulatory clarity 

and consistency, thereby reducing 

burdens on the marketplace and 

facilitating investor protection. The 

Pilot Program is an industry-wide 

initiative supported by all other option 

exchanges. The Exchange believes that 

extending the Pilot Program will allow 

for continued competition between 

Exchange market participants trading 

similar products as their counterparts 

on other exchanges, while at the same 

time allowing the Exchange to continue 

to compete for order flow with other 

exchanges in option issues trading as 

part of the Pilot Program. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

No written comments were solicited 

or received with respect to the proposed 

rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The Exchange has filed the proposed 

rule change pursuant to Section 

19(b)(3)(A) of the Act 8 and Rule 19b– 

4(f)(6) 9 thereunder. Because the 

foregoing proposed rule change does 

not: (i) Significantly affect the 

protection of investors or the public 

interest; (ii) impose any significant 

burden on competition; and (iii) become 

operative for 30 days after the date of 

the filing, or such shorter time as the 

Commission may designate, if 

consistent with the protection of 

investors and the public interest, the 

proposed rule change has become 

effective pursuant to 19(b)(3)(A) of the 

Act 10 and Rule 19b–4(f)(6) 11

thereunder. 

A proposed rule change filed under 

Rule 19b–4(f)(6) 12 normally does not 

become operative prior to 30 days after 

the date of filing. However, pursuant to 

Rule 19b–4(f)(6)(iii),13 the Commission 

may designate a shorter time if such 

action is consistent with the protection 

of investors and the public interest. The 

Exchange has asked the Commission to 

waive the 30-day operative delay so that 

the proposal may become operative 

immediately upon filing. The 


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Federal Register / Vol. 83, No. 247 / Thursday, December 27, 2018 / Notices 66791 

14See Securities Exchange Release No. 61061 

(November 24, 2009), 74 FR 62857 (December 1, 

2009) (SR–NYSEArca–2009–44). 

15For purposes only of waiving the operative 

delay for this proposal, the Commission has 

considered the proposed rule’s impact on 

efficiency, competition, and capital formation. See 

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

16 17 CFR 200.30–3(a)(12). 

1 12 U.S.C. 5465(e)(1). 

2 17 CFR 240.19b–4(n)(1)(i). 

3 15 U.S.C. 78a et seq. 

4See Notice of Filing infra note 6, at 83 FR 60541. 

5 In Partial Amendment No. 1, OCC corrected an 

error in Exhibit 5 without changing the substance 

of the Advance Notice. References to the Advance 

Notice from this point forward refer to the Advance 

Notice, as amended by Partial Amendment No. 1. 

6Securities Exchange Act Release No. 84626 

(November 19, 2018), 83 FR 60541 (November 26, 

2018) (SR–OCC–2018–804) (‘‘Notice of Filing’’). On 

October 22, 2018, OCC also filed a related proposed 

rule change (SR–OCC–2018–014) with the 

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

Exchange Act and Rule 19b–4 thereunder, seeking 

approval of changes to its rules necessary to 

implement the Advance Notice (‘‘Proposed Rule 

Change’’). 15 U.S.C. 78s(b)(1) and 17 CFR 240.19b– 

4, respectively. The Proposed Rule Change was 

published in the Federal Register on November 8, 

2018. Securities Exchange Act Release No. 84524 

(Nov. 2, 2018), 83 FR 55918 (Nov. 8, 2018) (SR– 

OCC–2018–014). 

7Since the proposal contained in the Advance 

Notice was also filed as a proposed rule change, all 

public comments received on the proposal are 

considered regardless of whether the comments are 

submitted on the proposed rule change or the 

Advance Notice. 

8 In December 2015, the Commission approved a 

proposed rule change and issued a Notice of No 

Objection to an advance notice filing by OCC to its 

modify margin methodology by more broadly 

incorporating variations in implied volatility within 

STANS. See Securities Exchange Act Release No. 

76781 (December 28, 2015), 81 FR 135 (January 4, 

Continued 

Commission believes that waiving the 

30-day operative delay is consistent 

with the protection of investors and the 

public interest because doing so will 

allow the Pilot Program to continue 

without interruption in a manner that is 

consistent with the Commission’s prior 

approval of the extension and expansion 

of the Pilot Program.14 Accordingly, the 

Commission designates the proposed 

rule change as operative upon filing 

with the Commission.15

At any time within 60 days of the 

filing of the proposed rule change, the 

Commission summarily may 

temporarily suspend such rule change if 

it appears to the Commission that such 

action is necessary or appropriate in the 

public interest, for the protection of 

investors, or otherwise in furtherance of 

the purposes of the Act. If the 

Commission takes such action, the 

Commission shall institute proceedings 

to determine whether the proposed rule 

should be approved or disapproved. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s internet 

comment form (http://www.sec.gov/ 

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include File Number SR– 

NYSEAMER–2018–57 on the subject 

line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE, 

Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–NYSEAMER–2018–57. 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 (http://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 20549–1090 on official 

business days between the hours of 

10:00 a.m. and 3:00 p.m. Copies of the 

filing also will be available for 

inspection and copying at the principal 

office of the Exchange. All comments 

received will be posted without change. 

Persons submitting comments are 

cautioned that we do not redact or edit 

personal identifying information from 

comment submissions. You should 

submit only information that you wish 

to make available publicly. All 

submissions should refer to File 

Number SR–NYSEAMER–2018–57 and 

should be submitted on or before 

January 17, 2019. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.16

Brent J. Fields, 

Secretary. 

[FR Doc. 2018–27991 Filed 12–26–18; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–84838; File No. SR–OCC– 

2018–804] 

Self-Regulatory Organizations; The 

Options Clearing Corporation; Notice 

of No Objection to Advance Notice, as 

Modified by Partial Amendment No. 1, 

Related to The Options Clearing 

Corporation’s Margin Methodology for 

Incorporating Variations in Implied 

Volatility 

December 19, 2018. 

I. Introduction 

On October 22, 2018, The Options 

Clearing Corporation (‘‘OCC’’) filed with 

the Securities and Exchange 

Commission (‘‘Commission’’) advance 

notice SR–OCC–2018–804 (‘‘Advance 

Notice’’) pursuant to Section 806(e)(1) of 

Title VIII of the Dodd-Frank Wall Street 

Reform and Consumer Protection Act, 

entitled Payment, Clearing and 

Settlement Supervision Act of 2010 

(‘‘Clearing Supervision Act’’) 1 and Rule 

19b–4(n)(1)(i) 2 under the Securities 

Exchange Act of 1934 (‘‘Exchange 

Act’’) 3 to propose changes to OCC’s 

model for incorporating variations in 

implied volatility within OCC’s margin 

methodology, the System for Theoretical 

Analysis and Numerical Simulations.4

On October 30, 2018, OCC filed a 

partial amendment (‘‘Partial 

Amendment No. 1’’) to modify the 

Advance Notice.5 The Advance Notice, 

as modified by Partial Amendment No. 

1, was published for public comment in 

the Federal Register on November 26, 

2018,6 and the Commission received no 

comments regarding the proposal 

contained in the Advance Notice.7 This 

publication serves as notice of no 

objection to the Advance Notice. 

II. Background 

The System for Theoretical Analysis 

and Numerical Simulations (‘‘STANS’’) 

is OCC’s methodology for calculating 

margin. STANS includes econometric 

models that incorporate a number of 

risk factors. OCC defines a risk factor in 

STANS as a product or attribute whose 

historical data is used to estimate and 

simulate the risk for an associated 

product. The majority of risk factors 

utilized in STANS are the returns on 

individual equity securities; however, a 

number of other risk factors may be 

considered, including, among other 

things, returns on implied volatility risk 

factors.8


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