52368 Federal Register / Vol. 62, No. 194 / Tuesday, October 7, 1997 / Notices

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

9 17 CFR 19b–4(e)(6).

10 17 CFR 200.30–3(a)(12).

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

2The Commission has modified the text of the

summaries prepared by DCC.

3Securities Exchange Act Release No. 38471

(April 2, 1997), 62 FR 17257.

4See id. for a detailed description of the proposal.

5Overnight repos are defined as repo agreements

whose off-date is the immediately succeeding

business day following the on-date for such

transactions. Term repos are defined as repos

agreements whose off-date is two or more business

days following the on-date for such transactions.

C. Self-Regulatory Organization’s

Statement on Comments on the

Proposed Rule Change Received From

Members, Participants or Others

No comments were solicited or

received.

III. Date of Effectiveness of the

Proposed Rule Change and Timing for

Commission Action

Because the foregoing proposed rule

change: (1) does not significantly affect

the protection of investors or the public

interest; (2) does not impose any

significant burden on competition; and

(3) does not become operative for 30

days from September 16, 1997, the date

on which it was filed, and the Exchange

provided the Commission with written

notice of its intent to file the proposed

rule change at least five days prior to the

filing date, it has become effective

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

Act 8 and rule 19b–4(e)(6) 9 thereunder.

At any time within 60 days of the

filing of the proposed rule change, the

Commission may summarily abrogate

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.

IV. Solicitation of Comments

Interested persons are invited to

submit written data, views and

arguments concerning the foregoing.

Persons making written submission

should file six copies thereof with the

Secretary, Securities and Exchange

Commission, 450 Fifth Street, NW.,

Washington, DC 20549. Copies of the

submissions, 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 inspection and copying in

the Commission’s Public Reference

Room, 450 Fifth Street, NW.,

Washington, DC 20549. Copies of such

filing also will be available for

inspection and copying at the principal

office of the CHX. All submissions

should refer to file number SR–CHX–

97–23 and should be submitted by

October 28, 1997.

For the Commission, by the Division of

Market Regulation, pursuant to delegated

authority.10

Margaret H. McFarland,

Deputy Secretary.

[FR Doc. 97–26521 Filed 10–6–97; 8:45 am]

BILLING CODE 8010–01–M

SECURITIES AND EXCHANGE

COMMISSION

[Release No. 34–39174; File No. SR–DCC–

97–11]

Self-Regulatory Organizations; Delta

Clearing Corp.; Notice of Filing and

Order Granting Accelerated,

Temporary Approval of a Proposed

Rule Change Relating to Margin

Requirements for Repurchase

Agreements

September 30, 1997.

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

Securities Exchange Act of 1934

(‘‘Act’’),1 notice is hereby given that on

September 16, 1997, Delta Clearing

Corp. (‘‘DCC’’) filed with the Securities

and Exchange Commission

(‘‘Commission’’) and on September 24,

1997, amended the proposed rule

change (File No. SR–DCC–97–11) as

described in Items I and II below, which

items have been primarily prepared by

DCC. The Commission is publishing this

notice to solicit comments on the

proposed rule change from interested

persons and to grant accelerated

approval of the proposed rule change

through March 31, 1998.

I. Self-Regulatory Organization’s

Statement of the Terms of Substance of

the Proposed Rule Change

The purpose of the proposed rule

change is to extend the temporary

approval for DCC’s rules regarding the

collection of margin for overnight

repurchase and reverse repurchase

agreements (‘‘overnight repos’’).

II. Self-Regulatory Organization’s

Statement of the Purpose of, and

Statutory Basis for, the Proposed Rule

Change

In its filing with the Commission,

DCC included statements concerning

the purpose of and basis for the

proposed rule change and any

comments received by DCC on the

proposed rule change.

The text of these statements may be

examined at the places specified in Item

IV below. DCC has prepared summaries,

set forth in sections (A), (B), and (C)

below, of the most significant aspects of

such statements.2

A. Self-Regulatory Organization’s

Statement of the Purpose of, and

Statutory Basis for, the Proposed Rule

Change

DCC seeks an extension of the

temporary approval of its rules relating

to the collection of margin for overnight

repos. On April 2, 1997, the

Commission granted approval of DCC’s

overnight repo margining rules through

September 30, 1997.3

Prior to the proposed rule change,

DCC calculated each participant’s

margin requirement for all repos,

including overnight repos, at the end of

each business day and required margin

to be deposited by 11:00 a.m. the next

business day. DCC does not believe that

this procedure is appropriate for

overnight repos because overnight repos

terminate on the following day. As a

result, DCC amended its procedures for

calculating and collecting margin for

overnight repos.4

These procedures require each

participant which engages in overnight

repos to deposit with DCC as core

margin either $1 million or a greater

amount as determined by DCC at the

end of each week based upon the

participant’s daily overnight repo

exposures during the eight prior weeks.5

If DCC determines as a result of any

weekly calculation that a participant is

required to maintain a higher core

margin amount on deposit with DCC,

DCC will notify the participant of such

higher core margin requirement by 3:00

p.m. on the date of the calculation, and

the participant is required to deposit by

11:00 a.m. on the following business

day margin whose value equals or

exceeds the participant’s additional

margin requirement. Such deposit must

be in cash or U.S. Treasury securities.

In addition to the weekly calculation

described above, DCC calculates on each

business day each participant’s mark-tomarket exposure from overnight repos.

If a participant’s exposure from

overnight repos exceeds 65 percent of

the participant’s core margin

requirement, DCC requires the

participant to deposit additional margin

equal to the amount of such excess.

Such additional margin must be
Federal Register / Vol. 62, No. 194 / Tuesday, October 7, 1997 / Notices 52369

6 15 U.S.C. 78q–1.

7 15 U.S.C. 78q–1(b)(3)(F). 8 17 CFR 200.30–3(a)(12).

deposited with DCC no later than 5:00

p.m. on the applicable business day. If

additional margin is required, DCC may

apply towards a participant’s exposures

on overnight repos excess margin

maintained by the participant with DCC

which is not then being used to

collateralize other margin obligations to

DCC. However, DCC may not apply a

participant’s core margin amount

maintained with DCC towards other

margin obligations to DCC arising from

options transactions or term repros.

In connection with the proposed rule

change, DCC agreed that during the

temporary approval period it will

submit to the Commission on a monthly

basis reports detailing the operation of

the new margining system for overnight

repos. DCC instituted the new

margining system on July 1, 1997, and

has been providing reports to the

Commission since that time. In response

to a request from the Commission, DCC

has amended the format of the report to

provide additional information to the

Commission. The first report

incorporating the revised format was

filed by DCC with the Commission in

September 1997.

DCC believes the proposed extension

of the temporary approval of the

proposed rule change is consistent with

the requirements of Section 17A of the

Act 6 and the rules and regulations

promulgated thereunder because the

proposed rule change will better enable

DCC to safeguard the funds and

securities under its possession and

control by amending DCC’s procedures

to assure that it has adequate collateral

to address a participant’s default or

insolvency.

B. Self-Regulatory Organization’s

Statement on Burden on Competition

DCC does not believe that the

proposed rule change will impact or

impose a burden on competition.

C. Self-Regulatory Organization’s

Statement on Comments on the

Proposed Rule Change Received From

Members, Participants, or Others

Comments were neither solicited nor

received.

III. Date of Effectiveness of the

Proposed Rule Change and Timing for

Commission Action

Section 17A(b)(3)(F) 7 of the Act

requires that the rules of a clearing

agency be designed to assure the

safeguarding of securities and funds

which are in the custody or control of

the clearing agency or for which it is

responsible. The Commission believes

that DCC’s proposed rule change is

consistent with DCC’s obligations under

the Act because the proposal

establishes: (1) a minimum core margin

requirement to reflect DCC’s exposure to

each participant’s overnight repo

activity and (2) an intraday margin

requirement that is triggered if a

participant’s mark-to-market exposure is

valued at more than 65 percent of the

core requirement. Therefore, the

Commission believes that the proposal

should provide to DCC margin in an

amount that will assist DCC in meeting

its obligation to safeguard securities and

funds.

Currently, DCC has operated its new

margining system for only three months.

Therefore, the Commission believes that

it is appropriate to extend temporary

approval of the proposal in order that

the Commission and DCC will have

opportunity to further monitor the

effectiveness of the new system in

practice. Accordingly, the Commission

is temporarily approving the proposed

rule change through March 31, 1998.

During this temporary approval period,

DCC should continue to submit on a

monthly basis reports detailing its

analysis of its overnight repo margining

system.

DCC has requested that the

Commission find good cause for

approving the proposed rule change

prior to the thirtieth day after the date

of publication of notice of the filing. The

Commission finds good cause for

approving the proposed rule change

prior to the thirtieth day after the date

of publication of notice of filing because

accelerated approval will allow DCC to

continue to use its overnight repo

margining procedures without

interruption when the current

temporary approval period expires on

September 30, 1997.

IV. Solicitation of Comments

Interested persons are invited to

submit written data, views, and

arguments concerning the foregoing.

Persons making written submissions

should file six copies thereof with the

Secretary, Securities and Exchange

Commission, 450 Fifth Street, N.W.,

Washington, D.C. 20549. 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 inspection and copying in

the Commission’s Public Reference

Section, 450 Fifth Street, N.W.,

Washington, D.C. 20549. Copies of such

filing will also be available for

inspection and copying at the principal

office of DCC. All submissions should

refer to the File No. SR–DCC–97–11 and

should be submitted by October 28,

1997.

It is therefore ordered, pursuant to

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

proposed rule change (File No. SR–

DCC–97–11) be, and hereby is, approved

through March 31, 1998.

For the Commission by the Division of

Market Regulation, pursuant to delegated

authority.8

Margaret H. McFarland,

Deputy Secretary.

[FR Doc. 97–26520 Filed 10–6–97; 8:45 am]

BILLING CODE 8010–01–M

SMALL BUSINESS ADMINISTRATION

State of Michigan

[Amendment #3]

Declaration of Disaster #2965

In accordance with information

received from the Federal Emergency

Management Agency dated September

19, 1997, the above-numbered

Declaration is hereby amended to

extend the deadline for filing

applications for physical damage as a

result of this disaster to October 7, 1997.

All other information remains the

same, i.e., the deadline for filing

applications for economic injury is

April 13, 1998.

(Catalog of Federal Domestic Assistance

Program Nos. 59002 and 59008)

Dated: September 26, 1997.

Bernard Kulik,

Associate Administrator for Disaster

Assistance.

[FR Doc. 97–26512 Filed 10–6–97; 8:45 am]

BILLING CODE 8025–01–P

SMALL BUSINESS ADMINISTRATION

Declaration of Disaster #2982; State of

New Jersey

As a result of the President’s major

disaster declaration on September 23,

1997, I find that Atlantic County in the

State of New Jersey constitutes a

disaster area due to damages caused by

severe storms and flooding which

occurred August 20–21, 1997.

Applications for loans for physical