Federal Register / Vol. 83, No. 157 / Tuesday, August 14, 2018 / Notices 40379 

51See supra note 14. 

52 15 U.S.C. 78s(b)(3)(A)(ii). 

53 17 CFR 240.19b–4(f)(2). 

54 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

The Exchange believes that the 

proposed changes to the rebates and fees 

for participation in a cPRIME Auction 

are not going to have an impact on intramarket competition based on the total 

cost for participants to transact in such 

order types versus the cost for 

participants to transact in the other 

order types available for trading on the 

Exchange. As noted above, the Exchange 

believes that the proposed changes in 

the rebates and fees for the cPRIME 

Auction are comparable to that of other 

exchanges offering similar electronic 

price improvement mechanisms for 

complex orders and the Exchange 

believes that, based on experience with 

electronic price improvement crossing 

mechanisms on other markets, market 

participants understand that the priceimproving benefits offered by the 

cPRIME Auction justify the transaction 

costs associated with the cPRIME 

Auction. To the extent that there is a 

difference between non-cPRIME 

Auction transactions and cPRIME 

Auction transactions, the Exchange does 

not believe this difference will cause 

participants to refrain from responding 

to cPRIME Auctions. 

With respect to cPRIME Auctions, the 

Exchange notes that Cboe caps its fees 

at $0.50 per contract in its complex 

order auction mechanisms. And NYSE 

American does not assess its surcharge 

in its paired complex auction 

mechanism. As proposed, the Exchange 

will apply its surcharge in its singlesided complex auction mechanism 

(COA), but it will not apply the 

surcharge in its paired complex auction 

mechanism (cPRIME). Accordingly, as 

proposed to be expanded, the 

Exchange’s surcharge will be more in 

line with Cboe’s and NYSE American’s 

surcharges, but it will be no more 

expansive than either such exchange.51

Because the Complex Surcharge will not 

be applied in its cPRIME Auction, the 

Exchange believes that the proposed 

rule change will not impose any burden 

on competition not necessary or 

appropriate in furtherance of the 

purposes of the Act. 

The Exchange notes that it operates in 

a highly competitive market in which 

market participants can readily favor 

competing venues if they deem fee 

levels at a particular venue to be 

excessive. In such an environment, the 

Exchange must continually adjust its 

fees to remain competitive with other 

exchanges and to attract order flow. The 

Exchange believes that the proposed 

rule change reflects this competitive 

environment because they modify the 

Exchange’s fees in a manner that 

encourages market participants to 

provide liquidity and to send order flow 

to the Exchange. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

Written comments were neither 

solicited nor received. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The foregoing rule change has become 

effective pursuant to Section 

19(b)(3)(A)(ii) of the Act,52 and Rule 

19b–4(f)(2) 53 thereunder. 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– 

MIAX–2018–22 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–MIAX–2018–22. 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 such 

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–MIAX–2018–22, and 

should be submitted on or before 

September 4, 2018. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.54

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2018–17393 Filed 8–13–18; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–83799; File No. SR–OCC– 

2018–011] 

Self-Regulatory Organizations; The 

Options Clearing Corporation; Notice 

of Filing and Immediate Effectiveness 

of Proposed Rule Change To Make 

Clarifying and Conforming Changes to 

The Options Clearing Corporation’s 

Margins Methodology and Margin 

Policy 

August 8, 2018. 

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

Securities Exchange Act of 1934 

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

notice is hereby given that on July 24, 

2018, The Options Clearing Corporation 

(‘‘OCC’’) filed with the Securities and 

Exchange Commission (‘‘Commission’’) 

the proposed rule change as described 

in Items I, II, and III below, which Items 

have been prepared by OCC. OCC filed 

the proposed rule change pursuant to 


amozie on DSK3GDR082PROD with NOTICES1
40380 Federal Register / Vol. 83, No. 157 / Tuesday, August 14, 2018 / Notices 

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

4 17 CFR 240.19b–4(f)(1). 

5OCC’s By-Laws and Rules can be found on 

OCC’s public website: http://optionsclearing.com/ 

about/publications/bylaws.jsp. 

6See Securities Exchange Act Release No. 53322 

(February 15, 2006), 71 FR 9403 (February 23, 2006) 

(SR–OCC–2004–20). 

7See OCC Rule 601. 

8The expected shortfall component is established 

as the estimated average of potential losses higher 

than the 99% value at risk threshold. The term 

‘‘value at risk’’ or ‘‘VaR’’ refers to a statistical 

technique that, generally speaking, is used in risk 

management to measure the potential risk of loss for 

a given set of assets over a particular time horizon. 

9A detailed description of the STANS 

methodology is available at http://

optionsclearing.com/risk-management/margins/. 

10See Securities Exchange Act Release No. 83305 

(May 23, 2018), 83 FR 24536 (May 29, 2018) (SR– 

OCC–2017–811). 

11See Securities Exchange Act Release No. 83326 

(May 24, 2018), 83 FR 25081 (May 31, 2018) (SR– 

OCC–2017–022). 

12See supra notes 10 and 11. 

13Prior to the implementation of daily updates, 

OCC would continue to employ an approach where 

one or many identified market proxies (or ‘‘scalefactors’’) are used to incorporate day-to-day market 

volatility across all associated asset classes 

throughout. In 2017, the Commission approved a 

proposed rule change and issued a Notice of No 

Objection to an advance notice filing by OCC 

which, among other things: (1) Expanded the 

number of scale factors used for equity-based 

products to more accurately measure the 

relationship between current and long-run market 

volatility with proxies that correlate more closely to 

certain products carried within the equity asset 

class, and (2) applied relevant scale factors to the 

greater of (i) the estimated variance of 1-day return 

scenarios or (ii) the historical variance of the daily 

return scenarios of a particular instrument, as a 

floor to mitigate procyclicality. See Securities 

Exchange Act Release No. 80147 (March 3, 2017), 

82 FR 13163 (March 9, 2017) (SR–OCC–2017–001) 

and Securities Exchange Act Release No. 80143 

(March 2, 2017), 82 FR 13036 (March 8, 2017) (SR– 

OCC–2017–801). 

14See supra notes 10 and 11. 

Section 19(b)(3)(A) 3 of the Act and Rule 

19b–4(f)(1) 4 thereunder so that the 

proposal was effective upon filing with 

the Commission. The Commission is 

publishing this notice to solicit 

comments on the proposed rule change 

from interested persons. 

I. Clearing Agency’s Statement of the 

Terms of Substance of the Proposed 

Rule Change 

OCC proposes to make clarifying and 

conforming changes to its Margin Policy 

and Margins Methodology related to 

enhancements to OCC’s margin 

methodology that were recently 

approved by the Commission. The 

proposed changes to the Margin Policy 

and Margins Methodology are included 

as confidential Exhibits 5A and 5B, 

respectively. Material proposed to be 

added to the Margin Policy and Margins 

Methodology as currently in effect 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.5

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 

(1) Purpose 

Background 

OCC’s margin methodology, the 

System for Theoretical Analysis and 

Numerical Simulations (‘‘STANS’’), is 

OCC’s proprietary risk management 

system that calculates Clearing Member 

margin requirements.6 STANS utilizes 

large-scale Monte Carlo simulations to 

forecast price and volatility movements 

in determining a Clearing Member’s 

margin requirement.7 The STANS 

margin requirement is calculated at the 

portfolio level of Clearing Member 

accounts with positions in marginable 

securities and consists of an estimate of 

a 99% expected shortfall 8 over a twoday time horizon and an add-on margin 

charge for model risk (the 

concentration/dependence stress test 

charge).9 The STANS methodology is 

used to measure the exposure of 

portfolios of options and futures cleared 

by OCC and cash instruments in margin 

collateral. 

On May 23, 2018, the Commission 

issued a Notice of No Objection to 

OCC’s advance notice filing concerning 

a number of enhancements to OCC’s 

margin methodology.10 The proposed 

changes were designed to enable OCC 

to: (1) Obtain daily price data for equity 

products for use in the daily estimation 

of econometric model parameters; (2) 

enhance OCC’s econometric model for 

updating statistical parameters for all 

risk factors that reflect the most recent 

data obtained; (3) improve the 

sensitivity and stability of correlation 

estimates across risk factors by using devolatized returns; and (4) improve 

OCC’s methodology related to the 

treatment of defaulting securities. On 

May 24, 2018, the Commission 

approved a proposed rule changed by 

OCC concerning these same 

enhancements (collectively with the 

advance notice filing, the ‘‘Initial 

Filings’’).11 The purpose of this 

proposed rule change is to make 

clarifying and conforming changes to 

OCC’s Margin Policy and Margins 

Methodology related to the 

implementation of the methodology 

enhancements in the Initial Filings. The 

proposed changes are described in 

detail below. 

Proposed Changes 

OCC proposes to revise its Margin 

Policy to reflect the use of daily price 

data in its margin models. Under the 

Initial Filings, the statistical parameters 

for OCC’s econometric model would be 

updated on a daily basis using the new 

daily price data obtained by OCC.12 As 

a result, OCC would no longer need to 

rely on scale factors to approximate dayto-day market volatility for equity-based 

products.13 Instead, statistical 

parameters would be calibrated on a 

daily basis, allowing OCC to calculate 

more accurate margin requirements that 

are representative of the most recent 

market data. OCC therefore proposes to 

make conforming changes to its Margin 

Policy to remove references to scale 

factors and to provide that market data 

would be recalibrated on an at least 

weekly-basis with a daily recalibration 

performed where possible (as opposed 

to recalibrating on a monthly-basis). 

OCC also proposes to revise its 

Margins Methodology to clarify certain 

constraints on first and second day 

conditional variance estimates that 

would be imposed as part of the 

implementation of the methodology 

enhancements in the Initial Filings. As 

part of the Initial Filings, OCC 

introduced a second-day forecast for 

volatility into the model to estimate the 

two-day scenario distributions for risk 

factors.14 OCC proposes to clarify in its 

Margins Methodology that OCC would 

impose an upper-bound limitation on 

the second-day conditional variance 

estimate in order to ensure that the 

expected shortfall is finite. Specifically, 

in the implementation of the new 

methodology, OCC would floor the day 

ahead and second day conditional 

variance for STANS at 100% every day. 

Finally, OCC proposes to revise its 

Margins Methodology to clarify that the 

proposed changes from the Initial 

Filings and the proposed changes 

described herein would not be 

implemented until October 1, 2018. 

(2) Statutory Basis 

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

requires, among other things, that the 

rules of a clearing agency be designed, 


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Federal Register / Vol. 83, No. 157 / Tuesday, August 14, 2018 / Notices 40381 

15 17 U.S.C. 78q–1(b)(3)(F). 16See supra notes 10 and 11 and associated text. 17 17 U.S.C. 78q–1(b)(3)(F). 18 15 U.S.C. 78q–1(b)(3)(I). 19 15 U.S.C. 78s(b)(3)(A). 20 17 CFR 240.19b–4(f)(1). 

21Notwithstanding its immediate effectiveness, 

implementation of this rule change will be delayed 

until (1) this change is deemed certified under 

CFTC Regulation 40.6 and (2) the implementation 

of the related methodology enhancements on 

October 1, 2018. 22 17 CFR 200.30–3(a)(12). 

in general, to protect investors and the 

public interest.15 The proposed rule 

change would make a number of 

clarifying and conforming changes to 

OCC’s Margin Policy and Margins 

Methodology related to enhancements 

to OCC’s margin methodology that were 

recently approved by the Commission.16

Specifically, the proposed rule change is 

designed to improve OCC’s policy and 

methodology documentation by 

clarifying certain implementation 

details of the methodology changes in 

the Initial Filings, ensuring that OCC’s 

Margin Policy is properly aligned with 

the methodology enhancements upon 

their implementation, and clarifying the 

implementation date for these changes. 

OCC believes that the proposed rule 

change is therefore designed, in general, 

to protect investors and the public 

interest in accordance with Section 

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

(B) Clearing Agency’s Statement on 

Burden on Competition 

Section 17A(b)(3)(I) of the Act 18

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 Act. OCC does not 

believe that the proposed rule change 

would have any impact or impose a 

burden on competition. The proposed 

rule change is intended to make 

clarifying and conforming changes to 

OCC’s Margin Policy and Margins 

Methodology in connection with the 

implementation of a proposed rule 

change that was previously approved by 

the Commission. Accordingly, OCC 

does not believe that the proposed rule 

change would have any impact or 

impose a burden on competition. 

(C) Clearing Agency’s Statement on 

Comments on the Proposed Rule 

Change Received From Members, 

Participants or Others 

Written comments on the proposed 

rule change 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 

The foregoing rule change has become 

effective pursuant to Section 19(b)(3)(A) 

of the Act 19 and Rule 19b–4(f)(1) 20

thereunder because it constitutes a 

stated policy, practice, or interpretation 

with respect to the meaning, 

administration, or enforcement of an 

existing rule. 

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.21

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– 

OCC–2018–011 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Brent J. Fields, Secretary, Securities 

and Exchange Commission, 100 F Street 

NE, Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–OCC–2018–011. 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 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/components/ 

docs/legal/rules_and_bylaws/sr_occ_18_

011.pdf. 

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–OCC–2018–011 and should 

be submitted on or before September 4, 

2018. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.22

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2018–17395 Filed 8–13–18; 8:45 am] 

BILLING CODE 8011–01–P 

SMALL BUSINESS ADMINISTRATION 

Reporting and Recordkeeping 

Requirements Under OMB Review 

AGENCY: Small Business Administration. 

ACTION: 30-Day notice. 

SUMMARY: The Small Business 

Administration (SBA) is publishing this 

notice to comply with requirements of 

the Paperwork Reduction Act (PRA), 

which requires agencies to submit 

proposed reporting and recordkeeping 

requirements to OMB for review and 

approval, and to publish a notice in the 

Federal Register notifying the public of 

that submission. 

DATES: Submit comments on or before 

September 13, 2018. 

ADDRESSES: Comments should refer to 

the information collection by name and/ 

or OMB Control Number and should be 

sent to: Agency Clearance Officer, Curtis 

Rich, Small Business Administration, 

409 3rd Street SW, 5th Floor, 

Washington, DC 20416; and SBA Desk 

Officer, Office of Information and 

Regulatory Affairs, Office of 

Management and Budget, New 

Executive Office Building, Washington, 

DC 20503. 

FOR FURTHER INFORMATION CONTACT: 

Curtis Rich, Agency Clearance Officer, 

(202) 205–7030, curtis.rich@sba.gov. 

Copies: A copy of the Form OMB 83– 

1, supporting statement, and other 

documents submitted to OMB for 

review may be obtained from the 

Agency Clearance Officer. 


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