[Federal Register Volume 89, Number 17 (Thursday, January 25, 2024)]
[Notices]
[Pages 5062-5069]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2024-01386]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-99393; File No. SR-OCC-2024-001]


Self-Regulatory Organizations; The Options Clearing Corporation; 
Notice of Filing of Proposed Rule Change by The Options Clearing 
Corporation Concerning Its Process for Adjusting Certain Parameters in 
Its Proprietary System for Calculating Margin Requirements During 
Periods When the Products It Clears and the Markets It Serves 
Experience High Volatility

January 19, 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 January 10, 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.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Clearing Agency's Statement of the Terms of Substance of the 
Proposed Rule Change

    This proposed rule change would codify OCC's process for adjusting 
certain parameters in its proprietary system for calculating margin 
requirements during periods when the products OCC clears and the 
markets it serves experience high volatility. Proposed changes to OCC's 
Margin Policy are submitted in Exhibit 5 to File No. SR-OCC-2024-001. 
Material proposed to be added is marked by underlining and material 
proposed to be deleted is marked with strikethrough text. All terms 
with initial capitalization that are not otherwise defined herein have 
the same meaning as set forth in the OCC By-Laws and Rules.\3\
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    \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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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

    OCC is the sole clearing agency for standardized equity options 
listed on national securities exchanges registered with the Commission. 
OCC also clears certain stock loan and futures transactions. In its 
role as a clearing agency, OCC guarantees the performance of its 
Clearing Members for all transactions cleared by OCC by becoming the 
buyer to every seller and the seller to every buyer (or the lender to 
every borrower and the borrower to every lender, in the case of stock 
loan transactions). These clearing activities could expose OCC to 
financial risks if a Clearing Member fails to fulfil its obligations to 
OCC. In its role as guarantor for all transactions cleared through OCC, 
one of the more material risks related to a Clearing Member's failure 
to perform is credit risk arising from the activity of the Clearing 
Members whose performance OCC guarantees. OCC manages these financial 
risks through financial safeguards, including the collection of margin 
collateral from Clearing Members designed to, among other things, 
address the market risk associated with a Clearing Member's positions 
during the period of time OCC has determined it would take to liquidate 
those positions.
    OCC has established a proprietary system, the System for 
Theoretical Analysis and Numerical Simulation (``STANS''), that runs 
various models used to calculate each Clearing Member's margin 
requirements. One of OCC's margin models generates variance forecasts 
for the returns on individual equity securities, the result of which 
OCC then includes as one of the inputs to the margin calculation. As 
discussed in more detail below, OCC has observed that this particular 
model may produce results that are ``procyclical,'' which means that 
changes in margin requirements produced by the model may be positively 
correlated with the overall state of the market and, if not 
appropriately addressed, could threaten the stability of its members 
during periods of heightened volatility.\4\ For example, procyclicality 
may be evidenced by increasing margin in times of stressed market 
conditions and low margin when markets are calm. A sudden, extreme 
increase in margin requirements could stress a Clearing Member's 
ability to obtain liquidity to meet its obligations to OCC, 
particularly in periods of high volatility. If that Clearing Member 
subsequently defaulted, the resulting suspension and liquidation of the 
defaulting Clearing Member's positions could result in losses 
chargeable to the mutualized Clearing Fund.\5\ Charging a loss to the 
Clearing Fund may result in unexpected costs for non-defaulting 
Clearing Members, stressing their ability to obtain liquidity to meet 
their own financial obligations in stressed market conditions.
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    \4\ See Standards for Covered Clearing Agencies, Exchange Act 
Release No. 78961 (Sept. 28, 2016), 81 FR 70786, 70816 n.318 (S7-03-
14) (``In this context, procyclicality typically refers to changes 
in risk-management practices that are positively correlated with 
market, business, or credit cycle fluctuations that may cause or 
exacerbate financial [in]stability.'').
    \5\ A mutualized, pre-funded guaranty fund comprised of deposits 
from each member, such as OCC's Clearing Fund, is another financial 
safeguard commonly employed by central counterparties to address 
credit risk as the guarantor of the products it clears.

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[[Page 5063]]

    Regulations applicable to OCC require it to take certain measures 
with respect to its margin models during periods of time when the 
products cleared or markets served display high volatility. For 
example, the SEC's Standards for Covered Clearing Agencies require OCC 
to establish policies and procedures related to the review of OCC's 
model parameters \6\ during periods of time when the products cleared 
or markets served display high volatility, report the results to 
appropriate decisionmakers, and use the results to evaluate the 
adequacy of and adjust its model parameters.\7\ OCC understands that, 
in implementing standards for central counterparties, U.S. regulators 
chose not to adopt the types of prescriptive procyclicality controls 
codified by financial regulators in other jurisdictions.\8\ 
Accordingly, regulatory guidance applicable to OCC provides that a 
clearing agency should consider whether its margin model, ``to the 
extent practicable and prudent, limits the need for destabilizing, 
procyclical changes.'' \9\
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    \6\ In general, a margin model parameter is a value estimated 
from market or portfolio data used by OCC's margin models for the 
purpose of calculating Clearing Member margin requirements. The 
value of the parameter is associated with a specific point in time 
and may change based on updates to the data used in its estimation.
    \7\ See 17 CFR 240.17Ad-22(e)(6)(vi)(C), (D).
    \8\ Compare Standards for Covered Clearing Agencies, Exchange 
Act Release No. 78961, 81 FR 70819 (``[A] covered clearing agency 
generally should consider in establish and maintaining policies and 
procedures for margin . . . whether the model . . . to the extent 
practicable and prudent, limits the need for destabilizing, 
procyclical changes.''), and Central Counterparty (CCP) Risk and 
Governance Subcommittee, Market Risk Advisory Committee of the U.S. 
Commodity Futures Trading Commission (``CFTC''), Recommendations 
Regarding CCP Margin Methodologies, at 1 (Feb. 12, 2021), available 
at https://www.cftc.gov/media/5776/GMAC_031121WFE/download 
(describing the CFTC's ``principle-based approach to addressing 
procyclical risk'' under CFTC Regulation 39.13), with Article 41, 
Regulation (EU) No 648/2012 of 4 July 2012 of the European 
Parliament and Council on OTC derivatives, central counterparties 
and trade repositories (requiring CCPs to ``regularly monitor and, 
if necessary, revise the level of its margins to reflect current 
market conditions taking into account any potentially procyclical 
effects of such revisions''), and Article 28, Regulatory technical 
standards on CCPs i.e. Commission Delegated Regulation (EU) No 153/
2013 of 19 December 2012 supplementing Regulation (EU) No 648/2012 
of the European Parliament and of the Council with regard to 
regulatory technical standards on requirements for CCPs (requiring 
CCPs to adopt one of three anti-procyclicality margin measures).
    \9\ Standards for Covered Clearing Agencies, Exchange Act 
Release No. 78961, 81 FR 70819.
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    To mitigate procyclical margin requirements during periods when 
OCC's cleared products or the markets its serves experience high 
volatility, OCC has established regular and high volatility control 
settings under its margin methodology. OCC's price return model employs 
bounds (i.e., the ``control sets'' implemented under regular or high 
volatility settings) for certain parameters that are calculated daily 
based on current market data.\10\ When OCC implements high volatility 
control settings, those parameters are bounded differently than under 
regular control settings. In general, these control settings help to 
prevent significant overestimation of Clearing Member margin 
requirements.\11\
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    \10\ See infra notes 25-28 (describing the parameters to which 
the bounds are applied).
    \11\ See infra notes 33-34 and accompanying text (detailing 
examples in which high volatility control settings were 
implemented).
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    To determine when implementation of high volatility control 
settings may be appropriate, OCC monitors the volatility of the 
products it clears and the markets it serves. Based on the results of 
this monitoring, OCC may determine to implement high volatility control 
settings for those model parameters. Under OCC's margin methodology, 
these high volatility control settings may be applied to individual 
securities, which are among several ``risk factors'' under OCC's margin 
methodology, or globally across a class of risk factors (e.g., 
equities, indexes, volatility-based products, etc.).
    OCC previously described its use of high volatility control 
settings within STANS in its filing to establish its STANS Methodology 
Description.\12\ The STANS Methodology Description, however, does not 
provide specific details around the process for setting or applying 
high volatility control settings. To ensure that OCC's rules include a 
sufficient level of detail about material aspects of OCC's margin 
system, OCC proposes to amend its Margin Policy, which is filed as a 
rule with the Commission,\13\ to define material aspects of the high 
volatility control setting process. This proposed rule change would 
amend the Margin Policy to describe the process, including: (1) how OCC 
sets and reviews the regular and high volatility control sets; (2) how 
OCC monitors for market volatility and idiosyncratic price moves and 
establishes thresholds to escalate the results of such monitoring for 
consideration of whether high volatility control settings are 
warranted; and (3) OCC's internal governance for implementing and 
terminating high volatility control settings. OCC does not believe that 
proposed revisions to its Margin Policy would have any practical effect 
on Clearing Members or other market participants because OCC is not 
proposing to change its current practices for setting member margin 
requirements.
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    \12\ See infra notes 29-30 and accompanying text.
    \13\ See Exchange Act Release Nos. 99169 (Dec. 14, 2023), 88 FR 
88163 (Dec. 20, 2023) (SR-OCC-2023-008); 98101 (Aug. 10, 2023), 88 
FR 55775 (Aug. 16, 2023) (SR-OCC-2022-012); 96566 (Dec. 22, 2022), 
87 FR 80207 (Dec. 29, 2022) (SR-OCC-2022-010); 91079 (Feb. 8, 2021), 
86 FR 9410 (Feb. 12, 2021) (SR-OCC-2020-016); 90797 (Dec. 23, 2020), 
85 FR 86592 (Dec. 30, 2020) (SR-OCC-2020-014); 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); 86119 
(June 17, 2019), 84 FR 29267 (June 21, 2019) (SR-OCC-2019-004); 
83799 (Aug. 8, 2018), 83 FR 40379 (Aug. 14, 2018) (SR-OCC-2018-011); 
82658 (Feb. 7, 2018), 83 FR 6646 (Feb. 14, 2018) (SR-OCC-2017-007).
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(1) Purpose
Background
    STANS is OCC's proprietary risk management system for calculating 
Clearing Member margin requirements.\14\ The STANS methodology utilizes 
large-scale Monte Carlo simulations to forecast price and volatility 
movements in determining a Clearing Member's margin requirement.\15\ 
STANS margin requirements are calculated at the portfolio level of each 
Clearing Member account with positions in marginable securities and is 
comprised of an estimate of a 99% expected shortfall \16\ over a two-
day time horizon, among other components. OCC uses the STANS 
methodology to measure the exposure of portfolios of products cleared 
by OCC and cash instruments in margin collateral.\17\
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    \14\ An overview of the STANS methodology is on OCC's public 
website: https://www.theocc.com/Risk-Management/Margin-Methodology.
    \15\ See OCC Rule 601.
    \16\ The 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 is used in risk management to measure the 
potential risk of loss for a given set of assets over a particular 
time horizon.
    \17\ Pursuant to OCC Rule 601(e)(1), OCC also calculates initial 
margin requirements for segregated futures accounts on a gross basis 
using the Standard Portfolio Analysis of Risk Margin Calculation 
System (``SPAN''). CFTC Regulation 39.13(g)(8), requires, in 
relevant part, that a derivatives clearing organization (``DCO'') 
collect initial margin for customer segregated futures accounts on a 
gross basis. While OCC uses SPAN to calculate initial margin 
requirements for segregated futures accounts on a gross basis, OCC 
believes that margin requirements calculated on a net basis (i.e., 
permitting offsets between different customers' positions held by a 
Clearing Member in a segregated futures account using STANS) affords 
OCC additional protections at the clearinghouse level against risks 
associated with liquidating a Clearing Member's segregated futures 
account. As a result, OCC calculates margin requirements for 
segregated futures accounts using both SPAN on a gross basis and 
STANS on a net basis, and if at any time OCC staff observes a 
segregated futures account where initial margin calculated pursuant 
to STANS on a net basis exceeds the initial margin calculated 
pursuant to SPAN on a gross basis, OCC collateralizes this risk 
exposure by applying an additional margin charge in the amount of 
such difference to the account. See Exchange Act Release No. 72331 
(June 5, 2014), 79 FR 33607 (June 11, 2014) (SR-OCC-2014-13).

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[[Page 5064]]

    Forecasted returns on individual risk factors are an input to OCC's 
calculation of margin requirements. A ``risk factor'' within STANS 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.
    OCC uses a GARCH \18\ model to generate variance forecasts for 
price risk factors for all products and implied volatility with respect 
to certain products. Following February 5, 2018, when the market 
experienced extreme levels of volatility that caused a significant 
spike in margin requirements, OCC's analysis demonstrated that GARCH is 
extremely sensitive to sudden spikes in volatility, which can result in 
margin requirements that OCC believes are unreasonable and 
procyclical.\19\ For example, OCC observed that its GARCH model for 
forecasting implied volatility \20\ produced forecasts for particular 
S&P 500 Index (``SPX'') options that were four-fold larger than the 
comparable market index. This led to margin requirements increasing by 
80% overnight, with some margin requirements increasing ten-fold. In 
reviewing OCC's analysis, the Commission acknowledged that the size of 
such margin requirement increases was not necessarily commensurate with 
the risk of those Clearing Member's portfolios, and that imposing such 
a large, unexpected increase could impose a large, unexpected stress on 
a Clearing Member during a period of high volatility.\21\ Since then, 
OCC has taken several measures to mitigate such procyclicality, 
including changes to its GARCH-based implied volatility model,\22\ and 
a new model to replace GARCH for simulating implied volatility for SPX-
based options and volatility index futures.\23\ Even with such 
revisions, however, the GARCH model may produce procyclical margin 
results that are not commensurate with the risk of the products, 
portfolios, or markets that OCC seeks to manage.\24\
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    \18\ The acronym ``GARCH'' refers to an econometric model that 
can be used to estimate volatility based on historical data.
    \19\ See Exchange Act Release No. 84879 (Dec. 20, 2018), 83 FR 
67392, 67393 (Dec. 29, 2018) (SR-OCC-2018-014).
    \20\ In general, the implied volatility of an option is a 
measure of the expected future volatility of the option's underlying 
security at expiration, which is reflected in the current option 
premium in the market.
    \21\ See Exchange Act Release No. 84879, 83 FR 67394.
    \22\ See id. at 67393.
    \23\ See Exchange Act Release No. 95319 (July 19, 2022), 87 FR 
44167 (July 25, 2022) (SR-OCC-2022-001).
    \24\ See supra note 11 and accompanying text.
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    To mitigate such procyclicality, OCC also applies numerical 
constraints to certain statistical parameters that inform the model's 
reaction to market volatility. Specifically, the GARCH model uses 
statistical alpha ([alpha]),\25\ beta ([beta]),\26\ and gamma ([gamma]) 
\27\ parameters as part of its econometric model for updating risk 
factors to reflect the most recent market data. Those statistical 
parameters are calculated daily based on updated price data.\28\ As 
described in OCC's STANS Methodology Description,\29\ OCC applies 
numerical constraints (i.e., ``control settings'') to these GARCH 
parameters after their initial calibration to mitigate the reactivity 
of the model volatility forecast, which is a primary driver of margin 
requirements for any equity or index.\30\ These constraints apply to 
the calculation of margin for each Clearing Member.
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    \25\ Alpha is the weight attached to the contribution to the 
forecast variance from the price risk factor. Together with gamma, 
it controls the model's reaction to recent market moves.
    \26\ Beta is the weight attached to the contribution to the 
forecast variance from the previous day's forecast. As such, it 
concerns the persistence of volatility.
    \27\ Gamma is the additional weight attached to the contribution 
to the forecast variance from a negative return in the price risk 
factor. Together with alpha, it controls the model's reaction to 
recent market moves.
    \28\ See Exchange Act Release No. 83326 (May 18, 2018), 83 FR 
25081 (May 31, 2018) (SR-OCC-2017-022); Exchange Act Release No. 
83305 (May 23, 2018), 83 FR 24536 (May 29, 2018) (SR-OCC-2017-811).
    \29\ The STANS Methodology Description is intended to provide a 
comprehensive description of the material aspects of OCC's risk-
based margin system. See Exchange Act Release No. 91079, 86 FR at 
9410 (SR-OCC-2020-016).
    \30\ See Exchange Act Release No. 85788 (Dec. 21, 2020), 85 FR 
85788, 85793 (Dec. 29, 2020) (SR-OCC-2020-016) (``The STANS 
Methodology Description would also describe the controls that may be 
placed on the GJR-GARCH parameters after their initial calibration. 
GARCH volatility forecasting models can be very reactive in certain 
market environments. As a result, OCC may implement parameter 
controls for risk factors and classes of risk factors, which are 
subject to periodic review and approval by the MRWG.'').
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    OCC refers to the constraints applicable under normal market 
conditions as ``regular'' control settings. The STANS Methodology 
Description further provides that OCC maintains projections of various 
market conditions in which pre-determined constraints (i.e., a control 
set) are appropriate and that specification of those conditions and the 
control sets are based on continual quantitative research and may be 
specific to risk factor types (e.g., equities or volatility indexes). 
The STANS Methodology Description further provides that the assumptions 
and individual application of the parameter controls for risk factors 
and classes of risk factors are subject to periodic review and approval 
by OCC's Model Risk Working Group (``MRWG''), a cross-functional group 
responsible for assisting OCC's management in overseeing OCC's model-
related risk comprised of representatives from relevant OCC business 
units, including Quantitative Risk Management, Model Risk Management, 
and Corporate Risk Management. OCC refers to implementation of high 
volatility control settings to an individual risk factor as 
``idiosyncratic'' control settings and implementation across all or a 
class of risk factors as ``global'' control settings.
    OCC has implemented global settings on only a few occasions. For 
example, OCC implemented global control settings for equities, indexes, 
volatility-based products and short ETF products from March 9, 2020 
until April 9, 2020 in connection with the market volatility associated 
with the onset of the COVID-19 pandemic and on January 27, 2021 for 
volatility-based products in connection with market volatility caused 
by the so-called ``meme stock'' episode. On March 9, 2020, for example, 
when the SPX experienced a return of approximately -7.5%, coverage for 
SPX options under regular control settings would have increased from 
long coverage \31\ of -11.77% and short coverage of 11.69% to -18.54% 
and 19.44%, respectively.\32\ MRWG approved implementing global control 
settings based on a 50% weighting between regular and high volatility 
control settings, resulting in long and short coverage of -13.60% and 
14.42%. These coverages were selected based on their alignment with the 
two-day short and long coverage determined from SPX implied volatility; 
-13% and 14%, respectively.\33\ Aggregate margin

[[Page 5065]]

requirements calculated using the global control settings were $84.2 
billion, compared to $103.2 billion had OCC used regular control 
settings.\34\
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    \31\ In this context, the coverage rate for a security is the 
change in risk of the security express as a percentage of the price 
of the security when the market closes.
    \32\ OCC has included as confidential Exhibit 3A to File No SR-
OCC-2024-001 responses to questions from OSC concerning drafts of 
this proposed rule change, including data concerning the coverage 
rates under control sets reviewed by the MRWG on March 9, 2020.
    \33\ OCC has also included as confidential Exhibit 3B to SR-OCC-
2024-001 an internal OCC memorandum concerning high volatility 
control settings describing, among other things, how when 
implementing global control settings on March 9, 2020, the MRWG 
compared resulting coverages from different weightings against the 
coverage rates that could be derived through implied option 
volatility to evaluate of coverage rates under alternative 
parameters sets.
    \34\ OCC has included as confidential Exhibit 3C to SR-OCC-2024-
001 responses to questions from Staff of the Commission's Office of 
Clearance and Settlement (``OSC'') dated November 20, 2020 
concerning OCC's March 9, 2020 implementation of global control 
settings, including, among other things, as assessment of the impact 
on margin.
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    OCC has implemented idiosyncratic control settings for individual 
risk factors more frequently.\35\ For example, on April 28, 2023, FRM 
implemented idiosyncratic control settings with respect to a risk 
factor for a security that experienced multi-day jumps in stock 
price,\36\ including from $6.72 to $20 on April 27, 2023 and from $20 
to $108.20 on April 28, 2023, which resulted in corresponding short 
coverage levels under regular control settings increasing from 98% to 
5695%.\37\ After implementing idiosyncratic control settings for that 
risk factor, aggregate margin requirements decreased $2.6 billion. OCC 
did not observe any daily backtesting exceedances associated with 
implementing idiosyncratic control settings for this risk factor.
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    \35\ From December 2019 to August 2023, for example, OCC 
implemented high volatility control settings lasting various 
durations (ranging from a single day to 190 days, with a median 
period of 10 days) for more than 200 individual risk factors. See 
Exhibit 3A, supra note 32 (providing a list of instances in which 
OCC implemented global and idiosyncratic control settings).
    \36\ While no options were listed on the security, certain 
Clearing Members maintained cleared stock loan positions and 
collateral deposits in that security.
    \37\ See Exhibit 3A, supra note 32 (providing responses 
concerning an April 28, 2023 implementation of idiosyncratic control 
settings).
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    In general, OCC has not observed backtesting exceedances 
attributable to the implementation of global or idiosyncratic 
volatility control settings. Currently, OCC monitors margin sufficiency 
at the Clearing Member account level to identify backtesting 
exceedances. Account exceedances are investigated to determine the 
cause of the exceedance, including whether the exceedance can be 
attributed to the implementation of high volatility control settings. 
No account level exceedance has been attributed to the implementation 
of high volatility control settings. OCC also performs model 
backtesting on all risk factors with listed derivatives or stock loan 
positions, or securities pledged as collateral within Clearing Member 
accounts, including for risk factors subject to high volatility control 
settings. Model backtesting has not identified an issue with the 
adequacy of margin coverage associated with the implementation of 
idiosyncratic control settings. OCC also conducted instrument-level 
backtesting over a two-year time horizon on securities for which 
idiosyncratic control settings were implemented. Of the 14 out of 244 
securities for which 2-day expected shortfall coverages was less than 
99%, OCC found that the coverages with regular control settings would 
not have been significantly different.\38\ Only one risk factor had 2-
day expected shortfall short coverage under 99% while on idiosyncratic 
control settings that would have been above 99% on regular control 
settings, driven by one additional 2-day expected shortfall short 
exceedance.\39\ However, this single occurrence did not contribute to 
any Clearing Member account-level exceedance. Based on this study, OCC 
believes that application of high volatility control settings does not 
have a significant negative effect on the sufficiency of OCC's margin 
coverage.
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    \38\ See Exhibit 3A, supra note 32 (providing responses to 
requests for backtesting data and analysis).
    \39\ Id.
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Proposed Changes
    OCC proposes to amend its Margin Policy to add a new section \40\ 
addressing control settings so that OCC's rules would include a 
sufficient level of detail about the high volatility control setting 
process currently maintained in other internal OCC procedures, 
including (1) how OCC sets and reviews the regular and high volatility 
control sets; (2) how OCC monitors for market volatility and 
idiosyncratic price moves and establishes thresholds to escalate the 
results of such monitoring for consideration of whether high volatility 
control settings are warranted; and (3) OCC's internal governance for 
implementing and terminating high volatility control settings.
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    \40\ This new section would be added to the ``Margin 
Methodology'' section of the Margin Policy and the subsections would 
be renumbered to reflect the addition.
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(1) How OCC Sets and Reviews Regular and High Volatility Control Sets
    First, OCC proposes to amend the Margin Policy to add a subsection 
under the new control settings section that would address how OCC 
reviews and sets the regular and high volatility control sets (i.e., 
the bounds applied to the GARCH parameters under regular and 
idiosyncratic control settings).\41\ The Margin Policy would require 
that FRM conduct a review of the control sets on an at-least annual 
basis, and any recommended changes would require MRWG approval. With 
respect to the regular control set, the Margin Policy would further 
provide that such review would assess whether the GARCH parameter 
bounds are appropriately risk-based, including, but not limited to, 
assessing whether they align with the 95th percentile of the parameter 
calibrations over the prior review period. The Margin Policy would 
further provide that the review of the high volatility control set 
would assess whether the control settings effectively mitigate 
procyclicality while remaining appropriately risk-based, including, but 
not limited to, whether the bounds keep the day-over-day change in 2-
day expected shortfall coverage within a factor of approximately 1.5 
assuming price shocks based on observed returns for top risk 
factors.\42\ These additions to the Margin Policy are intended to 
describe OCC's current process and internal procedures for setting the 
regular and idiosyncratic control sets.\43\
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    \41\ The high volatility control value sets are sometimes 
referend to as idiosyncratic control settings because, in practice, 
the high volatility control set is what OCC applies when 
implementing idiosyncratic control settings. As discussed above, 
when implementing global control settings, MRWG evaluates and 
selects a control setting with different weightings between the 
regular control set and high volatility control set based on an 
assessment of which blended approach generates a coverage level that 
converges with the implied volatility of the SPX. See supra note 33 
and accompanying text.
    \42\ The return shocks are maintained in and updated in 
accordance with model whitepapers that support the STANS Methodology 
Description. The current return shocks for index and volatility 
products are based on the largest observed downward and updated 
price moves, respectively. The current return shock for equities is 
a -15% return based on large observed negative returns for a sample 
of individual equites. OCC has included the model whitepaper as 
confidential Exhibit 3D to File No. SR-OCC-2024-001. The whitepaper 
is redlined with anticipated updates based on the most recent annual 
review of the high volatility control setting process and edits 
intended to capture feedback from OSC staff in connection with its 
review of a draft of this proposal.
    \43\ OCC has included the periodic reviews presented to MRWG 
since 2020 in confidential Exhibit 3E to File No. SR-OCC-2024-001. 
OCC believes that such changes to the control sets would be 
reasonably and fairly implied by the Margin Policy, as proposed to 
be amended.
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(2) How OCC Monitors for and Escalates High Volatility to Appropriate 
Decisionmakers
    OCC currently conducts daily monitoring for high market volatility 
and idiosyncratic price moves for individual securities against 
thresholds that, if breached, would require escalation to appropriate

[[Page 5066]]

decisionmakers to evaluate the adequacy of and make adjustments to 
OCC's model parameters. Specifically, Pursuant to the Clearing Fund 
Methodology Policy and the procedures thereunder, OCC has established 
thresholds related to high market volatility, low market liquidity, and 
significant increases in position size or concentration that would 
trigger an intra-month meeting of the MRWG to review stress test 
results.\44\ The underlying procedure refers to such thresholds as 
``CCA Monitoring Thresholds'' because they are associated with SEC 
requirements for when a covered clearing agency must perform certain 
required monthly reviews on a more frequent basis.\45\
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    \44\ See Exchange Act Release No. 83406 (June 11, 2018), 83 FR 
83406 (June 15, 2018) (SR-OCC-2018-008) (describing how the Clearing 
Fund Methodology Policy ``would require that OCC maintain procedures 
for determining whether, and in which circumstances'' stress testing 
review must be completed more frequently than monthly ``when the 
products cleared or markets served display high volatility,'' among 
other possible triggers).
    \45\ See 17 CFR 17Ad-22(e)(4)(iv)(C) (with respect to stress 
testing); 17Ad-22(e)(6)(vi)(C) (with respect the risk-based margin 
system); 17Ad-22(e)(7)(vi)(C) (with respect to liquidity resource 
sufficiency).
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    While these thresholds are set in accordance with the Clearing Fund 
Methodology Policy with respect to its stress testing procedures, OCC 
uses the same thresholds as triggers for review of its risk-based 
margin system, including (1) more frequent sensitivity analysis of its 
margin model and a review of OCC's parameters and assumptions for 
backtesting, and (2) with respect to the high volatility threshold, 
escalation to the MRWG for consideration of whether to implement global 
control settings. However, unlike the Clearing Fund Methodology Policy, 
the Margin Policy does not currently reference how the thresholds are 
set. As proposed to be amended, the ``Margin Monitoring'' section of 
the Margin Policy would be amended to add a discussion of the CCA 
Monitoring Thresholds.\46\ That section would refer to the CCA 
Monitoring Thresholds established under the Clearing Fund Methodology 
Policy and its underlying procedure. The Margin Policy would further 
provide that the CCA Monitoring Thresholds are reviewed annually by the 
MRWG and the Stress Testing Working Group (``STWG'') to ensure they 
remain adequate to identify periods of high market volatility,\47\ low 
market liquidity, and significant increases in position size/
concentration. The MRWG and STWG would be required to approve any 
changes to the thresholds.
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    \46\ The subsections in the ``Margin Monitoring'' section would 
be renumbered accordingly to reflect this addition.
    \47\ With respect to the high market volatility thresholds 
relevant to this filing, OCC's current thresholds are based on a 
statistical 1-in-18 month return calculated daily from the previous 
10 years of market data for the S&P 500 and VIX indexes. As of 
August 3, 2023, the thresholds translated to a 38.12% return for VIX 
and a -4.52% return for the SPX. Developmental evidence supporting 
the CCA Monitoring Threshold for high volatility has been provided 
in the model whitepaper. See Exhibit 3D, supra note 42. However, as 
discussed above, the CCA Monitoring Thresholds and the method for 
reviewing and updating them would be maintained in the procedures 
supporting the Clearing Fund Methodology Policy. As such, OCC 
believes the CCA Monitoring Thresholds for high volatility and 
updates thereto consistent with the Margin Policy would be 
reasonably and fairly implied by the Margin Policy.
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    To monitor for volatility experienced by individual risk factors 
that may merit implementing idiosyncratic control settings, the Margin 
Policy would require FRM to monitor securities against thresholds for 
idiosyncratic price moves that would be established in its procedures 
(``Idiosyncratic Thresholds'').\48\ The Idiosyncratic Thresholds may 
employ a tiered structure that takes into account the type and 
magnitude of OCC's risk exposure to the security (e.g., whether it is 
an optionable security with open interest, accepted as collateral, and/
or an Eligible Security under OCC's Stock Loan Programs), the value of 
the security, the magnitude of the price move, and the coverage 
rates.\49\ The Margin Policy would further reflect that on an at-least 
annual basis, FRM reviews whether the Idiosyncratic Thresholds, and the 
related instances when idiosyncratic control settings were applied 
during the review period, appropriately capture products experiencing 
high volatility. Any change to the Idiosyncratic Thresholds would 
require MRWG review and approval.
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    \48\ OCC has included a copy of these procedures as Exhibit 3F 
to File No. SR-OCC 2024-001, which are redlined with anticipated 
changes arising from feedback received from OSC staff in connection 
with a review of a draft of this proposed rule change.
    \49\ See id. Currently, FRM Staff reviews a daily report of 
projected coverages for selected risk factors (excluding securities 
that do not have listed options and are not eligible as either 
collateral or as part of OCC's Stock Loan Programs) with an absolute 
value of simple return greater than 20% or, for securities under $1 
or are missing a current or prior days' closing price, with an 
absolute value of log return greater than 100%. Securities meeting 
these thresholds are then filtered to identify those with more than 
$100 million in prior day risk exposure and a greater-than 3 times 
day-over-day increase in coverage. In addition, the thresholds 
filter for those securities for which regular parameter short 
coverages is greater than 350%. With respect to securities without 
listed options, the short coverage threshold also requires that the 
prior day risk exposure be greater than $10 million. As discussed 
below, the Idiosyncratic Thresholds would be maintained in 
procedures supporting the Margin Policy, reviewed at-least annually, 
and updated with MRWG approval. As such, OCC believes the 
Idiosyncratic Thresholds and updates thereto consistent with the 
Margin Policy would be reasonably and fairly implied by the Margin 
Policy.
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(3) How OCC Implements and Terminates High Volatility Control Settings
    When the monitoring thresholds discussed above are breached, 
appropriate decisionmakers at OCC determine whether to implement 
idiosyncratic or global control settings. Specifically, for breaches of 
the CCA Monitoring Threshold for high volatility, the Margin Policy 
would require that FRM escalate the matter to the MRWG and make a 
recommendation as to whether global control settings should be applied 
to all risk factors or a class of risk factors. The Margin Policy would 
require MRWG approval to implement global control settings. In making 
that determination, the Margin Policy would describe how MRWG would 
review coverage rates under potential control settings generated by 
taking a weighting of the bounds for regular and high volatility 
control sets. The Margin Policy would further require that MRWG make 
this determination considering factors including, but not limited to, 
which blended control value sets generate coverage levels that converge 
with the implied volatility of the SPX.
    The Margin Policy would also provide for how OCC would revert back 
to regular control settings after having implemented global control 
settings. Such reversion would also require MRWG approval. The Margin 
Policy would further provide that when making a determination that 
market volatility has decreased to a level where global control 
settings are no longer required, the MRWG would consider factors 
including, but not limited to, whether SPX coverage rates produced 
under regular control settings have converged with the initial coverage 
rates when global control settings were first implemented.
    With respect to breaches of the Idiosyncratic Thresholds, the 
Margin Policy would provide that FRM maintains authority to implement 
idiosyncratic control settings for an individual risk factor. 
Implementation of such idiosyncratic high volatility control settings 
would require approval of an FRM Officer.\50\ In practice, FRM applies 
the high volatility control set to a risk factor each time the 
Idiosyncratic

[[Page 5067]]

Thresholds are breached. However, the FRM Officer would retain 
authority under the Margin Policy to maintain regular control settings 
in the case of exceptional circumstances, including, for example, due 
to implementation of global control settings, operational issues such 
as production processing problems, or edge cases for which the FRM 
Officer determines that further refinement of the Idiosyncratic 
Thresholds is warranted. If the FRM Officer determines not to implement 
idiosyncratic control settings in edge cases, the Margin Policy would 
require that the FRM Officer present proposed changes to the 
Idiosyncratic Thresholds that reflect the exception within 30 days to 
the MRWG for review and, subject to MRWG discretion, approval. The 
Margin Policy would also provide for an FRM Officer's authority to 
approve idiosyncratic control settings based on additional 
considerations such as market moves, expected shortfall risk 
contribution, and changes in Clearing Member positions.\51\
---------------------------------------------------------------------------

    \50\ Officers are identified in OCC's By-Laws. See OCC By-Law 
Art IV. In this context, an FRM officer would include any member of 
FRM appointed by the Chief Executive Officer or Chief Operating 
Officer, including a Managing Director, Executive Director or 
Executive Principal. See id. Sec.  9.
    \51\ For example, an FRM Officer may use this authority to 
implement hypothetical scenarios for securities in cases where the 
securities fell just short of one element in the Idiosyncratic 
Thresholds' tiered structure, but where breaches of other elements 
weighed in favor of applying idiosyncratic control settings in the 
FRM Officer's judgment. See Exhibit 3A, supra note 32 (detailing an 
example in which an FRM Officer used this authority when a security 
was just below the $100 million threshold for prior day risk 
exposure, but an FRM Officer approved implementing idiosyncratic 
control settings based on the significant day-over-day increase to 
short coverage combined with the size of the exposure).
---------------------------------------------------------------------------

    Finally, the Margin Policy would provide for reversion from 
idiosyncratic control settings to regular control settings. 
Specifically, the Margin Policy would provide that generally, an FRM 
Officer will approve such reversion when the coverage rates under the 
regular control set converges with the initial coverage rate when 
idiosyncratic control settings were first implemented or when the 
coverage rates decline to or below the coverage rate under the 
Idiosyncratic Thresholds that triggered the idiosyncratic control 
settings.\52\ However, to account for possible unforeseen and 
unanticipated situations, the Margin Policy would provide that 
idiosyncratic control settings may be applied for a longer or shorter 
period at the discretion of the FRM Officer.
---------------------------------------------------------------------------

    \52\ For example, under the current Idiosyncratic Control 
Settings, discussed above in note 49, an FRM Officer would approve 
reverting to regular control settings when the short coverage 
declines to 350% or below.
---------------------------------------------------------------------------

(2) Statutory Basis
    OCC believes that the proposed rule change is consistent with 
Section 17A of the Exchange Act \53\ and the rules and regulations 
thereunder applicable to OCC. Section 17A(b)(3)(F) of the Act \54\ 
requires, in part, that the rules of a clearing agency be designed to 
promote the prompt and accurate clearance and settlement of securities 
transactions, and in general, to protect investors and the public 
interest. The proposed changes are intended to codify OCC's process for 
adjusting parameters in STANS in response to broad market volatility or 
idiosyncratic price moves for individual securities. As discussed 
above, the GARCH model has been observed to overreact to changes in 
volatility.\55\ Such sudden increases in margin requirements may stress 
certain Clearing Members' ability to obtain liquidity to meet those 
requirements, particularly in periods of high volatility, and could 
result in a Clearing Member being delayed in meeting, or ultimately 
failing to meet, its daily settlement obligations to OCC. A resulting 
suspension of a defaulting Clearing Member may result in losses 
chargeable to the mutualized Clearing Fund deposits of non-defaulting 
Clearing Members, which could result in unexpected costs for those 
Clearing Members. The proposed changes are intended to support the high 
volatility control settings process designed to mitigate the 
procyclicality of its GARCH model that may cause or exacerbate such 
financial instability. For these reasons, OCC believes the proposed 
changes to OCC's rules would support processes reasonably designed to 
promote the prompt and accurate clearance and settlement of securities 
transactions, and in general, to protect investors and the public 
interest, in accordance with Section 17A(b)(3)(F) of the Act.\56\
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    \53\ See 15 U.S.C. 78q-1.
    \54\ 15 U.S.C. 78q-1(b)(3)(F).
    \55\ See supra notes 19-23, 34-35, and accompanying text.
    \56\ Id.
---------------------------------------------------------------------------

    OCC believes that the proposed changes are also consistent with SEC 
Rule 17Ad-22(e)(6), which requires, in part, that a covered clearing 
agency establish, implement, maintain and enforce written policies and 
procedures reasonably designed to cover its credit exposures to its 
participants by establishing a risk-based margin system that, at a 
minimum, considers, and produces margin levels commensurate with, the 
risks and particular attributes of each relevant product, portfolio, 
and market.\57\ Commission guidance with respect to SEC Rule 17Ad-
22(e)(6) further provides that a covered clearing agency should 
consider whether its margin model, ``to the extent practicable and 
prudent, limits the need for destabilizing, procyclical changes.'' \58\ 
As noted above, OCC's GARCH model demonstrates sensitivity to sudden 
spikes in volatility, which can at times result in overreactive margin 
requirements that OCC believes are unreasonable and procyclical.\59\ 
Based on its analysis,\60\ OCC believes that the high volatility 
control settings reduce the oversensitivity of the variance forecasts 
for price risk factors while continuing to produce margin levels 
commensurate with the risks presented during periods of sudden, extreme 
volatility, consistent with Rule 17Ad-22(e)(6)(i).\61\
---------------------------------------------------------------------------

    \57\ See 17 CFR 240.17Ad-22(e)(6)(i).
    \58\ Standards for Covered Clearing Agencies, Exchange Act 
Release No. 78961, 81 FR 70819.
    \59\ See supra notes 19-21 and accompanying text.
    \60\ See supra notes 38-39 and accompanying text.
    \61\ 17 CFR 240.17Ad-22(e)(6)(i).
---------------------------------------------------------------------------

    SEC Rule 17Ad-22(e)(6) further requires that a covered clearing 
agency's policies and procedures be reasonably designed to monitoring 
its risk-based margin system on an ongoing basis, including by 
conducting a review of its parameters during periods of time when the 
products cleared or markets served display high volatility, report the 
results to appropriate decisionmakers, and use the results to evaluate 
the adequacy of and adjust its model parameters.\62\ The proposed 
changes to the Margin Policy would require that (i) FRM monitor for 
periods when the products cleared or markets served display high 
volatility; (ii) FRM escalate the results of its monitoring to 
appropriate decisionmakers; and (iii) FRM or MRWG may implement high 
volatility control settings to adjust the GARCH model parameters based 
on specified criteria. OCC believes that FRM and MRWG are the 
appropriate decisionmakers for making determinations about these margin 
parameter adjustments because they are composed of the subject matter 
experts most familiar with the performance of and risks associated with 
OCC's margin models. In addition, OCC believes it appropriate that 
implementation of global control settings require MRWG approval. MRWG 
is comprised of both first- and second-line personnel, including 
personnel in OCC's Model Risk Management business unit, who, under 
OCC's Risk Management Framework, are responsible for evaluating model 
parameters and assumptions and providing effective and independent 
challenge through

[[Page 5068]]

OCC's model lifecycle.\63\ Accordingly, OCC believes that this cross-
departmental group is the appropriate governing body for reviewing and 
approving such adjustments to OCC's model parameters during periods of 
high market volatility, consistent with Rules 17Ad-22(e)(6)(vi).\64\
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    \62\ 17 CFR 240.17Ad-22(e)(6)(vi).
    \63\ See Exchange Act Release No. 95842, 87 FR at 58413 (File 
No. SR-OCC-2022-010) (filing to establish OCC's Risk Management 
Framework). OCC Risk Management Framework is available on OCC's 
public website: https://www.theocc.com/risk-management/risk-management-framework.
    \64\ 17 CFR 240.17Ad-22(e)(6)(vi).
---------------------------------------------------------------------------

    In addition, OCC believes that proposed changes to promote aspects 
of the high volatility control setting process to OCC's rule-filed 
Margin Policy are consistent with Section 19(b) of the Exchange Act 
\65\ and SEC Rule 19b-4 \66\ thereunder, which require a self-
regulatory organization to file proposed rule changes with the 
Commission. In particular, SEC Rule 19b-4 provides that proposed rule 
changes subject to this filing requirement include stated policies, 
practices and interpretations of the self-regulatory organization, 
which the Commission defines to include, among other things, ``any 
material aspect of the operation of the facilities of the self-
regulatory organization,'' \67\ regardless of whether the stated 
policy, practice or interpretation is made generally available. SEC 
Rule 19b-4 provides certain exceptions to the filing requirement, 
including if the stated policy, practice or interpretation is 
``reasonably and fairly implied by an existing rule of the self-
regulatory organization.'' \68\ OCC's use of high volatility control 
settings is currently addressed in OCC's STANS Methodology Description, 
a rule of OCC.\69\ This proposed rule change would describe other 
aspects of the high volatility control setting process, including (1) 
how OCC establishes and maintains regular and high volatility control 
sets; (2) how OCC monitors for and escalates high market volatility and 
idiosyncratic price moves to appropriate decisionmakers for 
consideration of whether high volatility control settings are 
warranted; and (3) OCC's internal governance for implementing and 
terminating high volatility control settings. OCC believes that 
promoting these aspects of the high volatility control setting process 
to the Margin Policy would ensure that its rules contain sufficient 
detail about material aspects of its margin system.
---------------------------------------------------------------------------

    \65\ 15 U.S.C. 78s(b).
    \66\ 17 CFR 240.19b-4.
    \67\ 17 CFR 240.19b-4(a)(6)(i).
    \68\ 17 CFR 240.19b-4(c)(1).
    \69\ See supra notes 29-30 and accompanying text.
---------------------------------------------------------------------------

    OCC further believes that other internal procedures and technical 
documents concerning the execution of the high volatility control 
settings would be reasonably and fairly implied by its rules, as 
amended--including the regular and high volatility control sets, the 
thresholds used to escalate price movements and market volatility to 
appropriate decisionmakers to consider implementing high volatility 
control settings, and the method for reviewing and updating those 
control sets and thresholds based on the latest market data.\70\ 
Continuing to maintain these details in OCC internal procedures that 
are reasonably and fairly implied by OCC's rules would allow OCC to 
adjust the high volatility control settings process in response to 
novel situations, changing market conditions and additional 
quantitative research as OCC's processes mature. Accordingly, OCC 
believes that the proposed rule change is consistent with Section 19(b) 
of the Exchange Act \71\ and the regulations thereunder.
---------------------------------------------------------------------------

    \70\ See supra notes 43, 47, and 49.
    \71\ 15 U.S.C. 78s(b).
---------------------------------------------------------------------------

    For the above reasons, OCC believes that the proposed rule change 
is consistent with Section 17A of the Exchange Act \72\ and the rules 
and regulations thereunder applicable to OCC.
---------------------------------------------------------------------------

    \72\ 15 U.S.C. 78q-1.
---------------------------------------------------------------------------

(B) Clearing Agency's Statement on Burden on Competition

    Section 17A(b)(3)(I) of the Exchange Act \73\ 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. The 
proposed changes merely codify requirements related to the 
administration of OCC's high volatility control settings, which, when 
implemented, apply to all Clearing Members that hold cleared positions 
within the scope of the high volatility control settings. Accordingly, 
OCC does not believe that the proposed rule change would unfairly 
inhibit access to OCC's services.
---------------------------------------------------------------------------

    \73\ 15 U.S.C. 78q-1(b)(3)(I).
---------------------------------------------------------------------------

    While high volatility control settings implemented under the 
proposed changes may impact different accounts to a greater or lesser 
degree depending on the composition of positions in each account, OCC 
does not believe that such impacts would impose any burden on 
competition not necessary or appropriate in furtherance of the purposes 
of the Exchange Act. As discussed above, OCC is obligated under the 
Exchange Act and the regulations thereunder to review its model 
parameters during periods of time when the products cleared or markets 
served display high volatility, report the results to appropriate 
decisionmakers, and use the results to evaluate the adequacy of and 
adjust its model parameters.\74\ As discussed above, OCC believes the 
proposed changes to its rules support a high volatility control setting 
process that is reasonably designed to monitor volatility in the 
products and markets served by OCC and escalate the results of that 
monitoring to appropriate OCC decisionmakers, who would evaluate 
whether adjustments to OCC's model parameters through use of control 
settings is warranted. In addition, the changes would support a process 
designed to mitigate procyclicality observed with the GARCH model, 
which OCC believes would help ensure that its margin requirements 
remain commensurate with the risks presented by its Clearing Members' 
activity, consistent with SEC Rule 17Ad-22(e)(6)(i).\75\ Accordingly, 
OCC believes that the proposed rule change would not impose any burden 
or impact on competition not necessary or appropriate in furtherance of 
the purposes of the Exchange Act.
---------------------------------------------------------------------------

    \74\ See 17 CFR 240.17Ad-22(e)(6)(vi)(C)-(D).
    \75\ 17 CFR 240.17Ad-22(e)(6)(i).
---------------------------------------------------------------------------

(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 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 this 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.

[[Page 5069]]

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

    <bullet> Use the Commission's internet comment form (https://www.sec.gov/rules/sro.shtml); or
    <bullet> Send an email to <a href="/cdn-cgi/l/email-protection#2153544d440c424e4c4c444f5552615244420f464e57"><span class="__cf_email__" data-cfemail="9be9eef7feb6f8f4f6f6fef5efe8dbe8fef8b5fcf4ed">[email protected]</span></a>. Please include 
file number SR-OCC-2024-001 on the subject line.

Paper Comments

    <bullet> 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-2024-001. 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 the 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-2024-001 and 
should be submitted on or before February 15, 2024.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\76\
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    \76\ 17 CFR 200.30-3(a)(12).
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Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2024-01386 Filed 1-24-24; 8:45 am]
BILLING CODE 8011-01-P


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