Federal Register / Vol. 89, No. 220 / Thursday, November 14, 2024 / Notices 90155 

127See id. 

128See FICC Letter at 7. 

129See id. 

130See id. 

131See id. 

132See id. 

133See id. 

134 17 CFR 240.17ad–22(e)(23)(ii). 

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

2 17 CFR 240.19b–4. 

3Securities Exchange Act Release No. 100664 

(Aug. 6, 2024), 89 FR 65695 (Aug. 12, 2024) (File 

No. SR–OCC–2024–010) (‘‘Notice of Filing’’). 4Comments on the proposed rule change are 

available at https://www.sec.gov/comments/sr-occ2024-010/srocc2024010.htm. 5See OCC Info Memo #55123, Intraday Risk 

Monitoring (dated Aug. 30, 2024), available at 

https://infomemo.theocc.com/ 

infomemos?number=55123. The amendment did 

not change the purpose or basis of the proposed 

rule change. 

6 15 U.S.C. 78s(b)(2). 

7Securities Exchange Act Release No. 101193 

(Sept. 25, 2024), 89 FR 79977 (Oct. 1, 2024) (File 

No. SR–OCC–2024–010). 

8 15 U.S.C. 78s(b)(2)(B). 

9OCC describes itself as ‘‘the sole clearing agency 

for standardized equity options listed on a national 

securities exchange registered with the Commission 

(‘listed options’).’’ See Securities Exchange Act 

Release No. 96533 (Dec. 19, 2022), 87 FR 79015 

(Dec. 23, 2022) (File No. SR–OCC–2022–012). 

10Capitalized terms have the same meaning as 

provided in OCC’s By-Laws and Rules, which can 

be found on OCC’s public website: https://

www.theocc.com/Company-Information/ 

Documents-and-Archives/By-Laws-and-Rules. 

where the MMA is calculated but not 

invoked.127

In response, FICC states that it 

provides tools and resources to enable 

members to determine their margin 

requirements and the impact of FICC’s 

proposals.128 Specifically, FICC 

maintains the Real Time Matching 

Report Center, Clearing Fund 

Management System, FICC Customer 

Reporting Service, and FICC Risk Client 

Portal which are client accessible 

websites for accessing risk reports and 

other risk disclosures.129 These 

resources enable members to view 

Clearing Fund requirement information 

and margin component details, 

including portfolio breakdowns by 

CUSIP and amounts attributable to the 

sensitivity-based VaR model.130

Members are also able to view data on 

market amounts for current clearing 

positions and associated VaR 

Charges.131 Additionally, the FICC 

Client Calculator enables members to, 

among other things, enter ‘‘what-if’’ 

position data to determine hypothetical 

VaR Charges before trade execution. 

FICC states that as of June 24, 2024, 

FICC is in the process of enhancing the 

FICC Client Calculator to incorporate 

the MMA and FICC expects the 

enhancement to be available to members 

prior to implementation of the MMA, 

subject to the Commission’s 

approval.132 FICC also states that it is 

currently developing a tool that would 

enable non-members to assess potential 

VaR Charges (including MMA) as 

well.133

The extensive tools and resources that 

FICC makes available to members 

should enable members to obtain 

individualized information to determine 

their Clearing Fund requirements, 

margin component details, and assess 

the impact of FICC’s proposals. 

Additionally, FICC’s multiple member 

outreach efforts (before and after 

development of the proposals in the 

Advance Notice) provided members 

with relevant individualized impact 

analyses with which to evaluate the 

proposals in the Advance Notice. 

Accordingly, FICC has provided tools 

and resources sufficient for its members 

to evaluate their daily VaR and other 

margin-related calculations, rendering a 

phased implementation of the proposed 

MMA unwarranted. 

Based on the foregoing, FICC has 

provided sufficient information, tools, 

and resources to enable members to 

identify and evaluate the relevant risks 

and costs associated with the changes 

proposed in the Advance Notice, 

consistent with Rule 17ad– 

22(e)(23)(ii).134

III. Conclusion 

It is therefore noticed, pursuant to 

Section 806(e)(1)(I) of the Clearing 

Supervision Act, that the Commission 

does not object to Advance Notice (SR– 

FICC–2024–801) and that FICC is 

authorized to implement the proposed 

change as of the date of this notice or 

the date of an order by the Commission 

approving proposed rule change SR– 

FICC–2024–003, whichever is later. 

By the Commission. 

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2024–26519 Filed 11–13–24; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–101551; File No. SR–OCC– 

2024–010] 

Self-Regulatory Organizations; the 

Options Clearing Corporation; Order 

Instituting Proceedings To Determine 

Whether To Approve or Disapprove a 

Proposed Rule Change, as Modified by 

Partial Amendment No. 1, by the 

Options Clearing Corporation To 

Establish a Margin Add-On Charge 

That Would Be Applied to All Clearing 

Member Accounts To Help Mitigate the 

Risks Arising From Intraday and 

Overnight Trading Activity 

November 7, 2024. 

I. Introduction 

On July 25, 2024, the Options 

Clearing Corporation (‘‘OCC’’) filed with 

the Securities and Exchange 

Commission (‘‘Commission’’) the 

proposed rule change SR–OCC–2024– 

010 pursuant to Section 19(b) of the 

Securities Exchange Act of 1934 

(‘‘Exchange Act’’) 1 and Rule 19b–4 2

thereunder to establish a margin add-on 

charge that would be applied to all 

Clearing Member accounts to assist with 

mitigating the risks arising from 

intraday and overnight trading activity, 

particularly activity attributable to 

short-dated options trading. Proposed 

rule change SR–OCC–2024–010 was 

published for public comment in the 

Federal Register on August 12, 2024.3

The Commission has received 

comments regarding the proposed rule 

change.4

On September 4, 2024, OCC amended 

the proposed rule change to include as 

Exhibit 2 an information memorandum 

OCC published on its website informing 

OCC’s membership of the details of the 

margin add-on charge.5 On September 

25, 2024, pursuant to Section 19(b)(2) of 

the Exchange Act,6 the Commission 

issued a Notice of Filing of Partial 

Amendment No. 1 and designated a 

longer period within which to approve, 

disapprove, or institute proceedings to 

determine whether to approve or 

disapprove the proposed rule change.7

This order institutes proceedings, 

pursuant to Section 19(b)(2)(B) of the 

Exchange Act,8 to determine whether to 

approve or disapprove the proposed 

rule change, as modified by Partial 

Amendment No. 1 (hereinafter 

‘‘Proposed Rule Change’’). 

II. Summary of the Proposed Rule 

Change 

OCC is a central counterparty 

(‘‘CCP’’), which means that as part of its 

function as a clearing agency, it 

interposes itself as the buyer to every 

seller and the seller to every buyer for 

certain financial transactions. As the 

CCP for the listed options markets in the 

United States,9 as well as for certain 

futures and stock loans, OCC is exposed 

certain risks arising from providing 

clearing and settlement services to its 

Clearing Members.10 Because OCC is 

obligated to perform on the contracts it 

clears, even where one of its Clearing 

Members defaults, one such risk to 

which OCC is exposed is credit risk in 

the form of exposure to a Clearing 


ddrumheller on DSK120RN23PROD with NOTICES1
90156 Federal Register / Vol. 89, No. 220 / Thursday, November 14, 2024 / Notices 

11See OCC Rule 609(a) (‘‘[OCC] may require the 

deposit of additional margin (‘intra-day margin’) by 

any Clearing Member in any account at any time 

during any business day to reflect changes in: . . . 

(3) the value of securities deposited by the Clearing 

Member as margin . . .’’). 

12See OCC Rule 307C(b) (providing for protective 

measures in the form of requiring Clearing Members 

to adjust the amount or composition of margin, 

including but not limited to requiring the deposit 

of additional margin). 

13See Securities Exchange Act Release No. 82658 

(Feb. 7, 2018), 83 FR 6646, 6648 (Feb. 14, 2018) 

(File No. SR–OCC–2017–007) (‘‘Pursuant to the 

Margin Policy, OCC issues margin calls during 

standard trading hours when unrealized losses 

exceeding 50% of an account’s total risk charges are 

observed for that account based on start-of-day 

positions.’’). See also Securities Exchange Act 

Release No. 82355 (Dec. 19, 2017), 82 FR 61060, 

61064 (Dec. 26, 2017) (File No. SR–OCC–2017–007) 

(codifying in the Margin Policy the extended 

trading hour intraday margin call OCC would issue 

prior to 9:00 a.m. Central Time when: (1) unrealized 

losses observed for an account, based on new ETH 

positions, exceed 25% of that account’s total risk 

charges and (2) the overall Clearing Member 

portfolio is also experiencing losses). 

14ETH refers to trades executed in extended and 

overnight trading sessions offered by exchanges for 

which OCC provides clearance and settlement 

services. See Securities Exchange Act Release No. 

73343 (Oct. 14, 2014), 79 FR 62684 (Oct. 20, 2014) 

(File No. SR–OCC–2014–805). 

15According to OCC, the average daily cleared 

volume increased steadily after 2018 and doubled 

by 2022, reaching more than 40 million cleared 

contracts, of which a significant portion were SDO 

contracts. See Notice of Filing, 89 FR at 65695–96. 

Additionally, OCC has provided a confidential 

Exhibit 3A to File No. SR–OCC–2024–010, which 

is a 2023 study OCC conducted of its risk exposure 

to short-dated options. 

16As an example, daily option trading volume 

transactions examined between February 2023 and 

July 2023 show that options with less than a onemonth time-to-expiration contributed around 30 

percent of daily trading volume across the days 

examined. See Notice of Filing, 89 FR at 65695–96. 

For 0DTE options during that time on the expiration 

dates (e.g., Fridays or third Fridays of a month), the 

daily trading volume increased to 40 percent. Id. 

17 In 2005, the Chicago Board Options Exchange 

(‘‘Cboe’’), one of the participant exchanges for 

which OCC provides clearance and settlement 

services, began listing weekly options on the SPX 

expiring each Friday of the month. See Notice of 

Filing, 89 FR at 65695–96. Then, in 2016, Cboe 

introduced Monday and Wednesday weekly SPX 

expirations, and in 2022 it added Tuesday and 

Thursday weekly SPX expirations. Id. 

18See Securities Exchange Act Release No. 90797 

(Dec. 23, 2020), 85 FR 86592 (Dec. 30, 2020) (File 

No. SR–OCC–2020–014). 

19 15 U.S.C. 78s(b)(2)(B). 

20 Id. 

21 15 U.S.C. 78q–1. 

Member’s trading activities. OCC 

manages such credit risk, in part, by 

collecting collateral from its Clearing 

Members in the form of margin, which 

may include certain add-on charges 

designed to address specific risks. 

At the start of each business day, OCC 

collects the required margin for each 

marginable account calculated by OCC’s 

proprietary System for Theoretical 

Analysis and Numerical Simulation 

(‘‘STANS’’) based on the account’s endof-day positions from the previous 

business day. OCC also has broad 

authority to require additional margin 

deposits and to make intraday margin 

calls if, for example, the value of 

securities deposited as margin collateral 

does not accurately address changes in 

a Clearing Member’s account during the 

business day,11 circumstances warrant 

protective measures in the form of 

adjusting the amount or composition of 

margin,12 and when unrealized losses 

exceed a certain threshold of an 

account’s total risk charges 13 during 

standard trading hours or extended 

trading hours (‘‘ETH’’).14

Since these margin collection 

processes were established, OCC 

observed a significant increase in the 

volume of contracts it clears, 

particularly of short-dated option 

(‘‘SDO’’) contracts, including those 

traded on the day of their expiration 

(‘‘zero-days-to-expiration’’ or ‘‘0DTE’’ 

options).15 According to OCC, the 

average daily cleared volume increased 

steadily after 2018 and doubled by 2022, 

reaching more than 40 million cleared 

contracts, of which a significant portion 

were SDO contracts.16 OCC conducted a 

study that reflects the evolution of SDOs 

and 0DTE options in the broader 

market, which evolved from weekly 

options in 2005 being listed on the S&P 

500 Index (‘‘SPX’’) and expiring each 

Friday of the month, to options now 

expiring on every trading day of the 

year.17

The proliferation of SDOs and 0DTE 

options has increased OCC’s exposure to 

risks from its Clearing Members’ 

intraday and ETH trading activity. OCC 

collects margin at the start of each 

business day using the STANS margin 

calculation, which is based on end-ofday positions from the previous trading 

session. This margin collection does not 

account for overnight trading activity. 

Nor does it encompass intraday trading 

activity, including any possible 

increases in the clearance of SDOs or 

0DTE options. Although OCC’s current 

portfolio revaluation process captures 

changes related to price movements, it 

does not capture the intraday credit risk 

related to position changes that exists 

between the point of margin collection 

at the beginning of each business day 

and the point of margin collection at the 

beginning of the next business day, 

resulting in a margin requirement that 

may not be sufficient to cover any 

additional risk arising from intraday 

trading activity during the trading 

session. Such intraday credit risk could 

be a result of Clearing Member(s) 

trading in and out of SDOs and 0DTE 

options, exercising these options 

positions, or the options expiring by the 

end of the day. 

To help address such credit risk 

exposure, OCC proposes to implement 

(1) a margin add-on charge (the 

‘‘Intraday Risk Charge’’); and (2) 

monitoring and escalation criteria to 

facilitate margin calls for any Clearing 

Member whose intraday activity 

exceeds certain thresholds relative to its 

Intraday Risk Charge (‘‘Intraday Risk 

Charge Monitoring Thresholds’’). The 

monitoring, escalation, and calculation 

of the Intraday Risk Charge would be 

conducted through OCC’s current Watch 

Level surveillance system, which is 

governed by OCC’s Third-Party Risk 

Management Framework.18 Specifically, 

OCC would utilize its Watch Level 

surveillance to track Clearing Members’ 

overnight trading activity and identify 

patterns of risk-increasing activity in 

SDOs and 0DTE options. Under the 

current monitoring system, if OCC 

observes that certain thresholds are 

breached relative to a Clearing 

Member’s net capital, OCC will 

calculate, and potentially impose, 

protective measures in the form of 

additional margin. The Intraday Risk 

Charge would extend this monitoring 

and surveillance approach to all 

products cleared by OCC and to all 

Clearing Members, regardless of net 

capital thresholds. 

III. Proceedings To Determine Whether 

To Approve or Disapprove the 

Proposed Rule Change and Grounds for 

Disapproval Under Consideration 

The Commission is instituting 

proceedings pursuant to Section 

19(b)(2)(B) of the Exchange Act 19 to 

determine whether the Proposed Rule 

Change should be approved or 

disapproved. Institution of proceedings 

is appropriate at this time in view of the 

legal and policy issues raised by the 

Proposed Rule Change. Institution of 

proceedings does not indicate that the 

Commission has reached any 

conclusions with respect to any of the 

issues involved. Rather, the Commission 

seeks and encourages interested persons 

to comment on the Proposed Rule 

Change, providing the Commission with 

arguments to support the Commission’s 

analysis as to whether to approve or 

disapprove the Proposed Rule Change. 

Pursuant to Section 19(b)(2)(B) of the 

Exchange Act,20 the Commission is 

providing notice of the grounds for 

disapproval under consideration. The 

Commission is instituting proceedings 

to allow for additional analysis of, and 

input from commenters with respect to, 

the Proposed Rule Change’s consistency 

with Section 17A of the Exchange Act,21


ddrumheller on DSK120RN23PROD with NOTICES1
Federal Register / Vol. 89, No. 220 / Thursday, November 14, 2024 / Notices 90157 

22 15 U.S.C. 78q–1(b)(3)(E). 

23 15 U.S.C. 78q–1(b)(3)(F). 

24 17 CFR 240.17Ad–22(e)(2)(v). 

25 17 CFR 240.17Ad–22(e)(4)(i). 

26 15 U.S.C. 78q–1(b)(3)(E) and 15 U.S.C. 78q– 

1(b)(3)(F). 

27 17 CFR 240.17Ad–22(e)(2). 

28 17 CFR 240.17Ad–22(e)(4). 

29 17 CFR 240.19b–4(g). 

30Section 19(b)(2) of the Exchange Act grants to 

the Commission flexibility to determine what type 

of proceeding—either oral or notice and 

opportunity for written comments—is appropriate 

for consideration of a particular proposal by a selfregulatory organization. See Securities Act 

Amendments of 1975, Senate Comm. on Banking, 

Housing & Urban Affairs, S. Rep. No. 75, 94th 

Cong., 1st Sess. 30 (1975). 

31See Notice of Filing, supra note 3. 

32 17 CFR 200.30–3(a)(31). 

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

2 17 CFR 240.19b–4. 

and the rules thereunder, including the 

following provisions: 

• Section 17A(b)(3)(E) of the 

Exchange Act, which requires, among 

other things, that the rules of a clearing 

agency do not impose any schedule of 

prices, or fix rates or other fees, for 

services rendered by its participants; 22

• Section 17A(b)(3)(F) of the 

Exchange Act, which requires, among 

other things, that the rules of a clearing 

agency are 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; 23

• Rule 17Ad–22(e)(2) of the Exchange 

Act, which requires, among other 

things, that a covered clearing agency 

establish, implement, maintain, and 

enforce written policies and procedures 

reasonably designed to provide for 

governance arrangements that specify 

clear and direct lines of 

responsibility; 24 and 

• Rule 17Ad–22(e)(4) of the Exchange 

Act, which requires, among other 

things, that a covered clearing agency 

establish, implement, maintain, and 

enforce written policies and procedures 

reasonably designed to effectively 

identify, measure, monitor, and manage 

its credit exposures to participants and 

those arising from its payment, clearing, 

and settlement processes, including by 

maintaining sufficient financial 

resources to cover its credit exposure to 

each participant fully with a high degree 

of confidence.25

IV. Procedure: Request for Written 

Comments 

The Commission requests that 

interested persons provide written 

submissions of their views, data, and 

arguments with respect to the issues 

identified above, as well as any other 

concerns they may have with the 

Proposed Rule Change. In particular, the 

Commission invites the written views of 

interested persons concerning whether 

the Proposed Rule Change is consistent 

with Sections 17A(b)(3)(E) and 

17A(b)(3)(F) of the Exchange Act,26 and 

Rules 17Ad–22(e)(2) 27 and 17Ad– 

22(e)(4) 28 thereunder, or any other 

provision of the Exchange Act, or the 

rules and regulations thereunder. 

Although there do not appear to be any 

issues relevant to approval or 

disapproval that would be facilitated by 

an oral presentation of views, data, and 

arguments, the Commission will 

consider, pursuant to Rule 19b–4(g) 

under the Exchange Act,29 any request 

for an opportunity to make an oral 

presentation.30

Interested persons are invited to 

submit written data, views, and 

arguments regarding whether the 

Proposed Rule Change should be 

approved or disapproved by November 

29, 2024. Any person who wishes to file 

a rebuttal to any other person’s 

submission must file that rebuttal by 

December 13, 2024. 

The Commission asks that 

commenters address the sufficiency of 

OCC’s statements in support of the 

Proposed Rule Change, which are set 

forth in the Notice of Filing,31 in 

addition to any other comments they 

may wish to submit about the Proposed 

Rule Change. 

Comments may be submitted by any 

of the following methods: 

Electronic Comments 

• Use the Commission’s internet 

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

rules-regulations/self-regulatoryorganization-rulemaking); or 

• Send an email to rule-comments@

sec.gov. Please include file number SR– 

OCC–2024–010 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–OCC–2024–010. 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-regulations/self-regulatoryorganization-rulemaking). 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 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/CompanyInformation/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–2024–010 and should 

be submitted on or before November 29, 

2024. Rebuttal comments should be 

submitted by December 13, 2024. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.32

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2024–26413 Filed 11–13–24; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–101547; File No. SR–ISE– 

2024–49] 

Self-Regulatory Organizations; Nasdaq 

ISE, LLC; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change To Adopt a New 

Approach to the Options Regulatory 

Fee (ORF) in 2025 

November 7, 2024. 

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

Securities Exchange Act of 1934 (the 

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

notice is hereby given that on October 

31, 2024, Nasdaq ISE, LLC (‘‘ISE’’ or 

‘‘Exchange’’) filed with the Securities 

and Exchange Commission (the 

‘‘Commission’’) the proposed rule 

change as described in Items I and II 

below, which Items have been prepared 

by the Exchange. The Commission is 

publishing this notice to solicit 

comments on the proposed rule change 

from interested persons. 


ddrumheller on DSK120RN23PROD with NOTICES1