7722 Federal Register / Vol. 90, No. 13 / Wednesday, January 22, 2025 / Notices 

29 17 CFR 240.17Ad–22(e)(4) and 17 CFR 

240.17Ad–22(e)(6). 

30 15 U.S.C. 78q–1(b)(3)(F). 

31 15 U.S.C. 78q–1(b)(3)(F). 

32 In approving the Proposed Rule Change, the 

Commission has considered the proposed rules’ 

impact on efficiency, competition, and capital 

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

33 15 U.S.C. 78s(b)(2). 

34 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3See Exchange Act Release No. 100664 (Aug.6, 

2024), 89 FR 65695 (Aug. 12, 2024) (File No. SR– 

OCC–2024–010). 

4See Exchange Act Release No. 101446 (Oct. 25, 

2024), 89 FR 91000 (Nov 18, 2024) (File No. S7– 

10–23). 

5OCC’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. 

would resolve inconsistent model 

assumptions by aligning the day count 

convention across models. The 

proposed changes would also provide 

for implied volatility shocks to options 

with tenors of less than one month that 

are consistent with historical evidence, 

rather than simply applying the shocks 

generated for 1M options. Each of the 

proposed changes is designed to more 

accurately reflect the particular 

attributes of the options OCC clears. In 

the context of STANS, therefore, the 

proposed changes would support the 

production of margining requirements 

consistent with such attributes. In the 

context of OCC’s CST methodology, the 

changes would provide a more accurate 

basis on which to test the sufficiency of 

OCC’s financial resources. 

Accordingly, the Proposed Rule 

Change is consistent with Rules 17Ad– 

22(e)(4) and (6) under the Exchange 

Act.29

B. Consistency With Section 

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

Section 17A(b)(3)(F) of the Exchange 

Act requires, among other things, that 

the rules of a clearing agency be 

designed to assure the safeguarding of 

securities and funds which are in the 

custody or control of the clearing agency 

or for which it is responsible.30 As 

discussed above, the proposed changes 

would improve the performance of the 

models comprising STANS and the CST 

methodology by, among other things, 

supporting the production of margining 

requirements consistent with the 

particular attributes of the products that 

OCC clears and providing a more 

accurate basis on which to test the 

sufficiency of OCC’s financial resources. 

These changes will, in turn, help ensure 

that OCC collects appropriate Clearing 

Fund collateral and reduce the 

likelihood that OCC would need to 

utilitze Clearing Fund collateral of nondefaulting clearing members in the 

event of a default. For these reasons, 

OCC’s proposed update to its Margin 

Policy in the manner described above is 

consistent with the safeguarding of 

securities and funds which are in OCC’s 

custody or control or for which it is 

responsible. Accordingly, the Proposed 

Rule Change is consistent with the 

requirements of Section 17A(b)(3)(F) of 

the Exchange Act.31

IV. Conclusion 

On the basis of the foregoing, the 

Commission finds that the Proposed 

Rule Change is consistent with the 

requirements of the Exchange Act, and 

in particular, the requirements of 

Section 17A of the Exchange Act 32 and 

the rules and regulations thereunder. 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Exchange Act,33

that the Proposed Rule Change (SR– 

OCC–2024–016) be, and hereby is, 

approved. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.34

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2025–01414 Filed 1–21–25; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–102202; File No. SR–OCC– 

2024–010] 

Self-Regulatory Organizations; The 

Options Clearing Corporation; Notice 

of Filing of Amendment No. 3 to 

Proposed Rule Change 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 

January 15, 2025. 

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 14, 2025, The 

Options Clearing Corporation (‘‘OCC’’) 

filed with the Securities and Exchange 

Commission (‘‘SEC’’ or ‘‘Commission’’) 

This amendment (‘‘Amendment No. 3’’) 

to 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. 

I. Clearing Agency’s Statement of the 

Terms of Substance of the Proposed 

Rule Change 

On July 25, 2024, OCC filed the 

proposed rule change File No. SR–OCC– 

2024–010 (‘‘Initial Filing’’).3 On January 

8, 2025, OCC filed Amendment No. 2 to 

the Initial Filing (‘‘Amendment No. 2’’). 

This Amendment No. 3 to the Initial 

Filing is identical in substance to 

Amendment No. 2 but includes changes 

to references and table format to 

facilitate publication of the notice of 

filing in the Federal Register and 

supersedes Amendment No. 2. 

Amendment No. 3 would 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. 

Through this amendment OCC is 

incorporating certain modifications to 

its proposal to address comments from 

industry participants. OCC also intends 

to conform the proposed rule change to 

the Commission’s final rule 4 amending 

the Covered Clearing Agency (‘‘CCA’’) 

Standards concerning intraday margin 

calls, and to extend the implementation 

timeframe to address industry concerns 

and participants’ desire for additional 

time to prepare for the proposed 

changes. This Amendment No. 3 would 

modify those aspects of the proposal as 

further described below and amend and 

restate the Initial Filing. 

Proposed changes to OCC’s Rules are 

contained in Exhibit 5A to Amendment 

No. 3 to File No. SR–OCC–2024–010. 

Proposed changes to OCC’s Margin 

Policy are contained in confidential 

Exhibit 5B to Amendment No. 3 to File 

No. SR–OCC–2024–010. Material 

proposed to be added is marked by 

italicizing 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.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), 


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6Comments on the proposed rule change are 

available at http://www.sec.gov/comments/sr-occ2024-010/srocc2024010.htm. 

7See Exchange Act Release No. 101446 (Oct. 25, 

2024), 89 FR 91000 (Nov. 18, 2024) (amending 17 

CFR 240.17Ad–22–22(e)(6)(ii)). 

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 

On July 25, 2024, OCC filed with the 

Commission a proposed rule change, 

SR–OCC–2024–010 to establish a 

margin add-on charge (the ‘‘Intraday 

Risk Charge’’) that would be applied to 

all Clearing Member accounts to assist 

with mitigating the risks arising from 

intraday and overnight trading activity. 

On September 4, 2024, OCC amended 

the filing 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. The Commission 

received comments regarding the 

proposed rule change 6 and on 

November 7, 2024, issued an order 

instituting proceedings, pursuant to 

Section 19(b)(2)(B) of the Exchange Act, 

to determine whether to approve or 

disapprove the proposed rule change. 

Based on the comments the 

Commission received and a recent 

release of the Commission’s October 25, 

2024, final rule amending the CCA 

Standards,7 OCC is filing this 

amendment to the Initial Filing. 

Material changes to the Initial Filing 

and the rationale for such amendments 

are summarized in the following table: 

TABLE 1—SUMMARY OF CHANGES PROPOSED BY AMENDMENT NO. 3 

[Footnotes at end of table.] 

Initial filing Amendment Rationale for 

amendment 

The Intraday Risk Charge would be calculated 

based on the average of the previous 

month’s daily peak intraday risk increases 

observed from 20- minute snapshots in overnight and regular trading hours, between 

12:30 a.m. through 3:15 p.m. Central Time.

The Intraday Risk Charge would be calculated 

based on the average of the previous 

month’s daily peak intraday risk increases 

observed from 20-minute snapshots between 11:00 a.m. through 12:30 p.m. Central Time.

Industry participants commented that 20- 

minute snapshots during trading hours were 

too frequent, and suggested the OCC use 

fewer snapshots at predictable intervals.a

OCC would continue to manage the intraday 

risk associated with overnight trading activity through its existing extended trading 

hour procedures.b

An OCC Officer may issue a margin call if a 

verified intraday risk increase during regular 

trading hours is greater than 3 standard deviations of a Clearing Member’s Intraday 

Risk Charge.

An OCC Officer may issue a margin call at a 

single intraday collection time if a Clearing 

Member’s verified intraday risk increase at 

or around 12:00 p.m. Central Time is greater than 3 standard deviations of the previous month’s daily peak intraday risk increases, observed from 20-minute snapshots between 12:30 a.m. through 3:15 p.m. 

Central Time.

The single collection timeframe aligns with (1) 

the timeframe in which the observations for 

the Intraday Risk Charge are measured, 

and (2) OCC’s current scheduled Portfolio 

Revaluation margin calls previous approved 

by the Commission.c

Measuring against the Clearing Member’s 

peak intraday risk increases from both overnight and regular trading hours would result 

in a manageable number of potential risk increases to investigate for purposes of 

issuing margin calls, allowing OCC to focus 

on intraday activity presenting the most risk. 

OCC would continue to monitor for breaches 

of the 3 standard deviation threshold in 20- 

minute snapshots throughout the trading 

day, and would continue to have authority 

to issue an intraday margin call under Rule 

609, as it does today. Margin calls issued 

outside of the single intraday collection time 

must be approved by the Chief Financial 

Risk Officer, Chief Executive Officer, Chief 

Operation Officer, or Chief Risk Officer.

This amendment aligns with (1) Commission 

guidance in the above-referenced final rule 

that schedule intraday margin calls may not 

be sufficient and that CCAs need to have 

the ability to make unscheduled intraday 

margin calls,d and (2) OCC’s current Portfolio Revaluation margin call process in allowing margin calls to be issued outside the 

single intraday collection time with escalated approvals 

120-day implementation period following receipt of all necessary regulatory approval.OCC would implement the changes in September 2025.Industry participants have commented that 

120 days is insufficient for them to prepare 

for the changes. 

The proposed implementation dates are within 

the compliance period for the Commission’s 

above-referenced final rule, which requires 

a CCA to implement rule-filed changes by 

December 15, 2025.e

aSee, e.g., letter from Kimberly Unger, CEO and Executive Director, The Security Traders Association of New York, Inc. dated October 30, 

2024, available at https://www.sec.gov/comments/sr-occ-2024-010/srocc2024010.htm. bSee Exchange Act Release No. 74268 (Feb. 12, 2015), 80 FR 8917 (Feb. 19, 2015) (SR–OCC–2014–24) (SR–OCC–2014–24) (requiring 

Clearing Members qualified to participate in overnight trading sessions to provide an additional margin requirement in an amount of the lesser of 

$10 million or 10% of the Clearing Member’s net capital). cSee Exchange Act Release No. 82658 (Feb. 7, 2018), 83 FR 6646, 6648 (SR–OCC–2017–007). dSee Exchange Act Release No. 101446, supra note 7, 89 FR 91005. e Id. at 91037. 


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8OCC makes its STANS Methodology Description 

available to Clearing Members. An overview of the 

STANs methodology is posted to OCC’s public 

website: https://www.theocc.com/RiskManagement/Margin-Methodology. 

9See Exchange Act Release Nos. 100998 (Sept. 

11, 2024), 89 FR 76171 (Sept. 17, 2024) (SR–OCC– 

2024–009); 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–2018–010); 82658 (Feb. 7, 2018), 83 FR 6646 

(Feb. 14, 2018) (SR–OCC–2017–007). 

10See 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 . . . .’’); Exchange Act Release 

No. 82658, supra note 9, 83 FR 6648 (‘‘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.’’). 

11ETH refers to trades executed in extended and 

overnight trading sessions offered by exchanges for 

which OCC provides clearance and settlement 

services. See Exchange Act Release No. 73343 (Oct. 

14, 2014), 79 FR 62684 (Oct. 20, 2014) (SR–OCC– 

2014–805). 

12See Exchange Act Release No. 82355 (Dec. 19, 

2017), 82 FR 61060, 61064 (Dec. 26, 2017) (SR– 

OCC–2017–007) (codifying in the Margin Policy the 

ETH 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). 

13See 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). 

14OCC has provided a confidential Exhibit 3A to 

Amendment No. 3 to File No. SR–OCC–2024–010 

a 2023 study it conducted of its risk exposure to 

short-dated options. 

15 Id. at 3–4. 

16Originally, options expiries occurred on the 

Saturday following the third Friday before the 

industry moved to Friday expirations in 2013. See 

Exchange Act Release No. 69772 (June 17, 2013), 78 

FR 37645 (June 21, 2013) (File No. SR–OCC–2013– 

04). 

17See Cboe, The Rise of SPX & 0DTE Options, at 

5 (July 27, 2023), available at https://go.cboe.com/ 

l/77532/2023-07-27/ffc83k. 

(1) Purpose 

Background 

OCC is the sole clearing agency for 

standardized equity options listed on 

national securities exchanges registered 

with the Commission. OCC also clears 

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. 

At the start of each business day, OCC 

collects margin requirements 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.8 OCC also makes intraday 

margin calls in defined circumstances. 

For example, pursuant to OCC Rule 609 

and OCC’s Margin Policy, which has 

been filed with and approved as a rule 

by the Commission,9 OCC requires the 

deposit of intraday margin to reflect 

changes in the value of securities 

deposited by the Clearing Member as 

margin when certain defined thresholds 

are breached.10 OCC also issues intraday 

margin calls when unrealized losses 

observed for an account based on 

positions from extended trading hours 

(‘‘ETH’’) 11 exceed certain thresholds.12

In addition, OCC maintains broad 

authority under OCC Rule 609 to issue 

intraday margin calls or otherwise set a 

Clearing Member’s margin requirement 

in other circumstances, including as a 

protective measure pursuant to Rule 

307.13

Since the time these existing margin 

collection processes were established, 

OCC has observed a significant increase 

in contract volume and, in particular, 

volume in option contracts traded on 

the day of their expiration—so-called 

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

options.14 Currently, 0DTE option 

trading volume can spike to up to 40% 

of total trading volume on Friday 

expirations.15 This increase in 0DTE 

options trading has coincided with the 

proliferation of option expiries. 

Traditionally, listed options expired on 

the third Friday of the month.16 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 S&P 500 

Index (‘‘SPX’’) expiring each Friday of 

the month, and subsequently introduced 

Monday and Wednesday weekly SPX 

expirations in 2016 before adding 

Tuesday and Thursday weekly SPX 

expirations in 2022.17 Weekly and daily 

expiration cycles were introduced to 

options on other indexes, single-name 

stocks, and exchange traded products 

(e.g., ETFs). As a result, options now 

expire every trading day of the year. 

The increase in 0DTE options trading 

combined with increased intraday 

trading activity across other products 

poses challenges to OCC’s risk 

management, particularly with respect 

to the management of OCC’s overnight 

and intraday risk exposure to its 

Clearing Members in between the 

collections of margin at the start of each 

business day. Because OCC’s STANS 

margin calculation is based on end-ofday positions, the margin requirement 

may not account for 0DTE options 

trading activity, since the Clearing 

Member would have either traded out of 

or exercised the options position, or the 

option would have expired by the end 

of the day. Similarly, in the current 

system the risk increase from intraday 

trading activity across other products 

would only be captured once end-of-day 

positions are established, which when 

margin calculations are applied would 

not account for the intraday risk 

increase from any positions that were 

traded out of. In addition, OCC’s 

portfolio revaluation process for 

purposes of determining intraday 

margin calls to address the change in 

value of margin collateral is based on a 

Clearing Member’s start-of-day collateral 

deposits, which would not include 

margin for 0DTE options or intraday 

positions. For these reasons OCC 

proposes to establish the Intraday Risk 

Charge add-on to capture such risk 

increases, and the associated Intraday 

Monitoring Thresholds regime to 

observe and measure risk increasing 

activity. 

Proposed Changes 

Based on industry and participant 

feedback and to conform to the recent 

release of the Commission’s final rule 

amending the CCA Standards 

concerning intraday margin calls, and in 

order to mitigate OCC’s intraday risk 

exposures, OCC proposes to: (i) narrow 

the window over which the Intraday 

Risk Charge would be calculated to 

between 11:00 a.m. to 12:30 p.m. 

Central Time, (ii) to remove any 


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18See Exchange Act Release No. 100664, supra 

note 3, 89 FR 65696–98. 

19See Exchange Act Release No. 74268, supra 

Table 1 note b, 80 FR 8919 (describing the 

thresholds for overnight monitoring and potential 

margin calls). 

20See Exchange Act Release No. 100664, supra 

note 3, 89 FR 65696. 

21OCC’s By-Laws define ‘‘Execution-Only 

Clearing Members’’ to mean a Clearing Member 

approved to act only as a Clearing Member that 

transfers confirmed trades or allocates position so 

other Clearing Members, and not to carry positions 

in its accounts with the OCC on a routine basis. 

22See Exchange Act Release No. 100664, supra 

note 3, 89 FR 65696. 

23OCC also considered lookback periods of less 

than one-month, including a one-week period, and 

observed that any lookback period less than onemonth was operationally intensive to implement. 

Establishing a monthly cadence allows OCC to 

investigate and exclude results from the intraday 

risk system that are not attributable to actual risk 

increasing activity, such as results caused by 

corporate actions. In any case, using a one-week 

lookback period would result in procyclical effects. 

Intraday Risk Charge moves for Clearing Members 

from one week to another would reduce the 

predictability of the add-on charge on Clearing 

Member margin requirements. As described above, 

OCC believes the one-month lookback provides a 

more conservative and relevant forecasts. 

24See Exchange Act Release No. 100664, supra 

note 3, 89 FR 65696–97. 

reference to the Intraday Risk Charge 

with respect to the Intraday Monitoring 

Thresholds and limit the issuance of a 

margin calls to a single intraday 

collection time at or around 12:00 p.m. 

Central Time, (iii) clarify that intraday 

margin calls would be issued at a single 

intraday collection time, and any 

margin calls outside of the collection 

time must be approved by the Chief 

Financial Risk Officer, Chief Executive 

Officer, Chief Operations Officer, or 

Chief Risk Officer, (iv) provide FRM 

Officers with discretion on whether to 

issue or not issue a margin call based on 

certain facts and circumstances, while 

also requiring the documentation of 

such decisions, and (v) extend the 

implementation time frame from within 

120 days of approval to September of 

2025 to align with the projected Ovation 

release date, and provide more time for 

industry participants to prepare for the 

proposed rule change. 

1. Intraday Risk Charge Add-On 

In the Initial Filing,18 OCC had 

proposed a margin add-on charge (the 

‘‘Intraday Risk Charge’’), which would 

be calculated using the system currently 

employed to monitor Clearing Members’ 

overnight trading activity. Through 

OCC’s Watch Level surveillance under 

its Third-Party Risk Management 

Framework, OCC has also used this 

system to identify patterns of risk 

increasing activity in 0DTE options for 

purposes of considering and calculating 

protective measures in the form of 

additional margin for particular Clearing 

Members when certain thresholds have 

been breached relative to a Clearing 

Member’s net capital. OCC proposed to 

extend that approach to all Clearing 

Members (without regard to net capital 

thresholds) and with respect to all 

products OCC clears. 

OCC’s current intraday margin system 

recalculates the STANS margin risk 

using portfolio position sets updated 

every 20 minutes between 8:30 a.m. and 

6:30 p.m. Central Time, and at-least 

every hour during ETH sessions. OCC 

considers that 20 minutes is sufficient 

time under OCC’s current system 

capabilities to provide consistent and 

reliable snapshot results at a steady 

cadence during regular trading hours 

with heavy trading activity. Outside of 

regular trading hours and during 

overnight trading, hourly intervals 

between snapshots were deemed more 

appropriate because of the significantly 

lower trading activity. OCC currently 

employs and will continue to use the 

intraday margin system for ETH 

monitoring, including to determine 

when to issue an ETH margin call.19

This system calculates a forecasted 

margin requirement as if the positions at 

that point in time were present during 

the previous night’s margin calculation. 

Results that show an increase to the 

prior night’s margin requirement based 

on the STANS expected shortfall and 

stress test components are considered 

risk increasing. OCC would use the 

outputs from the previous night’s daily 

STANS methodology calculation, 

incorporating current portfolio changes, 

to monitor that day’s peak intraday risk 

increases. Under the Initial Filing,20 the 

Intraday Risk Charge would have been 

calculated monthly as at least the 

average of the peak intraday risk 

increases (i.e., an average of the largest 

risk increase calculated on each 

business day of the lookback period) as 

measured throughout overnight and 

regular trading hours (i.e., between 

12:30 a.m. through 3:15 p.m.). 

OCC proposes to amend the proposed 

Intraday Risk Charge so that it is 

determined based on a narrower 

monitoring interval. Specifically, OCC 

would calculate the Intraday Risk 

Charge based on the average daily 

increased risk identified through OCC’s 

current intraday margin system between 

the hours of 11:00 a.m. and 12:30 p.m. 

Central Time; provided however, that 

OCC may adjust the Intraday Risk 

Charge as described further below. This 

change would address comments that 

the 20-minute snapshots during 

overnight and intraday trading hours 

were too frequent and suggested that 

OCC use fewer snapshots at predictable 

intervals. In particular, by narrowing the 

window, Execution-Only Clearing 

Members 21 that are able to allocate 

trades prior to that window may 

eliminate or significantly reduce their 

intraday risk exposure for purposes of 

determining an Intraday Risk Charge. 

As under the Initial Filing,22 the 

Intraday Risk Charge would be 

calculated on the first business day of 

the month and would be based on data 

and STANS outputs generated over the 

lookback period, which will be set as 

the previous month. The Intraday Risk 

Charge would be calculated monthly as 

at least the average of the peak intraday 

risk increases over the shorter duration. 

OCC considers the one-month lookback 

period, a timeframe that includes one 

monthly and multiple weekly standard 

expirations, to be a conservative 

approach that would react faster to 

recent changes in the risk behavior of 

Clearing Members compared to a more 

extended lookback period and produces 

more relevant forecasts for the next 

monitoring cycle.23

As under the Initial Filing,24 the 

calculation of the peak intraday activity 

would capture all products that OCC 

clears, including 0DTE options. The 

Intraday Risk Charge would apply to all 

margin accounts other than crossmargin accounts for OCC’s crossmargining program with the Chicago 

Mercantile Exchange (‘‘CME’’), which 

do not currently support intraday 

position feeds. OCC would retain 

authority to increase the amount of the 

charge for a particular Clearing Member 

beyond the average of the peaks, either 

when adjusting the Intraday Risk Charge 

on a monthly basis or on an intra-month 

basis, when conditions would warrant a 

different approach consistent with 

maintaining sufficient financial 

resources to cover OCC’s intraday credit 

exposure. Conditions that would cause 

OCC to increase the Intraday Risk 

Charge above the minimum amount 

include when OCC determines it 

maintains insufficient margin resources 

to cover the pattern or distribution of 

risk increases over the previous 

lookback period, or in cases of an 

account’s business expansion. OCC 

would also have authority to decrease 

the amount of the charge, which would 

be limited to a Clearing Member’s 

business reduction, termination of 

account(s), transfer of positions to 

different account(s), or the imposition of 

protective measures under Rule 307B. 

Such charge adjustments may apply to 

particular or all Clearing Members. 

To effect the proposed changes, OCC 

proposes to amend Rule 601 by adding 


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7726 Federal Register / Vol. 90, No. 13 / Wednesday, January 22, 2025 / Notices 

25See Exchange Act Release No. 100664, supra 

note 3, 89 FR 65697. 

26As discussed above, OCC would continue to 

address intraday risk exposure from overnight 

trading activity as it currently does under its ETH 

procedures. See supra Table 1 note b and 

accompanying text. Clearing Members trading 

during ETH hours will still be obligated to pay an 

ETH margin add-on charge, and any ETH related 

risk controls will continue to operate independently 

from the proposed Intraday Risk Charge changes. 

27A lookback of one month was selected to 

represent a complete monthly options expiration 

cycle. 

28See Exchange Act Release No. 100664, supra 

note 3, 89 FR 65697. 

29See Exchange Act Release No. 100664, supra 

note 3, 89 FR 65697. 

30 Id. 

31 Id. 

32OCC has provided as confidential Exhibit 3B to 

Amendment No. 3 to File No. SR–OCC–2024–010 

a copy of the referenced procedure, the Market Risk 

Monitoring Procedure, marked to indicate changes 

that OCC intends to implement upon regulatory 

approval of this proposal. 

35See Exchange Act Release No. 100664, supra 

note 3, 89 FR 65697–98. 

36Officers 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. Id., at § 9. 

37Such changes to the Intraday Risk Charge must 

be based on the current charge being insufficient as 

defined in Exhibit 5A and confidential Exhibit 5B 

to Amendment No. 3 to File No. SR–OCC–2024– 

010. 

a new paragraph (i) as described above 

to incorporate the shorter time frame 

involved in the calculation of the 

Intraday Risk Charge. As in the Initial 

Filing,25 OCC proposes to define the 

Intraday Risk Charge under proposed 

Rule 601(i)(1) to mean the additional 

margin assets required from a Clearing 

Member to mitigate any increased risk 

exposure to OCC not otherwise covered 

by the margin requirements already 

calculated in accordance with Rule 601 

and OCC’s policies and procedures. To 

reflect the narrower time from which 

the observations that determine the 

Intraday Risk Charge would be drawn, 

Rule 601(i)(1) would further provide 

that OCC may assess the Intraday Risk 

Charge as part of the Clearing Member’s 

daily margin required, as needed, to 

mitigate exposure and cover 

uncollateralized risk resulting from 

‘‘intraday trading activities,’’ as opposed 

to ‘‘overnight and intraday trading 

activities’’ as proposed in the Initial 

Filing.26 In the amended proposal, OCC 

would similarly remove other references 

to overnight trading activity from the 

OCC Rules and Margin Policy as 

proposed in the Initial Filing. 

Proposed Rule 601(i)(2) would be 

modified to provide the method of 

calculation for the Intraday Risk Charge 

add-on, which would generally be set as 

the average of the peak intraday risk 

increases from portfolio position 

changes between 11:00 a.m. and 12:30 

p.m. Central Time over the preceding 

month.27 Proposed Rule 601(i)(3), 

would remain unchanged from the 

Initial Filing.28 Specifically, that Rule 

would provide that OCC retains 

authority to adjust the Intraday Risk 

Charge if OCC determines that 

circumstances particular to a Clearing 

Member’s activity would warrant a 

different approach consistent with 

maintaining sufficient financial 

resources to cover OCC’s intraday credit 

exposure. Any adjustment under this 

Rule to decrease the amount of the 

Intraday Risk Charge calculated from 

the previous month’s intraday risk 

increases would be limited to a Clearing 

Member’s business reduction, 

termination of account(s), transfer of 

positions to different account(s), or the 

imposition of protective measures under 

Rule 307B. Rule 601(i)(3) would also 

provide that OCC retains the authority 

to adjust the Intraday Risk Charge more 

frequently than monthly. 

OCC would also amend its Margin 

Policy to describe material aspects of 

the Intraday Risk Charge as discussed 

herein. As under the Initial Filing,29 the 

new charge would be added to the 

‘‘Add-On Charges’’ section. That 

proposed addition, as amended, would 

provide that between 11:00 a.m. through 

12:30 p.m., OCC measures the intraday 

exposure to each margin account for 

which intraday position information is 

available to identify intraday risk 

increases above the baseline STANS risk 

measurement. The proposed 

amendments to the Margin Policy 

would define this time window as the 

‘‘Intraday Risk Charge Measurement 

Time.’’ As under the Initial Filing,30 the 

Margin Policy would define ‘‘risk 

increases’’ in this context as results that 

show an increase to a portfolio’s prior 

night calculated risk measurement 

based on the STANS expected shortfall 

and stress test components. 

As under the Initial Filing,31 the 

Margin Policy would further provide 

that on at least a monthly basis, OCC’s 

Financial Risk Management department 

(‘‘FRM’’) reviews and verifies the daily 

peak increases in the Intraday Risk 

Charge Measurement Time based on a 

referenced procedure maintained by 

FRM’s Market Risk business unit.32 This 

verification of risk-increasing activity is 

intended to address certain known 

limitations in OCC’s existing intraday 

system.33 For example, the system does 

not take into account options affected by 

corporate action adjustments and newly 

listed option series or strikes, which do 

not receive adjusted metrics until the 

next overnight margin calculation 

process. In addition, the 20-minute 

snapshot generated by the system may 

not capture a complete trade in a single 

snapshot, which may result in a 

misalignment of the peak calculation for 

an account. The snapshot timing may 

also cause collateral movements to be 

recorded as risk-increasing deposits 

instead of being risk-reducing 

movements. Pursuant to the referenced 

procedures, Market Risk would verify 

the peak daily results to prevent 

erroneous results from affecting the 

calculation of the Intraday Risk Charge. 

This verification process is similar to, 

and would proceed in a similar manner 

as, Market Risk’s long-standing process 

for verifying results from OCC’s system 

for monitoring a portfolio’s unrealized 

losses based on current prices and startof-day positions for purposes of 

charging intraday margin calls.34 Upon 

completion of the verification process, 

OCC would apply the Intraday Risk 

Charge to Clearing Members for the 

upcoming month. 

As under the Initial Filing,35 the 

Margin Policy would provide that OCC 

may impose the Intraday Risk Charge in 

the amount of the average of the verified 

peak daily risk increases in the Intraday 

Risk Charge Measurement Time over the 

prior month with FRM Officer 36

approval. Adjustments to the charge can 

occur at the time of the monthly review 

or on an intramonth basis, e.g., in 

response to the intraday monitoring 

thresholds discussed below. Reductions 

would be limited to persistent changes 

in clearing activity that would reduce 

the risk profile of the account, e.g., 

business reduction, account 

terminations transfer of positions to 

different account(s), or the imposition of 

protective measures under Rule 307B. 

Any changes that would increase the 

charge over the minimum calculated 

may result from changes in the pattern 

or distribution of risk increases over the 

previous lookback period or persistent 

changes in clearing activity that would 

increase the risk profile of the account, 

e.g. business expansions. If the FRM 

Officer recommends any changes to an 

Intraday Risk Charge, the Model Risk 

Working Group (‘‘MRWG’’) must review 

and is authorized to escalate the 

recommendation to the Office of the 

Chief Executive Officer, who must 

review and is authorized to approve the 

changes.37 The Margin Policy vests 

review responsibility and escalation 

authority to the MRWG because it is a 

cross-functional group responsible for 

assisting OCC’s management in 

overseeing OCC’s model-related risk 


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Federal Register / Vol. 90, No. 13 / Wednesday, January 22, 2025 / Notices 7727 

38See Exchange Act Release No. 95842, 87 FR 

58416 (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/riskmanagement/risk-management-framework. 

39This impact assessment does not account for 

potential changes in Clearing Member behavior that 

might further reduce the impact. To the extent a 

Clearing Member allocates trades to other Clearing 

Members under OCC’s Clearing Member Trade 

Assignment (‘‘CMTA’’) Rules or otherwise reduces 

its intraday risk in advance of the Intraday Risk 

Measurement Time, the actual impact of the 

Intraday Risk Charge may be less. 40OCC has included as confidential Exhibit 3C to 

Amendment No. 3 to File No. SR–OCC–2024–010 

an assessment of the impact of the Intraday Risk 

Charge on OCC’s Clearing Members. Exhibit 3C to 

the Initial Filing used data from 2023. Exhibit 3C 

to Amendment No. 3 uses data from September 

2023 through September 2024. 41See Exchange Act Release No. 100664, supra 

note 3, 89 FR 65698. 

42As indicated in the impact assessment above, 

the proposed amendments to the Intraday Risk 

Charge would have the effect of reducing the 

charge, which would make breaches of the Intraday 

Monitoring Thresholds more likely if measured 

against the Intraday Risk Charge as proposed to be 

amended. 

43See Exchange Act Release No. 100664, supra 

note 3, 89 FR 65698. 

44 Id. 

comprised of representatives from 

relevant OCC business units. OCC 

believes that the MRWG is the 

appropriate decisionmaker to consider 

whether a higher Intraday Risk Charge 

is warranted because it is composed of 

the subject matter experts most familiar 

with the performance of and risks 

associated with OCC’s margin models, 

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 

OCC’s model lifecycle.38

OCC has reviewed the potential 

impact of the proposed add-on charge 

on all Clearing Members over a thirteenmonth period.39 OCC has observed that 

the proposed add-on would have 

generated a margin increase of less than 

1.1% in the aggregate on average,40

representing almost $1.099 billion 

across all Clearing Members out of 

margin requirements. For comparison, 

under the Initial Filing, the proposed 

add-on would have generated an 

average margin increase of 

approximately $1.968 billion, less than 

a 1.9% increase. Of the ten firms that 

would be most impacted, which 

collectively represent approximately 

73% of the additional margin that 

would have been assessed, the average 

daily margin percentage increases 

ranges from approximately 1% to less 

than 15%, based on data from 

September 2023 to September 2024, or 

between $22 million and $315 million. 

As compared to the Initial Filing, that 

aggregate amount of the additional 

margin would be distributed across 

market-maker, firm and customer 

accounts as follows: 

TABLE 2—IMPACT BY ACCOUNT TYPE

Initial filing Proposed amendment 

Market-Maker Accounts ................................................................................................. $392.1 million ..................... $276.6 million. 

Firm Accounts ................................................................................................................ $590.5 million ..................... $306.3 million. 

Customer Accounts ....................................................................................................... $986.1 million ..................... $516.7 million. 

All Accounts ............................................................................................................ $1.9686 billion .................... $1.0996 billion. 

With respect to firms classified as 

Execution-Only Clearing Members, the 

add-on charge would generate 

approximately $23.4 million of 

additional margin in the aggregate, 

down from $39.4 million under the 

Initial Filing, assuming that ExecutionOnly Clearing Members made no 

changes to allocate trades prior to the 

Intraday Risk Charge Measurement 

Time. 

2. Intraday Monitoring Thresholds 

Under the Initial Filing,41 OCC 

proposed to establish monitoring and 

escalation criteria when a Clearing 

Member’s intraday risk increase departs 

significantly from the activity that set 

the Intraday Risk Charge (‘‘Intraday 

Monitoring Thresholds’’). Generally, the 

new credit risk thresholds would have 

been specified as a set of levels based on 

standard deviations from a Clearing 

Member’s Intraday Risk Charge. While 

OCC has narrowed the window of time 

for purposes of calculating the Intraday 

Risk Charge, OCC intends to continue to 

monitor for intraday risk increases 

throughout regular trading hours. 

OCC proposes to establish the 

Intraday Monitoring Thresholds as 

statistical measures (e.g., one, two or 

three standard deviations) above a 

Clearing Member’s peak intraday risk 

increases over the prior month. OCC 

would measure the Intraday Monitoring 

Threshold for each Clearing Member 

against the average over the lookback 

period of the verified peak intraday risk 

increases determined between 12:30 

a.m. and 3:15 p.m. (i.e., the same 

window as for the Intraday Risk Charge 

under the Initial Filing). OCC believes 

that measuring the thresholds using this 

longer window, rather than against the 

Intraday Risk Charge as proposed to be 

amended above,42 would result in a 

more manageable number of potential 

risk increases for escalation, allowing 

OCC decisionmakers to focus on 

potential changes in activity that 

present the most risk. As under the 

Initial Filing,43 OCC proposes to amend 

the section of the Margin Policy that 

currently addresses margin calls and 

adjustments. The Margin Policy would 

provide that FRM would establish and 

maintain Intraday Monitoring 

Thresholds in referenced market risk 

procedures for verified intraday risk 

increases that are greater than statistical 

measures above a Clearing Member’s 

average over the lookback period 

determined between 12:30 a.m. and 3:15 

p.m. Central Time. This average would 

be determined separately and 

independently of the Intraday Risk 

Charge across Clearing Member 

accounts. 

As under the Initial Filing,44 the 

Margin Policy would also provide that 

FRM coordinates a review of those 

thresholds, as well as the calculation 

and lookback period, on an at least 

annual basis, or on an ad-hoc basis, as 

needed. OCC retains the authority to 

adjust the Intraday Monitoring 

Thresholds, as well as the calculation 

and lookback period, based on the 

review of intraday risk posed by 

Clearing Member’s portfolio changes. 

Any such adjustment to the Intraday 

Monitoring Thresholds, calculation, or 

lookback period may apply to particular 

or all Clearing Members depending on 

an analysis of the activity generating 

peak intraday margin numbers, the 

number of breaches above the 

monitoring thresholds, and overall 

market activity and trends within the 

lookback period. The review would be 

presented to the MRWG, which must 

review and is authorized to escalate any 


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45See supra note 25 and accompanying text. 

46See Exchange Act Release No. 100664, supra 

note 3, 89 FR 65698. 

47 Id. 

48Margin calls in this context are demands by 

OCC to Clearing Members for the deposit of 

additional margin in immediately available funds to 

increase their margin resources to meet increased 

margin requirements. Margin calls are issued 

subject to OCC’s policies and procedures. 

49See Exchange Act Release No. 82658, supra 

Table 1 note c, 83 FR 6648 (approving OCC’s 

Margin Policy, including the timing of margin 

calls). 

50 Id. (approving OCC’s Margin Policy, including 

the price minimum for margin calls). 

51See OCC Rule 1002(d). 

52See supra Table 1 note d and accompanying 

text. 

53The Initial Filing discussed certain limitations 

of the intraday risk system that may result in 

erroneous intraday risk increases. See Exchange Act 

Release No. 100664, supra note 3, 89 FR 65697. 

recommended changes to the Office of 

the Chief Executive Officer, who must 

review and is authorized to approve 

them. OCC’s Risk Committee will be 

notified of all changes. As discussed 

above,45 OCC believes that the MRWG is 

the appropriate decision-maker to 

consider any changes to the Monitoring 

Thresholds because it is composed of 

the subject matter experts most familiar 

with the performance of and risks 

associated with OCC’s margin models. 

3. Intraday Margin Calls 

In the Initial Filing,46 OCC proposed 

to issue margin calls on individual 

Clearing Member accounts if the 

verified intraday risk increases for those 

accounts breach and exceed the Intraday 

Risk Monitoring thresholds (e.g., in 

excess of three standard deviations). 

Under the proposed amendments, OCC 

would maintain the proposed margin 

call, but would specify a scheduled, 

single collection time in which such a 

margin call would be collected in the 

ordinary course while maintaining 

authority to issue an unscheduled 

margin call outside that timeframe in 

extraordinary circumstances with 

additional escalations. As discussed 

below, these amendments are intended 

to align with OCC’s existing intraday 

margin call processes and the 

Commission’s October 25, 2024, final 

order amending the CCA Standards. 

As under the Initial Filing,47 the 

Margin Policy would provide that on at 

least a daily basis, FRM would review 

the intraday risk increases generated by 

the intraday risk system against the 

Intraday Monitoring Thresholds. As 

proposed to be amended, the Margin 

Policy would provide that if a verified 

intraday risk increase breach at or 

around 12:00 p.m. Central Time is 

greater than the Intraday Monitoring 

Thresholds, the Margin Policy would 

provide that an FRM Officer may issue 

a margin call,48 make a margin 

adjustment to lock up excess collateral, 

or recommend protective measures 

under Rule 307. The Margin Policy 

would further be amended to provide 

that any such margin call issued by an 

FRM Officer would be collected as a 

single intraday collection time. 

Accordingly, the Margin Policy as 

amended would now provide a single, 

scheduled time for the issuance and 

collection of such intraday margin calls. 

This collection timeframe aligns with 

the timeframe during which the 

observations for the Intraday Risk 

Charge are measured, and gives Clearing 

Members greater certainty about when 

the activity that would inform the call 

would be measured and the call 

imposed. The timing also aligns with 

the timing for OCC’s current Portfolio 

Revaluation margin calls, which are 

generally collected at a single time 

based on a measurement of a portfolio’s 

profit and loss at or around noon.49 As 

with OCC’s existing margin calls, the 

proposed margin call would be subject 

to a price minimum below which OCC 

generally would not issue a call.50

Specifically, OCC has established a 

$500,000 price minimum for issuing 

margin calls, which aligns with the 

minimum Clearing Fund deposit 

required of each Clearing Member.51

The Margin Policy would further 

provide that any margin calls issued 

outside of the standard processing time 

window must be approved by the Chief 

Financial Risk Officer, Chief Executive 

Officer, Chief Operating Officer, or Chief 

Risk Officer. This change aligns with 

OCC’s current Portfolio Revaluation 

margin call process in allowing margin 

calls to be issued outside the single 

intraday collection time in exceptional 

circumstances with escalated approval. 

OCC believes that margin calls issued 

outside the single intraday collection 

time would be the exception, rather 

than the rule. This change also aligns 

with Commission guidance from its 

October 25, 2024, final rule amending 

the CCA Standards, suggesting that 

scheduled intraday margin calls may 

not be sufficient and that CCAs would 

need to have the ability to make 

unscheduled intraday margin calls.52

The Margin Policy would be further 

revised to state that any margin call 

would be calculated as the difference 

between the reviewed intraday risk 

increase at the single intraday collection 

time at or around 12:00 p.m. Central 

Time and the Intraday Risk Charge. 

Intraday margin calls would only be 

increasing financial resources to OCC. 

Generally, an intraday margin call 

would be released the next business 

day. 

Data from September 2023 to 

September 2024 indicates there would 

have been approximately 1024 potential 

margin calls issued under the proposed 

changes, as amended. The number of 

potential margin calls would not change 

as a result of the amendments to the 

Initial Filing. As amended, the average 

daily margin call amount would have 

been $27 million, as opposed to $25.1 

million under the Initial Filing. This 

increase is attributable to the decrease 

in the pre-funded Intraday Risk Charge 

resulting from the proposed 

amendments to the Initial Filing. 

4. Discretion To Issue Margin Calls 

OCC also proposes to modify the 

Margin Policy to add a provision 

whereby an FRM Officer will have the 

discretion to decide whether to issue or 

not issue a margin call, if in their 

judgement the call is not necessary to 

effectively manage the risk posed to 

OCC based on the specific facts and 

circumstances. As under the Initial 

Filing, such circumstances would 

include instances where OCC’s intraday 

risk system may produce results that 

may not indicate actual risk increasing 

activity,53 such as (i) when the intraday 

risk increase can be attributed to one or 

more intraday events or actions 

including but not limited to portfolio 

level changes resulting from positive 

offsetting P&L amounts or positive 

offsetting asset values for options and 

collateral, or from non-risk increasing 

events such as the substitution of 

collateral or the pledging of additional 

valued securities within the same 

account, or (ii) if the risk increase in the 

account is the result of a corporate 

action, or the result of position transfers 

between accounts such as delayed 

CMTA’s from execution-only accounts, 

or when a P&L unrealized loss generates 

a margin call that exceeds the intraday 

margin call. In addition, as proposed to 

be amended, the Margin Policy would 

provide that such circumstances also, 

including but not limited to, 

circumstances in which issuing a call 

would not align with broader systemic 

objectives such as minimizing potential 

procyclical effects and potential 

participant defaults. 

In all such cases, the FRM Officer 

would be required to document the 

basis for their decision not to issue a 

margin call at the single intraday 

collection time for an account breaching 

the Intraday Risk Monitoring Threshold 


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54For the avoidance of doubt, this documentation 

requirement would not extend to monitoring of 

Intraday Risk Monitoring Threshold breaches 

outside of the single intraday collection period, 

notwithstanding OCC’s authority to make an 

exception to its written policies and procedures to 

issue a margin call for activity falling outside that 

period. 

55See Exchange Act Release No. 101446, supra 

note 4, 89 FR 91009–10 (discussing factors for CCAs 

to consider when determining whether to issue an 

intraday margin call). 

56 17 CFR 240.17Ad–22(e)(6)(ii)(D). 

57See Exchange Act Release No. 100664, supra 

note 3, 89 FR 65698. 

58See supra Table 1 note e and accompanying 

text. 

59 15 U.S.C. 78q–1(b)(3)(F). 

60 17 CFR 240.17Ad–22(e)(6)(ii). 

61 15 U.S.C. 78q–1(b)(3)(F). 

62The Financial Stability Oversight Council 

designated OCC as a SIFMU under Title VIII of the 

Dodd-Frank Wall Street Reform and Consumer 

Protection Act of 2010, 12 U.S.C. 5463. 

63 15 U.S.C. 78q–1(b)(3)(F). 

64 17 CFR 240.17Ad–22(e)(6)(ii). 

65 17 CFR 240.17Ad–22(e)(6)(ii)(A). 

66 17 CFR 240.17Ad–22(e)(6)(ii)(B). 

67 17 CFR 240.17Ad–22(e)(6)(ii)(C). 

68See supra Table 1 note c and accompanying 

text. 

69See supra Table 1 note d and accompanying 

text. 

at or around 12:00 p.m. Central Time.54

These proposed change from the Initial 

Filing are aligned with the 

Commission’s guidance on intraday 

margin calls issued in its October 25, 

2024, final rule amending the CCA 

Standards, concerning intraday margin 

calls.55 The change is also aligned with 

the documentation requirement in new 

SEC Rule 17Ad–22(e)(6)(ii)(D), which 

requires a CCA to document when it 

determines not to issue an intraday call 

pursuant to its written policies and 

procedures.56

5. Implementation Timeframe 

In the Initial Filing,57 OCC proposed 

a 120-day implementation timeframe 

based on the amount of time OCC 

believed it would need to deploy system 

changes following receipt of all 

necessary regulatory approval. Industry 

participants have commented on the 

proposal that more time is required for 

them to prepare for the changes. 

Accordingly, OCC proposes to extend 

the implementation period. Subject to 

regulatory approval of the proposal, 

OCC plans to implement the proposed 

changes in September of 2025. OCC will 

announce the implementation date of 

the proposed changes by an Information 

Memorandum posted to its public 

website at least 4 weeks prior to 

implementation. This proposed 

implementation is designed to align 

with, but is not contingent on, OCC’s 

planned replacement of its core 

clearance and settlement system, 

ENCORE, with a new system, Ovation. 

The proposed implementation dates are 

within the compliance period for the 

Commission’s October 25, 2024, final 

rule, which requires a CCA to 

implement rule-filed changes by 

December 15, 2025.58

(2) Statutory Basis 

OCC believes that the proposed 

changes are consistent with Section 

17A(b)(3)(F) of the Exchange Act 59 and 

SEC Rule 17Ad–22(e)(6)(ii) 

thereunder.60 Section 17A(b)(3)(F) of 

the Act 61 requires, among other things, 

that the rules of a clearing agency be 

designed to promote the prompt and 

accurate clearance and settlement of 

securities and derivatives transactions 

and, in general protect investors and the 

public interest. OCC proposes to 

introduce a new Intraday Risk Charge 

add-on with certain associated 

monitoring procedures and establish 

new risk-based credit risk monitoring 

thresholds. The proposed rule change as 

described above would enhance OCC’s 

framework for measuring, monitoring, 

and managing its credit risk. Currently, 

OCC may be exposed to increased credit 

exposure from uncollateralized intraday 

trading activity, including that of 0DTE 

options that is not otherwise 

collateralized and captured by OCC’s 

current margin system at the start of 

each business day. OCC believes the 

proposed changes would enable OCC to 

mitigate the credit exposure resulting 

from the increased risk of intraday 

trading that includes 0DTE option 

contracts by using the system it 

currently operates to monitor overnight 

trading activity. The Intraday Risk 

Charge would provide OCC with 

additional margin resources to help 

mitigate this risk and allow OCC to 

continue to provide prompt and 

accurate clearance and settlement 

services of securities and derivatives 

transactions without disruption in the 

event of a Clearing Member default. 

Given OCC’s designation as a 

systemically important financial market 

utility,62 OCC believes that changes that 

promote the prompt and accurate 

clearance and settlement thereby is in 

the public interest and the interests of 

investors. For these reasons, OCC 

believes the proposed changes are 

designed to promote the prompt and 

accurate clearance and settlement of 

securities transactions in accordance 

with Section 17A(b)(3)(F) of the 

Exchange Act.63

Rule 17Ad–22(e)(6)(ii), as recently 

amended, requires OCC to 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: 

(A) Marks participant positions to 

market and collects margin (including 

variation margin or equivalent charges if 

relevant) at least daily; 

(B) Monitors intraday exposures on an 

ongoing basis; 

(C) Includes the authority and 

operational capacity to make intraday 

margin calls, as frequently as 

circumstances warrant, including (1) 

when risk thresholds specified by OCC 

are breached, or (2) when the products 

cleared or markets served display 

elevated volatility; and 

(D) Documents when OCC determines 

not to make an intraday call pursuant to 

its written policies and procedures 

required under Rule 17Ad– 

22(e)(6)(ii)(C).64

OCC’s existing margin processes are 

already designed to mark positions to 

market and collect margin at least daily, 

consistent with Rule 17Ad– 

22(e)(6)(ii)(A).65 Under the proposed 

changes, OCC would monitor accounts 

intraday activity in 20 minute intervals 

and would have the authority and 

operational capacity under OCC’s 

existing Rule 609 to issue a margin call 

or take other action under Rule 307 to 

protect OCC based on the result of such 

monitoring, consistent with new Rule 

17Ad–22(e)(6)(ii)(B).66 Specifically, the 

Margin Policy would define risk 

thresholds—the Intraday Monitoring 

Threshold—for monitoring intraday 

exposure for purposes of issuing 

potential margin calls, consistent with 

Rule 17Ad–22(e)(6)(ii)(C).67

In general, OCC would issue a 

Clearing Member a margin call during 

the scheduled intraday collection time 

in the event that Clearing Member’s 

intraday risk increase, as measured at or 

around 12:00 p.m. Central Time 

breached the proposed Intraday 

Monitoring Threshold. The scheduled 

intraday margin call aligns with the 

timing of OCC’s existing intraday 

margin calls when unrealized losses 

exceeding 50% of an account’s total risk 

charges are observed for that account 

based on start-of-day positions, which 

were previously approved by the 

Commission.68 However, as the 

Commission has noted, covered clearing 

agencies also need the authority and 

operational capacity to issue 

unscheduled margin calls.69

Accordingly, OCC would maintain 

authority to make an exception to its 

general policy of issuing scheduled 

intraday margin calls with escalated 


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7730 Federal Register / Vol. 90, No. 13 / Wednesday, January 22, 2025 / Notices 

70See supra note 55 and accompanying text. 

71See, e.g., supra notes 32–46 and accompanying 

text. 

72 17 CFR 240.17Ad–22(e)(6)(ii)(D). 

73 Id. 

74 15 U.S.C. 78q–1. 

75 15 U.S.C. 78q–1(b)(3)(I). 76See 17 CFR 240.17Ad–22(e)(6)(i)–(ii). 

approvals from OCC’s most senior 

Officers. 

In addition, consistent with 

Commission guidance from its October 

25, 2024, final rule,70 OCC’s policies 

and procedures would preserve OCC’s 

authority to determine not to issue an 

intraday margin call at the scheduled 

time, notwithstanding a breach of the 

Intraday Monitoring Thresholds, if OCC 

determines that the call is not necessary 

to effectively manage the risk posed to 

OCC based on the specific facts and 

circumstances, including, but not 

limited to, in circumstances in which 

the intraday risk system may not reflect 

actual intraday risk increases,71 or in 

circumstances in which issuing a call 

would not align with broader systemic 

objectives such as minimizing potential 

procyclical effects and potential 

participant defaults. In cases in which 

OCC does not issue a margin call at the 

single collection time under its policies 

and procedures when the Intraday 

Monitoring Thresholds are breached, 

the Margin Policy would require that an 

FRM Officer document that decision, 

consistent with, consistent with Rule 

17Ad–22(e)(6)(ii)(D).72 Accordingly, 

OCC believes that the proposal is 

consistent with Rule 17Ad– 

22(e)(6)(ii).73

For the above reasons, OCC believes 

that the proposed rule change is 

consistent with Section 17A of the 

Exchange Act 74 and the rules and 

regulations thereunder applicable to 

OCC. 

(B) Clearing Agency’s Statement on 

Burden on Competition 

Section 17A(b)(3)(I) requires that the 

rules of a clearing agency do not impose 

any burden on competition not 

necessary or appropriate in furtherance 

of the purposes of the Act.75 The 

proposed introduction of the new 

Intraday Risk Charge add-on and 

establishment of new credit risk 

monitoring thresholds would be used by 

OCC to manage its credit risk across all 

Clearing Members. Accordingly, OCC 

does not believe that the proposed rule 

change would unfairly hinder access to 

OCC’s services. 

While the proposed rule change may 

impact different accounts to a greater or 

lesser degree depending on each 

Clearing Member’s trading activity, 

including portfolios containing a greater 

volume of 0DTE option positions, OCC 

does not believe that the proposed rule 

change 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 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, among other things, 

(i) considers, and produces margin 

levels commensurate with the risks and 

particular attributes of each relevant 

product, portfolio, and market, (ii) 

monitor intraday exposures on an 

ongoing basis, and (iii) maintain the 

authority and operational capacity to 

make intraday margin calls, as 

frequently as circumstances warrant, 

including when thresholds specified by 

the CCA are breached or when the 

products cleared or markets served 

display elevated volatility.76 Overall, 

the impact analysis from the proposed 

baseline approach indicates there would 

be on average a small add-on included 

across all Clearing Member margin 

requirements, with the more significant 

add-on charges attributed to Clearing 

Members in a manner that ties with 

their intraday trading activities and the 

increased risk they present. OCC notes 

that while the impact analysis is based 

on prior activity, OCC expects that the 

impact of the add-on charge when 

released in production may be less than 

predicted. This is because OCC expects 

Clearing Members may adjust their 

behaviors through different means such 

as allocating their trades earlier and 

more often throughout the day, or 

working to better understand their 

customers trading and allocation 

strategies, in order to minimize the 

effects of the Intraday Risk Charge on 

their portfolios. 

Moreover, the proposed rule change 

relates to risk management changes 

designed to mitigate OCC’s credit 

exposure from the increased risk 

generated from Clearing Member trading 

activities that includes 0DTE option 

contracts. As noted above, the risk 

exposure from the significant increase 

in intraday trading activity of 0DTE 

options may not be adequately captured 

under OCC’s current margin system. 

OCC believes the Intraday Risk Charge 

would be a risk-based approach suitable 

to mitigate the increased intraday risk 

exposure presented to OCC from such 

trading activities. 

Furthermore, the proposed rule 

change would be applied uniformly 

across all Clearing Members and affect 

all cleared products. In response to 

feedback from industry participants, the 

amendments to the proposal would 

provide additional clarity to 

participants by shortening the time 

horizon for assessing the Intraday Risk 

Charge, while also designating a 

singular intraday margin issue 

collection time for potential margin 

calls in the ordinary course. These 

changes are designed to address 

feedback from industry participants to 

provide them with the necessary 

predictability they need to allocate 

trades within their portfolio more often 

throughout the day while also allowing 

Clearing Members to actively manage 

their exposure to the Intraday Risk 

Charge. 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. 

(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. 

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 (https://www.sec.gov/ 


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Federal Register / Vol. 90, No. 13 / Wednesday, January 22, 2025 / Notices 7731 

77 17 CFR 200.30–3(a)(12). 

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 Vanessa Countryman, Secretary, 

Securities and Exchange Commission, 

100 F Street NE, Washington, DC 

20549–1090. 

All submissions should refer to file 

number SR–OCC–2024–010. 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 February 12, 

2025. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.77

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2025–01412 Filed 1–21–25; 8:45 am] 

BILLING CODE 8011–01–P 

DEPARTMENT OF STATE 

[Public Notice 12589] 

60-Day Notice of Proposed Information 

Collection: Overseas Vetting 

Questionnaire 

ACTION: Notice of request for public 

comment. 

SUMMARY: The Department of State is 

seeking Office of Management and 

Budget (OMB) approval for the 

information collection described below. 

In accordance with the Paperwork 

Reduction Act of 1995, we are 

requesting comments on this collection 

from all interested individuals and 

organizations. The purpose of this 

notice is to allow 60 days for public 

comment preceding submission of the 

collection to OMB. 

DATES: The Department will accept 

comments from the public up to March 

24, 2025. 

ADDRESSES: You may submit comments 

by any of the following methods: 

• Web: Persons with access to the 

internet may comment on this notice by 

going to www.Regulations.gov. You can 

search for the document by entering 

‘‘Docket Number: DOS–2024–0044’’ in 

the Search field. Then click the 

‘‘Comment Now’’ button and complete 

the comment form. 

• Email: hanksdp@state.gov. 

Regular Mail: Send written comments 

to: Attn: Dustin Hanks, DS/SI/PSS, SA– 

20 10th Fl., 2201 C St. NW, Washington, 

DC 20522–2210. 

You must include the DS form 

number (if applicable), information 

collection title, and the OMB control 

number in any correspondence. 

FOR FURTHER INFORMATION CONTACT: 

Direct requests for additional 

information regarding the collection 

listed in this notice, including requests 

for copies of the proposed collection 

instrument and supporting documents, 

to Dustin Hanks, DS/SI/PSS, SA–20 

10th Fl., 2201 C St. NW, Washington, 

DC 20522–2210, who may be reached on 

(202)949–6965 or at hanksdp@state.gov. 

SUPPLEMENTARY INFORMATION: 

• Title of Information Collection: 

Overseas Vetting Questionnaire. 

• OMB Control Number: None. 

• Type of Request: New collection. 

• Originating Office: Office of 

Personnel Security and Suitability, DS/ 

SI/PSS. 

• Form Number: DS–7801. 

• Respondents: Individuals subject to 

Department of State background 

investigations, reinvestigations, and 

continuous vetting. 

• Estimated Number of Respondents: 

25,000. 

• Estimated Number of Responses: 

25,000. 

• Average Time per Response: 70 

minutes. 

• Total Estimated Burden Time: 

29,167 annual hours. 

• Frequency: Once per request. 

• Obligation to Respond: Voluntary 

for applicants and required for 

incumbents. 

We are soliciting public comments to 

permit the Department to: 

• Evaluate whether the proposed 

information collection is necessary for 

the proper functions of the Department. 

• Evaluate the accuracy of our 

estimate of the time and cost burden for 

this proposed collection, including the 

validity of the methodology and 

assumptions used. 

• Enhance the quality, utility, and 

clarity of the information to be 

collected. 

• Minimize the reporting burden on 

those who are to respond, including the 

use of automated collection techniques 

or other forms of information 

technology. 

Please note that comments submitted 

in response to this Notice are public 

record. Before including any detailed 

personal information, you should be 

aware that your comments as submitted, 

including your personal information, 

will be available for public review. 

Abstract of Proposed Collection 

The information solicited on this form 

will be used to conduct background 

investigations, reinvestigations, and 

continuous vetting of persons for 

eligibility for logical access, physical 

access, credentialing, and fitness to 

perform work overseas for or on behalf 

of the U.S. Government as Locally 

Employed (LE) Staff and locally-hired 

third party contractors employed 

overseas at a U.S. Mission. For 

applicants, this form is to be used only 

after a conditional offer of employment 

has been made. This form is not to be 

used for national security positions. 

Methodology 

The collection of information will be 

presented to respondents as an 

electronically fillable form as well as 

through a static web page that will 

produce an electronic form. 

Erin Smart, 

Senior Coordinator for Security 

Infrastructure, Bureau of Diplomatic Security, 

Department of State. 

[FR Doc. 2025–01447 Filed 1–21–25; 8:45 am] 

BILLING CODE 4710–43–P 


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