January 19, 2023

VIA CFTC PORTAL

Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, DC 20581

Re: Rule Certification Concerning OCC’s Collateral Haircuts and Standards for 

Clearing Banks and Letters of Credit

Dear Secretary Kirkpatrick:

Pursuant to Section 5c(c)(1) of the Commodity Exchange Act, as amended (“Act”), and 

Commodity Futures Trading Commission (“CFTC”) Regulation 40.6, The Options Clearing 

Corporation (“OCC”) hereby certifies a rule change concerning collateral haircuts for Government 

securities and standards for Clearing Banks and letters of credit. The date of implementation of the 

rule is at least 10 business days following receipt of the certification by the CFTC. The proposal has 

also been submitted to the Securities and Exchange Commission (“SEC”) under Section 19(b) of the 

Securities Exchange Act of 1934 (“Exchange Act”) and Rule 19b-4 thereunder. The change will not 

be implemented until OCC has obtained all necessary regulatory approvals. 

In conformity with the requirements of Regulation 40.6(a)(7), OCC states the following:

Explanation and Analysis

The purpose of this rule certification is to adopt changes to changes to OCC’s Rules, 

Collateral Risk Management Policy (“CRM Policy”), Margin Policy, and System for Theoretical 

Analysis and Numerical Simulation (STANS) Methodology Description (“STANS Methodology 

Description”). The proposed changes are designed to (i) provide that OCC will value Government 

securities and GSE debt securities deposited as margin or Clearing Fund collateral using a fixed 

haircut schedule that OCC would set and adjust pursuant to OCC’s CRM Policy, rather than as 

codified in OCC’s Rules as the schedule is today; (ii) adopt new OCC Rules concerning minimum 

standards for OCC’s Clearing Bank relationships; and (iii) revise certain OCC Rules regarding the 

acceptability of letters of credit as margin assets.

The proposed amendments to OCC’s Rules are found in Exhibit A. The proposed 

amendments to the CRM Policy, Margin Policy, and STANS Methodology Description are found in 
Christopher J. Kirkpatrick

January 19, 2023

Page 2

confidential Exhibits B through D, respectively. Material proposed to be added is marked by 

underlining and material proposed to be deleted is marked with strikethrough text. OCC is 

submitting Exhibits B through D subject to a confidential treatment request under CFTC Regulations 

145.5 and 145.9.1 All terms with initial capitalization that are not otherwise defined herein have the 

same meaning as set forth in the By-Laws and Rules.2 

Overview

As a clearing agency that is registered with both the SEC and the CFTC, OCC is exposed to 

certain risks, including credit risk arising from its relationships with (i) the Clearing Members for 

which OCC becomes the buyer to every seller and the seller to ever buyer with respect to listed 

options, and (ii) other financial institutions such as banks, including the settlement banks (“Clearing 

Banks”) that support OCC’s clearance and settlement services. OCC manages these risks through 

financial safeguards that include rigorous admission standards, member surveillance activities, 

collection of high-quality margin collateral and a mutualized Clearing Fund. OCC also maintains 

standards for third-party relationships, including for Clearing Banks and banks that issue letters of 

credit that Clearing Members may deposit as margin collateral. One aspect of OCC’s processes for 

managing margin collateral is to acknowledge that such collateral could be worth less in the future 

than when it is pledged to OCC (a “collateral haircut”). 

OCC has identified opportunities to enhance its rules and risk management processes 

concerning collateral haircuts and concentration limits for specific collateral types and third-party 

standards for banks. First, OCC is proposing to eliminate existing authority to value Government 

securities using Monte Carlo simulations as part of its STANS margin methodology (commonly 

referred to as “Collateral in Margin” or “CiM”) in favor of applying fixed collateral haircuts that 

OCC would set and adjust pursuant to OCC’s CRM Policy in order to better incorporate stressed 

market periods (the “procedure-based approach”), rather than according to the fixed haircut schedule 

codified in OCC’s Rules today. OCC does not expect these changes to have a significant impact on 

Clearing Members based on an impact assessment of eliminating the CiM approach and because it 

expects the fixed haircut schedule under the procedure-based approach would initially be the same 

as those currently defined in OCC’s Rules. Second, OCC is proposing to codify additional standards 

for Clearing Banks in OCC’s Rules to provide greater clarity and transparency regarding minimum

standards for banking relationships that are critical to OCC’s clearance and settlement services. 

Third, OCC is proposing to make conforming changes to the standards for letter-of-credit issuers to 

the proposed Clearing Bank standards to ensure internal consistency within OCC’s Rules and 

establish OCC’s authority to set more restrictive concentration limits for letters of credit than those 

currently codified in OCC’s Rules. These standard changes are not expected to have a significant 

1 17 CFR 145.5, 145.9.

2 OCC’s By-Laws and Rules can be found on OCC’s public website: 

https://www.theocc.com/Company-Information/Documents-and-Archives/By-Laws-andRules. 
Christopher J. Kirkpatrick

January 19, 2023

Page 3

impact on Clearing Members because the institutions currently approved as Clearing Banks and 

letter-of-credit issuers meet these standards.

Proposed Changes 

There are three primary components of this proposed rule change. First, OCC proposes to 

amend its Rules, CRM Policy, Margin Policy, and STANS Methodology Description to eliminate 

existing authority to value Government securities using Monte Carlo simulations as part of its 

STANS margin methodology in favor of applying fixed collateral haircuts that OCC would set and 

adjust pursuant to OCC’s CRM Policy, rather than according to the fixed haircut schedule codified 

in OCC’s Rules today. Second, OCC proposes to amend OCC Rules 101 and 203 to codify 

minimum capital and operational requirements and the governance process for approving OCC’s 

Clearing Banks, which the Rules do not currently address. Third, OCC proposes to revise OCC 

Rule 604 regarding the acceptability of letters of credit as margin assets to, among other things, 

standardize requirements for letter-of-credit issuers with the requirements for OCC’s other banking 

relationships, including the proposed standards for Clearing Banks, and allow OCC to set 

concentration limits with respect to letters of credit that are more restrictive than those currently 

codified in OCC’s Rules, which would be retained as minimum standards. 

(1) Haircuts for Government Securities and GSE Debt Securities 

OCC accepts Government securities3from Clearing Members as contributions to the 

Clearing Fund.4 OCC also accepts Government securities and GSE debt securities5from Clearing 

Members as margin assets.6 The collateral valuation haircuts for Government securities and GSE 

debt securities that a Clearing Member may deposit as margin collateral are specified in OCC Rule 

604(b). The collateral valuation haircuts for Government securities that a Clearing Member 

contributes to the Clearing Fund are specified in OCC Rule 1002(a)(ii). As discussed below, OCC 

proposes several changes regarding this structure, including to: (a) eliminate the use of OCC’s 

STANS margin methodology to value Government securities in favor of applying fixed collateral 

3 Art. I., Section 1.G.(5) of OCC’s By-Laws defines the term “Government securities” to mean 

“securities issued or guaranteed by the United States or Canadian Government, or by any 

other foreign government acceptable to [OCC], except Separate Trading of Registered 

Interest and Principal Securities issued on Treasury Inflation Protected Securities (commonly 

called TIP-STRIPS). The term ‘short term Government securities’ means Government 

securities maturing within one year. The term ‘long-term Government securities’ means all 

other Government securities.”

4 See OCC Rule 1002(a).

5 Art. I., Section 1.G.(6) of OCC’s By-Laws defines the term “GSE debt securities” to mean 

“such debt securities issued by Congressionally chartered corporations as the [OCC] Risk 

Committee may from time to time approve for deposit as margin.”

6 See OCC Rule 604(b)(1), (2).
Christopher J. Kirkpatrick

January 19, 2023

Page 4

haircuts; (b) remove the fixed collateral haircut schedule for Government securities and GSE debt 

securities from OCC’s Rulebook; (c) amend the CRM Policy to establish a procedures-based 

approach for setting the haircut schedule;7(d) conform OCC’s Rules with respect to valuation of 

such securities to the CRM Policy, which allows OCC to revalue collateral on a more frequent basis 

than daily; and (e) make other conforming changes to OCC’s policies.

a. Removing Collateral in Margin Treatment 

First, OCC would remove the Rules concerning the valuation of Government securities and 

GSE debt securities through OCC’s STANS margin methodology. OCC currently has authority 

pursuant to Interpretation and Policy (“I&P”) .06 to OCC Rule 601 and OCC Rule 604(f) to 

determine the collateral value of any Government securities or GSE debt securities that are pledged 

by Clearing Members as margin assets either by: (1) the CiM method of including them in Monte 

Carlo simulations as part of OCC’s STANS margin methodology,8 or (2) by applying the fixed 

haircuts that are specified in OCC Rule 604(b). OCC’s model validation analyses and regulatory 

examination findings have identified certain weaknesses related to its current CiM methodology for 

valuing Government securities and GSE debt securities, including that the current CiM methodology 

may not adequately consider relevant stressed market conditions for such collateral. Accordingly, 

OCC is proposing to eliminate I&P .06 to OCC Rule 601 and OCC Rule 604(f), thereby removing 

CiM treatment for Government securities. Instead, all Government securities pledged by Clearing 

Members as margin assets would be subject to a fixed haircut schedule that OCC would set in 

accordance with the CRM Policy, as discussed below. 

In general, the fixed haircut approach would be less procyclical. While it may be more 

conservative in periods of low market volatility, it would prevent spikes in margin requirements 

during periods of heightened volatility that may take place under the existing CiM approach. Upon 

implementation of the proposed change, Government security deposits currently valued using 

STANS would shift from margin balances to collateral balances and would be valued using the fixed

haircuts schedule as described under the proposed OCC Rule 604(e) and amendments to the CRM 

Policy, as discussed below.9 OCC’s preliminary analysis shows the average impact as a percentage 

of the value of Government securities and GSE debt securities is typically under 1 percent and that 

7 The CRM Policy is filed as a rule of OCC. See, e.g., Exchange Act Release No. 82311 (Dec. 

13, 2017), 82 FR 60252 (Dec. 19, 2017) (SR-OCC-2017-008).

8 See OCC Rule 601, I&P .06; OCC Rule 604(f).

9 Specifically, the value of CiM eligible government securities would no longer be included in 

margin calculations and thus would no longer be included on margin reports. The Net Asset 

Value (“NAV”) portion of the margin calculation would decrease by the market value of 

CiM eligible government security deposits (i.e., the NAV credit created by these deposits 

will be removed from the margin calculation), slightly offset by a reduction in risk charges 

(i.e., the Risk Charge debit balance generated by the CiM haircut on these deposits would be 

removed from the margin calculation). Following implementation of the proposed changes, 

the value of the previously CiM eligible government securities would be found in collateral 

reports.
Christopher J. Kirkpatrick

January 19, 2023

Page 5

the impact to the Clearing Fund is negligible. OCC intends to provide parallel reporting to its 

Clearing Members for a period of at least four consecutive weeks prior to implementing the change.

b. Removing the Fixed Haircut Schedule from OCC’s Rules

Second, OCC would remove the fixed haircut schedules for Government securities and GSE 

debt securities as margin collateral under OCC Rule 604(b) and for Government securities deposited 

in respect of the Clearing Fund under OCC Rule 1002(a)(ii). Instead, OCC would establish, 

implement, maintain and enforce written policies and procedures reasonably designed to set 

appropriately conservative haircuts for such collateral. OCC believes that establishing policies and 

procedures that would allow OCC to set haircuts for Government securities and GSE debt securities 

based on changing market conditions will help to ensure that the haircuts remain appropriately 

conservative. The remainder of this section discusses the proposed changes to OCC’s Rules. 

Proposed changes to the CRM Policy to establish the new procedures-based approach for the haircut 

schedule is discussed further below.

In place of the existing Rules providing for fixed haircut schedules, OCC proposes to 

introduce a new OCC Rule 604(e)10 regarding the valuation of and haircuts for Government 

securities and GSE debt securities that are margin assets and make similar amendments to OCC Rule 

1002(a)(ii) regarding the valuation of and haircuts for Government securities contributed to the 

Clearing Fund. These proposed Rules would provide that OCC generally will apply a schedule of 

haircuts that OCC would specify from time to time upon prior notice to Clearing Members. Under 

the amended CRM Policy, OCC would provide Clearing Members at least one full day’s notice prior 

to implementing a change to the schedule and would post the haircut schedule to OCC’s public 

website.11 

OCC would also have conditional authority to apply more conservative haircuts to 

Government securities and GSE debt securities. Specifically, OCC would have authority, in its 

discretion, to use greater haircuts or, in unusual or unforeseen circumstances, assign no value or 

partial value to Government securities, in each case with prior notice to Clearing Members and with 

prior approval by the Management Committee and/or its delegates, to the extent it deems appropriate 

for its protection or the protection of Clearing Members or the general public based on factors such 

as (i) volatility and liquidity, (ii) elevated sovereign credit risk,12 and (iii) any other factors OCC 

determines are relevant. For example, OCC might reduce or assign no value to specific Government 

securities if there was an elevated risk that the U.S. Government would reach its statutory borrowing 

10 Existing OCC Rule 604(e) and each subsequent paragraph of that Rule would be renumbered 

accordingly.

11 The schedule of haircuts would be made available through the Operations Manual and on the 

OCC website, and OCC would generally issue an Information Memo whenever the schedule 

is modified to inform Clearing Members of the changes. 

12 In this context, sovereign credit risk refers primarily to the risk associated with accepting a 

country’s debt as collateral.
Christopher J. Kirkpatrick

January 19, 2023

Page 6

limit and default on payment obligations. OCC already has authority under I&P .15 to OCC Rule 

604 to determine that Government securities and GSE debt securities that otherwise meet the 

requirements for margin collateral are nevertheless disapproved as margin collateral based on such 

factors.13 The proposed amendments would allow OCC to take steps short of outright refusal to 

grant collateral value to a particular Government security or GSE debt security and would extend 

such authority to the valuation of such securities deposited in respect of the Clearing Fund. The 

CRM Policy, in turn, currently provides that mitigating actions with respect to elevated sovereign 

credit risk or country risk are approved by OCC’s Management Committee or its delegate prior to 

implementation. OCC proposes to add that such actions will also be communicated to Clearing 

Members prior to implementation.

c. Establishing a Procedures-Based Approach to Setting Haircuts

Third, OCC would replace its Rules codifying the fixed haircut schedule for Government 

securities and GSE debt securities with a procedures-based approach to setting the fixed haircut 

schedule. Specifically, OCC would amend the CRM Policy to provide that its Pricing and Margins 

team within OCC’s Financial Risk Management (“FRM”) department will monitor the adequacy of 

the haircuts using a Historical Value-at-Risk approach (“H-VaR”)14 with multiple look-back periods 

(e.g., 2-year, 5-year, and 10-year), updated at least monthly. Each look-back period would be 

comprised of a synthetic time series of the greatest daily negative return observed for each 

combination of security type and maturity bucket (e.g., Government securities maturing in more than 

10 years). The longest look-back period under the proposed H-VaR approach would include defined 

periods of market stress.15 Accordingly, this H-VaR approach would consider stressed market 

13 Specifically, I&P .15 to OCC Rule 604 provides that OCC may disapprove a security as 

margin collateral with respect to all Clearing Members, and therefore not grant margin credit, 

based on factors such as (i) trading volume, (ii) number of outstanding shareholders, (iii) 

number of outstanding shares, (iv) volatility and liquidity and (v) any other factors OCC 

determines are relevant. While factors (i) through (iii) are not relevant to Government 

securities haircuts, OCC is proposing to enumerate sovereign credit risk as a factor in the 

CRM Policy for haircuts on Government securities because of the animating concern for this 

authority in that context. OCC is also proposing to include “any other factors the 

Corporation determines are relevant” for consistency with I&P .15 to OCC Rule 604 and 

because such a catch-all is designed to capture unforeseen circumstances that might not 

previously have been considered possible, as once was the case with respect to the possible 

default of the U.S. Government on its payment obligations. 

14 H-VaR is a common risk management method employed by financial services firms. See, 

e.g., Exchange Act Release No. 67650 (Aug. 14, 2012), 77 FR 50730 (Aug. 22, 2012) (SRCME-2012-22) (“[H-VaR] is a standard, well understood model and is easily replicable.”). 

15 Currently, OCC employs a parametric VaR approach with a Student’s t distribution to 

monitor the adequacy of its haircuts for Government securities and GSE debt securities. 

However, OCC is proposing to move to an H-VaR approach because appending time series 
Christopher J. Kirkpatrick

January 19, 2023

Page 7

conditions. The delineation of look-back periods, periods of stressed market volatility included in 

the longest-term look-back period, and the type and maturity buckets would be defined in 

procedures maintained by Pricing and Margins. The CRM Policy would further provide that the 

fixed haircut schedule must be maintained at a level at least equal to a 99% confidence interval of 

the most conservative look-back period. Changes to the haircut rate would be communicated to 

Clearing Members at least one full day in advance and the schedule would be maintained on OCC’s 

public website.

OCC anticipates that upon implementation of these changes, the haircuts OCC would 

announce would initially be identical to those already specified in OCC Rule 604(b) and OCC Rule 

1002(a). However, following implementation of the new procedures-based approach, OCC plans to 

separate out Separate Trading of Registered Interest and Principal Securities (“STRIPS”) and 

Treasury Inflation Protected Securities (“TIPS”) into their own schedule, which will be more 

conservative for longer maturities than the current haircut rate for U.S. Government securities.

d. Valuation Frequency

Fourth, OCC Rules 604(e) and 1002(a)(ii) would replace or modify provisions concerning 

the valuation of Government securities currently found elsewhere in OCC’s Rules. Specifically, 

OCC would determine the value for Government securities and GSE debt securities not less than 

daily based on the quoted price supplied by a price source designated by OCC. Currently, OCC 

Rules 604(b)(1) and (2) provide that the Risk Committee of the Board may determine from time to 

time the interval at which such collateral will be valued, but not less than daily. OCC Rule 

1002(a)(ii) currently provides the same with respect to such collateral deposited with respect to the 

Clearing Fund, except that Rule 1002(a)(ii) provides that the minimum interval shall be not less than 

monthly. However, because frequent revaluation is critical to ensure OCC’s valuations reflect the 

most currently available market information, OCC’s CRM Policy, approved by the Risk Committee, 

provides that valuation shall be “at least daily” and that Pricing and Margins shall “[a]t a minimum

update the value of its collateral on a daily basis and in instances where that collateral is providing 

margin offset, pricing shall also be updated on an intraday basis.” This language was intended so 

that the designation of minimum valuation intervals was not a limiting factor to more frequent 

valuation when warranted. Accordingly, proposed OCC Rules 604(e) and 1002(a)(ii) would provide 

that OCC would determine the market value of Government securities and GSE debt securities at 

such intervals as OCC may from time to time prescribe, but not less than daily, on the basis of the 

quoted price supplied by a source designated by OCC.

Conforming the Rules to the CRM Policy so that Pricing and Margins may revalue 

Government securities and GSE debt securities more frequently than the minimum interval would 

promote the ability to more quickly adjust the valuation intervals in response to changing market 

conditions. Under the CRM Policy, Pricing and Margins monitors haircuts daily for “breaches” (i.e., 

an erosion in value exceeding the relevant haircut) and adequacy, with any issues being promptly 

to the longest look-back period when necessary to incorporate stressed market conditions 

effectively ignores the normal distribution inherent in Student’s t.
Christopher J. Kirkpatrick

January 19, 2023

Page 8

reported to appropriate decisionmakers at OCC. As the business unit responsible for such 

monitoring, OCC believes that Pricing and Margins is well positioned to make the determination 

about more frequent valuation intervals consistent with the directive of the CRM Policy approved by 

the Risk Committee. The proposed rule change would allow OCC to react more quickly to adjust 

haircuts or take other mitigating actions in response to breaches. Changes to OCC’s Rules and the 

CRM Policy, including the minimum valuation interval, would remain subject to Risk Committee 

approval and the Risk Committee would retain oversight over OCC’s risk management 

determinations.16 

e. Policy Changes

To implement the changes described above, OCC also proposes to make other conforming 

changes to its CRM Policy, Margin Policy, and STANS Methodology Description. Under the 

proposed rule change, the CRM Policy would be the relevant OCC policy governing OCC’s process 

for valuing Government securities and GSE debt securities. OCC would therefore delete from the 

CRM Policy those descriptions that indicate that Government securities and GSE debt securities 

pledged as margin assets may be valued using Monte Carlo simulations as part of OCC’s STANS 

margin methodology. OCC would make a similar conforming change to the Margin Policy, which 

currently indicates that Government securities may be valued using the CiM approach. OCC also 

proposes to conform capitalization of terms in the CRM Policy with how those terms are defined in 

OCC’s By-Laws.

Regarding the STANS Methodology Description, OCC proposes to delete certain portions of 

the document that exist to support the valuation of Government securities and GSE debt securities 

that are pledged as margin assets using Monte Carlo simulations. As part of the proposed rule 

change, OCC would remove Treasuries from the model currently used for generating yield curve 

distributions to form theoretical price distributions for US Government securities and for modeling 

Treasury rates within STANS joint distribution of risk factors. These securities would instead be 

valued under the CRM Policy as discussed above.17 The STANS Methodology Description would 

also be revised to reflect the fact that the Liquidation Cost Add-on charge18 would no longer be 

assessed to Government security collateral deposits. Based on an analysis of the average daily 

Liquidation Cost charge across all accounts, the Liquidation Cost charge for such collateral is 

16 See Exchange Act Release No. 94988 (May 26, 2022), 87 FR 33535, 33536, n.19 (Jun. 2, 

2022) (SR-OCC-2022-002) (discussing the proposed governance process for amending 

OCC’s risk management policies, among other governance arrangements).

17 OCC notes that it would ultimately decommission the model currently used for generating 

yield curve distributions to form theoretical price distributions for US Government securities 

and modeling Treasury rates within STANS’s joint distribution of risk factors. 

18 The STANS methodology includes a model to estimate the liquidation cost for all options 

and futures, as well as cash instruments that are part of margin collateral. See Securities 

Exchange Act Release No. 86119 (June 17, 2019), 84 FR 29267 (June 21, 2019) (SR-OCC2019-004). 
Christopher J. Kirkpatrick

January 19, 2023

Page 9

currently, and is expected to remain, immaterial. As described above, OCC is proposing to 

incorporate stressed market periods in the H-VaR approach for setting and adjusting the haircuts for 

such collateral, which is comparable to the approach for incorporating stressed markets into the 

Liquidation Cost Add-on.

(2) Clearing Bank Standards

OCC Rule 203 requires that every Clearing Member establish and maintain a bank account at 

a Clearing Bank for each account maintained by it with OCC. The only eligibility requirement for a 

Clearing Bank currently expressed in OCC’s Rules is that the Clearing Bank be a bank or trust 

company that has entered into an agreement with OCC in respect of settlement of confirmed trades 

on behalf of Clearing Members.19 OCC’s Clearing Bank standards, including financial and 

operational capability requirements and the governance process for approving Clearing Banks, are 

currently maintained in internal OCC procedures. Those procedures align standards for Clearing 

Banks with those codified in I&P .01 to OCC Rule 604 with respect to banks or trust companies that 

OCC may approve to issue letters of credit as margin collateral, including, among other things, a 

Tier 1 Capital requirement of $100 million for U.S. banks and $200 million for non-U.S. banks.20 

Due to the critical role Clearing Banks play in OCC’s clearance and settlement of options, OCC 

proposes to amend its By-Laws and Rules to codify minimum requirements for Clearing Banks in a 

new Rule 203(b). OCC believes that amending its By-Laws and Rules to reflect these requirements 

will provide Clearing Members and other market participants greater clarity and transparency 

concerning OCC’s Clearing Bank relationships. 

Currently, OCC’s By-Laws and Rules are silent on the internal governance process for 

approving Clearing Bank relationships. Proposed OCC Rule 203(b) would provide that the Risk 

Committee may approve a bank or trust company as a Clearing Bank if it meets the minimum 

requirements set out in that paragraph. In addition, OCC would amend the definition of “Clearing 

Bank” in OCC Rule 101 to reflect that such Clearing Bank relationships are approved by the Risk 

Committee. OCC believes that the Risk Committee is the appropriate governing body to approve 

such relationships because of the nature of the risks presented by OCC’s Clearing Bank 

relationships, including the risk that OCC would need to borrow from or satisfy a loss using 

Clearing Fund assets in order to meet its liquidity needs as a result of the failure of a Clearing Bank 

to achieve daily settlement.21

Proposed OCC Rule 203(b)(1) would provide that any Clearing Bank, whether domiciled in 

the U.S. or outside the U.S., maintain at least $500 million (U.S.) in Tier 1 Capital.22 This 

19 See OCC Rule 101.C.(1).

20 See OCC Rule 604, I&P .01.

21 See OCC Rule 1006(c), (f).

22 As defined in proposed Rule 203(c), “Tier 1 Capital” would mean the amount reported by a 

bank or trust company to its regulatory authority. The same would be true for the other 
Christopher J. Kirkpatrick

January 19, 2023

Page 10

requirement represents an increase to the current Tier 1 Capital requirement for letter-of-credit 

issuers in I&P .01 to OCC Rule 604. OCC believes that increasing the required Tier 1 Capital 

standard for any bank or trust company would reduce the risks associated with establishing and 

maintaining a Clearing Bank relationship with an institution with lesser Tier 1 Capital. In reviewing 

its existing Clearing Banks, OCC found that a $500 million (U.S.) Tier 1 Capital standard was more 

representative of these institutions. 

In addition, proposed OCC Rule 203(b)(2) and (4) would codify certain requirements 

currently maintained in OCC’s procedures that Clearing Banks maintain (i) common equity tier 1 

capital (CET1) of 4.5%, (ii) minimum Tier 1 capital of 6%, and (iii) total risk-based capital of 8% 

and a Liquidity Coverage Ratio of at least 100%, unless the Clearing Bank is not required to 

compute such ratio. Additionally, proposed OCC Rule 203(b)(3) would provide that non-U.S. 

Clearing Banks must be domiciled in a country that has a sovereign rating considered to be “low 

credit risk” (e.g., A- by Standard & Poor’s, A3 by Moody’s, A- by Fitch, or equivalent). OCC 

believes that these ratings better reflect current understanding of those sovereign credit ratings 

considered to be “low credit risk” than the AAA ratings currently required of non-U.S. letter-ofcredit issuers under I&P .01 to OCC Rule 604, which OCC believes is now too conservative. The 

current AAA rating requirement effectively limits non-U.S. eligible issuers to those domiciled in 

Canada and Australia. The proposed change would, for example, allow for issuers from France with 

which OCC previously had relationships before France’s sovereign credit rating fell below AAA. 

Proposed OCC Rule 203(b)(5) would codify certain minimum requirements currently 

maintained in OCC’s procedures associated with the agreements that a Clearing Bank must execute 

with OCC, including that the Clearing Bank: (A) maintain the ability to utilize the Society for 

Worldwide Interbank Financial Telecommunication (“SWIFT”) as the primary messaging protocol, 

(B) maintain access to the Federal Reserve Bank’s Fedwire Funds Service, and (C) provide its 

quarterly and annual financial statements to OCC and promptly notify OCC of material changes to

its operations, financial condition, and ownership.23 However, consistent with OCC’s current 

internal procedures and practices, proposed OCC Rule 203(b)(5)(A) would also allow for the use of 

such other messaging protocol, apart from SWIFT, as approved by the Risk Committee. For 

example, the Risk Committee may elect to temporarily accommodate a Clearing Bank that does not 

meet these requirements if it is actively implementing such capabilities.

The Clearing Bank requirements set forth in proposed OCC Rule 203(b) would be the 

minimum standards for the Risk Committee to approve a Clearing Bank relationship. Accordingly, 

proposed OCC Rule 203(b)(6) would provide that in addition to the articulated minimum standards, 

capital measures and ratios identified in Rule 203(b) (i.e., “Common Equity Tier 1 Capital 

(CET1),” “total risk-based capital,” and “Liquidity Coverage Ratio”).

23 See Securities Exchange Act Release No. 82221 (Dec. 5, 2017), 82 FR 58230 (Dec. 11, 

2017) (SR-OCC-2017-805) (advance notice concerning execution of agreements with 

Clearing Banks that would provide for a transition to SWIFT messaging as the primary 

messaging protocol for OCC’s then-existing Clearing Bank relationships).
Christopher J. Kirkpatrick

January 19, 2023

Page 11

a Clearing Bank must meet such other eligibility criteria as OCC may determine from time to time. 

This provision reflects that even under OCC’s current Rules, OCC is not obligated to enter into a 

Clearing Bank relationship merely because a bank or trust company meets OCC’s minimum 

standards. 

(3) Letter-of-Credit Issuer Standards and Concentration Limits

OCC intends that proposed OCC Rule 203(b) generally would serve as the minimum 

requirements for all OCC’s bank relationships, including with respect to banks and trust companies 

authorized to issue letters of credit. Accordingly, OCC proposes to make conforming changes to 

OCC Rule 604, which governs the treatment of letters of credit as margin collateral. In addition, 

OCC would make other amendments to OCC Rule 604 intended to allow OCC to control exposures 

by imposing more stringent concentration limits and eliminating wrong-way risk. 

a. Letter-of-Credit Issuer Standards

I&P .01 to OCC Rule 604 currently sets forth minimum standards for the types of U.S. and 

non-U.S. institutions that OCC may approve as an issuer of letters of credit, including minimum Tier 

1 Capital requirements, and for non-U.S. institutions, the ultimate sovereign credit rating for the 

country of domicile for non-U.S. institutions, credit ratings for the institution’s commercial paper or 

other short-term obligations, and standards that apply if there is no credit rating on the institution’s 

commercial paper or other short-term obligations. OCC proposes the following amendments to 

I&P .01:

• OCC would combine under paragraph (a) the current standards for the types of institutions 

that OCC may approve. In addition, the capitalized terms “U.S. Institutions” and “Non-U.S. 

Institutions” would be deleted because those are not defined terms. In any event, the terms 

would not be necessary as courtesy titles now that the standards are combined under the 

same paragraph. OCC would also modify the capitalization of certain terms to conform to 

how those terms appear in the International Bank Act of 1978,24 to which the Rule refers, and 

would note that the meaning of those terms would apply generally throughout the Rules, 

including use of those terms in I&P .03 to OCC Rule 604 (as amended).

• OCC would delete the current Tier 1 Capital requirements. Instead, paragraph (b) would 

incorporate the new minimum Tier 1 Capital requirement for Clearing Banks under OCC 

Rule 203(b)(1), which would be the same for both U.S. and non-U.S. issuers. New 

paragraph (b) would also incorporate the minimum capital ratio requirements in OCC Rule 

203(b)(2), which would align standards across OCC’s banking relationships. As discussed 

above, the minimum Tier 1 Capital requirement would be greater than those presently found 

in I&P .01 to OCC Rule 604. However, as with Clearing Banks, OCC believes that 

increasing the required Tier 1 Capital standard for any bank or trust company would reduce 

the risks associated with letters of credit that may be issued by institutions with lesser Tier 1 

24 See 12 U.S.C. 3101(5)-(6), (11)-(12).
Christopher J. Kirkpatrick

January 19, 2023

Page 12

Capital. In addition, the $500 million (U.S.) Tier 1 Capital standard is more representative of 

the institutions currently approved as letter-of-credit issuers.

• New paragraph (b) would also replace the domicile sovereign credit ratings for non-U.S. 

institutions by incorporating the minimum for Clearing Banks in OCC Rule 203(b)(3). As 

noted above, the current standards in I&P .01(b)(3) to OCC Rule 604 are considered too 

conservative; the new minimum standards better align with those considered to be low risk. 

By eliminating I&P .01(b)(3), OCC would also remove the subjective process for 

determining a “AAA” equivalent country based on consultation with entities experienced in 

international banking and finance matters satisfactory to the Risk Committee, in favor of the 

more objective standards in proposed OCC Rule 203(b)(3).

• OCC would delete the external credit rating standards for a non-U.S. institution’s 

commercial paper, other short-term obligations or long-term obligations in current 

I&P .01(b)(4). OCC has had to terminate several letter-of-credit issuer relationships pursuant 

to these external credit rating standards even though the institutions otherwise met OCC’s 

requirements and were not reporting elevated internal credit risk metrics. Consistent with 

industry best practice, OCC would instead rely on its Watch Level and Internal Credit Rating 

surveillance processes under its Third-Party Risk Management Framework (“TPRMF”) to 

determine creditworthiness of institutions.25 

• Proposed paragraph (c) would provide that an institution must meet such other standards as 

OCC may determine from time to time. Like proposed OCC Rule 203(b), I&P .01 to OCC 

Rule 604 would specify the minimum standards for issuers of letters of credit. Under OCC’s 

current Rules, OCC “may in its discretion approve a bank or trust company” as a letter-ofcredit issuer if the issuer meets the minimum standards. OCC is not obligated to accept a 

letter-of-credit issuer simply because an issuer meets the minimum standards. Accordingly, 

proposed paragraph (c) would clarify that articulation of these minimum standards would not 

limit OCC’s discretion to approve or disapprove an institution based on other factors, 

including based on OCC’s Watch Level and Internal Credit Rating surveillance, as discussed 

above. 

In addition to the above changes, OCC also proposes to amend I&P .03 and .09 concerning 

the domicile of the issuer’s branch at which letters of credit must be issued. I&P .03 to OCC Rule 

604 requires any letter of credit issued by a Non-U.S. institution be payable at a Federal or State 

branch or agency thereof. In addition, I&P .09 to OCC Rule 604 provides that a letter of credit may 

be issued by a Non-U.S. branch of a U.S. institution provided that it otherwise conforms with Rule 

604 and the Interpretations and Policies thereunder and is payable at a U.S. office of such institution. 

OCC is proposing to delete the current text of I&P .09. Instead, I&P .03 would be amended so that 

letters of credit used as margin assets would be required to be payable at an issuer’s “domestic 

25 The TPRMF is filed as a rule of OCC. See Securities Exchange Act Release No. 90797 

(Dec. 23, 2020), 85 FR 86592 (Dec. 30, 2020) (SR-OCC-2020-014). The TPRMF can also 

be found on OCC’s public website. 
Christopher J. Kirkpatrick

January 19, 2023

Page 13

branch,” as that term is defined in the Federal Deposit Insurance Act,26 or at the issuer’s Federal or 

State branch or agency, as those terms are defined in I&P .01 by reference to the International 

Banking Act of 1978.27 As amended, I&P .03 would address both U.S. and Non-U.S. institutions.

b. Letter-of-Credit Concentration Limits

The proposed changes would also establish OCC’s authority to establish more restrictive 

concentration limits for letters of credit than those currently codified in OCC’s Rules and eliminate 

wrong-way risk.28 OCC Rules currently codify certain concentration limits for letters of credit. 

I&P .02 to OCC Rule 604 provides that “[n]o more than 50% of a Clearing Member’s margin on 

deposit at any given time may include letters of credit in the aggregate, and no more than 20% may 

include letters of credit issued by any one institution.” In addition, I&P .04 to OCC Rule 604 limits 

the total amount of letters of credit issued for the account of any one Clearing Member by a U.S. or 

Non-U.S. institution to a maximum of 15% of such institution’s Tier 1 Capital. While OCC 

proposes to retain these concentration limits as minimum standards, OCC is proposing to establish 

authority to set more conservative concentration limits under the CRM Policy, consistent with 

OCC’s regulatory obligation to establish, implement, maintain and enforce written policies and 

procedures reasonably designed to, among other things, set and enforce appropriately conservative 

concentration limits.

In order to establish such authority, OCC proposes to amend I&P .09—the current content of 

which would be deleted as part of the changes to I&P .03 and .09 discussed above—to provide that 

OCC may from time to time specify more restrictive limits for the amount of letters of credit a 

Clearing Member may deposit in the aggregate or from any one institution than those specified in 

the Rules based on factors such as market conditions, the financial condition of approved issuers, 

and any other factors the Corporation determines are relevant. The Rule would also provide that any 

such limit would be applicable to all Clearing Members. In this way, the Rule would provide OCC 

similar authority to disapprove letters of credit based on risk-based criteria as OCC has to 

disapprove specific securities as margin collateral under current I&P .15 to OCC Rule 604. 

Under proposed changes to the CRM Policy, OCC’s Credit and Liquidity Risk Working 

Group (“CLRWG”), a cross-functional group comprised of representatives from relevant OCC 

business units including Pricing and Margins, Collateral Services and Credit Risk Management, 

would be responsible for setting and adjusting more restrictive concentration limits. Similar to 

collateral haircuts, the CRM Policy would provide that OCC will maintain the concentration limits 

on its website and will provide prior notice of any changes to the limits. As under the current CRM 

Policy, the CLRWG would review the performance and adequacy of the CRM Policy on at least an 

annual basis, including but not limited to a review of concentration limits. OCC’s Model Risk 

26 See 12 U.S.C. 1813(o).

27 See 12 U.S.C. 3101(5)-(6), (11)-(12).

28 Wrong-way risk occurs when exposure to a counterparty is adversely correlated with the 

credit quality of that counterparty.
Christopher J. Kirkpatrick

January 19, 2023

Page 14

Management would also continue to review the concentration limits on at least an annual basis. Any 

changes to the CRM Policy would continue to be presented to the Management Committee and, if 

approved, then the Risk Committee.

Among other things, OCC anticipates that it would use the proposed authority to establish an 

absolute dollar limit for letters of credit, which would be more restrictive than the current percentage 

thresholds for OCC Clearing Members with larger margin requirements. In addition, OCC expects 

to specify more stringent limits on the amount of letters of credit a Clearing Member may maintain 

from a single issuer—not to exceed 5% of the issuing institution’s Tier 1 Capital. OCC believes that 

lowering this limit will reduce the risks associated with having too great of a proportion of an 

institution’s Tier 1 Capital in letters of credit for any one Clearing Member Organization. These 

changes are not expected to have any impact on Clearing Members because use of letters of credit as 

margin collateral is currently low. While utilization is low, OCC continues to support letters of 

credit based on their acceptability as collateral under CFTC regulations.29

Finally, OCC would also make changes to the letter-of-credit concentration limits articulated 

in the Rules to eliminate wrong-way risk. I&P .08 to OCC Rule 604 provides that OCC will not 

accept a letter of credit issued pursuant to Rule 604(c) for the account of a Clearing Member in 

which the issuing institution, a parent, or an affiliate has an equity interest in the amount of 20% or 

more of such Clearing Member’s total capital. The proposed rule change would tighten this 

requirement to prohibit acceptance of a letter of credit for the account of a Clearing Member in 

which the issuing institution, a parent, or an affiliate has any equity interest in such Clearing 

Member’s total capital. Although the current rule seeks to limit the amount of wrong-way risk in 

these types of affiliated relationships, OCC believes this proposed change should eliminate wrongway risk associated with allowing the issuing institution of a letter of credit to have an equity interest 

in the Clearing Member’s total capital. 

Implementation Timeframe

As discussed above, OCC intends to provide parallel reporting to its Clearing Members for a 

period of at least four consecutive weeks prior to implementing the change. OCC will announce the 

implementation date of the proposed change by an Information Memorandum posted to its public 

website at least two (2) weeks prior to implementation. 

Consistency with DCO Core Principles

OCC reviewed the DCO core principles (“Core Principles”) as set forth in the Act, the

regulations thereunder, and the provisions applicable to a DCO that elects to be subject to the 

provisions of 17 CFR Subpart C (“Subpart C DCO”). During this review, OCC identified the 

following as potentially being impacted:

29 See 17 CFR 39.13(g)(10).
Christopher J. Kirkpatrick

January 19, 2023

Page 15

Risk Management. OCC believes that the proposed changes are consistent with Core 

Principle D and CFTC Regulations thereunder, which require a DCO to, among other things, ensure 

that the DCO possesses the ability to manage the risks associated with discharging its 

responsibilities through the use of appropriate tools and procedures, including collecting margin 

from each member that is sufficient to cover potential exposures in normal market conditions.30 

Specifically, CFTC Regulation 39.13 requires, among other things, that a DCO: 

• limit the assets it accepts as initial margin to those that have minimal credit, market, and 

liquidity risks;31

• apply appropriate collateral haircuts to reflect credit, market and liquidity risks, taking 

into consideration stressed market conditions, and evaluate the appropriateness of the

haircuts on at least a monthly basis;32 and

• apply appropriate limitations on the concentration of assets posted as initial margin, as 

necessary, in order to ensure its ability to liquidate such assets quickly with minimal 

adverse price effects, and evaluate the appropriateness of such concentration limits on at 

least a monthly basis.33

OCC believes that the proposed changes are consistent with these requirements in the following 

ways.

First, the proposed changes would remove Government securities and GSE debt securities 

deposited as margin from the CiM valuation approach under OCC’s STANS margin methodology in 

favor of a procedures-based approach for valuing such collateral and determining haircuts under 

OCC’s CRM Policy. OCC has identified certain weaknesses related to its current model for valuing 

Government securities as part of OCC’s STANS margin methodology, including that the current 

CiM method may not adequately consider relevant stressed market conditions. OCC would address 

these weaknesses by setting a fixed haircut schedule in accordance with proposed changes to its 

CRM Policy, as opposed to the current schedule codified in OCC’s Rules. Specifically, the CRM 

Policy would adopt an H-VaR approach to monitoring the continued adequacy of haircuts for

Government securities and GSE debt securities, which is a well understood financial services risk 

management method that OCC would utilize to incorporate periods of market stress into its analysis. 

The proposed change would require OCC to maintain its haircut levels for such collateral at a level 

at least equal to a 99% confidence interval of the most conservative look-back period under this HVaR approach. OCC believes the proposed approach would result in more conservative collateral 

requirements for those Government securities currently valued using STANS and would have a 

minimal impact on the Clearing Fund. This procedures-based approach would involve review of the 

30 7 U.S.C. 7a-1(c)(2)(D)(i), (iv).

31 17 CFR 39.13(g)(10).

32 17 CFR 39.13(g)(12).

33 17 CFR 39.13(g)(13).
Christopher J. Kirkpatrick

January 19, 2023

Page 16

sufficiency of OCC’s haircuts for Government securities and GSE debt securities on an at-least 

monthly basis. In addition, OCC would continue to review the haircuts as part of the annual review 

of the CRM Policy. Accordingly, OCC believes these changes are consistent with CFTC Regulation 

39.13(g)(12) because they would establish written policies and procedures whereby OCC would set 

and enforce appropriately conservative collateral haircuts for Government securities and review the 

sufficiency of those haircuts at least monthly.

The proposed changes would also establish the authority of the Management Committee or 

its delegate to take mitigating actions in the form of applying greater haircuts or, in unusual or 

unforeseen circumstances, assigning no value or partial value to Government securities or GSE debt 

securities, as may be the case if there was an elevated risk of an imminent default by the sovereign 

that issued the securities. This authority would be similar to OCC’s present authority to disapprove 

securities deposited to satisfy margin requirements under I&P .15 to OCC Rule 604, but would 

allow OCC to take less restrictive action if warranted and would also apply with respect to the 

Government securities deposited to satisfy Clearing Fund requirements. OCC believes this change 

would help to limit the assets it accepts as collateral to those with low credit, liquidity, and market 

risks, consistent with CFTC Regulation 39.13(g)(10).

Second, the proposal would specify that the concentration limits for letters of credit currently 

identified in OCC’s Rules are minimum standards. The proposed changes would establish OCC’s 

authority to set more restrictive concentration limits for letters of credit based on factors such as 

market conditions, the financial condition of approved issuers, and any other factors OCC 

determines are relevant. OCC believes these changes would help ensure OCC has authority under 

its policies and procedures to set appropriately conservative concentration limits for letters of credit. 

OCC would continue to review the concentration limits on at least an annual basis, including as part 

of the annual review of the CRM Policy.34 Accordingly, OCC believes these changes are consistent 

with CFTC Regulation 39.13(g)(13).

Third, the proposed rule change would strengthen other standards applicable to letter-ofcredit issuers, including by (1) increasing the minimum capital requirements for institutions that can 

issue letters of credit from $100 million in the case of U.S. institutions, and $200 million for nonU.S. institutions, to a required $500 million for any institution; (2) requiring that all letters of credit, 

regardless of issuer, be payable at a branch within the United States; (3) prohibiting the use of letters 

of credit for the account of a Clearing Member in which the issuing institution, a parent, or an 

affiliate has an equity interest in such Clearing Member’s total capital, and (4) eliminating reliance 

on credit ratings for commercial paper, other short term obligations and long term obligations in 

favor of OCC’s internal credit ratings. OCC believes these changes would also serve to reduce the 

risks associated with letters of credit by ensuring that letters of credit used as margin assets are 

issued by established banks with sufficient Tier 1 capital and will thus reduce credit risks associated 

34 In addition to the at-least annual review under the Policy, which is alligned to SEC Rule 

17Ad-22(e)(5), the CLRWG maintains procedures pursuant to which it reviews 

concentration limits for letters of credit in connection with its monthly meetings.
Christopher J. Kirkpatrick

January 19, 2023

Page 17

with those letters of credit, including the elimination of wrong-way risk arising from an issuer of a 

letter of credit having an equity interest in the Clearing Member. Taken together, OCC believes the 

amendments in the proposed rule change would enhance OCC’s credit and collateral risk 

management process by strengthening OCC’s requirements regarding the use of letters of credit as 

margin assets. Accordingly, OCC believes the proposed changes are consistent with CFTC 

Regulation 39.13(g)(10) by helping to limit the assets OCC accepts as collateral to those with low 

credit, liquidity, and market risk.

Fourth, OCC would remove or amend certain letter-of-credit standards that are no longer 

appropriately conservative. For example, OCC would conform the sovereign credit rating for a nonU.S. issuer’s country of domicile to the standard proposed for Clearing Banks in proposed OCC 

Rule 203(b)(3). While these standards would be less restrictive than those currently codified in 

I&P .01 to OCC Rule 604 with respect to letter-of-credit issuers, OCC believes that the current 

standards are too conservative. The proposed standards better align with sovereign credit ratings 

considered to be low risk. 

Settlement Procedures. OCC believes that the proposed changes are consistent with Core 

Principle E and the CFTC Regulations thereunder, which require, among other things, that a DCO 

employ money settlement arrangements to eliminate or strictly limit the exposure of the DCO to 

settlement bank risk (including credit and liquidity risks from the use of banks to effect money 

settlements).35 Specifically, CFTC Regulation 39.14 requires that a DCO maintain documented 

criteria that must be met by any settlement bank used by the DCO or its clearing members, including 

criteria addressing capitalization, creditworthiness, access to liquidity, operational reliability, and 

regulation or supervision.36 The proposed Clearing Bank standards would help ensure that OCC’s 

Clearing Banks are adequately capitalized and meet certain minimum operational capability and 

reporting requirements. The proposed rule change would therefore help ensure OCC’s ability to 

monitor and manage the financial and operational risks that may be presented by its Clearing Banks. 

The proposed rule change would also require that OCC’s Risk Committee approve any new Clearing 

Banks prior to onboarding. In addition, OCC believes that by codifying OCC’s expectation that 

Clearing Banks use the SWIFT messaging network when possible, the proposed rule change would 

mitigate risks by ensuring the use of internationally accepted communication procedures and 

standards by OCC’s Clearing Banks to facilitate efficient payment, clearing, and settlement. 

Accordingly, OCC believes that the proposed changes are consistent with Core Principle E and 

CFTC Regulation 39.14.

Public Information. OCC believes that the proposed changes are consistent with Core 

Principle L and CFTC Regulation 39.21 thereunder, which require, among other things, that a DCO 

(i) provide market participants sufficient information to enable participants to identify and evaluate 

accurately the risks and costs associated with using the services of the DCO and (ii) make 

35 7 U.S.C. 7a-1(c)(2)(E)(ii).

36 17 CFR 39.14(c)(1).
Christopher J. Kirkpatrick

January 19, 2023

Page 18

information concerning the rules and operating and default procedures governing the clearing and 

settlement systems of the DCO available to market participants.37 OCC believes that codifying its 

minimum standards for Clearing Banks and letter-of-credit issuers will provide Clearing Members 

and other market participants greater clarity and transparency concerning these relationships while 

preserving OCC’s authority to disapprove specific relationships on other grounds, as warranted by 

individual facts and circumstances. In addition, the proposed changes would provide for public 

disclosure of information related to the collateral haircuts for Government securities and GSE debt 

securities and concentration limits for letters of credit. OCC’s CRM Policy would provide that OCC 

would make such collateral haircut schedule and concentration limits available on OCC’s website 

and provide Clearing Members with a full day’s notice prior to implementing a change. OCC would 

generally issue an Information Memo whenever the schedule of haircuts or concentration limits are 

modified to inform Clearing Members of the changes and would update its Operations Manual. 

Information Memos are available on OCC’s public website. In addition, OCC would disclose 

information concerning how it sets and enforces these collateral haircuts and concentration limits, 

including use of the H-VaR approach for determining the adequacy of collateral haircuts, in its 

responses to the Disclosure Framework for Financial Market Infrastructures issued by the 

Committee on Payments and Market Infrastructures and the Board of the International Organization 

of Securities Commissions.38 Accordingly, OCC believes that the proposed changes are consistent 

with Core Principle L and CFTC Regulation 39.21.

For these reasons, OCC believes that the proposed changes are consistent with the 

requirements of Principles B, E and L and the CFTC Regulations thereunder. 

Opposing Views

No substantive opposing views were expressed related to the rule amendments by OCC’s 

Board members, Clearing Members or market participants. 

Notice of Pending Rule Certification

OCC hereby certifies that notice of this rule filing has been given to Clearing Members of 

OCC in compliance with Regulation 40.6(a)(2) by posting a copy of this certification on OCC’s 

website concurrently with the filing of this submission.

Certification

OCC hereby certifies that the rule set forth at Exhibit A through Exhibit D of the enclosed 

filing complies with the Act and the CFTC’s regulations thereunder. 

37 7 U.S.C. 7a-1(c)(2)(L)(i)-(ii); 17 CFT 39.21(a)-(b).

38 See The Options Clearing Corporation Disclosure Framework for Financial Market 

Infrastructures, available at https://www.theocc.com/Risk-Management/PFMI-Disclosures. 
Christopher J. Kirkpatrick

January 19, 2023

Page 19

Should you have any questions regarding this matter, please do not hesitate to contact 

me.

Sincerely,

/s/ Mark C. Brown

Mark C. Brown

Associate General Counsel

Enclosure: Exhibit A through Exhibit D