Federal Register / Vol. 75, No. 176 / Monday, September 13, 2010 / Notices 55619 

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

2 17 CFR 240.19b–4. 

declaration for Private Non-Profit 

organizations in the State of Nebraska, 

dated 07/15/2010, is hereby amended to 

include the following areas as adversely 

affected by the disaster. 

Primary Counties: Adams, Buffalo, 

Dawes, Dawson, Hooker, Jefferson, 

Sheridan, Thurston. 

All other information in the original 

declaration remains unchanged. 

(Catalog of Federal Domestic Assistance 

Numbers 59002 and 59008) 

Roger B. Garland, 

Acting Associate Administrator for Disaster 

Assistance. 

[FR Doc. 2010–22743 Filed 9–10–10; 8:45 am] 

BILLING CODE 8025–01–P 

SMALL BUSINESS ADMINISTRATION 

[Disaster Declaration #12272 and #12273] 

Kansas Disaster Number KS–00045 

AGENCY: U.S. Small Business 

Administration. 

ACTION: Amendment 1. 

SUMMARY: This is an amendment of the 

Presidential declaration of a major 

disaster for Public Assistance Only for 

the State of KANSAS (FEMA–1932–DR), 

dated 08/10/2010 . 

Incident: Severe Storms, Flooding, 

and Tornadoes. 

Incident Period: 06/07/2010 through 

07/21/2010. 

DATES: Effective Date: 09/02/2010. 

Physical Loan Application Deadline 

Date: 10/12/2010. 

Economic Injury (EIDL) Loan 

Application Deadline Date: 05/10/2011. 

ADDRESSES: Submit completed loan 

applications to: U.S. Small Business 

Administration, Processing and 

Disbursement Center, 14925 Kingsport 

Road, Fort Worth, TX 76155. 

FOR FURTHER INFORMATION CONTACT: 

Alan Escobar, Office of Disaster 

Assistance, U.S. Small Business 

Administration, 409 3rd Street, SW., 

Suite 6050, Washington, DC 20416. 

SUPPLEMENTARY INFORMATION: The notice 

of the President’s major disaster 

declaration for Private Non-Profit 

organizations in the State of Kansas, 

dated 08/10/2010, is hereby amended to 

include the following areas as adversely 

affected by the disaster. 

Primary Counties: 

Cheyenne, Decatur, Elk, Jackson, 

Mcpherson, Sheridan, Wilson. 

All other information in the original 

declaration remains unchanged. 

(Catalog of Federal Domestic Assistance 

Numbers 59002 and 59008) 

James E. Rivera, 

Associate Administrator for Disaster 

Assistance. 

[FR Doc. 2010–22744 Filed 9–10–10; 8:45 am] 

BILLING CODE 8025–01–P 

SMALL BUSINESS ADMINISTRATION 

[Disaster Declaration #12238 and #12239] 

Nebraska Disaster Number NE–00038 

AGENCY: U.S. Small Business 

Administration. 

ACTION: Amendment 1. 

SUMMARY: This is an amendment of the 

Presidential declaration of a major 

disaster for Public Assistance Only for 

the State of Nebraska (FEMA–1924–DR), 

dated 07/15/2010. 

Incident: Severe Storms, Flooding, 

and Tornadoes. 

Incident Period: 06/01/2010 through 

08/29/2010. 

Effective Date: 08/29/2010. 

Physical Loan Application Deadline 

Date: 09/13/2010. 

Economic Injury (EIDL) Loan 

Application Deadline Date: 04/15/2011. 

ADDRESSES: Submit completed loan 

applications to: U.S. Small Business 

Administration, Processing and 

Disbursement Center, 14925 Kingsport 

Road, Fort Worth, TX 76155. 

FOR FURTHER INFORMATION CONTACT: A. 

Escobar, Office of Disaster Assistance, 

U.S. Small Business Administration, 

409 3rd Street, SW., Suite 6050, 

Washington, DC 20416. 

SUPPLEMENTARY INFORMATION: The notice 

of the President’s major disaster 

declaration for Private Non-Profit 

organizations in the State of 

NEBRASKA, dated 07/15/2010, is 

hereby amended to establish the 

incident period for this disaster as 

beginning 06/01/2010 and continuing 

through 08/29/2010. 

All other information in the original 

declaration remains unchanged. 

(Catalog of Federal Domestic Assistance 

Numbers 59002 and 59008) 

Roger B. Garland, 

Acting Associate Administrator for Disaster 

Assistance. 

[FR Doc. 2010–22741 Filed 9–10–10; 8:45 am] 

BILLING CODE 8025–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–62854; File No. SR–OCC– 

2010–14] 

Self-Regulatory Organizations; The 

Options Clearing Corporation; Notice 

of Filing of Proposed Rule Change To 

Revise Its Rules To Expand the Forms 

of Collateral Eligible for Incorporation 

in the System for Theoretical Analysis 

and Numerical Simulations Risk 

Management Methodology 

September 7, 2010. 

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

Securities Exchange Act of 1934 

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

notice is hereby given that on August 

25, 2010, The Options Clearing 

Corporation (‘‘OCC’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change as described in Items I, II, and 

III below, which Items have been 

prepared primarily by OCC. The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

change from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of the Substance 

of the Proposed Rule Change 

The purpose of this proposed rule 

change is to revise OCC’s Rules to 

expand the forms of collateral eligible 

for incorporation in the System for 

Theoretical Analysis and Numerical 

Simulations (‘‘STANS’’) risk 

management methodology. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, 

OCC included statements concerning 

the purpose of and basis for the 

proposed rule change and discussed any 

comments it received on the proposed 

rule change. The text of these statements 

may be examined at the places specified 

in Item IV below. OCC has prepared 

summaries, set forth in sections (A), (B), 

and (C) below, of the most significant 

aspects of these statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

The proposed rule change would 

make a change to Interpretation and 

Policy .06 under Rule 601 in connection 

with expanding the forms of collateral 

eligible for incorporation in the STANS 

mstockstill on DSKB9S0YB1PROD with NOTICES

55620 Federal Register / Vol. 75, No. 176 / Monday, September 13, 2010 / Notices 

3ETFs fall within the definition of ‘‘fund shares’’ 

as that term is denied in Article I, Section 1 of 

OCC’s By-Laws. 

4Securities Exchange Act Release No. 34–58158 

(July 15, 2008), 73 FR 42626 (July 22, 2008)(SR– 

OCC–2007–20). 

5This would include but not be limited to 

Government securities and GSE debt securities. 

6The government securities initially excluded 

would be evaluated for possible inclusion in 

STANS as appropriate models are developed. 

7OCC believes the approach currently used to 

assess the impact of collateral substitutions and 

withdrawals represents an improvement over that 

outlined in File No. SR–OCC–2007–20. 

Interpretation and Policy .01 under Rule 608 

generally provides that OCC may specify 

procedures from time-to-time to assess the impact 

of collateral withdrawals and substitutions. 

8Rule 604(f) provides that, in lieu of the 

valuations provided for in Rule 604, OCC may elect 

to value any or all margin assets in the form of 

securities pursuant to Rule 601. 9 15 U.S.C. 78q–1. 

risk management methodology. 

Currently, OCC incorporates common 

stock and ETFs 3 in the STANS margin 

calculation process.4 When OCC began 

including common stock and ETFs in 

the STANS margin calculation process, 

it noted its belief that the procedure 

would more accurately measure risk in 

Clearing Members’ accounts and thereby 

permit OCC to more precisely set 

margin requirements to reflect that risk. 

For those same reasons, OCC now 

proposes incorporating certain fixedincome, ‘‘government securities’’ into 

the STANS margin calculation process. 

The specific amendments proposed to 

OCC’s Rules to facilitate incorporation 

of government securities in the STANS 

margin calculation process can be found 

at http://www.optionsclearing.com/ 

components/docs/legal/ 

rules_and_bylaws/sr_occ_10_14.pdf. 

OCC would incorporate certain 

‘‘government securities’’ into the STANS 

margin calculation in phases beginning 

with U.S. Government securities.5

Treasury Inflation Protected Securities 

and callable U.S Treasury Securities 

would be excluded from the initial 

phase as would Canadian government 

securities and GSE debt securities.6

Currently, government securities 

deposited as collateral to satisfy margin 

requirements are priced on a nightly 

basis and are assigned a value equal to 

their current market value less an 

applicable haircut based on the term to 

maturity. While this method of valuing 

collateral has generally served OCC well 

in the past, OCC believes analyzing 

cleared positions and margin assets as a 

single portfolio using STANS provides a 

more accurate valuation of the Clearing 

Members’ securities deposited as 

collateral in relation to other account 

positions. As when OCC began 

including common stocks and ETFs in 

the STANS calculation, OCC believes 

phasing in government securities would 

align risk-management techniques 

utilized to manage market risk of 

cleared positions, for example for 

Treasury futures contracts, with those 

techniques used to value margin 

deposits. 

The proposed inclusion of 

government securities into STANS 

would be implemented using an 

approach similar to that used for adding 

common stocks and ETFs. The value of 

the securities deposited in a Clearing 

Member’s account would be determined 

along with the risk on the margin assets 

on a portfolio basis with reference to the 

volatility and correlation of each 

deposited security to the other positions 

in the account. Given the conservative 

nature of the current haircuts applied to 

deposits of government securities, OCC 

anticipates a modest increase in their 

collateral valuation should this change 

be implemented. 

As a part of this proposal, OCC would 

apply a portfolio specific adjustment 

factor when determining whether 

sufficient margin excess resides in an 

account. This would enable OCC to 

release margin collateral to a Clearing 

Member on an intraday basis. The 

adjustment factor is account and 

security specific and is determined by 

approximating the change in margin 

requirement caused by depositing or 

withdrawing a particular security from 

the Clearing Member’s account based on 

the risk characteristics of that security 

and its consequent assessed value. OCC 

believes this process would provide a 

more accurate projection of the margin 

impact of collateral withdrawals and 

substitutions on a Clearing Member’s 

account. It is currently used to analyze 

the impact of substitutions and 

withdrawals of equity collateral within 

the STANS Monte Carlo simulations.7

OCC’s Rule 601, ‘‘Margin 

Requirements’’ already provides that 

margin assets in the form of securities 

may be incorporated into the Monte 

Carlo calculations as an alternative to 

valuing such assets under Rule 604, 

‘‘Form of Margin Assets’’. In connection 

with incorporating common stocks and 

ETFs into the STANS calculation, OCC 

adopted Interpretation and Policy .06 

under Rule 601 to clarify that margin 

assets in the form of common stocks and 

ETFs would be included in the Monte 

Carlo simulations described in Rule 601 

for purposes of determining the 

minimum expected liquidating value of 

an account with other margin assets 

being valued as provided for under Rule 

604.8 OCC now proposes broadening the 

interpretation to provide that OCC may 

designate those margin assets which, if 

deposited into a Clearing Member’s 

account, will be valued as provided in 

Rule 601 rather than Rule 604. This 

change is intended to facilitate OCC’s 

proposal incorporate certain 

government securities into the STANS 

margin calculation process. 

OCC believes the proposed rule 

changes are consistent with the 

requirements of Section 17A of the Act 9

and the rules and regulations 

thereunder because the proposed rule 

changes would promote accuracy in the 

clearance and settlement of cleared 

contracts and in the risk assessments 

relative thereto, and would promote 

efficiency and eliminate unnecessary 

costs to investors by determining margin 

requirements with better precision, and, 

in general, to protect investors and the 

public interest. The change 

accomplishes these purposes by more 

accurately valuing collateral deposits. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

OCC does not believe that the 

proposed rule change would impose any 

burden on competition. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants or Others 

Written comments relating to the 

proposed rule change have not been 

solicited or received. OCC will notify 

the Commission of any written 

comments received by OCC. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Within forty-five days of the date of 

publication of this notice in the Federal 

Register or within such longer period (i) 

as the Commission may designate up to 

ninety days of such date 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 

the proposed rule change or 

(B) institute proceedings to determine 

whether the proposed rule change 

should be disapproved. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

mstockstill on DSKB9S0YB1PROD with NOTICES

Federal Register / Vol. 75, No. 176 / Monday, September 13, 2010 / Notices 55621 

10 17 CFR 200.30–3(a)(12). 

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

2 15 U.S.C. 78a. 

3 17 CFR 240.19b–4. 

4NYSE Arca Rule 6.62(d)(3). 

5Nasdaq Rules, Chapter VII, Sec.12 (Order 

Exposure Requirements), Commentary .03. 

6 15 U.S.C. 78f (b). 

7Supra, Note 2 [sic]. 

Electronic Comments 

• Use the Commissions Internet 

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

rules/sro.shtml) or 

• Send an e-mail to rulecomments@sec.gov. Please include File 

Number SR–OCC–2010–14 on the 

subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Elizabeth M. Murphy, 

Securities and Exchange Commission, 

100 F Street, NE., Washington, DC 

20549–1090. 

All submissions should refer to File 

Number SR–OCC–2010–14. This file 

number should be included on the 

subject line if e-mail 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 Web site (http://www.sec.gov/ 

rules/sro.shtml). Copies of the 

submission, all subsequent 

amendments, all written statements 

with respect to the proposed rule 

change that are filed with the 

Commission, and all written 

communications relating to the 

proposed rule change between the 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

provisions of 5 U.S.C. 552, will be 

available for Web site viewing and 

printing in the Commission’s Public 

Reference Section, 100 F Street, NE., 

Washington, DC 20549–1090, on official 

business days between the hours of 10 

a.m. and 3 p.m. Copies of such filings 

will also be available for inspection and 

copying at the principal office of the 

OCC and on OCC’s Web site at http:// 

www.optionsclearing.com/about/ 

publications/bylaws.jsp. 

All comments received will be posted 

without change; the Commission does 

not edit personal identifying 

information from submissions. You 

should submit only information that 

you wish to make available publicly. All 

submissions should refer to File 

Number SR–OCC–2010–14 and should 

be submitted on or before October 4, 

2010. 

For the Commission by the Division of 

Trading and Markets, pursuant to delegated 

authority.10

Elizabeth M. Murphy, 

Secretary. 

[FR Doc. 2010–22701 Filed 9–10–10; 8:45 am] 

BILLING CODE 8010–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–62850; File No. SR– 

NYSEArca–2010–80] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change Adopting Commentary 

.04 to Rule 6.47A Related to the 

Exposure of Reserve Orders 

September 3, 2010. 

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

Securities Exchange Act of 1934 (the 

‘‘Act’’) 2 and Rule 19b–4 thereunder,3

notice is hereby given that, on August 

27, 2010, NYSE Arca, Inc. (the 

‘‘Exchange’’ or ‘‘NYSE Arca’’) filed with 

the Securities and Exchange 

Commission (the ‘‘Commission’’) the 

proposed rule change as described in 

Items I and II below, which Items have 

been prepared by the self-regulatory 

organization. The Commission is 

publishing this notice to solicit 

comments on the proposed rule change 

from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to adopt 

Commentary .04 to Rule 6.47A related 

to the exposure of Reserve Orders. The 

text of the proposed rule change is 

available at the Exchange, the 

Commission’s Public Reference Room, 

and http://www.nyse.com. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

self-regulatory organization 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 those statements may be examined at 

the places specified in Item IV below. 

The Exchange has prepared summaries, 

set forth in sections A, B, and C below, 

of the most significant parts of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and the 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The purpose of the proposal is to 

adopt a Commentary to NYSE Arca Rule 

6.47A to specify that the exposure 

requirement contained in subsection (i) 

of the Rule is satisfied with respect to 

the non-displayed reserve portion of a 

Reserve Order if the displayable portion 

is displayed at its displayable price for 

one second. A Reserve Order is an order 

where only a portion of the full size is 

included in the Exchange’s 

disseminated quotation.4 The displayed 

size is executed according to the 

Exchange’s regular priority rules, and is 

refreshed with additional volume from 

the non-displayed portion of the order. 

The non-displayed portion of the 

Reserve Order is available for execution 

only after the Exchange’s displayed 

quote is fully exhausted. 

Under the proposed commentary, 

after entering a Reserve Order, an OTP 

Holder may enter a contra-side order for 

its own account or a contra-side order 

that was solicited from another brokerdealer that would execute against the 

displayable and non-displayed portions 

of the order so long as the displayable 

portion of the order was displayed on 

NYSE Arca (i.e., the price of the order 

is at the NYSE Arca Best Bid/Offer) for 

at least one second. This proposed 

Commentary is the same as an existing 

Commentary to the rule of the Nasdaq 

Options Market that contains the same 

exposure requirements as NYSE Arca 

Rule 6.47A.5 Accordingly, the 

Commission has previously determined 

that display of the displayable portion 

of a reserve order is sufficient to satisfy 

the exposure requirements of NYSE 

Arca Rule 6.47A(i). 

2. Statutory Basis 

The Exchange believes the proposed 

rule change is consistent with Section 

6(b) of the Act 6 in general, and furthers 

the objectives of Section 6(b)(5) of the 

Act, in that it is designed to promote 

just and equitable principles of trade, 

remove impediments to and perfect the 

mechanisms of a free and open market 

and a national market system and, in 

general, to protect investors and the 

public interest. In particular, the 

proposal is the same as an existing rule 

of another exchange,7 and will provide 

OTP Holders with certainty with respect 

to the applicable exposure requirements 

for reserve orders. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will impose 

any burden on competition that is not 

mstockstill on DSKB9S0YB1PROD with NOTICES