68390 Federal Register / Vol. 75, No. 214 / Friday, November 5, 2010 / Notices 

7 15 U.S.C. 78f. 

8 15 U.S.C. 78f(b)(4). 

9See Exchange Act Release Nos. 62605 (July 30, 

2010) (Approval of Correlix fee sharing for 

NASDAQ Exchange), 62928 (September 17, 2010) 

(Approval of Correlix fee sharing for EDGEA 

Exchange), and 62929 (September 17, 2010) 

(Approval of Correlix fee sharing for EDGEX 

Exchange). 

10For the purposes only of waiving the 30-day 

operative delay, the Commission has considered the 

proposed rule’s impact on efficiency, competition, 

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

11 17 CFR 200.30–3(a)(12). 1 15 U.S.C. 78s(b)(1). 

securities, to remove impediments to 

and perfect the mechanism of a free and 

open market and a national market 

system, and, in general, to protect 

investors and the public interest. In 

particular, the filing makes transparent 

uniform fees imposed for latency 

measurement services. 

In addition, the Exchange believes 

that the proposed rule change is 

consistent with the provisions of 

Section 6 of the Act,7 in general, and 

with Section 6(b)(4) of the Act,8 in 

particular, in that it provides for the 

equitable allocation of reasonable dues, 

fees and other charges among members 

and issuers and other persons using any 

facility or system which the Exchange 

operates or controls. In particular, the 

Exchange notes that the use of Correlix 

latency measurement services is entirely 

voluntary and made available on a nondiscriminatory basis. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

BX does not believe that the proposed 

rule change will result in any burden on 

competition that is not necessary or 

appropriate in furtherance of the 

purposes of the Act, as amended. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

Written comments were neither 

solicited nor received. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The proposed rule change is effective 

upon filing pursuant to Section 

19(b)(3)(A) of the Act and paragraph 

(f)(6) of Rule 19b–4 thereunder, in that 

the proposed rule change: (i) Does not 

significantly affect the protection of 

investors or the public interest; (ii) does 

not impose any significant burden on 

competition; and (iii) does not become 

operative for 30 days after the date of 

the filing, or such shorter time as the 

Commission may designate if consistent 

with the protection of investors and the 

public interest; provided the selfregulatory organization has given the 

Commission written notice of its intent 

to file the proposed rule change, along 

with a brief description and text of the 

proposed rule change, at least five 

business days prior to the date of filing 

of the proposed rule change, or such 

shorter time as designated by the 

Commission. 

The Exchange has requested that the 

Commission waive the 30-day operative 

delay. The Commission believes that 

waiving the 30-day operative delay is 

consistent with the protection of 

investors and the public interest. The 

Commission notes that the Correlix 

service and its fee sharing model have 

been previously approved by the 

Commission for other markets.9 Waiver 

of the 30-day operative delay will 

ensure that the free period is made 

available to all interested parties 

without delay. Accordingly, the 

Commission designates the proposed 

rule change operative upon filing with 

the Commission.10

At any time within 60 days of the 

filing of the proposed rule change, the 

Commission summarily may 

temporarily suspend such rule change if 

it appears to the Commission that such 

action is necessary or appropriate in the 

public interest, for the protection of 

investors, or otherwise in furtherance of 

the purposes of the Act. If the 

Commission takes such action, the 

Commission shall institute proceedings 

to determine whether the proposed rule 

should be approved or 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: 

Electronic Comments 

• Use the Commission’s Internet 

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

rules/sro.shtml); or 

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

Number SR–BX–2010–072 on the 

subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Elizabeth M. Murphy, Secretary, 

Securities and Exchange Commission, 

100 F Street, NE., Washington, DC 

20549–1090. 

All submissions should refer to File 

Number SR–BX–2010–072. 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 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 the 

Exchange. 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–BX– 

2010–072, and should be submitted on 

or before November 26, 2010. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.11

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. 2010–27945 Filed 11–4–10; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–63222; File No. SR–OCC– 

2010–18] 

Self-Regulatory Organizations; The 

Options Clearing Corporation; Notice 

of Filing and Immediate Effectiveness 

of Proposed Rule Change To 

Accommodate Index Futures That Are 

Settled in a Non-U.S. Currency 

November 1, 2010. 

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

Securities Exchange Act of 1934 

(‘‘Act’’),1 notice is hereby given that on 

October 22, 2010, The Options Clearing 

Corporation (‘‘OCC’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change described in Items I and II 

below, which items have been prepared 

mstockstill on DSKH9S0YB1PROD with NOTICES

Federal Register / Vol. 75, No. 214 / Friday, November 5, 2010 / Notices 68391 

2The Commission has modified the text of the 

summaries prepared by OCC. 3 15 U.S.C. 78q–1. 

4 15 U.S.C. 78s(b)(3)(A)(iv). 

5 17 CFR 240.19b–4(f)(4). 

primarily by OCC. The Commission is 

publishing this notice to solicit 

comments on the proposed rule change 

from interested parties. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The purpose of the proposed rule 

change is to revise OCC’s By-Laws and 

Rules to accommodate index futures 

that are settled in a non-U.S. currency. 

NYSE Liffe US, LLC (‘‘NYL’’) is 

proposing to introduce for trading 

futures contracts on certain broad-based 

securities indexes which are settled in 

Euros (‘‘Euro-Settled Futures’’). The 

proposed rule amendments are drafted 

generically to apply to other futures 

contracts that are settled in a non-U.S. 

currency and in a similar manner. 

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.2

(A) Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

Futures variation payments typically 

are settled on each business day based 

on a price established on the prior 

business day. However, because of time 

zone differences and the planned use of 

accounts at North American and 

European clearing banks, variation 

settlements, including final variation 

settlement, with respect to Euro-Settled 

Futures will occur on the second 

business day following the date as of 

which the settlement value is 

determined (i.e., a ‘‘T+2’’ basis). 

Settlement times will vary depending 

on the clearing bank through which 

settlement is effected and in any case 

will differ from those used for option 

premiums. 

To accommodate Euro-Settled 

Futures, which will settle only on days 

in which both OCC and the relevant 

clearing banks are open for business, 

OCC proposes to provide for a definition 

of ‘‘business day’’ in respect of such 

futures which is different from that used 

in OCC’s By-Laws, and to revise its rules 

governing variation payments and add 

an interpretation and policy to those 

rules to accommodate the two-day 

settlement cycle for Euro-Settled 

Futures and other futures settled in a 

currency other than the U.S. dollar. In 

order to address the possibility that a 

Clearing Member might fail to meet a 

settlement obligation in a non-U.S. 

currency and to avoid the need for OCC 

to have credit facilities in non-U.S. 

currencies, OCC reserves the right to 

make settlement in the U.S. dollar 

equivalent of the non-U.S. currency if 

necessary, and, in addition to taking any 

other actions authorized under its ByLaws and Rules, to draft the Clearing 

Member’s U.S. dollar bank account for 

equivalent funds, which payment will 

be deemed to satisfy the Clearing 

Member’s settlement obligation. In order 

to discourage Clearing Members from 

failing to settle in the non-U.S. currency 

and thereby potentially imposing 

hardship on other Clearing Members, 

OCC reserves the right to fine or 

discipline Clearing Members that fail to 

settle. 

In addition, OCC and NYL propose to 

enter into Schedule C–2 under the 

Agreement for Clearing and Settlement 

Services, dated March 9, 2009, between 

OCC and NYL to accommodate the 

Euro-Settled Futures. 

OCC believes that the proposed rule 

change is consistent with the 

requirements of Section 17A of the Act 3

and the rules and regulations 

thereunder applicable to OCC because it 

provides for the prompt and accurate 

clearance and settlement of securities 

transactions, ensures the protection of 

investors and reduces unnecessary costs 

and burdens on them and persons 

facilitating transactions on their behalf. 

It does so by accommodating the twoday settlement date for such futures 

necessitated by the use of European 

banks and time zone differences. 

(B) Self-Regulatory Organization’s 

Statement on Burden on Competition 

OCC does not believe that the 

proposed rule change will have any 

impact on or impose any burden on 

competition. 

(C) Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

No written comments relating to the 

proposed rule change have 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 

The foregoing rule change has become 

effective upon filing pursuant to Section 

19(b)(3)(A)(iv) of the Act 4 and Rule 

19b–4(f)(4) 5 thereunder because it 

effects a change in an existing service of 

OCC that does not (i) adversely affect 

the safeguarding of securities or funds 

in OCC’s custody or control or for which 

OCC is responsible or (ii) significantly 

affect the respective rights or obligations 

of OCC or persons using the service. 

Euro-Settled Futures are futures within 

the exclusive jurisdiction of the U.S. 

Commodity Futures Trading 

Commission (‘‘CFTC’’), and OCC will 

therefore clear Euro-Settled Futures in 

its capacity as a registered derivatives 

clearing organization under the CFTC’s 

regulatory jurisdiction. This rule change 

will not affect the safeguarding of funds 

or securities in OCC’s possession 

because OCC will apply the same 

procedures and safeguards to the 

clearing of these contracts that it does to 

the clearing of securities options and 

security futures over which the 

Commission has direct regulatory 

authority. The respective rights and 

obligations of OCC and Clearing 

Members with respect to matters within 

the Commission’s jurisdiction will be 

unaffected. 

At any time within sixty days of the 

filing of such rule change, the 

Commission summarily may 

temporarily suspend such rule change if 

it appears to the Commission that such 

action is necessary or appropriate in the 

public interest, for the protection of 

investors, or otherwise in furtherance of 

the purposes of the Act. 

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 (http://www.sec.gov/ 

rules/sro.shtml) or 

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

Number SR–OCC–2010–18 on the 

subject line. 

mstockstill on DSKH9S0YB1PROD with NOTICES

68392 Federal Register / Vol. 75, No. 214 / Friday, November 5, 2010 / Notices 

6 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

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

as that term is defined 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 would not be limited to 

Government securities and GSE debt securities. 

6The government securities being initially 

excluded will be evaluated by OCC for possible 

inclusion in STANS as appropriate models are 

developed. 

Paper Comments 

• Send paper comments in triplicate 

to Elizabeth M. Murphy, Secretary, 

Securities and Exchange Commission, 

100 F Street, NE., Washington, DC 

20549–1090. 

All submissions should refer to File 

Number SR–OCC–2010–18. 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 

changes 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, on official 

business days between the hours of 

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

also will be available for inspection and 

copying at the principal office of OCC 

and on OCC’s Web site at http:// 

www.theocc.com. 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– 

2010–18 and should be submitted on or 

before November 26, 2010. 

For the Commission by the Division of 

Trading and Markets, pursuant to delegated 

authority.6

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. 2010–28059 Filed 11–4–10; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–63217; File No. SR–OCC– 

2010–14] 

Self-Regulatory Organizations; The 

Options Clearing Corporation; Order 

Approving 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 

November 1, 2010. 

I. Introduction 

On August 25, 2010, The Options 

Clearing Corporation (‘‘OCC’’) filed with 

the Securities and Exchange 

Commission (‘‘Commission’’) proposed 

rule change SR–OCC–2010–14 pursuant 

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

Exchange Act of 1934 (‘‘Act’’) 1 and Rule 

19b–4 thereunder.2 The proposed rule 

change was published in the Federal 

Register on September 13, 2010. No 

comment letters were received on the 

proposal. This order approves the 

proposal. 

II. Description 

This rule change revises OCC’s Rules 

to expand the forms of collateral eligible 

for incorporation in OCC’s System for 

Theoretical Analysis and Numerical 

Simulations (‘‘STANS’’) risk 

management methodology. 

The rule change alters Interpretation 

and Policy .06 to Rule 601 in connection 

with expanding the forms of collateral 

eligible for incorporation in the STANS 

risk management methodology. Prior to 

the rule change, OCC incorporated 

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 will now incorporate 

certain fixed-income, ‘‘government 

securities’’ into the STANS margin 

calculation process. 

The specific amendments to OCC’s 

Rules that facilitate incorporation of 

government securities into 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 will now incorporate in phases 

certain ‘‘government securities’’ into the 

STANS margin calculation beginning 

with U.S. Government securities.5

Treasury Inflation Protected Securities 

and callable U.S Treasury Securities 

will be excluded from the initial phase, 

as will be 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 will 

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 inclusion of government 

securities into STANS will be 

implemented using an approach similar 

to that used when common stocks and 

ETFs were added into STANS. The 

value of the securities deposited in a 

Clearing Member’s account will 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 upon the implementation of 

this change. 

As a part of this rule change, OCC will 

apply a portfolio specific adjustment 

factor when determining whether there 

is sufficient margin excess in an 

account. This will enable OCC to release 

margin collateral to a Clearing Member 

on an intraday basis. The adjustment 

factor is account and security specific 

mstockstill on DSKH9S0YB1PROD with NOTICES