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 

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Federal Register / Vol. 75, No. 214 / Friday, November 5, 2010 / Notices 68393 

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(b)(3)(F). 

10 15 U.S.C. 78q–1. 

11 15 U.S.C. 78s(b)(2). 

12 In approving the proposed rule change, the 

Commission considered the proposal’s impact on 

efficiency, competition, and capital formation. 15 

U.S.C. 78c(f). 

13 17 CFR 200.30–3(a)(12). 

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 will provide a more accurate 

projection of the margin impact of 

collateral withdrawals and substitutions 

on a Clearing Member’s account. This 

process is already 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 is now 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 

adoption of certain government 

securities into the STANS margin 

calculation process. 

III. Discussion 

Section 17A(b)(3)(F) 9 requires, among 

other things, that the rules of a clearing 

agency are designed to safeguard 

securities and funds in the clearing 

agency’s possession or control or for 

which it is responsible. This requires 

OCC to have the ability to meet its 

settlement obligations following a 

member’s default. It is therefore 

necessary that OCC have an effective 

methodology for calculating margin 

requirements that are sufficient to 

enable OCC to complete settlement in 

the event a member becomes insolvent 

or otherwise fails to meet its obligations 

to OCC. The Commission believes that 

the changes OCC is making to include 

government securities within the 

STANS risk management methodology 

should better enable OCC to fulfill its 

safeguarding obligations under the Act 

and therefore is consistent with the Act. 

IV. Conclusion 

On the basis of the foregoing, the 

Commission finds that the proposal is 

consistent with the requirements of the 

Act and in particular with the 

requirements of Section 17A of the 

Act 10 and the rules and regulations 

thereunder. 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,11 that the 

proposed rule change (File No. SR– 

OCC–2010–14) be, and hereby is, 

approved.12

For the Commission by the Division of 

Trading and Markets, pursuant to delegated 

authority.13

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. 2010–28057 Filed 11–4–10; 8:45 am] 

BILLING CODE 8011–01–P 

SMALL BUSINESS ADMINISTRATION 

Data Collection Available for Public 

Comments and Recommendations 

ACTION: Notice and request for 

comments. 

SUMMARY: In accordance with the 

Paperwork Reduction Act of 1995, this 

notice announces the Small Business 

Administration’s intentions to request 

approval on a new and/or currently 

approved information collection. 

DATES: Submit comments on or before 

January 4, 2011. 

ADDRESSES: Send all comments 

regarding whether these information 

collections are necessary for the proper 

performance of the function of the 

agency, whether the burden estimates 

are accurate, and if there are ways to 

minimize the estimated burden and 

enhance the quality of the collections, to 

A. B. McConnell, Jr., Chief 504 Program 

Branch, Office of Financial Assistance, 

Small Business Administration, 409 3rd 

Street, 8th Floor, Washington, DC 

20416. 

FOR FURTHER INFORMATION CONTACT: A. 

B. McConnell, Jr., Chief of 504 Branch, 

Office of Financial Assistance, 202– 

205–7238, Andrew.mcconnell@sba.gov; 

Curtis Rich, Management Analyst, 202– 

205–7030 curtis.rich@sba.gov. 

SUPPLEMENTARY INFORMATION: The 

information collected through these 

forms from the small business 

applicants and participating lenders 

will be used to determine eligibility and 

to properly evaluate the merits of each 

loan request based on reasonable and 

customary underwriting criteria such as 

character, capacity, credit collateral, etc. 

This information is collected for the 

purpose of extending credit under the 

504 loan program. 

Title: U.S. Small Business 

Administration Application for Section 

504 Loan. 

Description of Respondents: 504 

Lenders. 

Form Number: SBA Form 1244. 

Annual Responses: 6,800. 

Annual Burden: 15,735. 

Title: Eligibility Information Required 

for 504 Submission (non PCLP). 

Description of Respondents: 504 

Lenders. 

Form Number: SBA Form 2415. 

Annual Responses: 5,100. 

Annual Burden: 4,675. 

Title: PCLP Quarterly Loan Loss 

Reserve Report and PCLP Guarantee 

Request. 

Description of Respondents: 504 

Lenders. 

Form Number: SBA Forms 2233, 2234 

(Part A), 2234 (Part B), 2234 (Part C) 

(Note: SBA Form 2234 (Part C) is the 

only form being revised). 

Annual Responses: 1,700. 

Annual Burden: 1,558. 

Title: Servicing Agent Agreement. 

Description of Respondents: 504 

Lenders. 

Form Number: SBA Form 1506. 

Annual Reponses: 7,830. 

Annual Burden: 7, 830. 

Curtis B. Rich, 

Acting Chief, Administrative Information 

Branch. 

[FR Doc. 2010–27925 Filed 11–4–10; 8:45 am] 

BILLING CODE P 

SMALL BUSINESS ADMINISTRATION 

[Disaster Declaration # 12366 and # 12367] 

Puerto Rico Disaster # PR–00011 

AGENCY: U.S. Small Business 

Administration. 

ACTION: Notice. 

SUMMARY: This is a notice of an 

Administrative declaration of a disaster 

mstockstill on DSKH9S0YB1PROD with NOTICES