Federal Register / Vol. 79, No. 238 / Thursday, December 11, 2014 / Notices 73673 

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

5 17 CFR 240.19b–4(f)(6). 

6 17 CFR 200.30–3(a)(12). 

1 12 U.S.C. 5465(e)(1). 

2 17 CFR 240.19b–4(n)(1)(i). 

month period beginning June 1, 2014, 

and ending November 30, 2014. This 

filing does not propose any substantive 

changes to the Penny Pilot Program: All 

classes currently participating will 

remain the same and all minimum 

increments will remain unchanged. The 

Exchange believes the benefits to public 

customers and other market participants 

who will be able to express their true 

prices to buy and sell options have been 

demonstrated to outweigh the increase 

in quote traffic. 

2. Statutory Basis 

The basis under the Securities 

Exchange Act of 1934 (the ‘‘Exchange 

Act’’) for this proposed rule change is 

found in Section 6(b)(5), in that the 

proposed rule change is designed to 

promote just and equitable principles of 

trade, 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 proposed rule change, 

which extends the Penny Pilot Program 

for an additional six months, will enable 

public customers and other market 

participants to express their true prices 

to buy and sell options for the benefit 

of all market participants. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

This proposed rule change does not 

impose any burden on competition. 

Specifically, the Exchange believes that, 

by extending the expiration of the 

Penny Pilot Program, the proposed rule 

change will allow for further analysis of 

the Penny Pilot Program and a 

determination of how the Penny Pilot 

Program should be structured in the 

future. In doing so, the proposed rule 

change will also serve to promote 

regulatory clarity and consistency, 

thereby reducing burdens on the 

marketplace and facilitating investor 

protection. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants or Others 

The Exchange has not solicited, and 

does not intend to solicit, comments on 

this proposed rule change. The 

Exchange has not received any written 

comments from members or other 

interested parties. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Because the foregoing proposed rule 

change does not significantly affect the 

protection of investors or the public 

interest, does not impose any significant 

burden on competition, and, by its 

terms, does not become operative for 30 

days from the date on which it was 

filed, or such shorter time as the 

Commission may designate, it has 

become effective pursuant to Section 

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

4(f)(6) thereunder.5 The Exchange 

provided the Commission with 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 the proposed 

rule change as required by Rule 19b– 

4(f)(6). 

At any time within 60 days of the 

filing of such 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 Exchange 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 Exchange 

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 Email to rule-comments@

sec.gov. Please include File No. SR–ISE– 

2014–55 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Brent J. Fields, Secretary, Securities 

and Exchange Commission, 100 F Street 

NE., Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–ISE–2014–55. This file 

number should be included on the 

subject line if email is used. To help the 

Commission process and review your 

comments more efficiently, please use 

only one method. The Commission will 

post all comments on the Commissions 

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 

10:00am and 3:00pm. Copies of such 

filing also will be available for 

inspection and copying at the principal 

office of the ISE. 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–ISE– 

2014–55 and should be submitted by 

January 2, 2015. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.6

Brent J. Fields, 

Secretary. 

[FR Doc. 2014–29012 Filed 12–10–14; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–73749; File No. SR–OCC– 

2014–810] 

Self-Regulatory Organizations; The 

Options Clearing Corporation; Notice 

of Filing of Advance Notice 

Concerning Modifications To Back 

Testing Procedures in Order To 

Enhance Monitoring of Margin 

Coverage and Model Risk Exposure 

December 5, 2014. 

Pursuant to Section 806(e)(1) of Title 

VIII of the Dodd-Frank Wall Street 

Reform and Consumer Protection Act 

entitled the Payment, Clearing, and 

Settlement Supervision Act of 2010 1

(‘‘Payment, Clearing and Settlement 

Supervision Act’’) and Rule 19b– 

4(n)(1)(i) under the Securities Exchange 

Act of 1934 2 notice is hereby given that 

on November 13, 2014, The Options 

Clearing Corporation (‘‘OCC’’) filed with 

the Securities and Exchange 

Commission (‘‘Commission’’) the 

advance notice as described in Items I 

and II below, which Items have been 

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73674 Federal Register / Vol. 79, No. 238 / Thursday, December 11, 2014 / Notices 

3OCC initially filed a similar advance notice on 

October 31, 2014, as File No. SR–OCC–2014–808. 

However to correct certain errors in that filing 

relating to two backtesting program tests, OCC 

withdrew it and made a new filing (File No. SR– 

OCC–2014–810) on November 13, 2014. 

4See, ‘‘Supervisory Framework for the Use of 

‘Backtesting’ in Conjunction with Internal Model 

Approach to Market Risk Capital Requirement.’’ 

Located at http://www.bis.org/publ/bcbs22.htm. 

5The Enterprise Risk Management Committee is 

chaired by the Chief Risk Officer, and consists of 

the Executive Chairman, Chief Operations Officer, 

General Counsel, Chief Information Officer, Chief 

Audit Executive, the Chief Compliance Officer and 

other members as determined by the Chair. 

6The relevant systems changes are scheduled to 

be installed on December 5, 2014. 

7See, Kupiec, P. ‘‘Techniques for Verifying the 

Accuracy of Risk Management Models,’’ Journal of 

Derivatives, v3, P73–84. (1995). 

8See, Christoffersen, Peter, ‘‘Evaluating Interval 

Forecasts.’’ International Economic Review, 39 (4), 

841–862. (1998). Economic Review, 39 (4), 841–862. 

(1998). 

prepared by OCC.3 The Commission is 

publishing this notice to solicit 

comments on the advance notice from 

interested persons. 

I. Clearing Agency’s Statement of the 

Terms of Substance of the Advance 

Notice 

This advance notice is filed by OCC 

in connection with a proposed change 

to its operations (the ‘‘Change’’) in the 

form of modifications to its back testing 

procedures in order to enhance its 

monitoring of margin coverage and 

model risk exposure. 

II. Clearing Agency’s Statement of the 

Purpose of, and Statutory Basis for, the 

Advance Notice 

In its filing with the Commission, 

OCC included statements concerning 

the purpose of and basis for the advance 

notice and discussed any comments it 

received on the advance notice. 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) and (B) below, of the 

most significant aspects of these 

statements. 

(A) Clearing Agency’s Statement on 

Comments on the Advance Notice 

Received From Members, Participants or 

Others 

Written comments on the advance 

notice were not and are not intended to 

be solicited with respect to the advance 

notice and none have been received. 

(B) Advance Notices Filed Pursuant to 

Section 806(e) of the Payment, Clearing 

and Settlement Supervision Act 

Description of Change 

The proposed Change would modify 

OCC’s back testing procedures in order 

to enhance its monitoring of margin 

coverage and model risk exposure. Such 

monitoring would allow OCC to identify 

and make improvements to its margin 

methodology and enhance OCC’s ability 

to manage risk. 

OCC has implemented back testing 

procedures in order to test its 

methodology for determining the 

amount of margin to collect from 

clearing members and validate the 

assumptions and mechanisms inherent 

in its methodology and to make any 

necessary changes to the methodology. 

Each trading day, OCC estimates the risk 

on accounts and uses this estimate as a 

basis for each account’s margin charge. 

On the following business day, OCC’s 

back tests compare an account’s 

observed profit and loss (‘‘P&L’’) with 

the prior day’s estimated risk using a 

variety of analytical and statistical tools. 

These daily tests measure the 

performance of the account’s risk 

measures, and therefore, also measure 

the performance of OCC’s underlying 

methodology for calculating these 

measures. OCC’s back testing program 

enables OCC to assess performance of its 

margining systems and determine 

whether financial risks are adequately 

or inadequately captured by the 

quantitative models in use. 

Currently, OCC employs the ‘‘traffic 

light’’ test published by the Basel 

Committee on Banking Supervision in 

1996 (the ‘‘Traffic Light Test’’).4 In 

conducting the Traffic Light Test, OCC 

determines the actual number of 

instances in which the realized loss on 

an account exceeded the margin, known 

as an ‘‘exceedance,’’ over an observation 

period of one year. The number of 

exceedances during the observation 

period is compared against the number 

of expected exceedances that are 

independent and identically distributed 

over time. OCC will employ an 

enhanced version of the Traffic Light 

Test that takes into account the 

dependency of exceedances between 

accounts. 

OCC has conducted daily back testing 

of margin accounts since 2006. OCC’s 

staff analyzes the exceedances and 

makes monthly reports to OCC’s 

Enterprise Risk Management Committee 

(‘‘ERMC’’).5 The reports to the ERMC 

include pertinent conclusions based on 

results from the full set of back tests. 

When back testing reveals the potential 

opportunity for remediation of OCC’s 

margin methodology, OCC undertakes a 

root cause analysis to determine the 

cause of any issues. Any significant 

failures of OCC’s methodology lead to 

OCC undertaking a model improvement 

project designed to correct the 

problems. 

OCC has analyzed its back testing 

program and identified several 

enhancements to the program. The 

following section details the nature of 

the proposed enhancements.6

1. Proposed Enhancement of and 

Increase in Statistical Tests 

The proposed changes would enhance 

existing statistical tests and add three 

new statistical tests. The first proposed 

change to OCC’s back testing program is 

that OCC proposes to enhance the 

Traffic Light Test so that it may be 

applied to exceedances across all of 

OCC’s margin accounts. Given that 

exceedances are not independent across 

margin accounts, OCC will enhance this 

test so that it will produce a single 

numerical output that measures 

aggregation across margin accounts. 

In addition to the enhanced Traffic 

Light Test, OCC will implement other 

industry standard tests based on 

exceedances in order to provide a more 

comprehensive set of tests. The second 

proposed change to OCC’s back testing 

program is that OCC will add the 

Kupiec Test,7 which is a new proportion 

of failures test that compares the actual 

number of exceedances with the number 

that would be expected in light of the 

confidence level associated with the 

calculation of margin. For example, 

when calculating margin with a 

confidence level of 99%, the number of 

exceedances is expected to be 1% of the 

total observations, i.e., the P&Ls for all 

accounts for all days during the 

measurement period. If the actual 

number of exceedances is near the 

expected number, this is an indication 

that the calculated margin requirements 

are accurate estimates of the accounts’ 

estimated losses. 

The third proposed change to OCC’s 

back testing program is that OCC will 

add the Christoffersen Independence 

Test,8 which is a new statistical test that 

measures the extent to which 

exceedances are independent of each 

other. Specifically, if OCC’s margin 

models are correctly assessing risk, the 

probability of an exceedance occurring 

at any two points in time should be the 

same as the probability of an 

exceedance occurring at either point in 

time, individually, without the 

exceedance occurring at the other point 

in time. The fourth proposed change to 

OCC’s back testing program is a new 

test, the Probtile test, that compares the 

distribution of the daily observed P&L to 

the daily forecasted P&L distribution. If 

the distribution of P&L movement ratios 

approximates a uniform random 

distribution, this is an indication that 

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Federal Register / Vol. 79, No. 238 / Thursday, December 11, 2014 / Notices 73675 

9 Depending on the nature of a proposed change, 

it may be necessary for OCC to file a proposed rule 

change filing or advance notice filing with the 

Commission. 10 12 U.S.C. 5465(b)(1). 

OCC’s margin models are providing 

accurate forecasts of potential losses in 

an account. Combined, these new 

statistical tests will provide OCC with 

the pertinent information necessary to 

evaluate the effectiveness of its models 

in determining margin coverage. 

2. Proposed Data Set Changes 

OCC proposes to enhance the data 

sets being back tested to allow for 

testing against various assumed 

portfolio and market data scenarios, in 

addition to the performance of actual 

portfolios against actual, current market 

conditions. First, OCC would back test 

hypothetical portfolios, allowing for the 

design and monitoring of portfolios that 

have magnified sensitivities to 

particular aspects of the models used in 

the margin computations. Back testing 

against hypothetical portfolios would 

provide a more comprehensive insight 

into the adequacy of the underlying 

model assumptions under market 

conditions prevailing in the back test 

observation periods. 

Under the second data set 

enhancement, OCC would back test 

current accounts against earlier 

observation periods. Currently, accounts 

are ‘‘frozen’’ by assuming that the time 

to maturity and the degree to which 

options are in-the-money or out-of-themoney remain constant during the 

chosen observation period. The market 

data observed over the observation 

period is used to generate the margin 

forecasts and P&L. Under the 

enhancement, observation periods 

would be chosen to reflect special 

market conditions, which is useful 

because even though margin coverage 

might be adequate in the current 

environment, margin coverage could be 

inadequate under stressed conditions, 

such as periods of high volatility. The 

ability to select specific observation 

periods would not limit the back testing 

to the current environments but rather 

would highlight performance of margin 

coverage and model performance in 

market scenarios other than prevailing 

market conditions. 

3. Proposed Forecast Horizons Changes 

Currently, OCC conducts back testing 

using a one-day time horizon, which 

means that it compares calculated 

margin with realized profit and losses 

that occur on the business day following 

the calculation. OCC’s margin 

calculations assume that positions 

would be liquidated over a two-day 

period. This test, therefore, compares 

two-day margin numbers to a one-day 

profit and loss calculation. OCC’s 

existing back testing methodology 

makes adjustments in its testing to 

account for the difference between the 

two-day liquidation period used in its 

margin calculation and the one-day 

horizon used in the profit and loss 

calculation. OCC intends to revise its 

back testing methodology to take into 

account losses over a two-day time 

horizon, without such adjustments, 

which would match the two-day 

liquidation period used in the margin 

calculation. OCC therefore proposes to 

implement functionality into its back 

testing system to conduct a two-day 

time horizon back test, which will 

compare calculated margin against a 

two-day profit and loss calculation. OCC 

also proposes to revise its back testing 

methodology to compare one-day 

margin calculations against one-day 

profit and loss calculations, and will 

implement system functionality for such 

a test. Issues identified in any of these 

back tests will be reported to the ERMC. 

OCC believes that its adoption of the 

additional forecast horizons tests will 

allow it to have a more accurate view of 

the sufficiency of its margin 

methodology. 

4. Proposed Root Cause Analysis 

Changes 

The proposed Change will improve 

OCC’s ability to conduct root cause 

analyses by providing OCC’s back 

testing staff with additional, automated, 

investigation tools. Currently, and when 

necessary, OCC’s back test staff 

conducts investigations in order to 

identify the root cause exceedances. The 

investigation itself is a manual process 

that is dependent upon the facts and 

circumstances pertaining to a given 

exceedance. OCC is now proposing to 

make system modifications that will 

provide OCC’s back testing staff with 

addition tools that will facilitate such 

investigations. Specifically, OCC 

proposes to add system functionality 

that will show attribution of losses due 

to underlying price movements and 

implied volatility movements. Further, 

under the improvements OCC would be 

able to incorporate hypothetical 

accounts and positions into the tests 

and would be able to identify risk 

factors that move above or below the 

projected values. These changes will 

improve OCC’s ability to conduct 

investigations that identify the root 

cause of exceedances, which will in 

turn lead to improving OCC’s back 

testing methodology and its margin 

coverage. 

Anticipated Effect on and Management 

of Risk 

OCC believes the proposed Change to 

its back testing procedures would 

reduce the level of risk presented by 

OCC because it would enhance OCC’s 

back testing by providing it with more 

tools to identify gaps in its margin 

methodology and develop corrective 

changes thereto.9 For example, 

enhanced and increased statistical 

testing would provide additional 

information about the adequacy of 

margin coverage and thus strengthen the 

assessment of margin and model 

performance. Changes to data sets 

would include hypothetical portfolios 

and earlier observation periods would 

allow testing of margin coverage under 

a greater variety of market conditions. 

Modifying the tests to take into account 

losses over a two-day period would 

increase the accuracy of the testing 

because this two-period matches the 

assumed liquidation period used in the 

margin calculations. OCC would also be 

able to more accurately determine the 

root cause of exceedances, while 

rejecting results that incorrectly suggest 

a needed improvement in its margin 

methodology, and then would be able to 

narrowly tailor solutions to the 

identified root causes. Ultimately, by 

allowing OCC to more readily and 

precisely identify gaps in its margin 

methodology, the Change will reduce 

risk to OCC and the markets that it 

serves. 

Consistency With the Payment, Clearing 

and Settlement Supervision Act 

The Change is consistent with Section 

805(b)(1) of Payment, Clearing and 

Settlement Supervision Act because it 

promotes robust risk management.10

OCC’s receipt of margin from its 

clearing members protects OCC and 

market participants from risks presented 

by the markets OCC serves. OCC uses 

back testing in order to evaluate the 

sufficiency and adequacy of the amount 

of margin it collects from its clearing 

members. As described above, the 

Change will provide OCC will [sic] 

additional tools to identify gaps in its 

margin methodology. Such 

identification process will lead to 

improvements to OCC margin models 

thereby promoting robust risk 

management. 

III. Date of Effectiveness of the Advance 

Notice and Timing for Commission 

Action 

The proposed change may be 

implemented if the Commission does 

not object to the proposed change 

within 60 days of the later of (i) the date 

that the Commission receives the notice 

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73676 Federal Register / Vol. 79, No. 238 / Thursday, December 11, 2014 / Notices 

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

2 17 CFR 240.19b–4. 

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

4 17 CFR 240.19b–4(f)(6)(iii). 

5See Securities Exchange Act Release No. 66403 

(February 15, 2012), 77 FR 10593 (February 22, 

2012) (SR–EDGA–2012–05) (Notice of Filing and 

Immediate Effectiveness of Proposed Rule Change 

Relating to an Offering of a New Historical Data 

Feed Service to Members and Non-Members). 

of proposed change, or (ii) the date the 

Commission receives any further 

information it requests for consideration 

of the notice. The clearing agency shall 

not implement the proposed change if 

the Commission has any objection to the 

proposed change. 

The Commission may extend the 

period for review by an additional 60 

days if the proposed change raises novel 

or complex issues, subject to the 

Commission providing the clearing 

agency with prompt written notice of 

the extension. A proposed change may 

be implemented in less than 60 days 

from the date the advance noticed is 

filed, or the date further information 

requested by the Commission is 

received, if the Commission notifies the 

clearing agency in writing that it does 

not object to the proposed change and 

authorizes the clearing agency to 

implement the proposed change on an 

earlier date, subject to any conditions 

imposed by the Commission. 

The clearing agency shall post notice 

on its Web site of proposed changes that 

are implemented. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views and 

arguments concerning the foregoing, 

including whether the proposed change, 

is consistent with the Payment, Clearing 

and Settlement Supervision 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 email to rule-comments@

sec.gov. Please include File Number SR– 

OCC–2014–810 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE., 

Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–OCC–2014–810. This file 

number should be included on the 

subject line if email is used. To help the 

Commission process and review your 

comments more efficiently, please use 

only one method. The Commission will 

post all comments on the Commission’s 

Internet Web site (http://www.sec.gov/

rules/sro.shtml). Copies of the 

submission, all subsequent 

amendments, all written statements 

with respect to the advance notice that 

are filed with the Commission, and all 

written communications relating to the 

advance notice 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 

10:00 a.m. and 3:00 p.m. Copies of the 

filing also will be available for 

inspection and copying at the principal 

office of OCC and on OCC’s Web site 

http://www.theocc.com/components/

docs/legal/rules_and_bylaws/sr_occ_14_

810.pdf. 

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–2014–810 and should 

be submitted on or before January 2, 

2015. 

By the Commission. 

Kevin M. O’Neill, 

Deputy Secretary. 

[FR Doc. 2014–29002 Filed 12–10–14; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–73759; File No. SR–EDGA– 

2014–30] 

Self-Regulatory Organizations; EDGA 

Exchange, Inc.; Notice of Filing and 

Immediate Effectiveness of a Proposed 

Rule Change To Amend the EdgeBook 

Cloud Service on EDGA Exchange, Inc. 

December 5, 2014. 

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

Securities Exchange Act of 1934 (the 

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

notice is hereby given that on November 

25, 2014, EDGA Exchange, Inc. (the 

‘‘Exchange’’ or ‘‘EDGA’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change as described in Items I and II 

below, which Items have been prepared 

by the Exchange. The Exchange has 

designated this proposal as a ‘‘noncontroversial’’ proposed rule change 

pursuant to Section 19(b)(3)(A) of the 

Act 3 and Rule 19b–4(f)(6)(iii) 

thereunder,4 which renders it effective 

upon filing with the Commission. 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 filed a proposal to 

eliminate references to and fees for the 

Flex Download and Snapshot offerings 

available as part of the Exchange’s 

EdgeBook Cloud service, which are 

optional services that are to be 

discontinued by the Exchange. The 

Exchange will continue to offer the 

Replay portion of the EdgeBook Cloud 

service, but proposes to rename it EDGA 

Historical Depth Data as well as amend 

its related fees. 

The text of the proposed rule change 

is available at the Exchange’s Web site 

at http://www.directedge.com/, at the 

principal office of the Exchange, and at 

the Commission’s Public Reference 

Room. 

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 

Exchange 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. 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 EdgeBook Cloud is a service that 

allows Members and non-Members of 

the Exchange to obtain and query 

historical trade and quote data 

(‘‘historical data’’) representing the realtime data feed previously disseminated 

by the Exchange.5 The EdgeBook Cloud 

currently includes the three separate 

offerings: Replay, FlexDownload, and 

Snapshot. The Exchange proposes to 

eliminate references to and fees for the 

Flex Download and Snapshot offerings 

available as part of the Exchange’s 

EdgeBook Cloud service, which are 

optional services that are to be 

discontinued by the Exchange. The 

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