Federal Register / Vol. 79, No. 249 / Tuesday, December 30, 2014 / Notices 78543 

12 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3ELX Futures LP (‘‘ELX’’) previously submitted 

overnight trading activity to OCC, but currently 

does not submit trades from overnight trading 

sessions to OCC. OCC will re-evaluate ELX’s risk 

controls in the event ELX re-institutes its overnight 

trading sessions. 

4See CFE–2014–010 at http://cfe.cboe.com/

publish/CFErulefilings/SR-CFE-2014-010.pdf. 

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 changes 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 the CHX. 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 No. SR–CHX–2014– 

20 and should be submitted on or before 

January 20, 2015. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.12

Brent J. Fields, 

Secretary. 

[FR Doc. 2014–30442 Filed 12–29–14; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–73907; File No. SR–OCC– 

2014–24] 

Self-Regulatory Organizations; The 

Options Clearing Corporation; Notice 

of Filing of Proposed Rule Change 

Concerning Extended and Overnight 

Trading Sessions 

December 22, 2014. 

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 December 

12, 2014, 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 

by OCC. The Commission is publishing 

this notice to solicit comments on the 

proposed rule change from interested 

persons. 

I. Clearing Agency’s Statement of the 

Terms of Substance of the Proposed 

Rule Change 

This proposed rule change is filed by 

OCC in connection with a proposed 

change to its operations concerning the 

clearance of confirmed trades executes 

in extended and overnight trading 

sessions (hereinafter, ‘‘overnight trading 

sessions’’) offered by exchanges for 

which OCC provides clearance and 

settlement services. 

II. Clearing Agency’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) Clearing Agency’s Statement of the 

Purpose of, and Statutory Basis for, the 

Proposed Rule Change 

1. Purpose 

This proposed rule change is being 

filed in connection with a proposed 

change to OCC’s operations concerning 

the clearance of confirmed trades 

executed in overnight trading sessions 

offered by exchanges for which OCC 

provides clearance and settlement 

services. OCC currently clears overnight 

trading activity for CBOE Futures 

Exchange, LLC (‘‘CFE’’).3 The total 

number of trades submitted to OCC from 

overnight trading sessions is nominal, 

typically less than 3,000 contracts per 

session. However, OCC has recently 

observed an industry trend whereby 

exchanges are offering overnight trading 

sessions beyond traditional hours. 

Exchanges offering overnight trading 

sessions have indicated that such 

sessions benefit market participants by 

providing additional price transparency 

and hedging opportunities for products 

traded in such sessions, which, in turn, 

promotes market stability.4 In light of 

this trend, OCC proposes to implement 

a framework for clearing trades executed 

in such sessions that includes: (1) 

Qualification criteria used to approve 

clearing members for overnight trading 

sessions, (2) systemic controls to 

identify trades executed during 

overnight trading sessions by clearing 

members not approved for such 

sessions, (3) enhancements to OCC’s 

overnight monitoring of trades 

submitted by exchanges during 

overnight trading sessions, (4) 

enhancements to OCC’s credit controls 

with respect to monitoring clearing 

members’ credit risk during overnight 

trading sessions, including procedures 

for contacting an exchange offering 

overnight trading sessions in order to 

invoke use of the exchange’s kill switch, 

and (5) taking appropriate disciplinary 

action against clearing members who 

attempt to clear during overnight 

trading session without first obtaining 

requisite approvals. These changes 

(described in greater detail below) are 

designed to reduce and mitigate the 

risks associated with clearing trades 

executed in overnight trading sessions. 

In addition, the only products that will 

be eligible for overnight trading sessions 

are index options and index futures 

products. 

OCC’s standards for determining 

whether to provide clearing services for 

overnight trading sessions offered by an 

exchange and the implementation of a 

framework are designed to work in 

conjunction with the risk controls of the 

exchanges that offer overnight trading 

sessions. OCC would confirm an 

exchange’s risk controls as well as its 

staffing levels as they relate to overnight 

trading sessions to determine if OCC 

may reasonably rely on such risk 

controls to reduce risk presented to OCC 

by the exchange’s overnight trading 

sessions. Such exchange risk controls 

will consist of: (1) Price reasonability 

checks, (2) controls to prevent orders 

from being executed beyond a certain 

percentage (determined by the 

exchange) from the initial execution 

price, (3) activity based protections 

which focus on risk beyond price, such 

as a high number of trades occurring in 

a set period of time, and (4) kill switch 

capabilities, which may be initiated by 

the exchange and can cancel all open 

quotes or all orders of a particular 

participant. OCC believes that 

confirming the existence of applicable 

pre-trade risk controls as well as 

overnight staffing at the relevant 

exchanges is essential to mitigating risks 

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78544 Federal Register / Vol. 79, No. 249 / Tuesday, December 30, 2014 / Notices 

5Comparable controls are applied to futures and 

future option trades executed in overnight trading 

sessions currently cleared by OCC, although such 

controls have been implemented by clearing futures 

commission merchants (‘‘clearing FCMs’’) pursuant 

to Commodity Futures Trading Commission 

(‘‘CFTC’’) Regulation 1.73, which also requires such 

clearing FCMs to monitor for adherence to such 

controls during regular and overnight trading 

sessions. OCC believes that it may reasonably rely 

on such regulation to reduce risk presented to OCC 

during futures markets overnight trading sessions. 

See 17 CFR 1.73. OCC also confirmed CFE 

maintains kill switch capabilities. 

6Clearing members will be required to designate 

a proprietary bank account to ensure that OCC has 

a general lien on the assets in the account and can 

use them to satisfy any obligation of the clearing 

member to OCC. 

7Clearing members approved for overnight 

trading sessions who do not meet the Additional 

Margin requirement for a given overnight trading 

session will be treated like a clearing member not 

approved overnight trading sessions, as described 

below. 

8Under OCC Rule 601, OCC has the discretion to 

fix the margin requirement for any account at an 

amount that it deems necessary or appropriate 

under the circumstances to protect the interests of 

clearing members, OCC and the public. 

presented to OCC from overnight 

trading sessions.5 Providing clearing 

services to exchanges offering such 

sessions is consistent with OCC’s 

mission to provide market participants 

with clearing and risk management 

solutions that respond to changes in the 

marketplace and may result in increased 

cleared contract volume. 

Qualification Criteria 

In order to mitigate risks associated 

with clearing for overnight trading 

sessions, clearing members that 

participate in such trading sessions 

would be required to provide contact 

information to OCC for operational and 

risk personnel available to be contacted 

by OCC during such sessions. In 

addition, OCC would require that 

clearing members participating in an 

overnight trading session to post 

additional margin in a designated 

account in order to mitigate against the 

risk that OCC cannot draft a clearing 

member’s bank account during an 

overnight trading session.6 OCC would 

also adopt a procedure whereby, on a 

quarterly basis, it confirms its record of 

clearing members eligible for overnight 

trading sessions with a similar record 

maintained by exchanges offering such 

overnight trading sessions. 

With respect to providing operational 

and risk contacts, under OCC Rule 201, 

each clearing member is required to 

maintain facilities for conducting 

business with OCC, and a representative 

of the clearing member authorized in 

the name of the clearing member to take 

all action necessary for conducting 

business with OCC is required to be 

available at the facility during such 

hours as may be specified from time-totime by OCC. Similarly, OCC Rules 

214(c) and (d) require clearing members 

to ensure that they have the appropriate 

number of qualified personnel and to 

maintain the ability to process 

anticipated volumes and values of 

transactions. OCC would use this 

existing authority to require clearing 

members trading during overnight 

trading sessions to maintain operational 

and risk staff that may be contacted by 

OCC during such sessions. 

OCC would impose upon clearing 

members qualified to participate in 

overnight trading sessions additional 

margin requirement in an amount of the 

lesser of $10 million or 10% of the 

clearing member’s net capital 

(‘‘Additional Margin’’), which would be 

equal to the first monitoring risk 

threshold (described below) and which 

would be collected the morning before 

each overnight trading sessions.7

Clearing members must identify the 

proprietary account that would be 

charged the Additional Margin amount. 

The Additional Margin requirement is 

intended to provide OCC with 

additional margin assets should a 

clearing member’s credit risk increase 

during overnight trading sessions. OCC 

proposes to adopt a process whereby 

each morning OCC Financial Risk 

Management staff would assess the 

Additional Margin requirement against 

clearing members eligible to participate 

in overnight trading sessions. Clearing 

members that do not have sufficient 

excess margin on deposit with OCC to 

meet the Additional Margin amount 

would be required to deposit additional 

funds with OCC to satisfy the 

Additional Margin requirement.8 This 

process would be adopted under 

existing rule authority. 

Moreover, OCC also would confirm 

that an exchange offering overnight 

trading sessions has adopted a 

procedure whereby such exchange 

would contact OCC when a trader 

requests trading privileges during 

overnight trading sessions. The purpose 

of this contact is to verify that the 

trader’s clearing firm (i.e., the OCC 

clearing member) is approved for 

overnight trading sessions. If the 

applicable OCC clearing member is not 

approved for overnight trading sessions, 

then the clearing member must receive 

OCC’s approval for overnight trading 

sessions, or the exchange would not 

provide the trader trading privileges 

during overnight trading sessions. 

Moreover, OCC would confirm that an 

exchange offering overnight trading 

sessions has implemented a procedure 

to periodically (i.e., quarterly) validate 

its record of approved clearing firms 

against OCC’s record of clearing 

members approved for overnight trading 

sessions. Any discrepancies between the 

two records would be promptly resolved 

by either the clearing member obtaining 

approval at OCC for overnight trading 

sessions, or by the exchange revoking 

the clearing firm’s trading privileges for 

overnight trading sessions. 

Systemic Controls 

OCC plans to implement system 

changes so that trades submitted to OCC 

during overnight trading sessions that 

have been executed by clearing 

members not approved for such trading 

sessions would be reviewed by OCC 

staff after acceptance but before being 

processed (each such trade a being a 

‘‘Reviewed Trade’’). OCC would contact 

the submitting exchange regarding each 

Reviewed Trade in order to determine if 

the trade is a valid trade. If the exchange 

determines that the Reviewed Trade was 

in error such that, as provided in Article 

VI, Section 7(c), new or revised trade 

information is required to properly clear 

the transaction, OCC expects the 

exchange would instruct OCC to 

disregard or ‘‘bust’’ the trade. If the 

exchange determines that the Reviewed 

Trade was not in error, then OCC would 

clear the Reviewed Trade and take 

appropriate disciplinary action against 

the non-approved clearing member, as 

described below. OCC believes that 

clearing the Reviewed Trade is 

appropriate in order to avoid potentially 

harming the clearing member approved 

for overnight trading sessions that is on 

the opposite side of the transaction. 

Overnight Monitoring 

OCC plans to implement additional 

overnight monitoring in order to better 

monitor clearing members’ credit risk 

during overnight trading sessions. Such 

monitoring of credit risk is similar to 

existing OCC practices concerning 

futures cleared during overnight trading 

hours and includes automated processes 

within ENCORE to measure, by clearing 

member: (i) The aggregate mark-tomarket amounts of a clearing member’s 

positions, including positions created 

during overnight trading, based on 

current prices using OCC’s Portfolio 

Revaluation system, (ii) the aggregate 

incremental margin produced by all 

positions resulting from transactions 

executed during overnight trading, and 

(iii) with respect to options cleared 

during overnight trading hours, the 

aggregate net trade premium positions 

resulting from trades executed during 

overnight trading (each of these 

measures being a ‘‘Credit Risk 

Number’’). Hourly credit reports would 

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Federal Register / Vol. 79, No. 249 / Tuesday, December 30, 2014 / Notices 78545 

9OCC’s Member Services staff will also receive 

alerts in order to contact clearing members as may 

be necessary. 

10Total risk charge is a number derived from 

STANS outputs and is the sum of expected 

shortfall, stress test charges and any add-on charges 

computed by STANS. STANS is OCC’s proprietary 

margin methodology. 

11 In addition, OCC Rule 601 provides OCC with 

the authority to fix the margin requirement for any 

account or any class of cleared contracts at such 

amount as it deems necessary or appropriate under 

the circumstances to protect the respective interests 

of clearing members, OCC and the public. 

12Clearing members frequently deposit margin at 

OCC in excess of requirements. 

be generated by ENCORE containing the 

Credit Risk Numbers expressed in terms 

of both dollars and, except for the markto-market position values, as a 

percentage of net capital for each 

clearing member trading during 

overnight trading sessions. The Credit 

Risk Numbers are the same information 

used by OCC staff to evaluate clearing 

member exposure during regular trading 

hours and, in addition to OCC’s 

knowledge of its clearing members’ 

businesses, are effective measures of the 

risk presented to OCC by each clearing 

member. OCC’s Operations staff would 

review such reports as they are 

generated and, in the event that any of 

the Credit Risk Numbers for positions 

established by a clearing member during 

an overnight trading session exceeds 

established thresholds, staff would alert 

OCC’s Market Risk staff 9 of the 

exceedance in accordance with 

established procedures, as described 

below. Market Risk staff would follow a 

standardized process concerning such 

exceedances, including escalation to 

OCC’s management, if required by such 

process. Given the nominal volume of 

trades executed in overnight trading 

sessions that are presently submitted for 

clearance, no changes in current staffing 

levels that support overnight clearing 

activities is contemplated at this time, 

however, such staffing levels will be 

periodically assessed and adjusted, as 

appropriate. As part of the overnight 

clearing activities, OCC has, however, 

designated an on-call Market Risk duty 

officer who would be responsible for 

reviewing issues that arise when 

clearing for overnight trading session 

and determining what measures to be 

taken as well as additional escalation, if 

necessary. 

With respect to OCC’s escalation 

thresholds, if any Credit Risk Number of 

a clearing member approved for 

overnight trading sessions is $10 million 

or more, or any Credit Risk Number 

equals 10% or more of the clearing 

member’s net capital, OCC’s Operations 

staff would be required to provide email 

notification to Market Risk and Member 

Services staff. If any Credit Risk Number 

of a clearing member not approved for 

overnight trading sessions is $10 million 

or more, or any Credit Risk Number 

equals 10% or more of the clearing 

member’s net capital, OCC’s Operations 

would also notify Market Risk and 

Member Services staff as well as its 

senior management. Such departments 

would take action to prevent additional 

trading by the non-approved clearing 

member, including contacting the 

exchange to invoke use of the 

exchange’s kill switch. 

If any Credit Risk Number of a 

clearing member approved for overnight 

trading sessions is $50 million or more, 

or equals 25% or more of the clearing 

member’s net capital, Operations staff 

would be required to contact, by 

telephone: (i) Market Risk and Member 

Services, (ii) the applicable exchange for 

secondary review, and (iii) the clearing 

member’s designated contacts. The oncall Market Risk duty officer would also 

consider if additional action is 

necessary, which may include 

contacting a designated executive officer 

in order to issue an intra-day margin 

call, increase the clearing member’s 

margin requirement in order to prevent 

the withdrawal of a specified amount of 

excess margin collateral, if any, the 

clearing member has on deposit with 

OCC or contacting the exchange in order 

to invoke use of its kill switch. If any 

Credit Risk Number is $75 million or 

more, or equals 50% or more of the 

clearing member’s net capital, 

Operations staff would be required to 

contact, by telephone, Market Risk staff, 

the on-call Market Risk duty officer and 

a designated executive officer. Such 

officer would be responsible for 

reviewing the situation and determining 

whether to implement credit controls, 

which are described in greater detail 

below and include: Issuing an intra-day 

margin call, increasing a clearing 

member’s margin requirement in order 

to prevent the withdrawal of a specified 

amount of excess margin collateral, if 

any, the clearing member has on deposit 

with OCC, whether further escalation is 

warranted in order for OCC to take 

protective measures pursuant to OCC 

Rule 305, or contact the exchange in 

order to invoke use of its kill switch. 

OCC chose the above described 

escalation thresholds based on its 

analysis of historical overnight trading 

activity across the futures industry. OCC 

believes that these thresholds strike an 

appropriate balance between effective 

risk monitoring and operational 

efficiency. 

Credit Controls 

In order to address credit risk 

associated with trading during overnight 

trading sessions, and as described 

above, OCC would collect Additional 

Margin from clearing members as well 

as monitor and analyze the impact that 

positions established during such 

sessions have on a clearing member’s 

overall exposure. Should the need arise 

based on threshold breaches described 

above, and pursuant to OCC Rule 609, 

OCC may require the deposit of 

additional margin (‘‘intra-day margin’’) 

by any clearing member that increases 

its incremental risk as a result of trading 

activity during overnight trading 

sessions. Accordingly, a clearing 

member’s positions established during 

such sessions will be incorporated into 

OCC’s intra-day margin process. Should 

a clearing member’s exposure 

significantly increase while settlement 

banks are not open to process an intraday margin call, OCC has the authority 

under OCC Rule 601 to increase a 

clearing member’s margin requirement 

which would restrict its ability to 

withdraw excess margin collateral. The 

implementation of these measures is 

discussed more fully below. 

In the event that a clearing member’s 

exposure during overnight trading 

sessions causes a clearing member to 

exceed OCC’s intra-day margin call 

threshold for overnight night trading 

sessions, OCC would require the 

clearing member to deposit intra-day 

margin equal to the increased 

incremental risk presented by the 

clearing member. Specifically, if a 

clearing member has a total risk 

charge 10 exceeding 25% (a reduction of 

the usual figure of 50%), as computed 

overnight by OCC’s STANS system, and 

a loss of greater than $50,000 from an 

overnight trading session(s), as 

computed by Portfolio Revaluation, 

OCC would initiate an intra-day margin 

call. OCC would know at approximately 

8:30 a.m. (Central Time) if an intra-day 

margin call on a clearing member would 

be initiated based on breaches of these 

thresholds. This ‘‘start of business’’ 

margin call is in addition to daily 

margin OCC collects from clearing 

members pursuant to OCC Rule 605, any 

intra-day margin call that OCC may 

initiate as a result of regular trading 

sessions or special margin call that OCC 

may initiate. 

In addition to, or instead of, requiring 

additional intra-day margin, OCC Rule 

601 11 and OCC’s Clearing Member 

Margin Call Policy work together to 

authorize Market Risk staff to increase a 

clearing member’s margin requirement 

which may be in an amount equal to an 

intra-day margin call.12 (Any increased 

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78546 Federal Register / Vol. 79, No. 249 / Tuesday, December 30, 2014 / Notices 

13Clearing members would be able to substitute 

the locked-up collateral during normal time frames 

(i.e., 6:00 a.m. to 5:00 p.m. (Central Time) for equity 

securities). 

14See OCC Rule 1201(b). 

15 15 U.S.C. 78q–1(b)(3)(F). 

16 15 U.S.C. 78q–1(b)(3)(I). 

margin requirement will remain in 

effect until the next business day.) This 

action would immediately prevent 

clearing members from withdrawing any 

excess margin collateral (in the amount 

of the increased margin requirement) 

the clearing member has deposited with 

OCC. With respect to clearing trades 

executed in overnight trading sessions, 

and in the event OCC requires 

additional margin from a clearing 

member, Market Risk staff may use 

increased margin requirements as a 

means of collateralizing the increase in 

incremental risk a clearing member 

incurred during such sessions without 

having to wait for banks to open to 

process an intra-day margin call.13 Such 

action may be taken by OCC instead of 

or in addition to issuing an intra-day 

margin call depending on the amount of 

excess margin a clearing member has on 

deposit with OCC and the amount of the 

incremental risk presented by such 

clearing member. The expansion of 

OCC’s intra-day margin call process as 

described in the preceding paragraph, 

including OCC’s ability to manually 

increase clearing members’ margin 

requirements, would mitigate the risk 

that OCC is under-collateralized as a 

result of overnight trading hours. 

Moreover, a designated executive 

officer may call an exchange offering 

overnight trading sessions to invoke use 

of its kill switch. The kill switch would 

prevent a clearing member (or the 

market participant clearing through a 

clearing member) from executing trades 

on the exchange during a given 

overnight trading session or, if needed, 

stop all trading during a given overnight 

trading session. Finally, pursuant to 

OCC Rule 305, the Executive Chairman 

or the President of OCC, in certain 

situations, has the authority to impose 

limitations and restrictions on the 

transactions, positions and activities of 

a clearing member. This authority 

would be used, as needed, in the event 

a clearing member accumulates 

significant credit risk during overnight 

trading sessions, or a clearing member’s 

activities during such trading sessions 

otherwise warrant OCC taking 

protective action. 

Rule Enforcement Actions 

In order to deter clearing members 

from attempting to participate in 

overnight trading sessions without 

authorization as well as appropriately 

enforce the above described processes, 

OCC would ensure that any attempt by 

a clearing member to participate in 

overnight trading sessions without first 

obtaining the necessary approval would 

result in the initiation of a rule 

enforcement action against such 

clearing member. As described above, 

clearing members not approved for 

overnight trading sessions who trade 

during such overnight sessions would 

have their trades reviewed by OCC staff. 

Clearing members who attempted to 

participate in overnight trading sessions 

that did not obtain the necessary 

approval to do so would be subject to 

a minor rule violation fine.14 In 

addition, if a clearing member’s 

operational or risk contacts for 

overnight trading sessions were 

unavailable had OCC attempted to 

contact such individuals, the clearing 

member would be subject to a minor 

rule violation fine. OCC has existing 

processes in place to monitor for 

clearing member violations of OCC’s 

rules and such processes would also 

apply to clearing member activity 

during overnight trading sessions. 

2. Statutory Basis 

OCC believes that the proposed rule 

change is consistent with Section 

17A(b)(3)(F) of the Act 15 because it 

provides for the safeguarding of 

securities and funds in the custody and 

control of OCC. OCC believes that the 

proposed changes described above will 

provide OCC with the tools necessary to 

mitigate risks that may occur as a result 

of overnight trading sessions thereby 

providing for the safeguarding of 

securities and funds in the custody and 

control of OCC. As described above, 

OCC will implement a risk monitoring 

processes designed to identify increases 

in credit risk presented to OCC as a 

result of overnight trading sessions as 

well as implement additional safeguards 

designed to mitigate operational risk 

associated with overnight trading 

sessions. These practices are designed to 

identify and mitigate risks that may be 

presented to OCC as a result of 

overnight trading sessions, and provide 

for the safeguarding of securities and 

funds in the custody and control of 

OCC. The proposed rule change is not 

inconsistent with the existing rules of 

OCC, including any other rules 

proposed to be amended. 

(B) Clearing Agency’s Statement on 

Burden on Competition 

OCC does not believe that the 

proposed rule change would impose a 

burden on competition.16 The proposed 

rule change concerns operational 

changes that are designed to reduce 

OCC’s exposure to risk as a result of 

clearing member activities during 

overnight trading sessions and are 

protective in nature. These changes will 

be applied uniformly across all clearing 

members and all exchanges 

participating in overnight trading 

sessions. Accordingly, OCC does not 

believe that the proposed rule change 

would impose a burden on competition. 

(C) Clearing Agency’s Statement on 

Comments on the Proposed Rule 

Change Received From Members, 

Participants, or Others 

Written comments on the proposed 

rule change were not and are not 

intended to be solicited with respect to 

the proposed rule change and none have 

been received. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Within 45 days of the date of 

publication of this notice in the Federal 

Register or within such longer period 

up to 90 days (i) as the Commission may 

designate 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: 

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–2014–24 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–2014–24. 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 

mstockstill on DSK4VPTVN1PROD with NOTICES

Federal Register / Vol. 79, No. 249 / Tuesday, December 30, 2014 / Notices 78547 

17 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 73601 

(November 14, 2014), 79 FR 69170 (November 20, 

2014) (SR–ISE–2014–51). 4 15 U.S.C. 78f. 

5 15 U.S.C. 78f(b)(4). 

6 15 U.S.C. 78f(b)(8). 

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 

10:00 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 at 

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

docs/legal/rules_and_bylaws/sr_occ_14_

24.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–2014–24 and should 

be submitted on or before January 20, 

2015. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.17

Brent J. Fields, 

Secretary. 

[FR Doc. 2014–30443 Filed 12–29–14; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–73889; File No. SR–

ISEGemini–2014–30] 

Self-Regulatory Organizations; ISE 

Gemini, LLC; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change To Amend the Schedule 

of Fees 

December 19, 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 December 

15, 2014, ISE Gemini, LLC (the 

‘‘Exchange’’ or ‘‘ISE Gemini’’) filed with 

the Securities and Exchange 

Commission (‘‘SEC’’ or ‘‘Commission’’) 

the proposed rule change, as described 

in Items I, II, and III below, which Items 

have been prepared by the selfregulatory 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 the Substance 

of the Proposed Rule Change 

ISE Gemini is proposing to amend 

language in the Schedule of Fees related 

to excluding days from its average daily 

volume (‘‘ADV’’) calculations when the 

market is not open for the entire trading 

day. The text of the proposed rule 

change is available on the Exchange’s 

Internet Web site at http://www.ise.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 

self-regulatory organization has 

prepared summaries, set forth in 

Sections A, B and C below, of the most 

significant aspects of such statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to amend 

language in the Schedule of Fees related 

to excluding days from its ADV 

calculations when the market is not 

open for the entire trading day. The 

Exchange currently provides tiered fees 

and rebates to market participants based 

on members’ ADV in a given month. In 

determining applicable tiers, the 

Exchange may exclude from its ADV 

calculation any day that the market is 

not open for the entire trading day. This 

allows the Exchange to exclude days, for 

example, where the Exchange declares a 

trading halt in all securities, honors a 

market-wide trading halt declared by 

another market, or closes early for 

holiday observance. On November 3, 

2013, the Exchange’s affiliate, the 

International Securities Exchange, LLC 

(‘‘ISE’’), amended its Schedule of Fees 

to permit it to exclude days only for 

those members that would have a lower 

ADV with the day included.3 As noted 

in the ISE proposed rule filing, some 

members may be inadvertently 

disadvantaged when a day is removed 

from the ADV calculation if the member 

continues to trade significant volume on 

that day. In order to prevent this 

undesirable result, and preserve the 

Exchange’s intent behind adopting 

volume-based pricing, ISE Gemini 

proposes to adopt language similar to 

ISE, allowing the Exchange to exclude 

days from its ADV calculation only for 

members that would have a lower ADV 

with the day included. 

2. Statutory Basis 

The Exchange believes that the 

proposed rule change is consistent with 

the provisions of Section 6 of the Act,4

in general, and Section 6(b)(4) of the 

Act,5 in particular, in that it is designed 

to provide for the equitable allocation of 

reasonable dues, fees, and other charges 

among its members and other persons 

using its facilities. The Exchange 

believes that it is reasonable and 

equitable to only exclude a day from its 

ADV calculations for members that 

would otherwise have a lower ADV for 

the month as this preserves the 

Exchange’s intent behind adopting 

volume-based pricing, and avoids 

penalizing members that continue to 

actively trade during excluded days. 

Without this change, members that step 

up and trade significant volume on days 

where the market is not open for the 

entire trading day may be negatively 

impacted, resulting in an effective cost 

increase for those members. The 

Exchange further believes that the 

proposed rule change is not unfairly 

discriminatory because it applies 

equally to all members and ADV 

calculations. As is ISE Gemini’s current 

practice, the Exchange will provide a 

notice, and post it on the Exchange’s 

Web site, to inform members of any day 

that is to be excluded from its ADV 

calculations in connection with this 

proposed rule change. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

In accordance with Section 6(b)(8) of 

the Act,6 the Exchange does not believe 

that the proposed rule change will 

impose any burden on intermarket or 

intramarket competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act. The 

Exchange believes that the proposed 

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