

[Federal Register: September 28, 2005 (Volume 70, Number 187)]
[Notices]               
[Page 56761-56762]
From the Federal Register Online via GPO Access [wais.access.gpo.gov]
[DOCID:fr28se05-207]                         

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-52473; File No. SR-OCC-2005-12]

 
Self-Regulatory Organizations; the Options Clearing Corporation; 
Notice of Filing and Immediate Effectiveness of a Proposed Rule Change 
Relating to Fees for OCC's Theoretical Profit/Loss File

September 20, 2005.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act''),\1\ notice is hereby given that on August 16, 2005, The 
Options Clearing Corporation (``OCC'') filed with the Securities and 
Exchange Commission (``Commission'') the proposed rule change as 
described in Items I, II, and III below, which items have been prepared 
primarily by OCC. The Commission is publishing this notice to solicit 
comments on the proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The proposed rule change applies existing fees for the OCC 
theoretical profit/loss file to OCC clearing members and broker-dealers 
that are not OCC clearing members that subscribe to the file for 
customer portfolio margining purposes.

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 such 
statements.\2\
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    \2\ The Commission has modified parts of these statements.
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(A) Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    Pursuant to the customer portfolio margining pilot program recently 
approved by the Commission,\3\ the theoretical prices used for 
computing profits and losses of eligible instruments in a participating 
customer's account must be generated by a theoretical pricing model 
that meets the requirements set forth in Appendix A \4\ to the 
Commission's net capital rule, Rule 15c3-1.\5\ The requirements of 
Appendix A include, among other things, that the model be 
nonproprietary, be approved by a Designated Examining Authority, and be 
available on the same terms to all broker-dealers. Currently, OCC's 
model is the only model that has been approved.
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    \3\ Securities Exchange Act Release Nos. 52031 (July 14, 2005), 
70 FR 42130 (July 21, 2005) [File No. SR-NYSE-2002-19] and 52032 
(July 14, 2005), 70 FR 42118 (July 21, 2005) [File No. SR-CBOE-2002-
03].
    \4\ 17 CFR 240.15c3-1.
    \5\ 17 CFR 240.15c3-1a.
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    OCC initially developed the theoretical profit/loss model in 
connection with an amendment to the Commission's net capital rule 
permitting broker-dealers to employ theoretical option pricing models 
in determining net capital requirements for listed options and related 
positions.\6\ Subsequently, the Commission approved a proposed rule 
change filed by OCC allowing OCC to establish a subscription service 
providing clearing members and other non-clearing member broker-dealers 
with theoretical profit and loss values for the purpose of calculating 
net capital requirements

[[Page 56762]]

under the revised net capital rule.\7\ In the same filing, OCC proposed 
and the Commission approved the schedule of fees that OCC would charge 
for the service. The present rule change applies the existing schedule 
of fees to clearing members and non-clearing member broker-dealers that 
subscribe to the theoretical profit/loss file for the purpose of 
calculating customer margin using the portfolio margining 
methodology.\8\
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    \6\ Securities Exchange Act Release No. 38248 (February 5, 
1997), 62 FR 6474 (February 12, 1997).
    \7\ Securities Exchange Act Release No. 39503 (December 31, 
1997), 63 FR 1521 (January 9, 1998) [File No. SR-OCC-97-19].
    \8\ OCC also intends to make the theoretical profit/loss file 
available to interested customers but without charge in order to 
encourage participation by eligible customers in the portfolio 
margining pilot program and because OCC would already be charging 
the carrying broker-dealer for the file.
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    OCC believes that the proposed change is consistent with Section 
17A of the Act because the proposed rule change allocates reasonable 
fees in a fair and equitable manner by applying the current fees 
charged to all subscribing broker-dealers, whether or not they are OCC 
clearing members, for the theoretical profit/loss file equally to all 
subscribing broker-dealers, whether or not they are an OCC clearing 
member, that use the file for customer portfolio margining or risk-
based haircut purposes. The proposed rule change is not inconsistent 
with the existing rules of OCC, including any other rules proposed to 
be amended.

(B) Self-Regulatory Organization's Statement on Burden on Competition

    OCC does not believe that the proposed rule change would impose any 
burden on competition.

(C) Self-Regulatory Organization's Statement on Comments on the 
Proposed Rule Change Received From Members, Participants, or Others

    Written comments 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

    The foregoing proposed rule change has become effective pursuant to 
Section 19(b)(3)(A)(ii) of the Act \9\ and Rule 19b-4(f)(2) \10\ 
thereunder because it establishes or changes a due, fee, or other 
charge. At any time within 60 days of the filing of the proposed rule 
change, the Commission may summarily abrogate 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.
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    \9\ 15 U.S.C. 78s(b)(3)(A)(ii).
    \10\ 17 CFR 240.19b-4(f)(2).
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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 rule-comments@sec.gov. Please include 

File Number SR-OCC-2005-12 on the subject line.

Paper Comments

     Send paper comments in triplicate to Jonathan G. Katz, 
Secretary, Securities and Exchange Commission, 100 F Street, NE., 
Washington, DC 20549-9303.
    All submissions should refer to File Number SR-OCC-2005-12. 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 inspection 
and copying in the Commission's Public Reference Section, 100 F Street, 
NE, Washington, DC 20549. Copies of such filing also will be available 
for inspection and copying at the principal office of OCC and on OCC's 
Web site at http://www.optionsclearing.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-2005-12 
and should be submitted on or before October 19, 2005.

    For the Commission, by the Division of Market Regulation, 
pursuant to delegated authority.\11\
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    \11\ 17 CFR 200.30-3(a)(12).
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Jonathan G. Katz,
Secretary.
 [FR Doc. E5-5246 Filed 9-27-05; 8:45 am]

BILLING CODE 8010-01-P
