
[Federal Register Volume 77, Number 3 (Thursday, January 5, 2012)]
[Notices]
[Page 520]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2011-33795]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-66070; File No. SR-OCC-2011-13]


Self-Regulatory Organizations; Options Clearing Corporation; 
Order Approving Proposed Rule Change, as Modified by Amendments No. 1, 
No. 2, and No. 3, Relating to Relative Performance Indexes

 December 29, 2011.

I. Introduction

    On September 21, 2011, the Options Clearing Corporation (``OCC'') 
filed with the Securities and Exchange Commission (``Commission'') the 
proposed rule change SR-OCC-2011-13 pursuant to Section 19(b)(1) of the 
Securities Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4 
thereunder.\2\ On October 4, 2011, OCC filed Amendment No. 1 to the 
proposed rule change. The proposed rule change, as modified by 
Amendment No. 1, was published for comment in the Federal Register on 
October 11, 2011.\3\ On November 17, 2011, OCC filed Amendment No. 2 
and Amendment No. 3 to the proposed rule change. The proposed rule 
change, as modified by Amendments No. 1, No. 2 and No. 3 was published 
in the Federal Register on November 29, 2011.\4\ The Commission 
received no comment letters on the proposed rule change, as modified by 
Amendments No. 1, No. 2, and No. 3. This order approves the proposed 
rule change as modified by Amendments No. 1, No. 2, and No. 3.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ Securities Exchange Act Release No. 65483 (October 4, 2011), 
76 FR 62981 (October 11, 2011).
    \4\ Securities Exchange Act Release No. 65807 (September 21, 
2011), 76 FR 73752 (November 29, 2011).
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II. Description

    The purpose of the proposed rule change is to remove any potential 
cloud on the jurisdictional status of relative performance indexes. 
NASDAQ OMX PHLX has proposed to trade options on indexes (``Alpha Index 
Options'') that measure the relative total returns of a stock or 
exchange-traded fund (``ETF'') against another stock or ETF, including 
where one of the reference ETFs measured by the index is a gold- or 
silver-based ETF.\5\ Generally, OCC believes that a relative 
performance index should be considered to be an index of securities 
since the components of a relative performance index are ETFs or other 
securities. However, OCC would like to confirm the jurisdictional 
treatment of relative performance indexes in situations in which a 
reference security of an underlying relative performance index is an 
ETF designed to measure the return of gold or silver. To accomplish 
this purpose, OCC is adding an interpretation following Section 2 in 
Article XVII of its By-Laws,\6\ clarifying that OCC will clear and 
treat as securities any relative performance index. The Commission and 
Commodity Futures Trading Commission (``CFTC'') have previously 
approved changes to OCC's By-Laws clarifying that options on the CBOE 
Gold ETF Volatility Index will be cleared and treated as securities.\7\
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    \5\ The staff notes that on August 17, 2011, the Commission 
issued an Order granting approval to this proposed rule change. See 
Securities Exchange Act Release No. 34-65149, 76 FR 52729 (August 
23, 2011).
    \6\ The staff notes that OCC is also adding a definition of 
``relative performance index'' to Section 1, which will be defined 
as an index designed to measure the relative performance of a 
reference security or reference index in relation to another 
reference security or reference index.
    \7\ See Securities Exchange Act Release No. 34-62290, 75 FR 
35861 (June 23, 2010); CFTC Order Exempting the Trading and Clearing 
of Certain Products Related to the CBOE Gold ETF Volatility Index 
and Similar Products, 75 FR 81977 (December 29, 2010).
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    In its capacity as a ``derivatives clearing organization'' 
registered as such with the CFTC, OCC filed the proposed rule change 
for prior approval by the CFTC pursuant to provisions of the Commodity 
Exchange Act (the ``CEA'') in order to foreclose any potential 
liability under the CEA based on an argument that the clearing by OCC 
of such options as securities options constitutes a violation of the 
CEA. OCC amended the rule filing at the request of the CFTC to clarify 
that OCC will clear and treat as options on securities any options on 
relative performance indexes for which a reference security is an 
exchange-traded fund designed to measure the return of gold or 
silver.\8\
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    \8\ The staff notes that Amendment Nos. 2 and 3 provide that the 
interpretation will not include options on relative performance 
indexes for which a reference security is an exchange-traded fund 
designed to measure the return of a commodity other than gold or 
silver.
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III. Discussion

    Section 17A(b)(3)(F) of the Act requires, among other things, that 
the rules of a clearing agency be designed to promote the prompt and 
accurate clearance and settlement of securities transactions and 
derivative transactions.\9\ The proposed rule change is similar to a 
proposed rule change the Commission approved previously with respect to 
the jurisdictional status CBOE Gold ETF Volatility Index and clarifies 
that OCC will clear and treat as securities any relative performance 
index, including in situations in which one of the reference securities 
of a relative performance index is an ETF designed to measure the 
return of gold or silver. Any uncertainty regarding the jurisdictional 
status of a product could presumably interfere with OCC's ability to 
provide clearance and settlement services with respect to the product. 
The proposed rule change, by allowing OCC to clarify in its rules the 
treatment of a relative performance index, should facilitate the 
clearance and settlement of such products and, thus, should help 
promote the prompt and accurate clearance and settlement of securities 
transactions and of derivative transactions.
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    \9\ 15 U.S.C. 78q-1(b)(3)(F).
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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.
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    \10\ 15 U.S.C. 78q-1.
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    It is therefore ordered, pursuant to Section 19(b)(2) of the 
Act,\11\ that the proposed rule change, as modified by Amendments No. 
1, No. 2, and No. 3, (File No. SR-OCC-2011-13) be, and hereby is, 
approved.\12\
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    \11\ 15 U.S.C. 78s(b)(2).
    \12\ In approving this proposed rule change the Commission has 
considered the proposed rule's impact of efficiency, competition, 
and capital formation. See 15 U.S.C. 78c(f).
    \13\ 17 CFR 200.30-3(a)(12).

    For the Commission by the Division of Trading and Markets, 
pursuant to delegated authority.\13\
Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2011-33795 Filed 1-4-12; 8:45 am]
BILLING CODE 8011-01-P


