
[Federal Register Volume 79, Number 158 (Friday, August 15, 2014)]
[Notices]
[Pages 48276-48279]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2014-19331]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-72804; File No. SR-OCC-2014-804]


Self-Regulatory Organizations; The Options Clearing Corporation; 
Notice of Filing of an Advance Notice To Permit OCC To Adjust the Size 
of Its Clearing Fund Intra-Month and Clearing Member's Clearing Fund 
Contributions Intra-Month

August 11, 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 (``Clearing 
Supervision Act'') \1\ and Rule 19b-4(n)(1)(i) of the Securities 
Exchange Act of 1934 \2\ notice is hereby given that on July 22, 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 prepared by 
OCC.\3\ The Commission is publishing this notice to solicit comments on 
the advance notice from interested persons.
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    \1\ 12 U.S.C. 5465(e)(1).
    \2\ 17 CFR 240.19b-4(n)(1)(i).
    \3\ OCC also filed the proposals contained in this advance 
notice as a proposed rule change under Section 19(b)(1) of the 
Securities Exchange Act of 1934 and Rule 19b-4 thereunder. See SR-
OCC-2014-17; 15 U.S.C. 78s(b)(1); 17 CFR 240.19b-4.
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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 that would permit OCC to increase the size of its clearing fund 
intra-month based upon observed changes in OCC's projected exposure and 
on an emergency basis. In addition, the proposed change provide [sic] 
that under certain circumstances OCC will increase a clearing member's 
required contribution to OCC's clearing fund intra-month.

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

    The proposed change would permit OCC to increase the size of its 
clearing fund intra-month based upon observed changes in OCC's 
projected exposure or on an emergency basis as well as permit 
adjustments to a clearing member's required contribution to the 
clearing fund at any time, including between regular monthly 
calculations, under certain circumstances. OCC is filing this advance 
notice pursuant to Section 806(e)(1) of the Clearing Supervision Act 
\4\ because the change could be deemed to materially affect the nature 
or level of risks presented by OCC. The proposed change will also be 
filed as a proposed rule change filing.
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    \4\ 12 U.S.C. 5465(e)(1).
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Purpose of the Proposed Change
    OCC is proposing to modify Rule 1001, which concerns the sizing of 
OCC's clearing fund and the allocation of clearing member contributions 
thereto. First, by adding Interpretation and Policy .05, Rule 1001 
would be revised to permit OCC to increase the size of its clearing 
fund intra-month based upon observed changes in OCC's projected 
exposure or on an emergency basis. Second, by adding Interpretation and 
Policy .06, Rule 1001 would be revised to permit increases to a 
clearing member's required contribution to the clearing fund at any 
time, including between regular monthly calculations, under certain 
circumstances. Rule 1001(b) and 1001(f) would also be revised to 
clarify certain terminology relating to the calculation of clearing 
fund contributions, and an Interpretation and Policy would be added to 
Article VIII, Section 2 of the By-Laws to clarify that this section, 
which addresses rule changes that increase a clearing member's required 
clearing fund contributions, does not apply to actions taken under 
Interpretations and Policies .05 or .06 to Rule 1001.
Background
    The primary purpose of OCC's clearing fund is to provide a high 
degree of assurance that market integrity will be maintained in the 
event that one or more clearing members fails to meet its obligations 
to OCC.\5\ The clearing fund can also be used to meet the obligations 
resulting from the default of any bank or securities or commodities 
clearing organization to which OCC is exposed. The clearing fund 
supplements the financial safeguards afforded by OCC's membership 
standards and margin requirements.
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    \5\ See, Article VIII, Section 1 of OCC's By-Laws which sets 
forth the purpose of the clearing fund.
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    Currently, the size of the clearing fund is adjusted monthly. On 
each business day OCC calculates its hypothetical exposure, at a 
confidence level of at least 99%, under simulated default scenarios 
that include an ``idiosyncratic default'' of a single clearing member 
group \6\ and a ``minor systemic event'' involving the near-
simultaneous default of two random clearing members. OCC then treats 
the greater of these two hypothetical exposures as that day's projected 
peak exposure. OCC also computes the projected draws from the clearing 
fund that would be necessary in connection with each business day's 
projected peak exposure. To determine the overall size of the clearing 
fund, on the first business day of each month, OCC averages these daily 
projected clearing fund draws over the prior month and uses that 
average as the required size of the clearing fund for that month. 
However, notwithstanding this calculation, in no event will the size of 
the clearing fund be set at less than 110% of the size of OCC's 
committed credit facilities secured by the clearing fund, in order to 
assure that at all times OCC will have collateral to pledge sufficient 
to draw the entire amount of such facilities. OCC publishes the new 
clearing fund requirement on the first business day of each month and 
clearing members have five business days to meet the new 
requirement.\7\
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    \6\ A Clearing Member Group is a clearing member and any other 
clearing member that is affiliated with such clearing member. See 
Article 1, Section 1, C. (15) of OCC's By-Laws.
    \7\ See OCC Rules 1002 and 1003, respectively.

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[[Page 48277]]

    The foregoing calculations and the allocations among clearing 
members are based on the prescribed formulas included in Rules 1001(a) 
and 1001(b), respectively, as supplemented by Interpretation and Policy 
.01 to Rule 1001. These formulas were adopted pursuant to a change 
effective April 18, 2013.\8\ The Rules do not, however, provide for 
increases to the overall size of the clearing fund between such monthly 
adjustments, nor do the Rules provide for adjustments to a clearing 
member's required contribution between such monthly calculations.
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    \8\ Securities Exchange Act Release No. 69403 (April 18, 2013), 
78 FR 24257 (April 24, 2013) (SR-OCC-2013-02).
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Proposed Change To Authorize Certain Adjustments to the Total Size of 
the Clearing Fund and Individual Clearing Members' Required 
Contributions
    In order to mitigate the risks of an underfunding of the clearing 
fund, the proposed changes to the Rules would provide OCC with the 
authority to increase the total size of the clearing fund intra-month 
upon a significant and sustained increase in exposure based on daily 
projected clearing fund draw calculations, as described above, and on 
an emergency basis for the protection of OCC or in the public interest. 
The proposed changes would also provide OCC with the authority to 
increase a clearing member's required clearing fund contribution under 
certain circumstances reflecting a change in the clearing member's 
financial condition or risk profile.
Adjustments to the Overall Size of the Clearing Fund
    OCC would have the authority to increase the overall size of the 
clearing fund intra-month in the event that the five-day rolling 
average of the projected draws against the clearing fund are 150% or 
more of the size of the clearing fund. This threshold is intended to 
ensure that intra-month increases in clearing fund size are limited to 
occasions in which the increase in exposure is significant and 
prolonged. Based on OCC staff's analysis of historical clearing fund 
data beginning in July 2011, the use of this 150% threshold would have 
resulted in only four changes to the clearing fund's size during this 
period, one of which related to firm-specific changes and three of 
which related to increased volatility prior to and during the events 
related to the downgrade of the U.S. Government's credit rating and the 
ongoing debt crisis of that period. In the event that the 150% 
threshold is exceeded over a five-day period, OCC's Executive Chairman 
or President would have the authority to approve an increase in the 
clearing fund's size. The Risk Committee of OCC's Board would be 
informed of such officer's determination as soon as practicable. OCC 
would also provide notification to the SEC and CFTC in the same manner 
as if an emergency waiver or suspension of OCC's Rules occurred.\9\
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    \9\ See OCC's By-Laws Article IX, Section 14.
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    The Risk Committee would also be permitted to approve an increase 
in the clearing fund's size on an emergency basis upon its 
determination that such action is necessary for the protection of OCC 
or in the public interest, and OCC would then provide notification to 
the Board of Directors, SEC and CFTC in the same manner as if an 
emergency waiver or suspension of OCC's Rules occurred.\10\ OCC 
believes that these processes ensure proper management and board-level 
oversight regarding decisions to increase the clearing fund size.
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    \10\ In recommending that the Risk Committee approve an 
emergency increase in the size of the clearing fund, OCC would 
follow the process set forth in OCC's By-Laws Article IX, Section 14 
in that the Executive Chairman, Management Vice Chairman or 
President, in his, her or their judgment, would determine that: (1) 
An emergency exists, and (2) such an increase is necessary or 
advisable for the protection of OCC or otherwise in the public 
interest.
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    Upon an intra-month increase in the clearing fund's size, clearing 
members would generally be given two business days to satisfy any 
deficit,\11\ and the increase would generally remain in effect until 
the next regular monthly calculation occurs unless the Risk Committee 
determines that a further increase is warranted or the 150% threshold 
is triggered more than once during the same month. The foregoing 
changes to OCC's Rules would not affect the basic clearing fund 
methodology as previously approved by the SEC, nor would they affect 
allocation of the clearing fund among clearing members.\12\ OCC has 
discussed the proposed changes with its Financial Risk Advisory 
Council, a working group consisting of representatives of clearing 
members and exchanges formed by OCC to review and comment on various 
risk management proposals. They additionally were discussed with the 
OCC Operations Roundtable, also consisting of representatives of 
clearing members and exchanges, which considers operational 
efficiencies and improvements. No concerns were raised by either 
working group during the course of these discussions.
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    \11\ Intra-month clearing fund adjustments will only occur in 
limited circumstances and will be due to certain events that could 
materially affect the overall liquidity of OCC. Based on feedback 
OCC received from clearing members, OCC believes that providing a 
clearing member with one day to absorb the increase, including 
determining the most effective manner in which to collateralize the 
increase, and a second day to fund the increase strikes the proper 
balance between effective risk management and not causing material 
disruptions to a clearing member's business.
    \12\ In particular, the contributions of futures-only affiliated 
clearing members and clearing members depositing the required 
minimum clearing fund contribution, respectively, would not be 
adjusted in connection with any increase in the clearing fund size.
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Adjustments to Individual Clearing Members' Required Contributions
    The proposed change would also permit OCC to increase individual 
clearing members' required clearing fund contributions in three 
circumstances. The first circumstance exists when a clearing member's 
required clearing fund contribution exceeds its net capital.\13\ In 
this situation, the clearing member is placed on OCC's ``Watch Level 
III'' surveillance, which is used to assess a clearing member's ability 
to meet a call to replenish its clearing fund contribution and requires 
certain OCC executive officers to consider protective measures with 
respect to such clearing member. One such protective measure would be 
to add the amount of such excess to the clearing member's required 
clearing fund contribution, thereby funding such difference in advance 
of the regular monthly calculation.\14\ No subsequent adjustment 
thereunder would be permitted under the applicable Rule provision until 
the earlier of the next adjustment of the clearing fund (either as a 
result of the next monthly adjustment or as a result of an increase in 
the total clearing fund pursuant to the changes described above) or the 
next required reporting of the clearing member's net capital.
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    \13\ In this context, and for clearing members that are 
registered broker-dealers, net capital means net capital computed in 
accordance with Securities Exchange Act Rule 15c3-1. For clearing 
members that are futures commission merchants, net capital means 
adjusted net capital computed in accordance with CFTC Regulation 
Section 1.17 and for Canadian clearing members, net capital means 
risk-adjusted capital computed in accordance with Investment 
Industry Regulatory Organization of Canada Rule 17.1.
    \14\ Pursuant to Interpretation and Policy .01 to Article VIII, 
Section 5 of OCC's By-Laws, a clearing member's clearing fund 
contribution is used to determine the clearing member's share of any 
clearing fund deficiency resulting from a clearing member 
insolvency.
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    The second circumstance is the merger or consolidation of two or 
more clearing members, in which case the variable amount of the 
required clearing fund contribution for the surviving clearing member 
would be adjusted so that it equals the sum of such amount

[[Page 48278]]

for the surviving clearing member and the total of such amounts for all 
other clearing members involved in the transaction. Such adjusted 
amount would be substituted for the variable amount previously 
calculated for the surviving clearing member.
    The third circumstance is the transfer of positions between 
clearing members, in which case OCC would be able to adjust the 
clearing fund contributions of the transferor clearing member and the 
transferee clearing member after giving effect to the transfer, subject 
to the agreement of the two clearing members. The amount of such 
adjustment would affect the variable amount of each clearing member's 
required clearing fund contribution and, irrespective of the amount or 
size of the positions transferred, each clearing member would continue 
to be required to maintain OCC's minimum clearing fund contribution.
Proposed Changes to By-Laws and Rules
    OCC is proposing to add an Interpretation and Policy .05 under Rule 
1001 to provide for the authority to increase the size of the clearing 
fund on an intra-month basis. Subparagraph (a) of proposed 
Interpretation and Policy .05 would authorize OCC's Executive Chairman 
or President, or the Risk Committee, to increase the clearing fund size 
as described above (i.e., based on the daily calculations or by the 
Risk Committee on an emergency basis). Proposed Interpretation and 
Policy .06 under Rule 1001 would provide for the authority to increase 
individual clearing members' required clearing fund contributions in 
certain circumstances. Subparagraph (a) would provide for an increase 
when a clearing member's required clearing fund contribution exceeds 
its net capital, subparagraph (b) would provide for an increase in the 
event of a merger or consolidation involving clearing members and 
subparagraph (c) would provide for an increase in the event of a 
transfer of positions between clearing members, in each case as 
described above.
    Subparagraph (b) of proposed Interpretation and Policy .05 and 
subparagraphs (a), (b) and (c) of proposed Interpretation and Policy 
.06 would provide that if the total size of the clearing fund size or 
an individual clearing member's required contribution is increased, as 
applicable, the variable amount would be increased accordingly for each 
clearing member, and this increase would be effective for all purposes 
under OCC's By-Laws and Rules, including each clearing member's 
required contribution in the event the clearing fund is fully depleted 
in connection with the insolvency of a clearing member.\15\ However, 
subparagraph (b) of proposed Interpretation and Policy .05 and 
subparagraphs (a), (b) and (c) of proposed Interpretation and Policy 
.06 would specify that the variable amount would remain subject to 
nonstandard calculations for futures-only affiliated clearing members 
and clearing members that have deposited the minimum required clearing 
fund contribution.
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    \15\ See Interpretation and Policy .01 to Article VIII, Section 
5 of OCC's By-Laws.
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    An example will illustrate the manner in which the total size of 
the clearing fund and individual clearing members' contributions could 
be adjusted pursuant to Interpretation and Policy .05 to Rule 1001. The 
example assumes that OCC's total clearing fund requirement is $1 
million divided among five clearing members. Member One has the minimum 
requirement of $150,000, Member Two has a requirement of $212,500 and 
the other three comprise the remainder in differing amounts. If OCC 
determined, based on the most recent five-day rolling average of 
clearing fund draws, that it should resize the fund to $1.5 million, 
Member One would maintain the minimum requirement of $150,000 and the 
other four members would be assessed the incremental amount totaling 
$500,000. Member Two would be assessed $125,000 because the firm's pro 
rata share of the original clearing fund requirement excluding Member 
One's minimum requirement equaled 25%, i.e., $212,500 divided by 
$850,000. Member Two's new clearing fund requirement would be $337,500 
until the next clearing fund sizing calculation. The other three 
members would be assessed their share of the remaining $375,000 (using 
a denominator of $850,000 as with Member Two) so that the total 
clearing fund requirement of $1.5 million is satisfied.
    Subparagraph (c) of proposed Interpretation and Policy .05 and 
subparagraph (d) of proposed Interpretation and Policy .06 would 
provide that as soon as practicable after any increase in the total 
size of the clearing fund size or an individual clearing member's 
required contribution, as applicable, OCC would provide notice to the 
affected clearing members, and such clearing members would be required 
to satisfy their deficits within two business days of such notice in 
the case of adjustments pursuant to Interpretation and Policy .05 and 
one business day in the case of adjustments pursuant to Interpretation 
and Policy .06. If, however, any deficit would be required to be 
satisfied on the first, second, third or fourth business day of a 
calendar month, it may instead be satisfied by the fifth business day 
of the calendar month. These subparagraphs also set forth that a 
resulting change in a clearing member's contribution to the clearing 
fund due to an increase in the clearing fund's size or an individual 
adjustment will be reflected on one or more reports made available by 
OCC, but that OCC will not revise the clearing member's Clearing Fund 
Statement.
    Subparagraph (d) of proposed Interpretation and Policy .06 would 
further specify that OCC may require any deficit resulting from a 
merger of clearing members or the transfer of positions between 
clearing members to be satisfied prior to the occurrence of the merger 
or transfer. Moreover, subparagraph (e) of proposed Interpretation and 
Policy .06 would clarify that the individual adjustments under 
subparagraphs (a), (b), and (c) of proposed Interpretation and Policy 
.06 may result in an adjustment to the total size of the clearing fund.
    To enhance the readability of the new Interpretations and Policies 
added to Rule 1001, the term ``fixed amount'' would be used to refer to 
the portion of a clearing member's clearing fund contribution 
calculated pursuant to clause (x) of Rule 1001(b), and the term 
``variable amount'' would be used to refer to the portion of a clearing 
member's clearing fund contribution calculated pursuant to clause (y) 
of Rule 1001(b). Rule 1001(b) and 1001(f) would be amended solely for 
the purpose of introducing these defined terms.
    Article VIII, Section 2(b) of OCC's By-Laws provides, among other 
things, that if a clearing member's clearing fund contribution is 
increased as a result of an amendment of the Rules, the increase will 
not be effective until the clearing member is given five business days' 
notice of the amendment. OCC proposes to add Interpretation and Policy 
.01 to Article VIII, Section 2 to clarify that such section shall not 
apply to increases in the total size of the clearing fund pursuant to 
Interpretation and Policy .05 of Rule 1001, nor to an increase in an 
individual clearing member's contribution pursuant to Interpretation 
and Policy .05 or .06 of Rule 1001.
    While the proposed change may require clearing members to increase 
their clearing fund contributions at any time during a month, any such 
increase in the overall size of the clearing fund would correspond to a 
material change in OCC's projected exposure and would affect all 
clearing members

[[Page 48279]]

proportionally in the same manner as a monthly adjustment, and any such 
increase in an individual clearing member's required contribution would 
correspond to a material change in the clearing member's business or 
financial condition, as well as use of OCC's resources. OCC therefore 
does not believe that clearing members will have significant problems 
in complying with the change. In addition to the prior communications 
with clearing members described above, in connection with the filing of 
this change, OCC will inform clearing members of the proposed change 
via an information memorandum, in order to advise clearing members of 
the procedures OCC intends to implement in support of the proposed 
change, including notice procedures to advise clearing members of any 
increases in contribution amounts.
Statutory Basis for the Proposed Change
    OCC believes that the proposed change to OCC's Rules is consistent 
with Section 805(b) of the Clearing Supervision Act \16\ because the 
proposed change will reduce systemic risk.\17\ OCC believes that the 
proposed changes to its clearing fund sizing, as described above, will 
reduce the risk that the size of OCC's clearing fund would be 
insufficient should OCC need to use clearing fund assets to close-out 
positions of a defaulted clearing member. For the same reasons, the 
proposed change will reduce systemic risk because it will promote 
confidence that OCC will be able to timely meet its settlement 
obligations because the proposed change will diminish the likelihood 
that OCC's clearing fund would be insufficient in the event of a 
clearing member default. The proposed change is not inconsistent with 
the existing Rules of OCC, including any other Rules proposed to be 
amended or any advance notice filings pending with the Commission.
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    \16\ 12 U.S.C. 5464(b).
    \17\ 12 U.S.C. 5464(b)(3).
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Anticipated Effect On and Management of Risk
    OCC believes that the proposed change will reduce OCC's overall 
level of risk because the proposed change makes it less likely that 
OCC's clearing fund would be insufficient should OCC need to use its 
clearing fund to manage a clearing member default. As described above, 
the proposed change would provide OCC with the ability to increase the 
overall size of its clearing fund as result of a projected increase in 
anticipated draws or for the protection of OCC. In addition, OCC would 
have the ability to increase individual clearing member's clearing fund 
contribution as a result of certain events such as a change in net 
capital, a merger or a transfer of positions. This flexibility will 
allow OCC to adjust the size of its clearing fund in response to events 
that may occur in between normal monthly clearing fund calculations, 
and therefore makes it less likely that OCC's clearing fund would be 
insufficient should OCC need to use its clearing fund to manage a 
clearing member default. Accordingly, OCC's overall level of risk will 
be reduced as a result of this proposed change. Moreover, and for the 
same reasons, the proposed change will facilitate OCC's ability to 
manage risk.

III. Date of Effectiveness of the Advance Notice and Timing for 
Commission Action

    The designated clearing agency may implement this change if it has 
not received an objection to the proposed change within 60 days of the 
later of (i) the date that the Commission receives the notice of 
proposed change, or (ii) the date the Commission receives any further 
information it requests for consideration of the notice. The designated 
clearing agency shall not implement this change if the Commission has 
an objection.
    The Commission may, during the 60-day review period, extend the 
review period for an additional 60 days for proposed changes that raise 
novel or complex issues, subject to the Commission providing the 
designated clearing agency with prompt written notice of the extension. 
The designated clearing agency may implement a change in less than 60 
days from the date of receipt of the notice of proposed change by the 
Commission, or the date the Commission receives any further information 
it requested, if the Commission notifies the designated clearing agency 
in writing that it does not object to the proposed change and 
authorizes the designated clearing agency to implement the change on an 
earlier date, subject to any conditions imposed by the Commission.
    The designated clearing agency shall post notice on its Web site of 
proposed changes that are implemented.
    The proposal shall not take effect until all regulatory actions 
required with respect to the proposal are completed.\18\
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    \18\ OCC also filed the the proposals contained in this advance 
notice as a proposed rule change under Section 19(b)(1) of the 
Securities Exchange Act of 1934 and Rule 19b-4 thereunder. See supra 
note 3.
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IV. Solicitation of Comments

    Interested persons are invited to submit written data, views and 
arguments concerning the foregoing. 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-2014-804 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-2014-804. 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 at 
http://www.theocc.com/components/docs/legal/rules_and_bylaws/sr_occ_14_804.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-
2014-804 and should be submitted on or before September 5, 2014.

    By the Commission.
Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2014-19331 Filed 8-14-14; 8:45 am]
BILLING CODE 8011-01-P


