[Federal Register: June 26, 2008 (Volume 73, Number 124)]
[Rules and Regulations]
[Page 36271-36274]
[DOCID:fr26jn08-7]

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DEPARTMENT OF TRANSPORTATION

14 CFR Part 97

[Docket No. 30614; Amdt. No. 3275]

Standard Instrument Approach Procedures, and Takeoff Minimums and
Obstacle Departure Procedures; Miscellaneous Amendments

AGENCY: Federal Aviation Administration (FAA), DOT.

ACTION: Final rule.

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SUMMARY: This rule establishes, amends, suspends, or revokes Standard
Instrument Approach Procedures (SIAPs) and associated Takeoff Minimums
and Obstacle Departure Procedures for operations at certain airports.
These regulatory actions are needed because of the adoption of new or
revised criteria, or because of changes occurring in the National
Airspace System, such as the commissioning of new navigational
facilities, adding new obstacles, or changing air traffic requirements.
These changes are designed to provide safe and efficient use of the
navigable airspace and to promote safe flight operations under
instrument flight rules at the affected airports.

DATES: This rule is effective June 26, 2008. The compliance date for
each SIAP, associated Takeoff Minimums, and ODP is specified in the
amendatory provisions.
    The incorporation by reference of certain publications listed in
the regulations is approved by the Director of the Federal Register as
of June 26, 2008.

ADDRESSES: Availability of matter incorporated by reference in the
amendment is as follows:
    For Examination--
    1. FAA Rules Docket, FAA Headquarters Building, 800 Independence
Avenue, SW., Washington, DC 20591;
    2. The FAA Regional Office of the region in which the affected
airport is located;
    3. The National Flight Procedures Office, 6500 South MacArthur
Blvd., Oklahoma City, OK 73169 or,
    4. The National Archives and Records Administration (NARA). For
Information on the availability of this material at NARA, call 202-741-
6030, or go to: http://www.archives.gov/federal_register/code_of_
federal_regulations/ibr_locations.html.
    Availability_All SIAPs are available online free of charge. Visit
nfdc.faa.gov to register. Additionally, individual SIAP and Takeoff
Minimums and ODP copies may be obtained from:
    1. FAA Public Inquiry Center (APA-200), FAA Headquarters Building,
800 Independence Avenue, SW., Washington, DC 20591; or
    2. The FAA Regional Office of the region in which the affected
airport is located.

FOR FURTHER INFORMATION CONTACT: Harry J. Hodges, Flight Procedure
Standards Branch (AFS-420) Flight Technologies and Programs Division,
Flight Standards Service, Federal Aviation Administration, Mike
Monroney Aeronautical Center, 6500 South MacArthur Blvd., Oklahoma
City, OK. 73169 (Mail Address: P.O. Box 25082 Oklahoma City, OK 73125)
telephone:<PHONE_NUMBER>.

SUPPLEMENTARY INFORMATION: This rule amends Title 14, Code of Federal
Regulations, Part 97 (14 CFR part 97) by amending the referenced SIAPs.
The complete regulatory description of each SIAP is listed on the
appropriate FAA Form 8260, as modified by the National Flight Data
Center (FDC)/Permanent Notice to Airmen (P-NOTAM), and is incorporated
by reference in the amendment under 5 U.S.C. 552(a), 1 CFR part 51, and
Sec.  97.20 of Title 14 of the Code of Federal Regulations.
    The large number of SIAPs, their complex nature, and the need for a
special format make their verbatim publication in the Federal Register
expensive and impractical. Further, airmen do not use the regulatory
text of the SIAPs, but refer to their graphic depiction on charts
printed by publishers of aeronautical materials. Thus, the advantages
of incorporation by reference are realized and publication of the
complete description of each SIAP contained in FAA form documents is
unnecessary. This amendment provides the affected CFR sections and
specifies the types of SIAP and the corresponding effective dates. This
amendment also identifies the airport and its location, the procedure
and the amendment number.

The Rule

    This amendment to 14 CFR part 97 is effective upon publication of
each separate SIAP as amended in the transmittal. For safety and
timeliness of change considerations, this amendment incorporates only
specific changes contained for each SIAP as modified by FDC/P-NOTAMs.
    The SIAPs, as modified by FDC P-NOTAM, and contained in this
amendment are based on the criteria contained in the U.S. Standard for
Terminal Instrument Procedures (TERPS). In developing these changes to
SIAPs, the TERPS criteria were applied only to specific conditions
existing at the affected airports. All SIAP amendments in this rule
have been previously issued by the FAA in a FDC NOTAM as an emergency
action of immediate flight safety relating directly to published
aeronautical charts. The circumstances which created the need for all
these SIAP amendments requires making them effective in less than 30
days.
    Because of the close and immediate relationship between these SIAPs
and safety in air commerce, I find that notice and public procedure
before adopting these SIAPs are impracticable and contrary to the
public interest and, where applicable, that good cause exists for
making these SIAPs effective in less than 30 days.

Conclusion

    The FAA has determined that this regulation only involves an
established body of technical regulations for which frequent and
routine amendments are necessary to keep them operationally current.
It, therefore--(1) is not a ``significant regulatory action'' under DOT
Regulatory Order 12866; (2) is not a ``significant rule'' under DOT
regulatory Policies and Procedures (44 FR 11034; February 26, 1979);
and (3) does not warrant preparation of a regulatory evaluation as the
anticipated impact is so minimal. For the same reason, the FAA
certifies that this amendment will not have a significant economic
impact on a substantial number of small entities under the criteria of
the Regulatory Flexibility Act.

List of Subjects in 14 CFR Part 97

    Air Traffic Control, Airports, Incorporation by reference, and
Navigation (Air).

    Issued in Washington, DC on June 13, 2008.
James J. Ballough,
Director, Flight Standards Service.

Adoption of the Amendment

0
Accordingly, pursuant to the authority delegated to me, Title 14, Code
of Federal Regulations, Part 97, 14 CFR part 97, is amended by amending
Standard Instrument Approach Procedures, effective at 0901 UTC on the
dates specified, as follows:

PART 97--STANDARD INSTRUMENT APPROACH PROCEDURES

0
1. The authority citation for part 97 continues to read as follows:

    Authority: 49 U.S.C. 106(g), 40103, 40106, 40113, 40114, 40120,
44502, 44514, 44701, 44719, 44721-44722.

0
2. Part 97 is amended to read as follows:

Sec. Sec.  97.23, 97.25, 97.27, 97.29, 97.31, 97.33, and
97.35  [Amended]

    By amending: Sec.  97.23 VOR, VOR/DME, VOR or TACAN, and VOR/DME or
TACAN; Sec.  97.25 LOC, LOC/DME, LDA, LDA/DME, SDF, SDF/DME; Sec.
97.27 NDB, NDB/DME; Sec.  97.29 ILS, ILS/DME, ISMLS, MLS/DME, MLS/RNAV;
Sec.  97.31 RADAR SIAPs; Sec.  97.33 RNAV SIAPs; and Sec.  97.35 COPTER
SIAPs, Identified as follows:

Effective Upon Publication

----------------------------------------------------------------------------------------------------------------
    FDC date         State            City               Airport         FDC No.               Subject
----------------------------------------------------------------------------------------------------------------
6/4/08..........  FL           Punta Gorda.......  Charlotte County..       8/0327  RNAV (GPS) Rwy 4, Orig.
6/4/08..........  FL           Punta Gorda.......  Charlotte County..       8/0328  VOR Rwy 4, Amdt 1.
6/5/08..........  ME           Bangor............  Bangor Intl.......       8/0730  Radar-1, Amdt 4.
6/5/08..........  NC           Morganton.........  Foothills Regional       8/0774  RNAV (GPS) Rwy 21, Orig.
6/5/08..........  MT           Billings..........  Billings Logan           8/0791  RNAV (GPS) Rwy 7, Orig-A.
                                                    Intl.
6/6/08..........  AR           Walnut Ridge......  Walnut Ridge             8/0839  RNAV (GPS) Rwy 18, Orig.
                                                    Regional.
6/6/08..........  AR           Walnut Ridge......  Walnut Ridge             8/0840  RNAV (GPS) Rwy 36, Orig.
                                                    Regional.
6/6/08..........  AR           Walnut Ridge......  Walnut Ridge             8/0841  LOC Rwy 18, Amdt 3.
                                                    Regional.
6/6/08..........  AR           Walnut Ridge......  Walnut Ridge             8/0842  VOR/DME Rwy 22, Amdt 13.
                                                    Regional.
6/6/08..........  AR           Walnut Ridge......  Walnut Ridge             8/0843  VOR A, Amdt 16.
                                                    Regional.
6/6/08..........  AR           Walnut Ridge......  Walnut Ridge             8/0844  RNAV (GPS) Rwy 22, Orig-A.
                                                    Regional.
6/6/08..........  NC           New Bern..........  Craven County            8/0861  Takeoff Minimums and
                                                    Regional.                        Obstacle DP, Amdt 3.
6/6/08..........  MS           Philadelphia......  Philadelphia Muni.       8/0957  RNAV (GPS) Rwy 36, Orig-A.
6/6/08..........  MS           Philadelphia......  Philadelphia Muni.       8/0958  RNAV (GPS) Rwy 18, Orig.
6/6/08..........  NC           New Bern..........  Craven County            8/0996  RNAV (GPS) Rwy 22, Orig.
                                                    Regional.
6/6/08..........  ND           Fargo.............  Hector Intl.......       8/1009  VOR/DME or TACAN Rwy 18,
                                                                                Amdt 1A.
6/6/08..........  IN           Terre Haute.......  Terre Haute Intl-        8/1010  RNAV (GPS) Rwy 14, Orig.
                                                    Hulman Field.
6/9/08..........  TN           Murfreesboro......  Murfreesboro Muni.       8/1310  RNAV (GPS) Rwy 18, Orig.
6/9/08..........  TN           Murfreesboro......  Murfreesboro Muni.       8/1311  NDB Rwy 18, Orig-C.
6/9/08..........  TN           Murfreesboro......  Murfreesboro Muni.       8/1312  RNAV (GPS) Rwy 36, Orig.
6/9/08..........  TN           Millington........  Millington               8/1364  RNAV (GPS) Rwy 22, Amdt 1.
                                                    Regional Jetport.
6/11/08.........  CA           Bakersfield.......  Meadows Field.....       8/1393  RNAV (GPS) Rwy 12L, Orig.
6/10/08.........  NC           Albemarle.........  Stanly County.....       8/1395  NDB or GPS Rwy 22L, Orig-E.
6/10/08.........  CO           Grand Junction....  Grand Junction           8/1417  RNAV (GPS) Rwy 11, Orig.
                                                    Rgnl.
6/10/08.........  PA           Latrobe...........  Arnold Palmer            8/1419  RNAV (GPS) Rwy 5, Orig.
                                                    Regional.

6/10/08.........  PA           Latrobe...........  Arnold Palmer            8/1420  ILS or LOC Rwy 23, Amdt 16.
                                                    Regional.
6/10/08.........  PA           Latrobe...........  Arnold Palmer            8/1421  RNAV (GPS) Rwy 23, Orig.
                                                    Regional.
6/10/08.........  IN           Elkhart...........  Elkhart Muni......       8/1526  ILS or LOC Rwy 27, Amdt 2A.
6/10/08.........  SC           Charleston........  Charleston               8/1597  ILS or LOC Rwy 9, Amdt 1.
                                                    Executive.
6/10/08.........  TN           Fayetteville......  Fayetteville Muni.       8/1598  NDB Rwy 20, Amdt 4A.
6/10/08.........  TN           Fayetteville......  Fayetteville Muni.       8/1601  GPS Rwy 2, Orig-A.
6/11/08.........  VT           Morrisville.......  Morrisville-Stowe        8/1740  NDB or GPS-B, Amdt 1B.
                                                    State.
6/11/08.........  VT           Burlington........  Burlington Intl...       8/1797  ILS or LOC/DME Rwy 15, Amdt
                                                                                23A.
6/11/08.........  MA           Beverly...........  Beverly Muni......       8/1809  Takeoff Minimums and
                                                                                Obstacle DP, Amdt 2A.
6/11/08.........  AZ           St Johns..........  St Johns                 8/1975  Takeoff Minimums and
                                                    Industrial Air                   Obstacle DP, Amdt 1A.
                                                    Park.
6/9/08..........  TX           Dallas-Ft Worth...  Dallas-Fort Worth        8/8879  ILS or LOC Rwy 17L, Amdt 5,
                                                    Intl.                            ILS Rwy 17L (CAT II) Amdt
                                                                                5, ILS Rwy 17L (CAT III)
                                                                                Amdt 5.
5/31/08.........  TX           Dallas-Ft Worth...  Dallas-Fort Worth        8/8880  Converging ILS Rwy 35C, Amdt
                                                    Intl.                            1.
5/31/08.........  TX           Dallas-Ft Worth...  Dallas-Fort Worth        8/8881  Converging ILS Rwy 31R, Amdt
                                                    Intl.                            7.
5/31/08.........  KY           Ashland...........  Ashland Rgnl......       8/9016  SDF Rwy 10, Amdt 6A.
5/31/08.........  KY           Ashland...........  Ashland Rgnl......       8/9018  VOR or GPS Rwy 10, Amdt 10A.
5/31/08.........  ME           Portland..........  Portland Intl            8/9031  RNAV (GPS) Rwy 11, Amdt 2A.
                                                    Jetport.
5/31/08.........  IN           Terre Haute.......  Terre Haute Intl-        8/9042  VOR/DME Rwy 5, Amdt 17B.
                                                    Hulman Field.
5/31/08.........  IN           Terre Haute.......  Terre Haute Intl-        8/9043  ILS or LOC Rwy 5, Amdt 22D.
                                                    Hulman Field.
5/31/08.........  IN           Terre Haute.......  Terre Haute Intl-        8/9044  RNAV (GPS) Rwy 32, Orig.
                                                    Hulman Field.
5/31/08.........  IN           Terre Haute.......  Terre Haute Intl-        8/9045  VOR Rwy 23, Amdt 20.
                                                    Hulman Field.
5/31/08.........  CA           La Verne..........  Brackett Field....       8/9062  VOR or GPS-A, Amdt 5B.
5/31/08.........  MT           Great Falls.......  Great Falls Intl..       8/9063  NDB Rwy 34, Amdt 16A.
5/31/08.........  MT           Great Falls.......  Great Falls Intl..       8/9064  VOR Rwy 21, Amdt 9A.
5/31/08.........  MT           Great Falls.......  Great Falls Intl..       8/9066  GPR Rwy 21, Orig.
5/31/08.........  NV           Las Vegas.........  North Las Vegas...       8/9072  GPS Rwy 30L, Orig-A.
5/31/08.........  NV           Las Vegas.........  North Las Vegas...       8/9073  GPS Rwy 12R, Orig-C.
5/31/08.........  NV           Las Vegas.........  North Las Vegas...       8/9076  ILS or LOC Rwy 12L, Orig-A.
5/31/08.........  IN           Richmond..........  Richmond Muni.....       8/9127  VOR or GPS Rwy 6, Amdt 11A.
5/31/08.........  IA           Harlan............  Harlan Muni.......       8/9134  GPS Rwy 33, Orig.
5/31/08.........  IL           Alton/St Louis....  St Louis Rgnl.....       8/9181  RNAV (GPS) Rwy 29, Orig.
5/31/08.........  NV           Las Vegas.........  North Las Vegas...       8/9213  ILS or LOC Rwy 12L, Orig-A.
5/31/08.........  TX           Devine............  Devine Muni.......       8/9232  NDB or GPS Rwy 35, Amdt 2A.
5/31/08.........  KS           Junction City.....  Freeman Field.....       8/9325  RNAV (GPS) Rwy 36, Orig-A.
5/31/08.........  NM           Hobbs.............  Lea County Rgnl...       8/9424  RNAV (GPS) Rwy 21, Orig.
5/31/08.........  MI           Saginaw...........  Saginaw County           8/9533  RNAV (GPS) Rwy 9, Orig.
                                                    H.W. Browne.
5/31/08.........  MI           Saginaw...........  Saginaw County           8/9534  ILS or LOC/DME Rwy 27, Orig.
                                                    H.W. Browne.

5/31/08.........  MI           Saginaw...........  Saginaw County           8/9535  RNAV (GPS) Rwy 27, Amdt 1.
                                                    H.W. Browne.
5/31/08.........  AR           Flippin...........  Marion County            8/9604  VOR or GPS A, Amdt 13.
                                                    Regional.
5/31/08.........  AR           Flippin...........  Marion County            8/9605  VOR/DME RNAV or GPS Rwy 22,
                                                    Regional.                        Orig.
5/31/08.........  TX           Madisonville......  Madisonville Muni.       8/9636  RNAV (GPS) Rwy 18, Orig.
5/31/08.........  CO           Denver............  Denver Intl.......       8/9666  ILS or LOC Rwy 8, Amdt 4.
5/31/08.........  CO           Denver............  Denver Intl.......       8/9667  ILS or LOC Rwy 17L, Amdt 3.
5/31/08.........  NY           Albany............  Albany Intl.......       8/9706  RNAV (GPS) Rwy 19, Orig.
5/31/08.........  NY           Albany............  Albany Intl.......       8/9709  ILS or LOC Rwy 19, Amdt 22.
5/31/08.........  NY           Albany............  Albany Intl.......       8/9712  ILS or LOC Rwy 1, Amdt 10A.
5/31/08.........  NY           Albany............  Albany Intl.......       8/9715  ILS or LOC Rwy 19, Amdt 22.
5/31/08.........  NY           Albany............  Albany Intl.......       8/9716  RNAV (GPS) Rwy 19, Orig.
6/2/08..........  MO           Fort Leonard Wood.  Waynesville Rgnl         8/9804  NDB/DME Rwy 14, Amdt 1A.
                                                    Arpt at Forney
                                                    Field.
6/2/08..........  VA           Manassas..........  Manassas Rgnl/           8/9887  RNAV (GPS) Rwy 16R, Orig.
                                                    Harry P Davis Fld.
6/2/08..........  VA           Manassas..........  Manassas Rgnl/           8/9888  RNAV (GPS) Rwy 16L, Orig-A.
                                                    Harry P Davis Fld.
6/2/08..........  VA           Manassas..........  Manassas Rgnl/           8/9889  ILS Rwy 16L, Amdt 4B.
                                                    Harry P Davis Fld.
6/2/08..........  NY           Johnstown.........  Fulton County.....       8/9918  NDB Rwy 28, Amdt 1.
6/2/08..........  NY           Johnstown.........  Fulton County.....       8/9921  NDB Rwy 10, Amdt 1.
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[FR Doc. E8-14162 Filed 6-25-08; 8:45 am]

BILLING CODE 4910-13-P


[Federal Register Volume 75, Number 40 (Tuesday, March 2, 2010)]
[Notices]
[Page 9453]
[FR Doc No: 2010-4238]

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SECURITIES AND EXCHANGE COMMISSION

Submission for OMB Review; Comment Request

Upon Written Request, Copies Available From: Securities and Exchange
Commission, Office of Investor Education and Advocacy, Washington, DC
20549-0213.

Extension:
    Form N-Q; SEC File No. 270-519; OMB Control No. 3235-0578.

    Notice is hereby given that, pursuant to the Paperwork Reduction
Act of 1995 (44 U.S.C. 3501 et seq.), the Securities and Exchange
Commission (the ``Commission'') has submitted to the Office of
Management and Budget a request for extension of the previously
approved collection of information discussed below.
    Form N-Q (17 CFR 249.332 and 274.130) is a combined reporting form
that is used for reports of registered management investment companies
(``funds''), other than small business investment companies registered
on Form N-5, under Section 30(b) of the Investment Company Act of 1940
(15 U.S.C. 80a-1 et seq.) (``Investment Company Act'') and Section
13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78a et
seq.). Pursuant to Rule 30b1-5 under the Investment Company Act, funds
are required to file with the Commission quarterly reports on Form N-Q
not more than 60 days after the close of the first and third quarters
of each fiscal year containing their complete portfolio holdings.
    Form N-Q contains collection of information requirements. The
respondents to this information collection are management investment
companies subject to Rule 30b1-5 under the Investment Company Act.
Approximately 8,000 portfolios are required to file reports on Form N-
Q, which is estimated to require an average of 21 hours per portfolio
per year to complete. The estimated annual burden of complying with the
filing requirement is approximately 168,000 hours. The estimates of
average burden hours are made solely for the purposes of the Paperwork
Reduction Act of 1995 (44 U.S.C. 3501 et seq.) and are not derived from
a comprehensive or even representative survey or study of the cost of
Commission rules and forms. The collection of information under Form N-
Q is mandatory. The information provided by the form is not kept
confidential. An agency may not conduct or sponsor, and a person is not
required to respond to, a collection of information unless it displays
a currently valid control number.
    Please direct general comments regarding the above information to
the following persons: (i) Desk Officer for the Securities and Exchange
Commission, Office of Management and Budget, Room 10102, New Executive
Office Building, Washington, DC 20503 or send an e-mail to Shagufta
Ahmed at<EMAIL_ADDRESS>and (ii) Charles Boucher,
Director/CIO, Securities and Exchange Commission, C/O Shirley
Martinson, 6432 General Green Way, Alexandria, VA 22312; or send an e-
mail to<EMAIL_ADDRESS>Comments must be submitted to OMB within
30 days of this notice.

    Dated: February 19, 2010.
Florence E. Harmon,
Deputy Secretary.
[FR Doc. 2010-4238 Filed 3-1-10; 8:45 am]
BILLING CODE 8011-01-P


[Federal Register Volume 80, Number 58 (Thursday, March 26, 2015)]
[Notices]
[Pages 16046-16047]
[FR Doc No: 2015-06886]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-74551; File No. SR-CBOE-2015-010]

Self-Regulatory Organizations; Chicago Board Options Exchange,
Incorporated; Order Approving a Proposed Rule Change To Amend Rules
6.41 and 24.8

March 20, 2015.
    On January 22, 2015, the Chicago Board Options Exchange,
Incorporated (the ``Exchange'' or ``CBOE'') filed with the Securities
and Exchange Commission (the ``Commission''), pursuant to Section
19(b)(1) of the Securities Exchange Act of 1934 (``Act'') \1\ and Rule
19b-4 thereunder,\2\ proposed rules to describe the process of
establishing final leg execution prices when a broker receives from a
customer a complex order for open-outcry handling at a total cash price
for the order. The proposal was published for comment in the Federal
Register on February 10, 2015.\3\ The Commission received no comments
regarding the proposal. This order approves the proposed rule change.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ See Securities Exchange Act Release No. 74200 (February 4,
2015), 80 FR 7515 (``Notice'').
---------------------------------------------------------------------------

    Currently Exchange Rules 6.41 (with respect to equities) and 24.8
(with respect to indexes), provide that bids and offers must be
expressed in terms of dollars per unit of the underlying security or
index, as applicable. However, the Exchange explains that sometimes a
customer will request an execution in a complex order at a total cash
price for the order (rather than at a price per contract for each leg)
and the total number of contracts of each leg.\4\ In this situation, a
broker may represent the order to the trading crowd at the total order
price, and Trading Permit Holders may respond to trade with the order
at that total order price.\5\ The Exchange notes that in some
instances, due to the complexity of the order and the price and number
of contracts involved, the complex order may not break down into a per-
unit price for each leg based on the existing market for the leg that
corresponds to the total order price.\6\
---------------------------------------------------------------------------

    \4\ Id. at 7516.
    \5\ Id.
    \6\ Id.
---------------------------------------------------------------------------

    Accordingly, the Exchange proposes to adopt Interpretation and
Policy .01 to each of Exchange Rules 6.41 and 24.8. The Interpretations
will impose requirements requiring how brokers must determine final leg
execution prices when a broker receives from a customer a complex order
for open-outcry handling at a total cash price, and the complex order
does not break down into a per-unit price for each leg based on the
existing market for the leg that corresponds to the total price.\7\
Specifically, the Interpretations will provide that when the complex
order does not break down into a per-unit price for each leg, the
broker must resolve any difference in a manner that provides price
improvement to the customer (i.e. the broker must determine leg prices
that correspond to a total purchase (sale) price that is less (greater)
than the total order price).\8\
---------------------------------------------------------------------------

    \7\ Id.
    \8\ See Notice, supra note 3, at 7516. In the notice, the
Exchange provided examples of how this occurs. Id. at 7516-7.
---------------------------------------------------------------------------

    After careful review, the Commission finds that the proposed rule
change is consistent with the requirements of the Act and the rules and
regulations thereunder applicable to a national securities exchange.\9\
In particular, the Commission finds that the proposed rule change is
consistent with Section

6(b)(5) of the Act,\10\ which requires, among other things, that the
rules of a national securities exchange be designed to prevent
fraudulent and manipulative acts and practices, to promote just and
equitable principles of trade, to 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. The
Commission notes that the proposed rule change maintains the current
allocation and priority rules for open outcry trading, including the
complex order priority exception, and that any orders represented to
the crowd at a customer's total order price will execute in accordance
with the Exchange's current allocation and priority rules.\11\ Further,
the Commission notes that orders represented to the crowd at a
customer's order price will be executed at the applicable increment for
the class (or the complex order minimum increment if eligible) and in
accordance with all other pricing rules.\12\
---------------------------------------------------------------------------

    \9\ In approving this proposal, the Commission has considered
the proposed rule's impact on efficiency, competition, and capital
formation. See 15 U.S.C. 78c(f).
    \10\ 15 U.S.C. 78f(b)(5).
    \11\ See Notice, supra note 3, at 7517.
    \12\ Id.

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\13\
---------------------------------------------------------------------------

    \13\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Brent J. Fields,
Secretary.
[FR Doc. 2015-06886 Filed 3-25-15; 8:45 am]
 BILLING CODE 8011-01-P


[Federal Register Volume 84, Number 98 (Tuesday, May 21, 2019)]
[Notices]
[Pages 23096-23098]
[FR Doc No: 2019-10523]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-85870; File No. SR-OCC-2019-801]

Self-Regulatory Organizations; The Options Clearing Corporation;
Notice of No Objection to Advance Notice Related to The Options
Clearing Corporation's Margin Methodology for Volatility Index Futures

May 15, 2019.

I. Introduction

    On March 18, 2019, the Options Clearing Corporation (``OCC'') filed
with the Securities and Exchange Commission (``Commission'') advance
notice SR-OCC-2019-801 (``Advance Notice'') pursuant to Section
806(e)(1) of Title VIII of the Dodd-Frank Wall Street Reform and
Consumer Protection Act, entitled Payment, Clearing and Settlement
Supervision Act of 2010 (``Clearing Supervision Act'') \1\ and Rule
19b-4(n)(1)(i) \2\ under the Securities Exchange Act of 1934
(``Exchange Act'') \3\ to propose changes to OCC's margin methodology
for futures on indexes designed to measure volatilities implied by
prices of options on a particular underlying interest.\4\
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    \1\ 12 U.S.C. 5465(e)(1).
    \2\ 17 CFR 240.19b-4(n)(1)(i).
    \3\ 15 U.S.C. 78a et seq.
    \4\ See Notice of Filing infra note 5, at 84 FR 16915.
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    The Advance Notice was published for public comment in the Federal
Register on April 23, 2019,\5\ and the Commission has not received
comments regarding the proposal contained in the Advance Notice.\6\
This publication serves as notice of no objection to the Advance
Notice.
---------------------------------------------------------------------------

    \5\ Securities Exchange Act Release No. 85670 (April 17, 2019),
84 FR 16915 (April 23, 2019) (SR-OCC-2019-801) (``Notice of
Filing''). On March 18, 2019, OCC also filed a related proposed rule
change (SR-OCC-2019-002) with the Commission pursuant to Section
19(b)(1) of the Exchange Act and Rule 19b-4 thereunder, seeking
approval of changes to its rules necessary to implement the Advance
Notice (``Proposed Rule Change''). 15 U.S.C. 78s(b)(1) and 17 CFR
240.19b-4, respectively. The Proposed Rule Change was published in
the Federal Register on April 3, 2019. Securities Exchange Act
Release No. 85440 (Mar. 28, 2019), 84 FR 13082 (Apr. 3, 2019) (SR-
OCC-2019-002).
    \6\ Since the proposal contained in the Advance Notice was also
filed as a proposed rule change, all public comments received on the
proposal are considered regardless of whether the comments are
submitted on the proposed rule change or the Advance Notice.
---------------------------------------------------------------------------

II. Background

    The System for Theoretical Analysis and Numerical Simulations
(``STANS'') is OCC's methodology for calculating Clearing Member margin
requirements. STANS includes econometric models to forecast price and
volatility movements in determining Clearing Member margin
requirements, which are calculated at the portfolio level of Clearing
Member accounts with positions in marginable securities.\7\ The STANS
methodology measures the exposure of portfolios containing options,
futures, and cash instruments.
---------------------------------------------------------------------------

    \7\ See Notice of Filing, 84 FR at 16915.
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    Certain indices are designed to measure the volatility implied by
the prices of options on a particular reference index or asset
(``Volatility Indexes'').\8\ OCC clears futures contracts on Volatility
Indexes (``Volatility Index Futures'').\9\ Currently, OCC models the
future settlement prices of Volatility Index Futures in STANS based on
the index underlying the futures contract. In this modeling process,
OCC assumes that the values of the underlying index follow a long-term
stable process, notwithstanding any short-term fluctuations. On a daily
basis, OCC recalibrates the distribution that defines this process so
that the expected final settlement prices of the Volatility Index
Futures match the then currently-observed market prices.
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    \8\ For example, the Cboe Volatility Index (``VIX'') is designed
to measure the 30-day expected volatility of the Standard & Poor's
500 index (``SPX''). Generally speaking, the implied volatility of
an option is a measure of the expected future volatility of the
value of the option's annualized standard deviation of the price of
the underlying security, index, or future at exercise, which is
reflected in the current option premium in the market. Using the
Black-Scholes options pricing model, the implied volatility is the
standard deviation of the underlying asset price necessary to arrive
at the market price of an option of a given strike, time to
maturity, underlying asset price and the current risk-free rate. In
effect, the implied volatility is responsible for that portion of
the premium that cannot be explained by the then-current intrinsic
value (i.e., the difference between the price of the underlying and
the exercise price of the option) of the option, discounted to
reflect its time value. See Notice, 84 FR at 16916, n. 10.
    \9\ A designated clearing agency, such as OCC, is required to
provide advance notice to the Commission of any proposed change to
its rules, procedures, or operations that could materially affect
the nature or level of risks presented by such designated clearing
agency. 12 U.S.C. 5465(e)(1); see also 17 CFR 204.19b-4(n)(1)(i).
Further, Rule 19b-4(n) states that such changes may include changes
that materially affect, among other things, risk management or
financial resources. 17 CFR 204.19b-4(n)(2)(ii). The Advance Notice
relates to Volatility Index Futures, such as futures on the VIX or
VIX-like indices. Such futures, and options on those futures,
comprise a material portion of the contracts that OCC clears and
settles, and, as such, account for a material portion of the risk
that OCC manages. The Advance Notice concerns changes to the way OCC
risk manages exposures based on Volatility Index Futures and the
financial resources available to OCC to manage the default of a
Clearing Member engaged in trading Volatility Index Futures.
---------------------------------------------------------------------------

    OCC's current methodology for modeling future settlement prices of
Volatility Index Futures is subject to certain limitations because the
model is based on the Volatility Indexes underlying the relevant
futures contracts. First, Volatility Indexes cannot be invested in and,
therefore, cannot be replicated by static portfolios of traded
contracts. Second, the term structure of the futures market cannot be
modeled using just the underlying Volatility Indexes.\10\ Finally,
because of the term structure of the futures market, futures on a
volatility index are less volatile and may have a lower probability of
extreme price movements than the underlying index itself. Additionally,
due to the limitations of modeling the term structure, the current
model may under-margin positions in certain strategies that Clearing
Members may deploy that involve spreads between delivery dates.
---------------------------------------------------------------------------

    \10\ Similar to a stock index (e.g., SPX), a Volatility Index
does not have an expiration. By contrast, there may be a variety of
futures contracts with varying expiry dates on any one Volatility
Index. For example, the VIX does not have an expiration date, but
market participants may trade VIX futures that expire on different
dates.
---------------------------------------------------------------------------

    The Advance Notice includes changes that OCC believes would address
the limitations described above. The construction of and reliance on
``synthetic'' futures is essential to the changes that OCC
proposes.\11\ According to OCC, its current model was developed before
sufficient data on Volatility Index Futures was available for the
construction of synthetic futures.\12\ OCC also represented that, in
recent years, it has seen significant growth in trading volume for
Volatility Index Futures.\13\ As described in more detail below, OCC
proposes to: (1) Estimate future settlement prices based on synthetic
futures rather than the Volatility Indexes underlying Volatility Index
Futures; (2) modify the statistical distribution that OCC uses to model
price returns of the synthetic futures; and (3) introduce an anti-
procyclical floor to reduce the potential for sudden increases in
margin requirements that could result from corrections in abnormally
low levels of volatility.
---------------------------------------------------------------------------

    \11\ A ``synthetic'' futures time series refers to a uniform
substitute for a time series of daily settlement prices for actual
futures contracts. Such a time series would be based on the
historical returns of futures contracts with approximately the same
tenor.
    \12\ See Notice, 84 FR at 16916.
    \13\ See id.
---------------------------------------------------------------------------

(1) Daily Re-Estimation of Prices Using ``Synthetic'' Futures

    OCC proposes to modify the way it estimates future settlement
prices for Volatility Index Futures. OCC currently models future
settlement prices based

on the index underlying the futures contract. OCC proposes to model the
distribution of future settlement prices based on synthetic futures.
Such synthetic futures would be based on the historical returns of
futures contracts with approximately the same tenor. For any one
underlying interest, there may be a variety of futures contracts with
varying expiry dates. As a result of this variety of contracts and
maturities, there is no single, continuous times series for the various
futures that reference a given underlying interest. Synthetic futures,
however, can be used to generate a continuous time series of prices for
each futures contract across multiple expirations.
    OCC proposes to use the price return histories of synthetic futures
in its daily price simulation process alongside the underlying
interests of OCC's other cleared and cross-margin products and
collateral. OCC believes that the use of synthetic futures would allow
OCC's margin system to better approximate correlations between futures
contracts of different tenors by creating more price data points and
margin offsets.
    OCC proposes to update the historical synthetic time series for
Volatility Indexes daily. OCC would then map this time series to the
corresponding futures contracts. Following the expiration date of the
front contract (i.e., the futures contract with the earliest expiration
date), each contract within a time series would be replaced with a
contract maturing one month later. While synthetic time series contain
returns from different contracts, a return on any given date would be
constructed from prices of a single contract. OCC would estimate the
distribution parameters for synthetic time series daily using recent
historical observations. OCC believes that daily re-estimation of
prices using synthetic futures instead of the current process, which is
based solely on the underlying Volatility Indexes, would allow OCC's
model for Volatility Index Futures to more accurately reflect current
market conditions and achieve better margin coverage across the term
curve.\14\ Thus, OCC believes the proposed changes would result in
margin requirements that respond more appropriately to changes in
market volatility and therefore are more accurate for Clearing
Members.\15\
---------------------------------------------------------------------------

    \14\ See Notice, 84 FR at 16917.
    \15\ See id.
---------------------------------------------------------------------------

(2) Statistical Distribution for Modeling Price Returns

    OCC proposes to modify the statistical distribution it uses to
model price returns of synthetic futures. The model that OCC currently
uses for modeling price returns across its margin system, including for
Volatility Index Futures, assumes a symmetric distribution of returns.
OCC believes, however, that an asymmetric distribution would better fit
the historical data underlying synthetic futures.\16\ OCC also believes
that employing an asymmetric distribution for modeling price returns of
synthetic futures would provide a more consistent framework for
treatment of returns on both the upside and downside of the
distribution.\17\
---------------------------------------------------------------------------

    \16\ See id.
    \17\ See id.
---------------------------------------------------------------------------

(3) Anti-Procyclical Floor

    OCC proposes to introduce a new floor for variance estimates of the
Volatility Index Futures. OCC would calculate this variance floor based
on the Volatility Indexes underlying the Volatility Index Futures. As
noted above, OCC assumes that the values of the underlying index follow
a long-term stable process, notwithstanding any short-term
fluctuations. OCC anticipates that such a floor would prevent sudden
increases in margin requirements that would otherwise result from the
normalization of volatility from abnormally low levels.\18\
---------------------------------------------------------------------------

    \18\ See Notice, 84 FR at 16918.
---------------------------------------------------------------------------

III. Discussion and Commission Findings

    Although the Clearing Supervision Act does not specify a standard
of review for an advance notice, the stated purpose of the Clearing
Supervision Act is instructive: To mitigate systemic risk in the
financial system and promote financial stability by, among other
things, promoting uniform risk management standards for systemically
important financial market utilities (``SIFMUs'') and strengthening the
liquidity of SIFMUs.\19\
---------------------------------------------------------------------------

    \19\ See 12 U.S.C. 5461(b).
---------------------------------------------------------------------------

    Section 805(a)(2) of the Clearing Supervision Act authorizes the
Commission to prescribe regulations containing risk management
standards for the payment, clearing, and settlement activities of
designated clearing entities engaged in designated activities for which
the Commission is the supervisory agency.\20\ Section 805(b) of the
Clearing Supervision Act provides the following objectives and
principles for the Commission's risk management standards prescribed
under Section 805(a): \21\
---------------------------------------------------------------------------

    \20\ 12 U.S.C. 5464(a)(2).
    \21\ 12 U.S.C. 5464(b).
---------------------------------------------------------------------------

     Promote robust risk management;
     promote safety and soundness;
     reduce systemic risks; and
     support the stability of the broader financial system.
    Section 805(c) provides, in addition, that the Commission's risk-
management standards may address such areas as risk-management and
default policies and procedures, among other areas.\22\
---------------------------------------------------------------------------

    \22\ 12 U.S.C. 5464(c).
---------------------------------------------------------------------------

    The Commission has adopted risk management standards under Section
805(a)(2) of the Clearing Supervision Act and Section 17A of the
Exchange Act (the ``Clearing Agency Rules'').\23\ The Clearing Agency
Rules require, among other things, each covered clearing agency to
establish, implement, maintain, and enforce written policies and
procedures that are reasonably designed to meet certain minimum
requirements for its operations and risk-management practices on an
ongoing basis.\24\ As such, it is appropriate for the Commission to
review advance notices against the Clearing Agency Rules and the
objectives and principles of these risk management standards as
described in Section 805(b) of the Clearing Supervision Act. As
discussed below, the Commission believes the proposal in the Advance
Notice is consistent with the objectives and principles described in
Section 805(b) of the Clearing Supervision Act,\25\ and in the Clearing
Agency Rules, in particular Rule 17Ad-22(e)(6)(i).\26\
---------------------------------------------------------------------------

    \23\ 17 CFR 240.17Ad-22. See Securities Exchange Act Release No.
68080 (October 22, 2012), 77 FR 66220 (November 2, 2012) (S7-08-11).
See also Securities Exchange Act Release No. 78961 (September 28,
2016), 81 FR 70786 (October 13, 2016) (S7-03-14) (``Covered Clearing
Agency Standards''). The Commission established an effective date of
December 12, 2016, and a compliance date of April 11, 2017, for the
Covered Clearing Agency Standards. OCC is a ``covered clearing
agency'' as defined in Rule 17Ad-22(a)(5).
    \24\ 17 CFR 240.17Ad-22(e).
    \25\ 12 U.S.C. 5464(b).
    \26\ 17 CFR 240.17Ad-22(e)(6)(i).
---------------------------------------------------------------------------

A. Consistency With Section 805(b) of the Clearing Supervision Act

    The Commission believes that the Advance Notice is consistent with
the stated objectives and principles of Section 805(b) of the Clearing
Supervision Act. OCC manages its credit exposure to Clearing Members,
in part, through the collection of collateral based on OCC's margin
methodology. As noted above, OCC's current process for setting margin
requirements to collateralize risks posed by Volatility Index Futures
is limited because the model is based on the Volatility Indexes
underlying the relevant futures contracts. These limitations relate, in
part, to the term structure of the futures market, which is not an
attribute of the

underlying Volatility Indexes. By contrast, synthetic futures, like
those proposed by OCC, can be used to generate a continuous time series
of futures contract prices across multiple expirations. Additionally,
OCC proposes to modify the statistical distribution that it uses to
model price returns of synthetic futures such that the resulting curve
would better fit the historical data. Finally, OCC proposes to reduce
the potential for sudden margin increases resulting from market
corrections of abnormally low volatility levels through the
implementation of a floor on variance estimates for Volatility Index
Futures. The Commission believes that OCC's proposal to use synthetic
futures to model Volatility Index Futures contracts, taken together
with modification of the relevant statistical distribution and
inclusion of a variance floor, is consistent with the promotion of
robust risk management because it is designed to address a known
limitation of OCC's current models--namely an inability to account for
the term structure of Volatility Index Futures--and produce margin
requirements that respond more appropriately to market volatility.
    Similarly, these changes are consistent with the promotion of
safety and soundness and the reduction of systemic risk because they
are designed to increase the accuracy of OCC's margin requirements
while avoiding sudden shocks to OCC's Clearing Members. Finally, the
inclusion of a variance floor designed to reduce the likelihood of
sudden margin increases resulting from expected corrections in market
volatility is consistent with supporting the stability of the broader
financial system.
    Accordingly, and for the reasons stated, the Commission believes
the changes proposed in the Advance Notice are consistent with Section
805(b) of the Clearing Supervision Act.\27\
---------------------------------------------------------------------------

    \27\ 12 U.S.C. 5464(b).
---------------------------------------------------------------------------

B. Consistency With Rule 17Ad-22(e)(6)(i) Under the Exchange Act

    Rule 17Ad-22(e)(6)(i) under the Exchange Act requires that a
covered clearing agency establish, implement, maintain, and enforce
written policies and procedures reasonably designed to cover, if the
covered clearing agency provides central counterparty services, its
credit exposures to its participants by establishing a risk-based
margin system that, at a minimum, considers, and produces margin levels
commensurate with, the risks and particular attributes of each relevant
product, portfolio, and market.\28\
---------------------------------------------------------------------------

    \28\ 17 CFR 240.17Ad-22(e)(6)(i).
---------------------------------------------------------------------------

    OCC proposes to base its estimation of final settlement prices for
Volatility Index Futures on synthetic futures rather than the
Volatility Indexes underlying Volatility Index Futures. As described
above, a margin process based on synthetic futures, as opposed to an
underlying index, could more accurately model future price movements
for Volatility Index Futures because the synthetic futures can be used
to generate a continuous time series of futures contract prices across
multiple expirations, while the underlying index alone is insufficient
to model the term structure of the futures market. OCC further proposes
to adjust the econometric model that it would use to estimate final
settlement prices by applying a distribution that better fits
observable data of the Volatility Index Futures. Finally, OCC's
proposal includes a variance estimate floor to avoid sudden margin
increases where the immediate volatility of the Volatility Index
Futures deviates significantly from the long-run volatility of the
underlying index. The Commission believes, therefore, that OCC's
proposal is designed to better account for the term structure of
futures contracts, align margin requirements with observable data, and
incorporate historical volatility data, thereby producing margin levels
commensurate with the particular attributes of Volatility Index
Futures. Further, the Commission believes the proposed changes could
result in margin requirements that respond more appropriately to
changes in market volatility.
    Accordingly, based on the foregoing, the Commission believes that
the proposed change to OCC's margin methodology for Volatility Index
Futures is consistent with Exchange Act Rule 17Ad-22(e)(6)(i).\29\
---------------------------------------------------------------------------

    \29\ Id.
---------------------------------------------------------------------------

IV. Conclusion

    It is therefore noticed, pursuant to Section 806(e)(1)(I) of the
Clearing Supervision Act, that the Commission does not object to the
Advance Notice (SR-OCC-2019-801) and that OCC is authorized to
implement the proposed change as of the date of this notice or the date
of an order by the Commission approving proposed rule change SR-OCC-
2019-002, whichever is later.

    By the Commission.
Eduardo A. Aleman,
Deputy Secretary.
[FR Doc. 2019-10523 Filed 5-20-19; 8:45 am]
 BILLING CODE 8011-01-P


[Federal Register Volume 81, Number 40 (Tuesday, March 1, 2016)]
[Notices]
[Pages 10615-10616]
[FR Doc No: 2016-04391]

-----------------------------------------------------------------------

DEPARTMENT OF ENERGY

Federal Energy Regulatory Commission

Combined Notice of Filings

    Take notice that the Commission has received the following Natural
Gas Pipeline Rate and Refund Report filings:

Filings Instituting Proceedings

    Docket Numbers: RP16-620-000.
    Applicants: Transcontinental Gas Pipe Line Company,
    Description: Transcontinental Gas Pipe Line Company, LLC submits a
request for waiver of the Commission's capacity release regulations to
allow a transaction to occur under RP16-620.
    Filed Date: 2/22/16.
    Accession Number: 20160222-5161.
    Comments Due: 5 p.m. ET 3/7/16.

    Docket Numbers: RP16-621-000.
    Applicants: PGPipeline LLC.
    Description: Section 4(d) Rate Filing: Annual FRP Filing to be
effective 4/1/2016.
    Filed Date: 2/22/16.
    Accession Number: 20160222-5182.
    Comments Due: 5 p.m. ET 3/7/16.

    Any person desiring to intervene or protest in any of the above
proceedings

must file in accordance with Rules 211 and 214 of the Commission's
Regulations (18 CFR 385.211 and 385.214) on or before 5:00 p.m. Eastern
time on the specified comment date. Protests may be considered, but
intervention is necessary to become a party to the proceeding.

Filings in Existing Proceedings

    Docket Numbers: RP15-1322-002.
    Applicants: Sabine Pipe Line LLC.
    Description: Compliance filing Sabine Complilance Filing February
22, 2016 to be effective 2/5/2016.
    Filed Date: 2/22/16.
    Accession Number: 20160222-5076.
    Comments Due: 5 p.m. ET 3/7/16.

    Any person desiring to protest in any of the above proceedings must
file in accordance with Rule 211 of the Commission's Regulations (18
CFR 385.211) on or before 5:00 p.m. Eastern time on the specified
comment date.
    The filings are accessible in the Commission's eLibrary system by
clicking on the links or querying the docket number.
    eFiling is encouraged. More detailed information relating to filing
requirements, interventions, protests, service, and qualifying
facilities filings can be found at: http://www.ferc.gov/docs-filing/efiling/filing-req.pdf. For other information, call<PHONE_NUMBER>
(toll free). For TTY, call<PHONE_NUMBER>.

    Dated: February 23, 2016.
Nathaniel J. Davis, Sr.,
Deputy Secretary.
[FR Doc. 2016-04391 Filed 2-29-16; 8:45 am]
 BILLING CODE 6717-01-P