[Federal Register Volume 82, Number 64 (Wednesday, April 5, 2017)]
[Notices]
[Pages 16638-16642]
[FR Doc No: 2017-06685]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-80349; File No. SR-FICC-2017-001]

Self-Regulatory Organizations; Fixed Income Clearing Corporation;
Order Approving a Proposed Rule Change To (1) Implement the Margin
Proxy, (2) Modify the Calculation of the Coverage Charge in
Circumstances Where the Margin Proxy Applies, and (3) Make Certain
Technical Corrections

March 30, 2017.

I. Introduction

    Fixed Income Clearing Corporation (``FICC'') filed with the
Securities and Exchange Commission (``Commission'') on February 2, 2017
the proposed rule change SR-FICC-2017-001 (``Proposed Rule Change'')
pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act'') \1\ and Rule 19b-4 thereunder.\2\ The Proposed Rule Change
was published for comment in the Federal Register on February 9,
2017.\3\ The Commission received three comment letters \4\ to the
Proposed Rule Change, including a response letter from FICC.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4. FICC also filed this proposal as an
advance notice pursuant to Section 802(e)(1) of the Payment,
Clearing, and Settlement Supervision Act of 2010 and Rule 19b-
4(n)(1) under the Act. 15 U.S.C. 5465(e)(1) and 17 CFR 240.19b-
4(n)(1). The advance notice was published for comment in the Federal
Register on March 2, 2017. See Securities Exchange Act Release No.
80139 (March 2, 2017), 82 FR 80139 (March 8, 2017) (SR-FICC-2017-
801) (``Advance Notice''). The Commission did not receive any
comments on the Advance Notice.
    \3\ Securities Exchange Act Release No. 79958 (February 3,
2017), 82 FR 10117 (February 9, 2017) (SR-FICC-2017-
001)(``Notice'').
    \4\ See letter from Robert E. Pooler, Chief Financial Officer,
Ronin Capital LLC (``Ronin''), dated February 24, 2017, to Eduardo
A. Aleman, Assistant Secretary, Commission (``Ronin Letter'');
letter from Alan Levy, Managing Director, Industrial and Commercial
Bank of China Financial Services LLC (``ICBCFS''), dated February
24, 2017, to Commission (``ICBCFS Letter''); and Timothy J. Cuddihy,
Managing Director, FICC, dated March 8, 2017, to Eduardo A. Aleman,
Assistant Secretary, Commission (``FICC Letter'') available at
https://www.sec.gov/comments/sr-ficc-2017-001/ficc2017001.htm.
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II. Description of the Proposed Rule Change

    The Proposed Rule Change proposes several amendments to the FICC
Government Securities Division (``GSD'') Rulebook (``GSD Rules'') \5\
designed to provide FICC with a supplemental means to calculate the VaR
Charge component of its GSD Netting Members' (``Netting Members'')
daily margin requirement, known as the ``Required Fund Deposit.''
Specifically, under the proposal, FICC would include a minimum
volatility calculation for a Netting Member's VaR Charge called the
``Margin Proxy.'' FICC represents that the Margin Proxy would enhance
the risk-based model and parameters that FICC uses to establish Netting
Members' Required Fund Deposits by enabling FICC to better identify the
risk posed by a Netting Member's unsettled portfolio.
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    \5\ Available at http://www.dtcc.com/en/legal/rules-and-procedures.
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A. Overview of the Required Fund Deposit

    According to FICC, a key tool it uses to manage market risk is the
daily calculation and collection of Required Fund Deposits from its
Netting Members. The Required Fund Deposit is intended to mitigate
potential losses to FICC associated with liquidation of such Netting
Member's accounts at GSD that are used for margining purposes (``Margin
Portfolio'') in the event that FICC ceases to act for such Netting
Member (referred to as a Netting Member ``Default'').
    A Netting Member's Required Fund Deposit consists of several
components, including the VaR Charge and the Coverage Charge. The VaR
Charge comprises the largest portion of a Netting Member's Required
Fund

Deposit amount and is calculated using a risk-based margin methodology
model that is intended to cover the market price risk associated with
the securities in a Netting Member's Margin Portfolio. That risk-based
margin methodology model, which FICC refers to as the ``Current
Volatility Calculation,'' uses historical market moves to project the
potential gains or losses that could occur in connection with the
liquidation of a defaulting Netting Member's Margin Portfolio.
    The Coverage Charge is calculated based on the Netting Member's
daily backtesting results conducted by FICC. Backtesting is used to
determine the adequacy of each Netting Member's Required Fund Deposit
and involves comparing the Required Fund Deposit for each Netting
Member with actual price changes in the Netting Member's Margin
Portfolio. The Coverage Charge is incorporated in the Required Fund
Deposit for each Netting Member, and is equal to the amount necessary
to increase that Netting Member's Required Fund Deposit so that the
Netting Member's backtesting coverage may achieve the 99 percent
confidence level required by FICC (i.e., two or fewer backtesting
deficiency days in a rolling twelve-month period).

B. Proposed Change to the Existing VaR Charge Calculation

    Under the proposal, FICC would create the Margin Proxy, a new,
benchmarked volatility calculation of the VaR Charge. The Margin Proxy
would act as an alternative to the Current Volatility Calculation of
the VaR Charge to provide a minimum volatility calculation for each
Netting Member's VaR Charge. FICC proposes to use the Margin Proxy as
the VaR Charge if doing so would result in a higher Required Fund
Deposit for a Netting Member than using the Current Volatility
Calculation as the VaR Charge. In addition, as described in more detail
below, because FICC's testing shows that the Margin Proxy would, by
itself, achieve a 99 percent confidence level for Netting Members'
backtesting coverage when used in lieu of the Current Volatility
Charge, in the event that FICC uses the Margin Proxy as the VaR Charge
for a Netting Member, it would reduce the Coverage Charge for that
Netting Member by a commensurate amount, as long as the Coverage Charge
does not go below zero.
    According to FICC, during the fourth quarter of 2016, its Current
Volatility Calculation did not respond effectively to the level of
market volatility at that time, and its VaR Charge amounts (calculated
using the profit and loss scenarios generated by the Current Volatility
Calculation) did not achieve backtesting coverage at a 99 percent
confidence level,\6\ which resulted in backtesting deficiencies for the
Required Fund Deposit beyond FICC's risk tolerance.\7\ FICC's
calculation of the Margin Proxy is designed to avoid such deficiencies.
The Margin Proxy provides FICC with an alternative calculation of the
VaR Charge to the Current Volatility Calculation of the VaR Charge. In
particular, the Margin Proxy is likely to be used when the Current
Volatility Calculation is lower than volatility from certain benchmarks
(i.e., market price volatility from corresponding U.S. Treasury and to-
be-announced (``TBA'') \8\ securities benchmarks.\9\ The Margin Proxy
separately calculates U.S. Treasury securities and agency pass-through
mortgage backed securities (``MBS''). According to FICC, the historical
price changes of these two asset classes are different due to market
factors such as credit spreads and prepayment risk.\10\ This would
allow FICC to monitor the performance of each of those asset classes
individually.\11\ By using separate calculations for the two asset
classes, the Margin Proxy would cover the historical market prices of
each of those asset classes, on a standalone basis, to a 99 percent
confidence level.
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    \6\ Notice, 82 FR at 10118.
    \7\ Id.
    \8\ FICC states that specified pool trades are mapped to the
corresponding positions in TBA securities for determining the VaR
Charge.
    \9\ Notice, 82 FR at 10118.
    \10\ Id.
    \11\ Id.
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    The Margin Proxy would be calculated per Netting Member, and each
security in a Netting Member's Margin Portfolio would be mapped to a
respective benchmark based on the security's asset class and
maturity.\12\ All securities within each benchmark would be aggregated
into a net exposure.\13\ Once the net exposure is determined, FICC
would apply an applicable haircut \14\ to each benchmark's net exposure
to determine the net price risk for each benchmark (``Net Price
Risk''). Finally, FICC would separately determine the asset class price
risk (``Asset Class Price Risk'') for U.S. Treasury and MBS benchmarks
by aggregating the respective Net Price Risk for each benchmark. To
provide risk diversification across tenor buckets for the U.S. Treasury
benchmarks, the Asset Class Price Risk calculation includes a
correlation adjustment that has been historically observed across the
U.S. Treasury benchmarks. According to FICC, the Margin Proxy would
thereby represent the sum of the U.S. Treasury and MBS Asset Class
Price Risk.\15\ FICC would compare the Margin Proxy to the Current
Volatility Calculation for each asset class and then apply whichever is
greater as the VaR Charge for each Netting Member's Margin Portfolio.
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    \12\ According to FICC, U.S. Treasury and agency securities
would be mapped to a U.S. Treasury benchmark security/index, while
MBS would be mapped to a TBA security/index.
    \13\ Net exposure is the aggregate market value of securities to
be purchased by the Netting Member minus the aggregate market value
of securities to be sold by the Netting Member.
    \14\ The haircut is calculated using historical market price
changes of the respective benchmark to cover the expected market
price volatility at 99 percent confidence level.
    \15\ Notice, 82 FR at 10119.
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    FICC expresses confidence that this proposal would provide the
adequate VaR Charge for each Netting Member because its calculations
show that including the Margin Proxy results in backtesting coverage
above the 99 percent confidence level for the past four years.\16\
Additionally, FICC asserts that, by using industry-standard benchmarks
that can be observed by Netting Members, the Margin Proxy would be
transparent to Netting Members.\17\
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    \16\ Id.
    \17\ Id.
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    FICC further asserts that the Margin Proxy methodology would be
subject to performance reviews by FICC. Specifically, FICC would
monitor each Netting Member's Required Fund Deposit and the aggregate
FICC GSD clearing fund (``Clearing Fund'') requirements and compare
them to the requirements calculated by the Margin Proxy. Consistent
with the current GSD Rules,\18\ FICC would review the robustness of the
Margin Proxy by comparing the results versus the three-day profit and
loss of each Netting Member's Margin Portfolio based on actual market
price moves. If the Margin Proxy's backtesting results do not meet
FICC's 99 percent confidence level, FICC states that it would consider
adjustments to the Margin Proxy, including increasing the look-back
period and/or applying a historical stressed period to the Margin Proxy
calibration, as appropriate.\19\
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    \18\ See definition of VaR Charge in GSD Rule 1, Definitions,
supra note 5.
    \19\ Notice, 82 FR at 10119.
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C. Proposed Modification to the Coverage Charge When the Margin Proxy
Is Applied

    FICC also proposes to modify the calculation of the Coverage Charge
when the Margin Proxy is applied as the VaR Charge. Specifically, FICC
would

reduce the Coverage Charge by the amount that the Margin Proxy exceeds
the sum of the Current Volatility Calculation and Coverage Charge, but
not by an amount greater than the total Coverage Charge. FICC states
that its backtesting analysis demonstrates that the Margin Proxy, on
its own, achieves the 99 percent confidence level without the inclusion
of the Coverage Charge.\20\ FICC would not modify the Coverage Charge
if the Margin Proxy is not applied as the VaR Charge.
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    \20\ Id. at 10119. Future adjustments to the Margin Proxy could
require the filing of a new proposed rule change.
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D. Technical Corrections

    FICC also proposes technical corrections to the GSD Rules.
Specifically, FICC proposes to: (1) Capitalize certain words in the
definition of VaR Charge in Rule 1 in order to reflect existing defined
terms; (2) add ``Netting'' before ``Member'' in the definition of VaR
Charge to reflect the application of the VaR Charge on Netting Members;
and (3) correct typographical errors in Section 1b(a) of Rule 4.

III. Summary of Comments Received

    The Commission received three comment letters in response to the
proposal. Two comment letters--the Ronin Letter and the ICBCFS Letter--
raise concerns with respect to the proposal's design and
transparency,\21\ while the Ronin Letter also criticizes the proposal
for a potential anti-competitive impact.\22\ Additionally, both the
Ronin Letter and ICBCFS Letter raise a concern that falls outside the
scope of the Commission's review of the Proposed Rule Change.\23\ The
third comment letter is FICC's response to those concerns. The
Commission has reviewed and taken into consideration each of the
comments received and addresses the comments below insofar as they
relate to the standard of review for a proposed rule change.
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    \21\ See Ronin Letter at 1-10; ICBCFS Letter at 1-3.
    \22\ See Ronin Letter at 2, 9.
    \23\ See Ronin Letter at 3; ICBCFS Letter at 1-2. Specifically,
Ronin and ICBCFS disapprove of FICC's request for an accelerated
regulatory review process. FICC responds that it sought accelerated
review to rectify deficiencies with its margin calculations as
quickly as possible to avoid exposing its Netting Members to the
risk that a defaulting Netting Member will not be sufficiently
covered by margin. The Commission notes that neither Ronin nor
ICBCFS suggest how this concern relates to the Proposed Rule
Change's consistency with the Act--the standard by which the
Commission must evaluate a proposed rule change. See 15 U.S.C.
78s(b)(2)(C). The Commission also notes, as a matter of fact, that
neither the Proposed Rule Change nor the related Advance Notice were
approved on an accelerated basis.
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A. Comments Regarding the Proposal's Design

    Ronin questions the justification for imposing the Margin Proxy,
particularly: (i) The need for the VaR Charge to address idiosyncratic
risk (referencing the 2016 U.S. presidential election), and (ii) if the
volatility around the 2016 U.S. presidential election was sufficiently
extreme to warrant the creation of the Margin Proxy.\24\ In response,
FICC reiterates that the Margin Proxy's primary goal is to achieve a 99
percent backtesting confidence level for all members.\25\ FICC observes
that, while recent dates from the fourth quarter of 2016 (including the
2016 U.S. Presidential election) indicate that the VaR Charge, on its
own, is not always sufficient to ensure that the 99 percent coverage
threshold is met,\26\ inclusion of the Margin Proxy results in a
backtesting confidence level above 99 percent for the past four years,
demonstrating that the Margin Proxy accomplishes its primary goal.\27\
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    \24\ Ronin Letter at 1, 6.
    \25\ See FICC Letter at 4.
    \26\ See id. at 2.
    \27\ Id. at 4.
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    ICBCFS disagrees with certain technical aspects of the proposal. In
particular, it: (i) Questions the inclusion of ten years of pricing
data in the proposed Margin Proxy calculation, including the 2007-2009
period; (ii) disagrees with the Margin Proxy's netting of both sides of
a repurchase transaction; and (iii) raises concerns on how the proposed
Margin Proxy groups securities in a Netting Member's Margin Portfolio
in a way that could increase its margin.\28\
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    \28\ ICBCFS Letter at 2.
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    In response to the questions regarding the inclusion of ten years
of pricing data, FICC states that using the proposed look-back period
would help to ensure that the Margin Proxy, and as a result, the VaR
Charge, does not either (i) decrease as quickly during intervals of low
volatility, or (ii) increase as sharply in crisis periods, resulting in
more stable VaR estimates that adequately reflect extreme market
moves.\29\ With respect to ICBCFS's concerns with offsetting positions
in transaction, FICC notes that the Margin Proxy uses a similar
approach for offsetting positions as in the Current Volatility
Calculation.\30\ In response to ICBCFS' concerns about increased margin
due to the Margin Proxy's benchmarking, FICC responds that the
circumstance that ICBCFS cited would not result in a higher margin, as
the Margin Proxy would benchmark securities within the same asset class
and maturity (and long and short positions within such benchmarks would
be offset).\31\
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    \29\ FICC Letter at 4.
    \30\ Id.
    \31\ Id.
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B. Comments Regarding the Proposal's Transparency

    Ronin and ICBCFS argue that the proposal is not sufficiently
transparent because it does not include sufficient information for them
to determine the proposal's impact on their margin calculations.\32\ In
response, FICC states that it (i) provided all GSD Netting Members with
a two-month impact study reflecting the impact of the Margin Proxy on
the VaR Charge and Coverage Charge (before and after the U.S.
presidential election), and (ii) responded to individual Netting Member
requests for additional data and information.\33\ FICC also notes that
it will continue to engage in ongoing dialogue with Netting Members in
order to help Netting Members gauge the individual impact of the
proposed margin methodology changes.\34\
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    \32\ See Ronin Letter at 3; ICBCFS Letter at 1-3.
    \33\ FICC Letter at 2-3.
    \34\ Id. at 3-4.
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C. Comments Regarding the Proposal's Burden on Competition

    Finally, Ronin argues that the proposal imposes a burden on
competition because it may cause Ronin to pay more margin. Ronin notes
that the Margin Proxy creates an ``unfair competitive burden'' among
Netting Members with different access to capital.\35\ In response, FICC
posits that, given the Netting Members' different costs of capital, the
Margin Proxy's potential increase of additional margin could be anti-
competitive.\36\ However, FICC does not believe that the Margin Proxy
would impose a significant burden on competition. Specifically, FICC
notes that any increase in a Netting Member's Required Fund Deposit
would (i) be in direct relation to that Netting Member's portfolio
market risk, and (ii) be calculated with the same parameters and
confidence level for all Netting Members.\37\ Further, FICC states that
any increase in a Netting Member's Required Fund Deposit because of the
Margin Proxy would be ``necessary to assure the safeguarding of the
securities and funds that are in FICC's possession

and cover FICC's risk exposure to its [Netting] Members.'' \38\
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    \35\ Ronin Letter at 2.
    \36\ Id. at 9.
    \37\ FICC Letter at 5.
    \38\ Id. at 5.
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IV. Discussion and Commission Findings

    Section 19(b)(2)(C) of the Act \39\ directs the Commission to
approve a proposed rule change of a self-regulatory organization if it
finds that the proposed rule change is consistent with the requirements
of the Act and the rules and regulations thereunder applicable to such
organization.
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    \39\ 15 U.S.C. 78s(b)(2)(C).
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    The Commission finds that the Proposed Rule Change described above
is consistent with the Act, in particular Sections 17A(b)(3)(F) and
(b)(3)(I) of the Act,\40\ and Rules 17Ad-22(b)(1),\41\ (b)(2),\42\ and
(d)(1) \43\ under the Act.
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    \40\ 15 U.S.C. 78q-1(b)(3)(F).
    \41\ 17 CFR 240.17Ad-22(b)(1).
    \42\ 17 CFR 240.17Ad-22(b)(2).
    \43\ 17 CFR 240.17Ad-22(d)(1).
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    Section 17A(b)(3)(F) of the Act requires that the rules of the
clearing agency must be designed to, among other things, assure the
safeguarding of securities and funds which are in the custody or
control of the clearing agency or for which it is responsible.\44\ As
described above, the proposal would enhance the risk-based model and
parameters that establish daily margin requirements for Netting Members
by enabling FICC to better identify the risk posed by a Netting
Member's unsettled portfolio and to increase FICC's collection of
margin when the Margin Proxy calculation exceeds the Current Volatility
Calculation. As such, the proposal would help ensure that the Required
Fund Deposit that FICC collects from Netting Members is sufficient to
mitigate FICC's credit exposure to potential losses arising from the
default of a Netting Member. Therefore, the Commission believes that
the proposed rule changes associated with the Margin Proxy and Coverage
Charge would help safeguard securities and funds that are in the
custody or control of FICC, consistent with Section 17A(b)(3)(F) of the
Act.
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    \44\ 15 U.S.C. 78q-1(b)(3)(F).
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    Section 17A(b)(3)(F) of the Act also requires that the rules of a
registered clearing agency promote the prompt and accurate clearance
and settlement of securities transactions.\45\ As described above, the
proposal includes technical corrections to address typographical errors
and capitalize terms so that existing defined terms are accurately
referenced and used in the applicable rule provisions. As such, the
proposal would help ensure that the GSD Rules remain accurate and
clear, which would help to avoid potential interpretation differences
and possible disputes between FICC and its Netting Members. Thus,
Commission believes that the proposed rule changes associated with the
technical corrections would promote the prompt and accurate clearance
and settlement of securities transactions, consistent with Section
17A(b)(3)(F) of the Act.
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    \45\ 15 U.S.C. 78q-1(b)(3)(F).
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    Section 17A(b)(3)(I) of the Act requires that the rules of a
registered clearing agency do not impose any burden on competition not
necessary or appropriate in furtherance of the Act.\46\ As stated
above, the Proposed Rule Change could increase the amount of margin
that FICC collects in certain circumstances, which would help ensure
that the Required Fund Deposit that FICC collects from Netting Members
is sufficient to mitigate the credit risk presented by the Netting
Members. While Ronin argues that such an increase in its margin may be
anticompetitive (because Netting Members have different costs of
capital),\47\ the Commission believes that the potential increase in a
Netting Member's Required Fund Deposit as a result of this proposal
would be necessary and appropriate in furtherance of the Act because it
would be (i) commensurate with that Netting Member's risk profile, (ii)
calculated using the same parameters for all Netting Members, and (iii)
designed to ensure that FICC has sufficient margin to limit its
exposure to potential losses resulting from the default of a Netting
Member. Thus, Commission believes that the proposed rule change would
not impose any burden on competition not necessary or appropriate in
furtherance of the purposes of the Act, consistent with Section
17A(b)(3)(I) of the Act.
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    \46\ 15 U.S.C. 78q-1(b)(3)(I).
    \47\ Ronin Letter at 9.
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    Rule 17Ad-22(b)(1) under the Act requires a registered clearing
agency that performs central counterparty services to establish,
implement, maintain, and enforce written policies and procedures
reasonably designed to measure its credit exposures to its participants
at least once a day and limit its exposures to potential losses from
defaults by its participants under normal market conditions so that the
operations of the clearing agency would not be disrupted and non-
defaulting participants would not be exposed to losses that they cannot
anticipate or control.\48\ The proposed Margin Proxy would be used
daily to help measure FICC's credit exposure to Netting Members. While
ICBCFS raises concerns about including the 2007-2009 period, as noted
above, the Commission agrees that this look back period should help
FICC better monitor the credit exposures presented by its Netting
Members by including volatile periods. It should also enhance FICC's
overall risk-based margining framework by helping to ensure that the
calculation of each GSD Netting Member's Required Fund Deposit would be
sufficient to allow FICC to use the defaulting member's own Required
Fund Deposit to limit its exposures to potential losses associated with
the liquidation of such member's portfolio in the event of a GSD
Netting Member default under normal market conditions. Therefore, the
Commission believes that the proposal is consistent with the
requirements of Rule 17Ad-22(b)(1).\49\
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    \48\ 17 CFR 240.17Ad-22(b)(1).
    \49\ Id.
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    Rule 17Ad-22(b)(2) under the Act requires a registered clearing
agency that performs central counterparty services to establish,
implement, maintain, and enforce written policies and procedures
reasonably designed to use margin requirements to limit its credit
exposures to participants under normal market conditions and use risk-
based models and parameters to set margin requirements and review such
margin requirements and the related risk-based models and parameters at
least monthly.\50\ The proposed changes would enhance the risk-based
model and parameters that establish daily margin requirements for
Netting Members by enabling FICC to better identify the risk posed by a
Netting Member's unsettled portfolio and to quickly adjust and collect
additional deposits as needed to cover those risks. Because the
proposed changes are designed to calculate each Netting Member's
Required Fund Deposit at a 99 percent confidence level, the proposal
also should help mitigate losses to FICC and its members, in the event
that such Netting Member defaults under normal market conditions.
Therefore, the Commission believes that the proposal is consistent with
the requirements of Rule 17Ad-22(b)(2).\51\
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    \50\ 17 CFR 240.17Ad-22(b)(2).
    \51\ Id.
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    Rule 17Ad-22(d)(1) under the Act requires a registered clearing
agency to establish, implement, maintain and enforce written policies
and procedures reasonably designed to, among other things, provide for
a well-founded, transparent, and enforceable legal framework for each
aspect of its

activities in all relevant jurisdictions.\52\ While Ronin and ICBCFS
argue that the proposal is not sufficiently transparent because it does
not include sufficient information for them to determine the proposal's
impact on their margin calculations,\53\ the Commission understands
that FICC has provided Netting Members with information to allow them
to understand the impact of the Margin Proxy on their VaR Charge and
Coverage Charge, and that FICC responded to individual Netting Member
requests for additional data and information.\54\ Moreover, the
Commission understands that FICC will continue to engage in ongoing
dialogue with Netting Members in order to help Netting Members gauge
the individual impact of the proposed margin methodology changes.\55\
Therefore, the Commission believes that the proposal is reasonably
designed to provide for a well-founded, transparent, and enforceable
legal framework, consistent with Rule 17Ad-22(d)(1).\56\
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    \52\ 17 CFR 240.17Ad-22(d)(1).
    \53\ See Ronin Letter at 3; ICBCFS Letter at 1-3.
    \54\ See FICC Letter at 2-3.
    \55\ See id. at 3-4.
    \56\ 17 CFR 240.17Ad-22(d)(1).
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V. 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 and the
rules and regulations thereunder.
    It is therefore ordered, pursuant to Section 19(b)(2) of the
Act,\57\ that proposed rule change SR-FICC-2017-001 be, and it hereby
is, approved as of the date of this order or the date of a notice by
the Commission authorizing FICC to implement FICC's advance notice
proposal SR-FICC-2017-801 that is consistent with this proposed rule
change, whichever is later.\58\
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    \57\ 15 U.S.C. 78s(b)(2).
    \58\ In approving this proposed rule change, the Commission has
considered the proposed rule's impact on efficiency, competition,
and capital formation. See 15 U.S.C. 78c(f).

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\59\
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    \59\ 17 CFR 200.30-3(a)(12).
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Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-06685 Filed 4-4-17; 8:45 am]
 BILLING CODE 8011-01-P


MEMORANDUM SUBJECT: Assessment of Progress for Region 4 Early Action Compact Areas FROM: Kay T. Prince, Chief Air Planning Branch TO: Barbara Driscoll, Acting Group Leader Geographic Strategies Group We have received all of the June 30, 2006, progress reports from each of the 17 Early Action Compact ( EAC) areas in Region 4. These progress reports were received on time and are consistent with the Protocol for Early Action Compacts Designed to Achieve and Maintain the 8 Hour Ozone Standard.

Based on our review we have determined that satisfactory progress has been made toward timely implementation of the required activities in the North Carolina, South Carolina, Tennessee and Georgia EAC State Implementation Plans ( SIPs).

All of the Region 4 EAC areas have 2005 data indicating attainment of the 8 hour standard. We recommend the Region 4 EAC areas receive the third and final extension of the effective date of nonattainment designation to April 15, 2008.

If you have any questions, please contact me at ( 404) 562 9026 or Jane Spann at ( 404) 562 9029.


[Federal Register: June 4, 2009 (Volume 74, Number 106)]
[Notices]
[Page 26901-26902]
[DOCID:fr04jn09-120]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-60002; File No. SR-NYSEArca-2009-32]

Self-Regulatory Organizations; NYSE Arca, Inc.; Order Approving
the Proposed Rule Change Implementing NYSE Arca Realtime Reference
Prices Service on a Permanent Basis

May 29, 2009.

I. Introduction

    On April 15, 2009, NYSE Arca, Inc. (``NYSE Arca'' or the
``Exchange'') filed with the Securities and Exchange Commission
(``Commission''), pursuant to Section 19(b)(1) of the Securities
Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4 thereunder,\2\ a
proposed rule change to establish the NYSE Arca Realtime Reference
Prices service on a permanent basis and to establish a flat monthly fee
for that service. The proposed rule change was published for comment in
the Federal Register on April 24, 2009.\3\ The Commission received no
comment letters on the proposal. This order approves the proposed rule
change.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ See Securities Exchange Act Release No. 59790 (April 20,
2009), 74 FR 18758.
---------------------------------------------------------------------------

II. Description of the Proposal

    The Exchange proposes to establish the NYSE Arca Realtime Reference
Prices service on a permanent basis and to establish a flat monthly fee
for that service. The Exchange currently provides this service pursuant
to a pilot program.\4\ The service allows a vendor to redistribute, on
a real-time basis last sale prices of transactions that take place on
the Exchange (``NYSE Arca Realtime Reference Prices''). The Exchange
has found that the pilot program provides a low-cost service that makes
real-time prices widely available to casual investors, provides vendors
with a useful real-time substitute for delayed prices, and relieves
vendors of administrative burdens. The product is intended to be used
for reference purposes, rather than as a basis for making trading
decisions.
---------------------------------------------------------------------------

    \4\ See Securities Exchange Act Release No. 58444 (August 29,
2008), 73 FR 51872 (September 5, 2008) (SR-NYSEArca-2008-96). The
Commission has approved three extensions of the end date for the
pilot program, which expires on June 30, 2009. See Securities
Exchange Act Release Nos. 58895 (October 31, 2008), 73 FR 66956
(November 12, 2008) (SR-NYSEArca-2008-122); 59184 (December 30,
2008), 74 FR 755 (January 7, 2009) (SR-NYSEArca-2008-143); and 59662
(March 31, 2009), 74 FR 15571 (April 6, 2009) (SR-NYSEArca-2009-25).
---------------------------------------------------------------------------

The Service

    The NYSE Arca Realtime Reference Prices service allows internet
service providers, traditional market data vendors, and others
(collectively, ``NYSE Arca-Only Vendors'') to make available NYSE Arca
Realtime Reference Prices on a real-time basis.\5\ The NYSE Arca
Realtime Reference Price information includes last sale prices for all
securities that trade on the Exchange. The product includes only
prices, and does not include the size of each trade or bid/asked
quotations.
---------------------------------------------------------------------------

    \5\ The Exchange notes that it will make the NYSE Arca Realtime
Reference Prices available to vendors no earlier than it makes those
prices available to the processor under the CTA Plan.
---------------------------------------------------------------------------

    As with the pilot program, under the permanent service the Exchange
will not permit NYSE Arca-Only Vendors to provide NYSE Arca Realtime
Reference Prices in a context in which a trading or order-routing
decision can be implemented unless the NYSE Arca-Only Vendor also
provides consolidated displays of Network A last sale prices available
in an equivalent manner, as required by Rule 603(c)(1) of Regulation
NMS.
    Also, as with the pilot program, the permanent service is intended
to eliminate certain administrative burdens associated with the
distribution of real-time CTA prices. Specifically, the permanent
service would feature the same flat, fixed monthly vendor fee, no user-
based fees, no vendor reporting requirements, and no professional or
non-professional subscriber agreements.

The Fee

    The Exchange proposes to retain the current $30,000 monthly flat
access fee for the NYSE Arca Realtime Reference Prices service. For
that fee, the NYSE Arca-Only Vendor may provide unlimited NYSE Arca
Realtime Reference Prices to an unlimited number of the NYSE Arca-Only
Vendor's subscribers and customers. The pilot program does not impose
any device or end-user fee for the NYSE Arca-Only Vendors' distribution
of NYSE Arca Realtime Reference Prices and the Exchange is not
proposing to add any new fees for the permanent service.
    As with the pilot program, the Exchange proposes to require the
NYSE Arca-Only Vendor to identify the NYSE Arca trade price by placing
the text ``NYSE Arca Data'' in close proximity to the display of each
NYSE Arca Realtime Reference Price or series of NYSE Arca Realtime
Reference Prices, or by complying with such other identification
requirement as to which NYSE Arca may agree. The NYSE Arca-Only Vendor
may make NYSE Arca Realtime Reference Prices available without having
to differentiate between professional subscribers and nonprofessional
subscribers, without having to account for the extent of access to the
data, and without having to report the number of users.

Contracts

    As with the pilot program, NYSE Arca proposes to allow NYSE Arca-
Only Vendors to provide NYSE Arca Realtime Reference Prices without
requiring the end-users to enter into contracts for the benefit of the
Exchange. Instead, the Exchange proposes to require NYSE Arca-Only
Vendors to provide a readily visible hyperlink that will send the end-
user to a warning notice about the end-user's receipt and use of market
data. The notice would be similar to the notice that vendors provide
today when providing CTA delayed data services.
    The Exchange will require NYSE Arca-Only Vendors to enter into the
form of ``vendor'' agreement into which the CTA and CQ Plans require
recipients of the Network A datafeeds to enter (the ``Network A Vendor
Form''). The Network A Vendor Form will authorize the NYSE-Arca Only
Vendor to provide the NYSE Arca Realtime Reference Prices service to
its subscribers and customers. The Exchange will supplement the Network
A Vendor Form with an Exhibit C that will provide terms and conditions
that are unique to the NYSE Arca Realtime Reference Prices service.

III. Discussion and Commission Findings

    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.\6\ In particular, it is consistent with Section 6(b)(4) of
the Act,\7\ which requires that the rules of a national securities
exchange provide for the equitable allocation of reasonable dues, fees,
and other charges among its members and issuers and other parties using
its facilities, and Section 6(b)(5) of the Act,\8\ which requires,
among other things, that the rules of a national securities exchange be
designed 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, and not be designed to permit unfair discrimination
between customers, issuers, brokers, or dealers.
---------------------------------------------------------------------------

    \6\ In approving this proposed rule change, the Commission has
considered the proposed rule's impact on efficiency, competition,
and capital formation. See 15 U.S.C. 78c(f).
    \7\ 15 U.S.C. 78f(b)(4).
    \8\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    The Commission also finds that the proposed rule change is
consistent with the provisions of Section 6(b)(8) of the Act,\9\ which
requires that the rules of an exchange not impose any burden on
competition not necessary or appropriate in furtherance of the purposes
of the Act. Finally, the Commission finds that the proposed rule change
is consistent with Rule 603(a) of Regulation NMS,\10\ adopted under
Section 11A(c)(1) of the Act, which requires an exclusive processor
that distributes information with respect to quotations for or
transactions in an NMS stock to do so on terms that are fair and
reasonable and that are not unreasonably discriminatory.\11\
---------------------------------------------------------------------------

    \9\ 15 U.S.C. 78f(b)(8).
    \10\ 17 CFR 242.603(a).
    \11\ NYSE Arca is an exclusive processor of the NYSE Arca
Realtime Reference Prices service under Section 3(a)(22)(B) of the
Act, 15 U.S.C. 78c(a)(22)(B), which defines an exclusive processor
as, among other things, an exchange that distributes information
with respect to quotations or transactions on an exclusive basis on
its own behalf.
---------------------------------------------------------------------------

    This proposal would make permanent the NYSE Arca Realtime Reference
Prices service and make permanent the $30,000 flat monthly fee for that
service.\12\ The Commission has reviewed the proposal using the
approach set forth in the NYSE Arca Order for non-core market data
fees.\13\ There are a variety of alternative sources of information
that impose significant competitive pressures on NYSE Arca in setting
the terms for distributing the NYSE Arca Realtime Reference Prices
service. The Commission believes that the availability of those
alternatives, as well as NYSE Arca's compelling need to attract order
flow, imposed significant competitive pressure on NYSE Arca to act
equitably, fairly, and reasonably in setting the terms of its proposal.
---------------------------------------------------------------------------

    \12\ See supra note 4.
    \13\ See Securities Exchange Act Release No. 59039 (December 2,
2008), 73 FR 74770 (December 9, 2008) (SR-NYSEArca-2006-21) (``NYSE
Arca Order''). In the NYSE Arca Order, the Commission describes the
competitive factors that apply to non-core market data products. The
Commission hereby incorporates by reference the data and analysis
from the NYSE Arca Order into this order.
---------------------------------------------------------------------------

    Because NYSE Arca was subject to significant competitive forces in
setting the terms of the proposal, the Commission will approve the
proposal in the absence of a substantial countervailing basis to find
that its terms nevertheless fail to meet an applicable requirement of
the Act or the rules thereunder. An analysis of the proposal does not
provide such a basis.

IV. Conclusion

    It is therefore ordered, pursuant to Section 19(b)(2) of the
Act,\14\ that the proposed rule change (SR-NYSEArca-2009-32), be, and
it hereby is, approved.
---------------------------------------------------------------------------

    \14\ 15 U.S.C. 78s(b)(2).
    \15\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\15\
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E9-13039 Filed 6-3-09; 8:45 am]

BILLING CODE 8010-01-P


[Federal Register: March 1, 2006 (Volume 71, Number 40)]
[Notices]
[Page 10579-10580]
[DOCID:fr01mr06-126]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-53345; File No. SR-ISE-2006-10]

Self-Regulatory Organizations; International Securities Exchange,
Inc.; Notice of Filing and Immediate Effectiveness of Proposed Rule
Change Relating to the Extension of a Pilot Period To Increase Position
Limits and Exercise Limits for Equity Options and Options on the
Nasdaq-100 Tracking Stock

February 22, 2006.
    Pursuant to section 19(b)(1) of the Securities Exchange Act of 1934
(``Act'') \1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that
on February 7, 2006, the International Securities Exchange, Inc.
(``ISE'' or ``Exchange'') filed with the Securities and Exchange
Commission (``Commission'') the proposed rule change as described in
Items I and II below, which Items have been prepared by the ISE. The
Exchange has filed the proposal as a ``non-controversial'' rule change
pursuant to section 19(b)(3)(A) of the Act \3\ and Rule 19b-4(f)(6)
thereunder,\4\ which renders it effective upon filing with the
Commission. The Commission is publishing this notice to solicit
comments on the proposed rule change from interested persons.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ 15 U.S.C. 78s(b)(3)(A).
    \4\ 17 CFR 240.19b-4(f)(6).
---------------------------------------------------------------------------

I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change

    The ISE proposes to extend the time period for the ISE Rule 412 and
ISE Rule 414 position and exercise limits pilot program for equity
option contracts and options on the Nasdaq-100 Index Tracking Stock
(``QQQQ'') (``Pilot Program''). The text of the proposed rule change is
available on the ISE's Web site (http://www.iseoptions.com), at the

ISE's principal office, and at the Commission's Public Reference Room.

II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, the ISE included statements
concerning the purpose of and basis for the proposed rule change and
discussed any comments it received on the proposed rule change. The
text of these statements may be examined at the places specified in
Item IV below. The Exchange has prepared summaries, set forth in
sections A, B, and C below, of the most significant aspects of such
statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change

1. Purpose
    The Pilot Program provides for an increase to the standard position
and exercise limits for equity option contracts and for options on
QQQQs.\5\ The Pilot Program, after being extended on a prior occasion,
is set to expire on February 23, 2006.\6\ Specifically, the Pilot
Program increased the applicable position and exercise limits for
equity options and options on the QQQQ to the following levels:
---------------------------------------------------------------------------

    \5\ See Securities Exchange Act Release No. 51295 (March 2,
2005), 70 FR 11292 (March 8, 2005) (notice of filing and immediate
effectiveness of SR-ISE-2005-14) (``Pilot Program Notice'').
    \6\ See Securities Exchange Act Release No. 52265 (August 15,
2005), 70 FR 48996 (August 22, 2005) (notice of filing and immediate
effectiveness of SR-ISE-2005-39).

------------------------------------------------------------------------
   Current equity option contract        Pilot program equity option
             limit \7\                          contract limit
------------------------------------------------------------------------
                         13,500                               25,000
                         22,500                               50,000
                         31,500                               75,000
                         60,000                              200,000
                         75,000                              250,000
------------------------------------------------------------------------
                               CurrenPilot program QQQQ option contract
                                                               limit
------------------------------------------------------------------------
                        300,000                              900,000
------------------------------------------------------------------------

    The purpose of the proposed rule change is to extend the Pilot
Program for an additional six-month period, until September 1, 2006.\8\
The Exchange believes that extending the Pilot Program for six months
is warranted due to the positive feedback from members and for the
reasons cited in the original rule filing that proposed the adoption of
the Pilot Program.\9\ Additionally, the Exchange represents that it has
not experienced any problems or difficulties relating to the Pilot
Program since its inception. For these reasons, the Exchange requests
that the Commission extend the Pilot Program until September 1, 2006.
---------------------------------------------------------------------------

    \7\ Except when the Pilot Program is in effect.
    \8\ The proposed extension is actually for six months and ten
days.
    \9\ See Pilot Program Notice, supra note 5.
---------------------------------------------------------------------------

2. Statutory Basis
    The Exchange believes that its proposal is consistent with section
6(b) of the Act \10\ in general, and furthers the objective of section
6(b)(5) of the Act \11\ in particular, in that it is designed to
promote just and equitable principles of trade and to protect investors
and the public interest.
---------------------------------------------------------------------------

    \10\ 15 U.S.C. 78f(b).
    \11\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

B. Self-Regulatory Organization's Statement on Burden on Competition

    The proposed rule change does not impose any burden on competition.

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

    The Exchange has not solicited, and does not intend to solicit,
comments on this proposed rule change. The Exchange has not received
any unsolicited written comments from members or other interested
parties.

III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action

    Because the forgoing rule change does not: (1) Significantly affect
the protection of investors or the public interest; (2) impose any
significant burden on competition; and (3) become operative for 30 days
after the date of this filing, or such shorter time as the Commission
may designate, it has become effective pursuant to section 19(b)(3)(A)
of the Act \12\ and Rule 19b-4(f)(6) thereunder.\13\
---------------------------------------------------------------------------

    \12\ 15 U.S.C. 78s(b)(3)(A).
    \13\ 17 CFR 240.19b-4(f)(6).
---------------------------------------------------------------------------

    A proposed rule change filed under 19b-4(f)(6) normally may not
become operative prior to 30 days after the date of filing.\14\
However, Rule 19b-4(f)(6)(iii) \15\ permits the Commission to designate
a shorter time if such action is consistent with the protection of
investors and the public interest. The Exchange provided the Commission
with written notice of its intent to file this proposed rule change at
least five business days prior to the date of filing the proposed rule
change. In addition, the Exchange has requested that the Commission
waive the 30-day pre-operative delay. The Commission believes that
waiving the 30-day pre-operative delay is consistent with the
protection of investors and in the public interest because it will
allow the Pilot Program to continue uninterrupted.\16\
---------------------------------------------------------------------------

    \14\ 17 CFR 240.19b-4(f)(6)(iii).
    \15\ Id.
    \16\ For the purposes only of waiving the pre-operative delay,
the Commission has considered the proposed rule's impact on
efficiency, competition, and capital formation. 15 U.S.C. 78c(f).
---------------------------------------------------------------------------

    At any time within 60 days of the filing of the proposed rule
change, the Commission may summarily abrogate such rule change if it
appears to the Commission that such action is necessary or appropriate
in the public interest, for the protection of investors, or otherwise
in furtherance of the Act.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Act. Comments may be submitted by any of
the following methods:

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml.
); or     Send an e-mail to<EMAIL_ADDRESS>Please include

File No. SR-ISE-2006-10 on the subject line.

Paper Comments

     Send paper comments in triplicate to Nancy M. Morris,
Secretary, Securities and Exchange Commission, Station Place, 100 F
Street, NE., Washington, DC 20549-1090.
    All submissions should refer to File No. SR-ISE-2006-10. This file
number should be included on the subject line if e-mail is used. To
help the Commission process and review your comments more efficiently,
please use only one method. The Commission will post all comments on
the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml
). Copies of the submission, all subsequent amendments, all

written statements with respect to the proposed rule change that are
filed with the Commission, and all written communications relating to
the proposed rule change between the Commission and any person, other
than those that may be withheld from the public in accordance with the
provisions of 5 U.S.C. 552, will be available for inspection and
copying in the Commission's Public Reference Room, 100 F Street, NE.,
Washington, DC 20549. Copies of such filing will also be available for
inspection and copying at the principal office of the ISE. All comments
received will be posted without change; the Commission does not edit
personal identifying information from submissions. You should submit
only information that you wish to make available publicly. All
submissions should refer to File No. SR-ISE-2006-10 and should be
submitted on or before March 22, 2006.

    For the Commission, by the Division of Market Regulation,
pursuant to delegated authority.\17\
---------------------------------------------------------------------------

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

Nancy M. Morris,
Secretary.
[FR Doc. E6-2816 Filed 2-28-06; 8:45 am]

BILLING CODE 8010-01-P


[Federal Register Volume 79, Number 175 (Wednesday, September 10, 2014)]
[Notices]
[Pages 53805-53808]
[FR Doc No: 2014-21528]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-72994; File No. SR-BX-2014-044]

Self-Regulatory Organizations; NASDAQ OMX BX, Inc.; Notice of
Filing and Immediate Effectiveness of a Proposed Rule Change Relating
to SPY and DIA Options

September 4, 2014.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act''),\1\ and Rule 19b-4 \2\ thereunder, notice is hereby given
that, on September 2, 2014, NASDAQ OMX BX, Inc. (``Exchange'' or
``BX'') filed with the Securities and Exchange Commission (``SEC'' or
``Commission'') the proposed rule change as described in Items I and II
below, which Items have been prepared by the Exchange. The Commission
is publishing this notice to solicit comments on the proposed rule
change from interested persons.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------

I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change

    BX is filing with the Commission a proposal to amend Chapter IV,
Section 6 (Series of Options Contracts Open for Trading) to allow $1 or
greater strike price intervals for options on the SPDR[supreg] S&P
500[supreg] Exchange Traded Fund (``SPY'') and the SPDR[supreg] Dow
Jones[supreg] Industrial Average Exchange Traded Fund (``DIA'').\3\
---------------------------------------------------------------------------

    \3\ S&P[supreg], S&P 500[supreg], Standard & Poor's[supreg], and
SPDR[supreg] are registered trademarks of Standard & Poor's[supreg]
Financial Services LLC. Dow Jones[supreg], DJIA\SM\, and Dow Jones
Industrial Average\SM\ are registered trade and service marks of Dow
Jones[supreg] Trademark Holdings LLC.
---------------------------------------------------------------------------

    The text of the proposed rule change is also available on the
Exchange's Web site at http://nasdaqomxbx.cchwallstreet.com, at the
principal office of the Exchange, and at the Commission's Public
Reference Room.

II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, the Exchange included statements
concerning the purpose of and basis for the proposed rule change and
discussed any comments it received on the proposed rule change. The
text of these statements may be examined at the places specified in
Item IV below. The Exchange has prepared summaries, set forth in
sections A, B, and C below, of the most significant aspects of such
statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change

1. Purpose
    The purpose of this proposed rule change is to amend Chapter IV,
Section 6 by modifying the interval setting regime for SPY and DIA
options listed on the SPDR S&P 500 Exchange Traded Fund (``ETF'') and
the SPDR Dow Jones Industrial Average ETF, respectively, to allow $1 or
greater strike price intervals.\4\ Through this filing, the Exchange
intends to make SPY and DIA options more tailored and easier for
investors and traders to use.
---------------------------------------------------------------------------

    \4\ The SPDR S&P 500 ETF is based on the broad-based S&P 500
Index, and the SPDR Dow Jones Industrial Average ETF is based on the
Dow Jones Industrial Average.
---------------------------------------------------------------------------

    The proposed rule change is based on the recent Commission approval
of a proposal to amend Commentary.05 to NASDAQ OMX PHLX LLC (``Phlx'')

Rule 1012 to allow SPY and DIA options to trade in $1 or greater
increments.\5\
---------------------------------------------------------------------------

    \5\ See Securities Exchange Act Release No. 72949 (August 29,
2014) (SR-Phlx-2014-46) (approval order).
---------------------------------------------------------------------------

    Under current Chapter IV, Supplementary Material .01 to Section 6,
the interval of strike prices of series of options on ETFs is $1 or
greater where the strike price is 200 or less and $5 or greater where
the strike price is more than 200.\6\ The Proposal seeks to narrow
those strike intervals to $1 apart for SPY and DIA options, in effect
matching the interval for these products to ETF option strike prices at
or below 200.
---------------------------------------------------------------------------

    \6\ See Chapter IV, Supplementary Material .01(b) to Section 6.
---------------------------------------------------------------------------

    The prices for SPY and DIA options [sic] are approaching the 200
price point. By the end of June 2014, for example, SPY was trading at
more than $195 per share and DIA was trading at more than $168 per
share.\7\ As the option strike prices continue to appreciate, investor
and member demands to list additional SPY and DIA option series
continue to increase. SPY is the most heavily traded and liquid
exchange-traded product in the U.S., and SPY options represent 13% of
the total option volume in the U.S. and 1% of the options volume on the
Exchange. DIA options represent 1% of the options volume on the
Exchange and less than 1% of the options volume in the U.S. Moreover,
the popularity of DIA and SPY options is reflected in the fact that
they have options contracts reflecting monthly, quarterly, and weekly
expiration cycles.\8\ Not having the proposed $1 intervals above a 200
strike price will significantly limit investors' hedging and trading
possibilities, particularly when it comes to executing strategies that
are effective in $1 intervals; and may, as a result, constrict trading
and hedging activity. The Exchange therefore proposes to amend Chapter
IV, Supplementary Material .01 to Section 6 to allow SPY and DIA
options to trade in $1 increments.
---------------------------------------------------------------------------

    \7\ On August 25, 2014, SPY traded and closed above $200 for the
first time. The SPY closing price on August 25th was $200.20.
    \8\ For rules regarding quarterly options and weekly options
(also known as Short Term Options), see Chapter IV, Supplementary
Material .04 and Supplementary Material .07 to Section 6,
respectively.
---------------------------------------------------------------------------

    Specifically, the Exchange proposes to add Chapter IV,
Supplementary Material .01(c) to Section 6 \9\ to state that
notwithstanding any other provision regarding the interval of strike
prices of series of options on ETFs in the rule, the interval of strike
prices on SPY and DIA options will be $1 or greater. By having smaller
strike intervals in SPY and DIA, investors will have more efficient
hedging and trading opportunities due to the higher $1 interval
ascension. The proposed $1 intervals, particularly above a 200 strike
price, will result in having at-the-money series based upon the
underlying SPY or DIA moving less than 1%, which falls in line with
slower price movements of a broad-based index. Furthermore, the
proposed $1 intervals will allow currently employed option trading
strategies (such as, for example, risk reduction/hedging strategies
using SPY weekly options) to remain in play. Considering that $1
intervals already exist below the 200 price point and that SPY and DIA
are approaching the 200 level, continuing to maintain the artificial
200 level (above which intervals increase 500%, to $5), will have a
negative effect on investing, trading and hedging opportunities and
volume. The continued demand for highly liquid options such as SPY and
DIA, and the investing, trading, and hedging opportunities they
represent, far outweighs any potential negative impact of allowing SPY
and DIA options to trade in more finely tailored intervals above a 200
price point.
---------------------------------------------------------------------------

    \9\ Current Supplementary Material .01(c), (d), (e) to Section 6
would be re-numbered as Supplementary Material .01(d), (e), (f) to
Section 6, respectively.
---------------------------------------------------------------------------

    With the proposal, for example, investors and traders would be able
to roll open positions from a lower strike to a higher strike in
conjunction with the price movement of the underlying. Under the
current rule, where the next higher available series would be $5 away
above a 200 strike price, the ability to roll such positions is
effectively negated. Thus, to move a position from a 200 strike to a
205 strike under the current rule, an investor would need for the
underlying product to move 2.5%, and would not be able to execute a
roll up until such a large movement occurred. With the proposed rule
change, however, the investor would be in a significantly safer
position of being able to roll his open options position from a 200 to
a 201 strike price, which is only a 0.5% move for the underlying.
    By allowing SPY and DIA options in $1 intervals over a 200 strike
price, the proposal will moderately augment the total number of options
series available on the Exchange. However, the Exchange has analyzed
its capacity and represents that it and the Options Price Reporting
Authority (``OPRA'') have the necessary systems capacity to handle any
potential additional traffic associated with this proposed rule change.
The Exchange believes that its members will not have a capacity issue
as a result of this proposal. The Exchange also represents that it does
not believe this expansion will cause fragmentation of liquidity. The
Exchange's beliefs are supported by the limited nature of the proposal,
which applies to two symbols rather than to all ETF products. Moreover,
while under the current rule-set there is ample liquidity, it is
constricted above 200. This proposal only enhances liquidity at more
rational strike intervals necessary to benefit investors as the stock
market improves in value. The Exchange believes that the proposed rule
change, like the other strike price programs currently offered by the
Exchange, will benefit investors by giving them more flexibility to
more closely tailor their investment and hedging decisions by allowing
SPY and DIA options to trade in finer $1 intervals.
 2. Statutory Basis
    The Exchange believes that the proposed rule change is consistent
with the requirements of the Act and the rules and regulations
thereunder that are applicable to a national securities exchange, and,
in particular, with the requirements of Section 6(b) of the Act.\10\ In
particular, the proposal is consistent with Section 6(b)(5) of the
Act,\11\ because it is designed to promote just and equitable
principles of trade, remove impediments to and perfect the mechanisms
of a free and open market and a national market system and, in general,
to protect investors and the public interest.
---------------------------------------------------------------------------

    \10\ 15 U.S.C. 78f(b).
    \11\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

    In particular, the proposed rule change would add consistency to
the SPY and DIA options markets and allow investors to use SPY and DIA
options more easily and effectively. Moreover, the proposed rule change
would allow investors and traders, whether big or small, to better
trade and hedge positions in SPY and DIA options where the strike price
is greater than 200, and ensure that SPY and DIA options investors and
traders are not at a disadvantage simply because of the strike price.
    The Exchange also believes the proposed rule change is consistent
with Section 6(b)(1) of the Act,\12\ which provides that the Exchange
be organized and have the capacity to be able to carry out the purposes
of the Act and the rules and regulations thereunder, and the rules of
the Exchange. The rule change proposal allows the Exchange to respond
to customer demand to allow SPY and DIA options to trade in $1
intervals above a 200 strike price. The

Exchange does not believe that the proposed rule would create
additional capacity issues or affect market functionality.
---------------------------------------------------------------------------

    \12\ 15 U.S.C. 78f(b)(1).
---------------------------------------------------------------------------

    As noted above, ETF options trade in wider $5 intervals above a 200
strike price, whereby options at or below a 200 strike price trade in
$1 intervals. This creates a situation where contracts on the same
option class, namely SPY and DIA options, effectively may not be able
to execute certain strategies such as, for example, rolling to a higher
strike price, simply because of the arbitrary 200 strike price above
which options intervals increase by 500%. This proposal remedies the
situation by establishing an exception to the current ETF interval
regime, for SPY and DIA options only, to allow such options to trade in
$1 or greater intervals at all strike prices.
    The Exchange believes that the proposed rule change, like other
strike price programs currently offered by the Exchange, will benefit
investors by giving them increased flexibility to more closely tailor
their investment and hedging decisions. Moreover, the proposed rule
change is consistent with changes proposed by at least one other
exchange.\13\
---------------------------------------------------------------------------

    \13\ See Securities Exchange Act Release No. 72949 (August 29,
2014) (SR-Phlx-2014-46) (approval order). Moreover, the Exchange has
noted that other options markets have filed similar proposals to
modify the strike price (intervals) regime for specific options.
See, e.g., Securities Exchange Act Release No. 72482 (June 26,
2014), 79 FR 37825 (July 2, 2014) (SR-CBOE-2014-051) (notice of
filing and immediate effectiveness modifying the strike price regime
for Mini-S&P 500 Index (XSP) options).
---------------------------------------------------------------------------

    With regard to the impact of this proposal on system capacity, the
Exchange has analyzed its capacity and represents that it and OPRA have
the necessary systems capacity to handle any potential additional
traffic associated with this proposed rule change. The Exchange
believes that its members will not have a capacity issue as a result of
this proposal.

B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will
impose any burden on competition that is not necessary or appropriate
in furtherance of the purposes of the Act. To the contrary, the
Exchange believes that the proposed rule change will result in
additional investment options and opportunities to achieve the
investment and trading objectives of market participants seeking
efficient trading and hedging vehicles, to the benefit of investors,
market participants, and the marketplace in general. Specifically, the
Exchange believes that SPY and DIA option investors and traders will
significantly benefit from the availability of finer strike price
intervals above a 200 price point.

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

    No written comments were either solicited or received.

III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action

    Because the proposed rule change does not (i) significantly affect
the protection of investors or the public interest; (ii) impose any
significant burden on competition; and (iii) become operative for 30
days from the date on which it was filed, or such shorter time as the
Commission may designate, the proposed rule change has become effective
pursuant to Section 19(b)(3)(A) of the Act \14\ and Rule 19b-4(f)(6)
thereunder.\15\
---------------------------------------------------------------------------

    \14\ 15 U.S.C. 78s(b)(3)(A).
    \15\ 17 CFR 240.19b-4(f)(6). As required under Rule 19b-
4(f)(6)(iii), the Exchange provided the Commission with written
notice of its intent to file the proposed rule change, along with a
brief description and the text of the proposed rule change, at least
five business days prior to the date of filing of the proposed rule
change, or such shorter time as designated by the Commission.
---------------------------------------------------------------------------

    The Exchange has asked the Commission to waive the 30-day operative
delay so that the proposal may become operative immediately upon
filing. The Exchange stated that waiver of this requirement would allow
the Exchange to implement the proposed rule change as soon as possible
and thereby harmonize its rules regarding SPY and DIA options intervals
with the rules of other markets. The Exchange also stated that waiver
would allow market participants to more effectively tailor their
investing, trading, and hedging decisions in respect of SPY and DIA
options by using finer $1 increments. For these reasons, the Commission
believes that the proposed rule change presents no novel issues and
that waiver of the 30-day operative delay is consistent with the
protection of investors and the public interest; and will allow the
Exchange to remain competitive with other exchanges. Therefore, the
Commission designates the proposed rule change to be operative upon
filing.\16\
---------------------------------------------------------------------------

    \16\ For purposes only of waiving the 30-day operative delay,
the Commission has also considered the proposed rule's impact on
efficiency, competition, and capital formation. See 15 U.S.C.
78c(f).
---------------------------------------------------------------------------

    At any time within 60 days of the filing of the proposed rule
change, the Commission summarily may temporarily suspend such rule
change if it appears to the Commission that such action is necessary or
appropriate in the public interest, for the protection of investors, or
otherwise in furtherance of the purposes of the Act. If the Commission
takes such action, the Commission shall institute proceedings to
determine whether the proposed rule should be approved or disapproved.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Act. Comments may be submitted by any of
the following methods:

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to<EMAIL_ADDRESS>Please include
File Number SR-BX-2014-044 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-BX-2014-044. 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 proposed rule change that are
filed with the Commission, and all written communications relating to
the proposed rule change between the Commission and any person, other
than those that may be withheld from the public in accordance with the
provisions of 5 U.S.C. 552, will be available for Web site viewing and
printing in the Commission's Public Reference Room, 100 F Street NE.,
Washington, DC 20549, on official business days between the hours of
10:00 a.m. and 3:00 p.m. Copies of the filing also will be available
for inspection and copying at the principal office of the Exchange. 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-BX-
2014-044 and should be submitted on or before October 1, 2014.

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\17\
---------------------------------------------------------------------------

    \17\ 17 CFR 200.30-3(a)(12).
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Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2014-21528 Filed 9-9-14; 8:45 am]
BILLING CODE 8011-01-P


[Federal Register Volume 80, Number 57 (Wednesday, March 25, 2015)]
[Notices]
[Pages 15794-15795]
[FR Doc No: 2015-06703]

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DEPARTMENT OF HEALTH AND HUMAN SERVICES

Food and Drug Administration

[Docket No. FDA-2012-N-0369]

Agency Information Collection Activities; Proposed Collection;
Comment Request; Regulations Under the Federal Import Milk Act

AGENCY: Food and Drug Administration, HHS.

ACTION: Notice.

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SUMMARY: The Food and Drug Administration (FDA or we) is announcing an
opportunity for public comment on our proposed collection of certain
information. Under the Paperwork Reduction Act of 1995 (the PRA),
Federal Agencies must publish a notice in the Federal Register
concerning each proposed collection of information, including each
proposed extension of an existing collection of information, and allow
60 days for public comment in response to the notice. This notice
invites comments on the reporting and recordkeeping requirements of our
regulations implementing the Federal Import Milk Act (FIMA).

DATES: Submit either electronic or written comments on the collection
of information by May 26, 2015.

ADDRESSES: Submit electronic comments on the collection of information
to http://www.regulations.gov. Submit written comments on the
collection of information to the Division of Dockets Management (HFA-
305), Food and Drug Administration, 5630 Fishers Lane, Rm. 1061,
Rockville, MD 20852. All comments should be identified with the docket
number found in brackets in the heading of this document.

FOR FURTHER INFORMATION CONTACT: FDA PRA Staff, Office of Operations,
Food and Drug Administration, 8455 Colesville Rd., COLE-14526, Silver
Spring, MD 20993-0002<EMAIL_ADDRESS>
SUPPLEMENTARY INFORMATION: Under the PRA (44 U.S.C. 3501-3520), Federal
Agencies must obtain approval from the Office of Management and Budget
(OMB) for each collection of information they conduct or sponsor.
``Collection of information'' is defined in 44 U.S.C. 3502(3) and 5 CFR
1320.3(c) and includes Agency requests or requirements that members of
the public submit reports, keep records, or provide information to a
third party. Section 3506(c)(2)(A) of the PRA (44 U.S.C. 3506(c)(2)(A))
requires Federal Agencies to provide a 60-day notice in the Federal
Register concerning each proposed collection of information, including
each proposed extension of an existing collection of information,
before submitting the collection to OMB for approval. To comply with
this requirement, we are publishing notice of the proposed collection
of information set forth in this document.
    With respect to the following collection of information, we invite
comments on these topics: (1) Whether the proposed collection of
information is necessary for the proper performance of our functions,
including whether the information will have practical utility; (2) the
accuracy of our estimate of the burden of the proposed collection of
information, including the validity of the methodology and assumptions
used; (3) ways to enhance the quality, utility, and clarity of the
information to be collected; and (4) ways to minimize the burden of the
collection of information on respondents, including through the use of
automated collection techniques, when appropriate, and other forms of
information technology.

Regulations Under the Federal Import Milk Act (FIMA)--21 CFR Part 1210
(OMB Control Number 0910-0212)--Extension

    Under FIMA (21 U.S.C. 141-149), milk or cream may be imported into
the United States only by the holder of a valid import milk permit (21
U.S.C. 141). Before such permit is issued: (1) All cows from which
import milk or cream is produced must be physically examined and found
healthy; (2) if the milk or cream is imported raw, all such cows must
pass a tuberculin test; (3) the dairy farm and each plant in which the
milk or cream is processed or handled must be inspected and found to
meet certain sanitary requirements; (4) bacterial counts of the milk at
the time of importation must not exceed specified limits; and (5) the
temperature of the milk or cream at time of importation must not exceed
50[deg]F (21 U.S.C. 142).
    Our regulations in part 1210 (21 CFR part 1210), implement the
provisions of FIMA. Sections 1210.11 and 1210.14 require reports on the
sanitary conditions of, respectively, dairy farms and plants producing
milk and/or cream to be shipped to the United States. Section 1210.12
requires reports on the physical examination of herds, while Sec.
1210.13 requires the reporting of tuberculin testing of the herds. In
addition, the regulations in part 1210 require that dairy farmers and
plants maintain pasteurization records (Sec.  1210.15) and that each
container of milk or cream imported into the United States bear a tag
with the product type, permit number, and shipper's name and address
(Sec.  1210.22). Section 1210.20 requires that an application for a
permit to ship or transport milk or cream into the United States be
made by the actual shipper. Section 1210.23 allows permits to be
granted based on certificates from accredited officials.
    We estimate the burden of this collection of information as
follows:

                                                     Table 1--Estimated Annual Reporting Burden \1\
--------------------------------------------------------------------------------------------------------------------------------------------------------
                                                                                Number of                        Average
             21 CFR Section                          Form No.                Number of     responses per   Total annual     burden per      Total hours
                                                                            respondents     respondent       responses       response
--------------------------------------------------------------------------------------------------------------------------------------------------------
1210.11................................  FDA 1996; Sanitary inspection                 2             200             400             1.5             600
                                          of dairy farms.
1210.12................................  FDA 1995; Physical examination                1               1               1             0.5             0.5
                                          of cows.
1210.13................................  FDA 1994; Tuberculin test......               1               1               1             0.5             0.5
1210.14................................  FDA 1997; Sanitary inspections                2               1               2             2.0             4.0
                                          of plants.
1210.20................................  FDA 1993; Application for                     2               1               2             0.5             1.0
                                          permit.
1210.23................................  FDA 1815; Permits granted on                  2               1               2             0.5             1.0
                                          certificates.
                                                                         -------------------------------------------------------------------------------
    Total..............................  ...............................  ..............  ..............  ..............  ..............             607
--------------------------------------------------------------------------------------------------------------------------------------------------------
\1\ There are no capital costs or operating and maintenance costs associated with this collection of information.

                                                   Table 2--Estimated Annual Recordkeeping Burden \1\
--------------------------------------------------------------------------------------------------------------------------------------------------------
                                                                                Number of                      Average  burden
                           21 CFR Section                               Number of       records per      Total annual         per          Total hours
                                                                      recordkeepers     recordkeeper       records       recordkeeping
--------------------------------------------------------------------------------------------------------------------------------------------------------
1210.15............................................................               2                1                2             0.05             0.10
--------------------------------------------------------------------------------------------------------------------------------------------------------
\1\ There are no capital costs or operating and maintenance costs associated with this collection of information.

    The estimated number of respondents and hours per response are
based on our experience with the import milk permit program and the
average number of import milk permit holders over the past 3 years. We
estimate that two respondents will submit approximately 200 Form FDA
1996 reports annually, for a total of 600 responses. We estimate the
reporting burden to be 1.5 hours per response, for a total burden of
607 hours.
    The Secretary of Health and Human Services has the discretion to
allow Form FDA 1815, a duly certified statement signed by an accredited
official of a foreign government, to be submitted in lieu of Forms FDA
1994 and 1995. To date, Form FDA 1815 has been submitted in lieu of
these forms. Because we have not received any Forms FDA 1994 and 1995
in the last 3 years, the Agency estimates no more than one will be
submitted annually. We estimate the reporting burden for each to be 0.5
hours per response for a total burden reporting burden of 0.5 hours
each.
    We estimate that two respondents will submit one Form FDA 1997
report annually, for a total of two responses. We estimate the
reporting burden to be 2.0 hours per response, for a total burden of 4
hours. We estimate that two respondents will submit one Form FDA 1993
report annually, for a total of two responses. We estimate the
reporting burden to be 0.5 hours per response, for a total burden of 1
hour. We estimate that two respondents will submit one Form FDA 1815
report annually, for a total of two responses. We estimate the
reporting burden to be 0.5 hours per response, for a total burden of 1
hour.
    With regard to records maintenance, we estimate that approximately
two recordkeepers will spend 0.05 hours annually maintaining the
additional pasteurization records required by Sec.  1210.15, for a
total of 0.10 hours annually.
    No burden has been estimated for the tagging requirement in Sec.
1210.22 because the information on the tag is either supplied by us
(permit number) or is disclosed to third parties as a usual and
customary part of the shipper's normal business activities (type of
product, shipper's name and address). Under 5 CFR 1320.3(c)(2), the
public disclosure of information originally supplied by the Federal
Government to the recipient for the purpose of disclosure to the public
is not subject to review by the Office of Management and Budget under
the Paperwork Reduction Act. Under 5 CFR 1320.3(b)(2)), the time,
effort, and financial resources necessary to comply with a collection
of information are excluded from the burden estimate if the reporting,
recordkeeping, or disclosure activities needed to comply are usual and
customary because they would occur in the normal course of business
activities.

    Dated: March 19, 2015.
Leslie Kux,
Associate Commissioner for Policy.
[FR Doc. 2015-06703 Filed 3-24-15; 8:45 am]
 BILLING CODE 4164-01-P