80 FR 15042 - Self-Regulatory Organizations; the Options Clearing Corporation; Notice of Filing of Proposed Rule Change Concerning the Provision of Clearance and Settlement Services for Energy Futures and Options on Energy Futures
SECURITIES AND EXCHANGE COMMISSION Federal Register Volume 80, Issue 54 (March 20, 2015)
Federal Register Volume 80, Issue 54 (March 20, 2015)
| Page Range | 15042-15045 | |
| FR Document | 2015-06359 |
[Federal Register Volume 80, Number 54 (Friday, March 20, 2015)] [Notices] [Pages 15042-15045] From the Federal Register Online [www.thefederalregister.org] [FR Doc No: 2015-06359] ----------------------------------------------------------------------- SECURITIES AND EXCHANGE COMMISSION [Release No. 34-74511; File No. SR-OCC-2015-006] Self-Regulatory Organizations; the Options Clearing Corporation; Notice of Filing of Proposed Rule Change Concerning the Provision of Clearance and Settlement Services for Energy Futures and Options on Energy Futures March 16, 2015. 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 March 2, 2015, The Options Clearing Corporation (``OCC'') filed with the Securities and Exchange Commission (``Commission'') the proposed rule change as described in Items I, II, and III below, which Items have been prepared primarily by OCC. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. --------------------------------------------------------------------------- \1\ 15 U.S.C. 78s(b)(1). \2\ 17 CFR 240.19b-4. --------------------------------------------------------------------------- I. Clearing Agency's Statement of the Terms of Substance of the Proposed Rule Change The purpose of this proposed rule change by The Options Clearing Corporation (``OCC'') is to provide clearance and settlement services for energy futures contracts (``Energy Futures'') and options on Energy Futures contracts. In order to do so, OCC is proposing to add new risk models to its STANS methodology as [[Page 15043]] well as to add a new ``Schedule C'' to the Agreement for Clearing and Settlement Services between OCC and NASDAQ Futures, Inc. (``NFX'') (the ``Clearing Agreement'').\3\ --------------------------------------------------------------------------- \3\ The Clearing Agreement is the subject of a pending proposed rule change by filed OCC (SR-OCC-2015-03). This proposed rule change has not yet been published by the Commission. SR-OCC-2015-03 is publically available at: http://www.theocc.com/components/docs/legal/rules_and_bylaws/sr_occ_15_03.pdf. (The staff notes that the rule change was filed by the Commission on March 4, 2015 and subsequently published in the Federal Register. See Securities Exchange Act Release No. 74432 (March 4, 2015), 80 FR 12652 (March 10, 2015)). --------------------------------------------------------------------------- II. Clearing Agency's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, OCC included statements concerning the purpose of and basis for the proposed rule change and discussed any comments it received on the proposed rule change. The text of these statements may be examined at the places specified in Item IV below. OCC has prepared summaries, set forth in sections (A), (B), and (C) below, of the most significant aspects of these statements. (A) Clearing Agency'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 provide clearance and settlement services for Energy Futures and options on Energy Futures. As described more fully below, OCC is proposing to add new risk models to its STANS methodology that are designed to risk manage Energy Futures.\4\ The STANS methodology already accommodates the margining of futures and futures options and, after adopting the models described in this proposed rule change, Energy Futures would be risk managed using the same methodology as futures products currently cleared and settled by OCC.\5\ In addition, OCC is proposing to add a new Schedule C to the Clearing Agreement since Energy Futures and options on Energy Futures are not types of contracts for which OCC has previously agreed to provide clearance and settlement services to NFX. --------------------------------------------------------------------------- \4\ OCC believes that its existing risk models for options on futures contracts would appropriately manage risk for options on Energy Futures when used in conjunction with the proposed new risk models for Energy Futures. \5\ OCC would compute initial margin requirements for segregated futures accounts through the Standard Portfolio Analysis of Risk (``SPAN''[supreg]) margin calculation system without further modification, subject to OCC's collection of enhanced margin to be deposited in the segregated futures account in the event that the margin requirement as calculated under STANS would exceed the requirement calculated under SPAN. See Securities Exchange Act Release No. 72331 (June 5, 2014), 79 FR 33607 (June 11, 2014) (SR- OCC-2014-13). See also Securities Exchange Act Release No. 74268 (February 12, 2015), 80 FR 8917 (February 19, 2015) (SR-OCC-2014- 24). This rule change has been approved by the Commission. --------------------------------------------------------------------------- Energy Futures Background OCC is proposing to clear and settle 25 Energy Futures and 3 futures options that are proposed to be traded on NFX.\6\ These 25 Energy Futures include 9 futures contracts on petrol and natural gas products, 3 of which will have related options contracts, and 16 futures contracts on electricity. The proposed Energy Futures contracts are all cash-settled futures products, and the three options on futures contracts (as described below) will settle into the underlying Energy Futures contract. All of the Energy Futures contracts are ``look- alike'' products to futures products already traded on U.S. futures exchanges and cleared by other Derivatives Clearing Organizations (``DCOs'').\7\ --------------------------------------------------------------------------- \6\ Energy Futures and options on Energy Futures would trade during overnight trading sessions. See Securities Exchange Act Release No. 74241 (February 10, 2015), 80 FR 8383 (February 17, 2015) SR-OCC-2014-812. \7\ More specifically, Energy Futures are look-alike products to futures products that are currently traded on the New York Mercantile Exchange, Inc. and ICE Futures, U.S., and cleared by the Chicago Mercantile Exchange Inc. and ICE Clear U.S., Inc., respectively. --------------------------------------------------------------------------- Proposed Petrol and Natural Gas Futures Products NFX will list petrol and natural gas futures contracts and options on petrol futures contracts. The futures are based on a variety of refined oil fuels and natural gasses that are commonly used for hedging market participants' portfolios. Specifically, NFX will list the following cash-settled petrol and natural gas futures contracts: NFX Brent Crude Financial Futures (BFQ), NFX Gasoil Financial Futures (GOQ), NFX Heating Oil Financial Futures (HOQ), NFX WTI Crude Oil Financial Futures (CLQ), NFX RBOB Gasoline Financial Futures (RBQ), NFX Henry Hub Natural Gas Financial Futures--10,000 (HHQ), NFX Henry Hub Natural Gas Financial Futures--2,500 (NNQ), NFX Henry Hub Natural Gas Penultimate Financial Futures--2,500 (NPQ) and NFX Henry Hub Natural Gas Penultimate Financial Futures--10,000 (HUQ). Further, NFX will list options on NFX WTI Crude Financial Futures (LOQ), NFX Brent Crude Financial Futures (BCQ) and the NFX Henry Hub Penultimate Financial Futures (LNQ) that settle directly into the referenced futures contract. Proposed Electricity Futures Products NFX will also list electricity futures. These electricity futures are based on electricity prices at different hubs and smaller nodes from across the United States reflecting different power distribution grids and circuits and are look-alike products to products traded on ICE Futures, U.S. and cleared by ICE Clear U.S., Inc. For each of these nodes, there is a ``peak'' and ``off-peak'' future representing prices at time periods in the day when electricity usage is high compared to when the demand on the grid is lower. The electricity futures NFX selected for listing are the most popular nodes and hubs within the electricity futures market. More specifically, NFX will list the following electricity contracts, to be settled on final settlement prices based on an average regional transmission organization, independent system operator (``ISO'') published real-time or day-ahead locational marginal prices (``LMPs'') \8\ for a pre-determined set of peak or off-peak hours for a contract month: --------------------------------------------------------------------------- \8\ Locational marginal pricing reflects the value of the energy at the specific location and time it is delivered. ---------------------------------------------------------------------------NFX ISO-NE Massachusetts Hub Day-Ahead Off-Peak Financial Future (NOPQ), settling on final settlement prices based on average day-ahead hourly off-peak LMPs for the contract month for the Massachusetts Hub. NFX ISO-NE Massachusetts Hub Day-Ahead Peak Financial Futures (NEPQ), settling on final settlement prices based on average day-ahead hourly peak LMPs for the contract month for the Massachusetts Hub. NFX MISO Indiana Hub Real-Time Peak Financial Futures (CINQ), settling on final settlement prices based on average real-time hourly peak LMPs for the contract month for the Indiana Hub as published by the Midcontinent Independent System Operator, Inc. (``MISO''). NFX MISO Indiana Hub Real-Time Off-Peak Financial Futures (CPOQ), settling on final settlement prices based on average real-time hourly off-peak LMPs for the contract month for the Indiana Hub as published by MISO. NFX PJM AEP Dayton Hub Real-Time Peak Financial Futures (MSOQ), settling on final settlement prices based on average real-time hourly peak LMPs for the contract month for the AEP Dayton Hub. NFX PJM AEP Dayton Hub Real-Time Off-Peak Financial Futures (AODQ), settling on final settlement prices based on average real-time hourly [[Page 15044]] off-peak LMPs for the contract month for the AEP Dayton Hub. NFX PJM Northern Illinois Hub Real-Time Peak Financial Futures (PNLQ), settling on final settlement prices based on average real-time hourly peak LMPs for the contract month for the Northern Illinois Hub. NFX PJM Northern Illinois Hub Real-Time Off-Peak Financial Futures (NIOQ), settling on final settlement prices based on average real-time hourly off-peak LMPs for the contract month for the Northern Illinois Hub. NFX PJM Western Hub Day-Ahead Off-Peak Financial Futures (PJDQ), settling on final settlement prices based on average day-ahead hourly off-peak LMPs for the contract month for the Western Hub. NFX PJM Western Hub Day-Ahead Peak Financial Futures (PJCQ), settling on final settlement prices based on average day-ahead hourly peak LMPs for the contract month for the Western Hub. NFX PJM Western Hub Real-Time Off-Peak Financial Futures (OPJQ), settling on final settlement prices based on average real-time hourly off-peak LMPs for the contract month for the Western Hub. NFX PJM Western Hub Real-Time Peak Financial Future (PJMQ), settling on final settlement prices based on average real-time hourly peak LMPs for the contract month for the Western Hub. NFX CAISO NP-15 Hub Day-Ahead Off-Peak Financial Futures (ONPQ), settling on final settlement prices based on average day-ahead hourly off-peak LMPs for the contract month for the NP-15 Hub. NFX CAISO NP-15 Hub Day-Ahead Peak Financial Futures (NPMQ), settling on final settlement prices based on average day-ahead hourly peak LMPs for the contract month for the NP-15 Hub. NFX CAISO SP-15 Hub Day-Ahead Off-Peak Financial Futures (OFPQ), settling on final settlement prices based on average day-ahead hourly off-peak LMPs for the contract month for the SP-15 Hub. NFX CAISO SP-15 Hub Day-Ahead Peak Financial Futures (SPMQ), settling on final settlement prices based on average day-ahead hourly peak LMPs for the contract month for the SP-15 Hub. Risk Model Changes Background The proposed Energy Futures are look-alike products to energy futures traded on other futures exchanges and cleared by other DCOs. Accordingly, there is a significant amount of historical data and academic literature concerning risk models for energy futures, as discussed below. OCC has used such data and literature in the development of its risk models for Energy Futures. Based on such data and literature, OCC has identified two characteristics specific to energy futures (compared to futures contracts already cleared, settled and risk managed by OCC) for which new risk models need to be added to the STANS methodology: \9\ --------------------------------------------------------------------------- \9\ In developing its risk models for Energy Futures, OCC also considered a third characteristic, namely that electricity markets are known to be geographically segmented, which can cause abrupt and unanticipated changes in spot prices. However, after reviewing relevant academic literature and performing internal testing, OCC determined that adjusting its futures risk models to account for changes in the spot price of electricity was not appropriate. See Kholopova, M. (2006) ``Estimating a two-factor model for the forward curve of electricity,'' Ph.D. dissertation. --------------------------------------------------------------------------- Energy futures prices are known to be more volatile as contracts approach delivery because of the convergence with cash-market prices and the potential for real-life trading and delivery complications of the underlying commodity. This phenomenon is known as the ``Samuelson effect,'' \10\ and --------------------------------------------------------------------------- \10\ See Samuelson, Paul A., ``Proof that Properly Anticipated Prices Fluctuate Randomly,'' Industrial Management Review, Vol. 6 (1965). No other futures contracts for which OCC provides clearance and settlement services exhibit the Samuelson effect. --------------------------------------------------------------------------- The price volatility of certain energy futures display a seasonal pattern (a/k/a ``seasonality''). In order to address these characteristics, OCC has designed multi- factor risk modeling capabilities that can risk model based on up to three factors: A short-run factor, a seasonal factor and a long-run factor. The short-run factor is designed to account for the Samuelson effect, which becomes more pronounced the closer the contract is to maturity (i.e., delivery). The seasonal factor accounts for Energy Futures contracts that display volatility in a seasonal pattern, and the long-run factor accounts for the risk of a given Energy Future not addressed by either the short-run factor or the seasonal factor. OCC's multi-factor models can be further categorized as either a two-factor model or three-factor model. The two factor model consists of a short-run and long-run factor, while the three-factor model consists of a short-run factor, long-run factor and seasonality factor. Two-Factor Model OCC plans to use a two-factor risk model to compute theoretical prices for NFX Brent Crude Financial Futures contracts and NFX WTI Crude Oil Financial Futures contracts since such futures do not exhibit seasonality.\11\ The two-factor risk model will derive a given Energy Future's price based on a long-run factor and a short-run factor. The long-run factor component captures changes to the equilibrium price (i.e., the prevailing market price at a point in time) of a given Energy Future based on factors such as expectations of the exhaustion of existing supply, improving technology for production, the discovery of additional supply of the commodity, inflation and political and regulatory effects. Based on historical data, OCC assumes that such long-run factors cause the equilibrium price for a given Energy Future to evolve according to a stochastic process that accounts for asymmetric skewness and excess kurtosis.\12\ The short-run component captures short-run changes in demand or supply due to real-life factors such as variation in the weather or intermittent supply disruptions as well as increased volatility (i.e., the Samuelson effect).\13\ The short-run component of the model is mean reverting; therefore, in the absence of such short-term changes in demand or supply the long-run factor should determine the price for a given Energy Future. Additionally, the short-run is less noticeable as the tenor of the Energy Futures contract increases. --------------------------------------------------------------------------- \11\ See Schwartz, E. and J. Smith (2000) ``Short-term variations and long-term dynamics in commodity prices,'' Management Science, vol. 46, pp. 893-911. The supply of Brent Crude Oil and WTI Crude Oil is not affected by seasonal variation in demand since there are low-cost transportation methods for Brent Crude Oil and WTI Crude Oil as well as the ability to store Brent Crude Oil and WTI Crude Oil. \12\ The model assumes that past price information is already incorporated into the current price and the next price movement is conditionally independent of past price movements. Additionally, the long-run factor accounts for ``fat tail'' events. \13\ This is often observed as shorter dated futures contracts exhibit greater volatility than longer dated futures contracts. --------------------------------------------------------------------------- Three-Factor Model OCC plans to use a three-factor risk model in order to compute theoretical prices for the remainder of the Energy Futures.\14\ The three-factor model uses the same long-run and short-fun factor components as the two-factor model and adds a seasonality factor. Based on historical data, all Energy Futures except for Energy Futures on Brent Crude Oil and WTI Crude Oil experience seasonality.\15\ In order to address seasonality, OCC would employ [[Page 15045]] a trigonometric function,\16\ which captures price dynamics in different seasons. --------------------------------------------------------------------------- \14\ OCC's proposed model is based upon recent academic literature on energy futures. See Mirantes, A., J. Poblacion and G. Serna (2012) ``The stochastic seasonal behavior of natural gas prices,'' European Financial Management, vol. 18, pp. 410-443. \15\ This is due to the lack of low-cost transportation and limited, or no, ability to store the commodity. \16\ See note 13 supra. --------------------------------------------------------------------------- Based on the above, OCC believes that the proposed enhancements to STANS have been appropriately designed to support the clearance and settlement of Energy Futures, which belief is supported by model back testing results. Moreover, energy futures are not new or novel contracts, and the clearance and settlement of Energy Futures does not present material risk to OCC.\17\ --------------------------------------------------------------------------- \17\ Cleared futures contracts account for less than two percent of OCC's total overall volume and, in 2011, OCC cleared 1,388 contracts traded on NFX. In 2012, OCC cleared 518,360 contracts traded on NFX (NFX did not have any cleared futures contract volume in 2013 and 2014). By way of reference, OCC's average daily cleared contract volume in through February 19, 2015, is 17 million contracts. --------------------------------------------------------------------------- Schedule C to the Clearing Agreement OCC also proposes to add a Schedule C to the Clearing Agreement in order to support the clearance and settlement of Energy Futures and options on Energy Futures. OCC performs clearance and settlement services for NFX pursuant to the Clearing Agreement. Pursuant to the terms of the Clearing Agreement, OCC has agreed to clear the specific types of contracts enumerated in the Clearing Agreement and may agree to clear and settle additional types of contracts through the execution by both parties of a new Schedule C to the Clearing Agreement. Energy Futures and options on Energy Futures are not enumerated in the Clearing Agreement, nor do they fall under an existing Schedule C to the Clearing Agreement. Therefore, a new Schedule C providing for the clearance and settlement of Energy Futures and options on Energy Futures is required. A copy of such Schedule C is attached hereto as Exhibit 3. 2. Statutory Basis OCC believes that the proposed rule change is consistent with Section 17A(b)(3)(F) of the Act \18\ because it will assure the safeguarding of securities and funds which are in the custody and control of OCC. OCC believes that the proposed rule change assures the safeguarding of securities and funds in the custody and control of OCC because it would permit OCC to risk manage Energy Futures through appropriate risk models as described above. Such risk models would reduce the risk that clearing member margin assets would be insufficient should OCC need to use such assets to close-out the positions of a defaulted clearing member. In addition, the proposed rule change is consistent with Rule 17Ad-22(b)(2) under the Act,\19\ because the proposed rule change would allow OCC to implement risk- based models and parameters, as described above, to set margin requirements for clearing members who trade Energy Futures. The proposed rule change is not inconsistent with any existing OCC By-Laws or Rules, including any rules proposed to be amended. --------------------------------------------------------------------------- \18\ 15 U.S.C. 78q-1(b)(3)(F). \19\ 17 CFR 240.17Ad-22(b)(2). --------------------------------------------------------------------------- (B) Clearing Agency's Statement on Burden on Competition OCC does not believe that the proposed rule change would impose a burden on competition.\20\ As described above, the proposed rule change concerns implementation of certain enhancements to OCC's risk models in order to facilitate the margining of clearing member positions in Energy Futures. OCC does not believe that these enhancements will affect the ability of clearing members or other market participants to clear Energy Futures or otherwise limit market participants' choices for selecting clearing services. In addition, the proposed rule change will uniformly affect all clearing members who trade Energy Futures. --------------------------------------------------------------------------- \20\ 15 U.S.C. 78q-1(b)(3)(I). --------------------------------------------------------------------------- (C) Clearing Agency's Statement on Comments on the Proposed Rule Change Received From Members, Participants or Others Written comments on the proposed rule change were not and are not intended to be solicited with respect to the proposed rule change and none have been received. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action Within 45 days of the date of publication of this notice in the Federal Register or within such longer period up to 90 days (i) as the Commission may designate if it finds such longer period to be appropriate and publishes its reasons for so finding or (ii) as to which the self-regulatory organization consents, the Commission will: (A) By order approve or disapprove the proposed rule change, or (B) institute proceedings to determine whether the proposed rule change should be 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 Commissions Internet comment form (http://www.sec.gov/rules/sro.shtml); or Send an email to [email protected]. Please include File Number SR-OCC-2015-006 on the subject line. Paper Comments Send paper comments in triplicate to Secretary, Securities and Exchange Commission, 100 F Street NE., Washington, DC 20549-1090. All submissions should refer to File Number SR-OCC-2015-006. 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 Section, 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 such filing also will be available for inspection and copying at the principal office of OCC and on OCC's Web site at http://www.theocc.com/components/docs/legal/rules_and_bylaws/sr_occ_15_006.pdf . All comments received will be posted without change; the Commission does not edit personal identifying information from submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number SR-OCC-2015-006 and should be submitted on or before April 10, 2015. For the Commission by the Division of Trading and Markets, pursuant to delegated Authority.\21\ --------------------------------------------------------------------------- \21\ 17 CFR 200.30-3(a)(12). --------------------------------------------------------------------------- Brent J. Fields, Secretary. [FR Doc. 2015-06359 Filed 3-19-15; 8:45 am] BILLING CODE 8011-01-P
![15042 Federal Register / Vol. 80, No. 54 / Friday, March 20, 2015 / Notices
rule change will be July 31, 2015, which operative for 30 days from the date on Washington, DC 20549, on official
is the current expiration date of FINRA which it was filed, or such shorter time business days between the hours of 10
Rule 3110.15. The proposed rule change as the Commission may designate, it has a.m. and 3 p.m. Copies of such filing
extends the expiration date of FINRA become effective pursuant to Section also will be available for inspection and
Rule 3110.15 until December 1, 2015. 19(b)(3)(A) of the Act 8 and Rule 19b– copying at the principal office of
As proposed, FINRA Rule 3110.15 will 4(f)(6) thereunder.9 FINRA. All comments received will be
have a retroactive effective date of April At any time within 60 days of the posted without change; the Commission
24, 2014, and it will automatically filing of the proposed rule change, the does not edit personal identifying
expire on December 1, 2015. Commission summarily may information from submissions. You
temporarily suspend such rule change if should submit only information that
2. Statutory Basis it appears to the Commission that such you wish to make available publicly. All
FINRA believes that the proposed rule action is necessary or appropriate in the submissions should refer to File
change is consistent with the provisions public interest, for the protection of Number SR–FINRA–2015–005 and
of Section 15A(b)(6) of the Act,7 which investors, or otherwise in furtherance of should be submitted on or before April
requires, among other things, that the purposes of the Act. If the 10, 2015.
FINRA rules must be designed to Commission takes such action, the For the Commission, by the Division of
prevent fraudulent and manipulative Commission shall institute proceedings Trading and Markets, pursuant to delegated
acts and practices, to promote just and to determine whether the proposed rule authority.10
equitable principles of trade, and, in should be approved or disapproved. Brent J. Fields,
general, to protect investors and the Secretary.
public interest. FINRA believes that the IV. Solicitation of Comments
[FR Doc. 2015–06360 Filed 3–19–15; 8:45 am]
temporary refund program under FINRA Interested persons are invited to
BILLING CODE 8011–01–P
Rule 3110.15 incentivizes members to submit written data, views and
disclose underreported information arguments concerning the foregoing,
relating to judgments and liens and including whether the proposed rule SECURITIES AND EXCHANGE
saves FINRA the time and regulatory change is consistent with the Act. COMMISSION
resources expended in contacting firms Comments may be submitted by any of
and requesting that such information be the following methods: [Release No. 34–74511; File No. SR–OCC–
2015–006]
reported and that extending the Electronic Comments
expiration date of the refund program Self-Regulatory Organizations; the
will more effectively achieve that • Use the Commission’s Internet
comment form (http://www.sec.gov/ Options Clearing Corporation; Notice
purpose. of Filing of Proposed Rule Change
rules/sro.shtml); or
B. Self-Regulatory Organization’s • Send an email to rule-comments@ Concerning the Provision of Clearance
Statement on Burden on Competition sec.gov. Please include File Number SR– and Settlement Services for Energy
FINRA–2015–005 on the subject line. Futures and Options on Energy
FINRA does not believe that the Futures
proposed rule change will result in any Paper Comments
burden on competition that is not March 16, 2015.
necessary or appropriate in furtherance • Send paper comments in triplicate
Pursuant to Section 19(b)(1) of the
of the purposes of the Act. to Brent J. Fields, Secretary, Securities Securities Exchange Act of 1934
The temporary refund program under and Exchange Commission, 100 F Street (‘‘Act’’) 1 and Rule 19b–4 thereunder 2
FINRA Rule 3110.15 encourages NE., Washington, DC 20549–1090. notice is hereby given that on March 2,
members to comply with their existing All submissions should refer to File 2015, The Options Clearing Corporation
reporting obligations and allows them to Number SR–FINRA–2015–005. This file (‘‘OCC’’) filed with the Securities and
receive a refund of Late Disclosure Fees number should be included on the Exchange Commission (‘‘Commission’’)
if the conditions specified in FINRA subject line if email is used. To help the the proposed rule change as described
Rule 3110.15 are satisfied. As such, Commission process and review your in Items I, II, and III below, which Items
FINRA does not believe that extending comments more efficiently, please use have been prepared primarily by OCC.
the expiration date of the temporary only one method. The Commission will The Commission is publishing this
refund program will result in any post all comments on the Commission’s notice to solicit comments on the
burden on members. Internet Web site (http://www.sec.gov/ proposed rule change from interested
rules/sro.shtml). Copies of the persons.
C. Self-Regulatory Organization’s submission, all subsequent
Statement on Comments on the amendments, all written statements I. Clearing Agency’s Statement of the
Proposed Rule Change Received From with respect to the proposed rule Terms of Substance of the Proposed
Members, Participants, or Others change that are filed with the Rule Change
Written comments were neither Commission, and all written The purpose of this proposed rule
solicited nor received. communications relating to the change by The Options Clearing
proposed rule change between the Corporation (‘‘OCC’’) is to provide
III. Date of Effectiveness of the Commission and any person, other than clearance and settlement services for
Proposed Rule Change and Timing for those that may be withheld from the energy futures contracts (‘‘Energy
Commission Action
mstockstill on DSK4VPTVN1PROD with NOTICES
public in accordance with the Futures’’) and options on Energy
Because the foregoing proposed rule provisions of 5 U.S.C. 552, will be Futures contracts. In order to do so,
change does not: (i) Significantly affect available for Web site viewing and OCC is proposing to add new risk
the protection of investors or the public printing in the Commission’s Public models to its STANS methodology as
interest; (ii) impose any significant Reference Room, 100 F Street NE.,
burden on competition; and (iii) become 10 17 CFR 200.30–3(a)(12).
8 15 U.S.C. 78s(b)(3)(A). 1 15 U.S.C. 78s(b)(1).
7 15 U.S.C. 78o–3(b)(6). 9 17 CFR 240.19b–4(f)(6). 2 17 CFR 240.19b–4.
VerDate Sep<11>2014 20:14 Mar 19, 2015 Jkt 235001 PO 00000 Frm 00138 Fmt 4703 Sfmt 4703 E:\FR\FM\20MRN1.SGM 20MRN1](https://thefederalregister.org/doc/80_FR_15096/page/1.svg)
![Federal Register / Vol. 80, No. 54 / Friday, March 20, 2015 / Notices 15045
a trigonometric function,16 which under the Act,19 because the proposed Comments may be submitted by any of
captures price dynamics in different rule change would allow OCC to the following methods:
seasons. implement risk-based models and
Based on the above, OCC believes that Electronic Comments
parameters, as described above, to set
the proposed enhancements to STANS margin requirements for clearing • Use the Commissions Internet
have been appropriately designed to members who trade Energy Futures. The comment form (http://www.sec.gov/
support the clearance and settlement of proposed rule change is not inconsistent rules/sro.shtml); or
Energy Futures, which belief is with any existing OCC By-Laws or • Send an email to rule-comments@
supported by model back testing results. Rules, including any rules proposed to sec.gov. Please include File Number SR–
Moreover, energy futures are not new or be amended. OCC–2015–006 on the subject line.
novel contracts, and the clearance and
(B) Clearing Agency’s Statement on Paper Comments
settlement of Energy Futures does not
present material risk to OCC.17 Burden on Competition • Send paper comments in triplicate
OCC does not believe that the to Secretary, Securities and Exchange
Schedule C to the Clearing Agreement Commission, 100 F Street NE.,
proposed rule change would impose a
OCC also proposes to add a Schedule burden on competition.20 As described Washington, DC 20549–1090.
C to the Clearing Agreement in order to above, the proposed rule change All submissions should refer to File
support the clearance and settlement of concerns implementation of certain Number SR–OCC–2015–006. This file
Energy Futures and options on Energy enhancements to OCC’s risk models in number should be included on the
Futures. OCC performs clearance and order to facilitate the margining of subject line if email is used. To help the
settlement services for NFX pursuant to clearing member positions in Energy Commission process and review your
the Clearing Agreement. Pursuant to the Futures. OCC does not believe that these comments more efficiently, please use
terms of the Clearing Agreement, OCC only one method. The Commission will
enhancements will affect the ability of
has agreed to clear the specific types of post all comments on the Commission’s
clearing members or other market
contracts enumerated in the Clearing Internet Web site (http://www.sec.gov/
participants to clear Energy Futures or
Agreement and may agree to clear and rules/sro.shtml). Copies of the
otherwise limit market participants’
settle additional types of contracts submission, all subsequent
choices for selecting clearing services.
through the execution by both parties of amendments, all written statements
In addition, the proposed rule change
a new Schedule C to the Clearing with respect to the proposed rule
will uniformly affect all clearing
Agreement. Energy Futures and options change that are filed with the
members who trade Energy Futures.
on Energy Futures are not enumerated Commission, and all written
in the Clearing Agreement, nor do they (C) Clearing Agency’s Statement on communications relating to the
fall under an existing Schedule C to the Comments on the Proposed Rule proposed rule change between the
Clearing Agreement. Therefore, a new Change Received From Members, Commission and any person, other than
Schedule C providing for the clearance Participants or Others those that may be withheld from the
and settlement of Energy Futures and public in accordance with the
options on Energy Futures is required. Written comments on the proposed
rule change were not and are not provisions of 5 U.S.C. 552, will be
A copy of such Schedule C is attached available for Web site viewing and
hereto as Exhibit 3. intended to be solicited with respect to
the proposed rule change and none have printing in the Commission’s Public
2. Statutory Basis been received. Reference Section, 100 F Street NE.,
OCC believes that the proposed rule Washington, DC 20549, on official
III. Date of Effectiveness of the business days between the hours of
change is consistent with Section Proposed Rule Change and Timing for
17A(b)(3)(F) of the Act 18 because it will 10:00 a.m. and 3:00 p.m. Copies of such
Commission Action filing also will be available for
assure the safeguarding of securities and
funds which are in the custody and Within 45 days of the date of inspection and copying at the principal
control of OCC. OCC believes that the publication of this notice in the Federal office of OCC and on OCC’s Web site at
proposed rule change assures the Register or within such longer period http://www.theocc.com/components/
safeguarding of securities and funds in up to 90 days (i) as the Commission may docs/legal/rules_and_bylaws/sr_occ_15_
the custody and control of OCC because designate if it finds such longer period 006.pdf .
it would permit OCC to risk manage to be appropriate and publishes its All comments received will be posted
Energy Futures through appropriate risk reasons for so finding or (ii) as to which without change; the Commission does
models as described above. Such risk the self-regulatory organization not edit personal identifying
models would reduce the risk that consents, the Commission will: information from submissions. You
clearing member margin assets would be (A) By order approve or disapprove should submit only information that
insufficient should OCC need to use the proposed rule change, or you wish to make available publicly.
such assets to close-out the positions of All submissions should refer to File
(B) institute proceedings to determine
a defaulted clearing member. In Number SR–OCC–2015–006 and should
whether the proposed rule change
addition, the proposed rule change is be submitted on or before April 10,
should be disapproved.
consistent with Rule 17Ad–22(b)(2) 2015.
IV. Solicitation of Comments For the Commission by the Division of
16 See note 13 supra. Trading and Markets, pursuant to delegated
mstockstill on DSK4VPTVN1PROD with NOTICES
Interested persons are invited to
17 Cleared futures contracts account for less than
submit written data, views, and Authority.21
two percent of OCC’s total overall volume and, in
arguments concerning the foregoing, Brent J. Fields,
2011, OCC cleared 1,388 contracts traded on NFX.
In 2012, OCC cleared 518,360 contracts traded on including whether the proposed rule Secretary.
NFX (NFX did not have any cleared futures contract change is consistent with the Act. [FR Doc. 2015–06359 Filed 3–19–15; 8:45 am]
volume in 2013 and 2014). By way of reference,
OCC’s average daily cleared contract volume in BILLING CODE 8011–01–P
through February 19, 2015, is 17 million contracts. 19 17 CFR 240.17Ad–22(b)(2).
18 15 U.S.C. 78q–1(b)(3)(F). 20 15 U.S.C. 78q–1(b)(3)(I). 21 17 CFR 200.30–3(a)(12).
VerDate Sep<11>2014 20:14 Mar 19, 2015 Jkt 235001 PO 00000 Frm 00141 Fmt 4703 Sfmt 9990 E:\FR\FM\20MRN1.SGM 20MRN1](https://thefederalregister.org/doc/80_FR_15096/page/4.svg)
Document Created: 2015-12-18 11:34:32
Document Modified: 2015-12-18 11:34:32
| Category | Regulatory Information | |
| Collection | Federal Register | |
| sudoc Class | AE 2.7: GS 4.107: AE 2.106: | |
| Publisher | Office of the Federal Register, National Archives and Records Administration | |
| Section | Notices | |
| FR Citation | 80 FR 15042 |
2025 Federal Register | Disclaimer | Privacy Policy
USC | CFR | eCFR