82 FR 13034 - Order Granting Limited Exemptive Relief, Pursuant to Rule 608(e) of the Securities Exchange Act of 1934, From the Clock Synchronization Compliance Deadline Specified in Section 6.7(a)(ii) of the National Market System Plan Governing the Consolidated Audit Trail
SECURITIES AND EXCHANGE COMMISSION Federal Register Volume 82, Issue 44 (March 8, 2017)
Federal Register Volume 82, Issue 44 (March 8, 2017)
| Page Range | 13034-13036 | |
| FR Document | 2017-04479 |
[Federal Register Volume 82, Number 44 (Wednesday, March 8, 2017)] [Notices] [Pages 13034-13036] From the Federal Register Online [www.thefederalregister.org] [FR Doc No: 2017-04479] ----------------------------------------------------------------------- SECURITIES AND EXCHANGE COMMISSION [Release No. 34-80142] Order Granting Limited Exemptive Relief, Pursuant to Rule 608(e) of the Securities Exchange Act of 1934, From the Clock Synchronization Compliance Deadline Specified in Section 6.7(a)(ii) of the National Market System Plan Governing the Consolidated Audit Trail March 2, 2017. By letter dated January 17, 2017, Bats BYZ Exchange, Inc., Bats BZX Exchange, Inc., Bats EDGA Exchange, Inc., Bats EDGX Exchange, Inc., BOX Options Exchange, LLC, C2 Options Exchange, Incorporated, Chicago Board Options Exchange, Incorporated, Chicago Stock Exchange, Inc., Financial Industry Regulatory Authority, Inc. (``FINRA''), International Securities Exchange, Inc., Investors' Exchange, LLC, ISE Gemini, LLC, ISE Mercury, LLC, Miami International Securities Exchange LLC, NASDAQ BX, Inc., NASDAQ PHLX LLC, The NASDAQ Stock Market LLC, National Stock Exchange, Inc., New York Stock Exchange LLC, NYSE Arca, Inc., and NYSE MKT, LLC (collectively, the ``Participants'' to the National Market System (``NMS'') Plan Governing the Consolidated Audit Trail (``CAT NMS Plan'')) requested that the Securities and Exchange Commission (``Commission'' or ``SEC'') grant limited exemptive relief to the Participants, pursuant to its authority under Rule 608(e) of Regulation NMS under the Securities Exchange Act (``Exchange Act''),\1\ from the clock synchronization compliance deadline set forth in Section 6.7(a)(ii) of the CAT NMS Plan.\2\ --------------------------------------------------------------------------- \1\ 17 CFR 242.608(e). \2\ See letter from the Participants to Brent J. Fields, Secretary, Commission, dated January 17, 2017 (``Exemption Request''). Unless otherwise noted, capitalized terms are used as defined in Rule 613, in the CAT NMS Plan, or in this letter. --------------------------------------------------------------------------- Rule 608(c) of Regulation NMS under the Exchange Act requires that each self-regulatory organization (``SRO'') comply with and, absent reasonable justification or excuse, enforce compliance by its members with, the terms of any effective NMS plan of which it is a sponsor or a participant.\3\ Section 6.7(a)(ii) of the CAT NMS Plan states that ``[u]nless otherwise ordered by the SEC: . . . within four (4) months after the Effective Date, each Participant shall, and through its Compliance Rule shall require its Industry Members to, synchronize its or their Business Clocks as required by Section 6.8 and certify to the Chief Compliance Officer (in the case of Participants) or the applicable Participant (in the case of Industry Members) that such Participant has met this requirement.'' \4\ --------------------------------------------------------------------------- \3\ 17 CFR 242.608(c). \4\ Securities Exchange Act Release No. 79318 (Nov. 15, 2016), 81 FR 84696, 84963 (Nov. 23, 2016) (Order Approving CAT NMS Plan) Ex. A, Sec. 6.7(a)(ii). --------------------------------------------------------------------------- The Participants request that the Commission extend the clock synchronization compliance date set forth in Section 6.7(a)(ii) from within four months after the effective date of CAT NMS Plan, or March 15, 2017, to February 19, 2018 only with respect to Industry Members with Business Clocks that do not capture time in milliseconds as of the date of this order. The Participants note that the existing clock synchronization compliance date under Section 6.7(a)(ii) of March 15, 2017 would remain in effect for those Industry Members with Business Clocks that capture time in milliseconds.\5\ In support of their Exemption Request, the Participants state, generally, that the request is narrowly tailored and would [[Page 13035]] provide significant costs savings to Industry Members with Business Clocks that do not capture time in milliseconds, without having any adverse effect on the consolidated audit trail under the CAT NMS Plan.\6\ The following outlines the Participants claims in support of their exemptive request. --------------------------------------------------------------------------- \5\ See Exemption Request at 1 n.4. \6\ See Exemption Request at 1. --------------------------------------------------------------------------- First, the Participants note that their requested alternative compliance date of February 19, 2018 is consistent with FINRA's compliance date for FINRA Rule 4590, which was approved last year and imposed a new clock synchronization standard of 50 milliseconds applicable to business clocks that are used to record certain events in NMS securities or OTC equity securities.\7\ Among other things, FINRA member firms that do not capture time in milliseconds have until February 19, 2018 to synchronize their business clocks to the new 50 millisecond standard.\8\ The Participants believe that it is appropriate to have the CAT NMS Plan clock synchronization requirements also take effect by February 19, 2018 for those Industry Members that do not capture time in milliseconds as FINRA member firms currently are preparing for the implementation of clock synchronization requirements comparable to those set forth in the CAT NMS Plan by February 19, 2018.\9\ --------------------------------------------------------------------------- \7\ See Securities Exchange Act Release No. 77565 (April 8, 2016), 81 FR 22136 (April 14, 2016) (SR-FINRA-2016-005) (order approving FINRA's proposed rule change to reduce the synchronization tolerance for computer clocks that are used to record events in NMS securities and OTC equity securities). \8\ See FINRA Regulatory Notice 16-23 (July 2016) (establishing for FINRA Rule 4590 a Phase 1 implementation date of February 20, 2017 for systems that capture time in milliseconds and a Phase 2 implementation date of February 19, 2018 systems that do not capture time in milliseconds). \9\ See Exemption Request at 2. Because FINRA's compliance date for those firms that capture time in milliseconds (February 20, 2017) is one month prior to the CAT clock synchronization compliance date (March 15, 2017), the Participants are not requesting exemptive relief with regard to Industry Members that capture time in milliseconds. --------------------------------------------------------------------------- Second, the Participants state that Industry Members are not required to begin reporting information to the Central Repository for at least 20 months after the current March 15, 2017 deadline imposed by the CAT NMS Plan for clock synchronization.\10\ Specifically, large Industry Members are required to begin reporting to the Central Repository on November 15, 2018 (20 months after the CAT NMS Plan clock synchronization deadline),\11\ and Small Industry Members are required to begin reporting on November 15, 2019 (32 months after the CAT NMS Plan deadline).\12\ The Participants believe that allowing Industry Members that do not capture time in milliseconds until February 19, 2018 to synchronize their Business Clocks will result in significant cost savings for such firms.\13\ The Participants state that during these 20 and 32 month periods they would not be required to incur the substantial costs of complying with the more rigorous clock synchronization requirements, such as updating and testing their clock technology, documenting and following clock synchronization procedures that would include performing regular clock synchronizations and preparing a log that documents each clock synchronization event, far in advance of the start of reporting obligations.\14\ --------------------------------------------------------------------------- \10\ See Exemption Request at 2-3. \11\ See Order Approving CAT NMS Plan, Ex. A, Sec. 6.7(a)(v), 81 FR at 84963. \12\ See Order Approving CAT NMS Plan, Ex. A, Sec. 6.6(a)(v), 81 FR at 84962. \13\ See Exemption Request at 2-3. \14\ See id. at 3. --------------------------------------------------------------------------- Third, the Participants also believe that a compliance date of February 19, 2018 for Industry Members that do not capture time in milliseconds will provide Industry Members with sufficient preparation time to ensure the required level of clock synchronization is achieved prior to the commencement of their obligations to report to the Central Repository.\15\ The Participants note that a compliance date of February 19, 2018 provides a comparable clock synchronization deadline to that imposed by Rule 613 on the Participants themselves, who are required to synchronize their own Business Clocks eight months before they commence reporting data to the Central Repository.\16\ Under the requested exemption, large Industry Members that do not capture time in milliseconds would be required to synchronize their Business Clocks nine months before reporting to the Central Repository, and Small Industry Members would be required to do so 21 months before reporting.\17\ --------------------------------------------------------------------------- \15\ See id. \16\ See id. (citing 17 CFR 242.613(a)(3)(ii)). \17\ See Exemption Request at 3. --------------------------------------------------------------------------- Rule 608(e) of Regulation NMS provides that the Commission may exempt from the provisions of an NMS plan, either unconditionally or on specified terms and conditions, any SRO or its members, if the Commission determines that such exemption is consistent with the public interest, the protection of investors, the maintenance of fair and orderly markets, and the removal of impediments to, and perfection of the mechanisms of, a national market system.\18\ --------------------------------------------------------------------------- \18\ 17 CFR 242.608(e). --------------------------------------------------------------------------- The Commission finds that the requested exemption is consistent with the requirements set forth in Rule 608(e). The Commission notes that the Participants have narrowly tailored their exemptive request to seek such relief for a limited period of time and only with respect to those Industry Members with Business Clocks that do not capture time in milliseconds. Given that these Industry Members' obligations to report to the Central Repository do not commence until November 2018 or November 2019 (depending on the size of the firm), the Commission believes that the requested exemption should not result in any adverse effect on the implementation or operation of the consolidated audit trail. In addition, because any changes to these Industry Members' current Business Clocks would require modifications to their firm's systems and processes, this exemption will allow those Industry Members with Business Clocks that do not already capture time in milliseconds additional time to identify and implement the most cost effective clock synchronization solution to achieve compliance with the new standard. Further, the Commission believes that allowing less automated Industry Members to synchronize their clocks by February 19, 2018 is also consistent with the phased implementation approach set forth by FINRA in its Rule 4590.\19\ Thus, the exemption would serve the Participants' stated goal of achieving significant cost savings (from not incurring ongoing costs from March 15, 2017 to February 19, 2018 as well as a potential reduction in eventual costs if the delay allows for identification of lower costs solutions) for certain Industry Members. Accordingly, the Commission believes that imposing the more aggressive deadline required by Section 6.7(a)(ii) of CAT NMS Plan on those Industry Members with Business Clocks that do not capture time in milliseconds would not otherwise facilitate implementation of the consolidated audit trail. --------------------------------------------------------------------------- \19\ See Securities Exchange Act Release No. 77196 (Feb. 19, 2016), 81 FR 9550, 9553 n.35 (Feb. 25, 2016) (SR-FINRA-2016-005) (noting that, in FINRA's view, ``a phased implementation could allow firms, particularly smaller or less automated firms, a greater time period over which they can identify and implement the most cost effective clock synchronization solution that meets the standard required by this proposal''). --------------------------------------------------------------------------- Therefore, the Commission believes that this exemption is consistent with the public interest, the protection of investors, the maintenance of fair and [[Page 13036]] orderly markets and the removal of impediments to, and the perfection of a national market system because it is narrowly tailored, may provide cost savings to those Industry Members that do not capture time in milliseconds, allows such Industry Members additional time to develop cost efficient ways to achieve clock synchronization and will not adversely affect the implementation of the consolidated audit trail. Accordingly, it is hereby ordered, pursuant to Rule 608(e) of the Exchange Act,\20\ that the Participants are granted a limited exemption extending the clock synchronization compliance date set forth in Section 6.7(a)(ii) of CAT NMS Plan from within four months after the effective date of CAT NMS Plan, or March 15, 2017, to February 19, 2018 with respect to Industry Members with Business Clocks that do not capture time in milliseconds as of the date of this order. --------------------------------------------------------------------------- \20\ 17 CFR 242.608(e). By the Commission. Eduardo A. Aleman, Assistant Secretary. [FR Doc. 2017-04479 Filed 3-7-17; 8:45 am] BILLING CODE 8011-01-P
![13034 Federal Register / Vol. 82, No. 44 / Wednesday, March 8, 2017 / Notices
III. Date of Effectiveness of the rules/sro.shtml). Copies of the NASDAQ PHLX LLC, The NASDAQ
Proposed Rule Change and Timing for submission, all subsequent Stock Market LLC, National Stock
Commission Action amendments, all written statements Exchange, Inc., New York Stock
This filing is made pursuant to with respect to the proposed rule Exchange LLC, NYSE Arca, Inc., and
Section 19(b)(3)(A) of the Act 11 and change that are filed with the NYSE MKT, LLC (collectively, the
Rule 19b–4(f)(5) 12 thereunder. Commission, and all written ‘‘Participants’’ to the National Market
This filing relates solely to effecting a communications relating to the System (‘‘NMS’’) Plan Governing the
change in an existing order-entry or proposed rule change between the Consolidated Audit Trail (‘‘CAT NMS
trading system of a self-regulatory Commission and any person, other than Plan’’)) requested that the Securities and
organization that (i) does not those that may be withheld from the Exchange Commission (‘‘Commission’’
significantly affect the protection of public in accordance with the or ‘‘SEC’’) grant limited exemptive relief
investors or the public interest, (ii) does provisions of 5 U.S.C. 552, will be to the Participants, pursuant to its
not impose any significant burden on available for Web site viewing and authority under Rule 608(e) of
competition, and (iii) does not have the printing in the Commission’s Public Regulation NMS under the Securities
effect of limiting the access to or the Reference Room, 100 F Street NE., Exchange Act (‘‘Exchange Act’’),1 from
availability of the system, and as such Washington, DC 20549 on official the clock synchronization compliance
takes effect upon filing under business days between the hours of deadline set forth in Section 6.7(a)(ii) of
Subsection (iii) of Paragraph (A). 10:00 a.m. and 3:00 p.m. Copies of such the CAT NMS Plan.2
At any time within 60 days of the filing also will be available for Rule 608(c) of Regulation NMS under
filing of the proposed rule change, the inspection and copying at the principal the Exchange Act requires that each self-
Commission summarily may office of the Exchange. All comments regulatory organization (‘‘SRO’’) comply
temporarily suspend such rule change if received will be posted without change; with and, absent reasonable justification
it appears to the Commission that such the Commission does not edit personal or excuse, enforce compliance by its
action is necessary or appropriate in the identifying information from members with, the terms of any effective
public interest, for the protection of submissions. You should submit only NMS plan of which it is a sponsor or a
investors, or otherwise in furtherance of information that you wish to make participant.3 Section 6.7(a)(ii) of the
the purposes of the Act. If the available publicly. All submissions CAT NMS Plan states that ‘‘[u]nless
Commission takes such action, the should refer to File Number SR– otherwise ordered by the SEC: . . .
Commission shall institute proceedings NYSEArca–2017–15, and should be within four (4) months after the
under Section 19(b)(2)(B) 13 of the Act to submitted on or before March 29, 2017. Effective Date, each Participant shall,
determine whether the proposed rule and through its Compliance Rule shall
For the Commission, by the Division of require its Industry Members to,
change should be approved or Trading and Markets, pursuant to delegated
disapproved. synchronize its or their Business Clocks
authority.14
as required by Section 6.8 and certify to
IV. Solicitation of Comments Eduardo A. Aleman, the Chief Compliance Officer (in the
Assistant Secretary. case of Participants) or the applicable
Interested persons are invited to
[FR Doc. 2017–04477 Filed 3–7–17; 8:45 am] Participant (in the case of Industry
submit written data, views, and
arguments concerning the foregoing, BILLING CODE 8011–01–P Members) that such Participant has met
including whether the proposed rule this requirement.’’ 4
change is consistent with the Act. The Participants request that the
SECURITIES AND EXCHANGE Commission extend the clock
Comments may be submitted by any of
COMMISSION synchronization compliance date set
the following methods:
[Release No. 34–80142] forth in Section 6.7(a)(ii) from within
Electronic Comments four months after the effective date of
• Use the Commission’s Internet Order Granting Limited Exemptive CAT NMS Plan, or March 15, 2017, to
comment form (http://www.sec.gov/ Relief, Pursuant to Rule 608(e) of the February 19, 2018 only with respect to
rules/sro.shtml); or Securities Exchange Act of 1934, From Industry Members with Business Clocks
• Send an email to rule-comments@ the Clock Synchronization Compliance that do not capture time in milliseconds
sec.gov. Please include File Number SR– Deadline Specified in Section 6.7(a)(ii) as of the date of this order. The
NYSEArca–2017–15 on the subject line. of the National Market System Plan Participants note that the existing clock
Governing the Consolidated Audit Trail synchronization compliance date under
Paper Comments Section 6.7(a)(ii) of March 15, 2017
• Send paper comments in triplicate March 2, 2017. would remain in effect for those
to Brent J. Fields, Secretary, Securities By letter dated January 17, 2017, Bats Industry Members with Business Clocks
and Exchange Commission, 100 F Street BYZ Exchange, Inc., Bats BZX that capture time in milliseconds.5 In
NE., Washington, DC 20549–1090. Exchange, Inc., Bats EDGA Exchange, support of their Exemption Request, the
All submissions should refer to File Inc., Bats EDGX Exchange, Inc., BOX Participants state, generally, that the
Number SR–NYSEArca–2017–15. This Options Exchange, LLC, C2 Options request is narrowly tailored and would
file number should be included on the Exchange, Incorporated, Chicago Board
subject line if email is used. To help the Options Exchange, Incorporated, 1 17 CFR 242.608(e).
2 See letter from the Participants to Brent J. Fields,
Commission process and review your Chicago Stock Exchange, Inc., Financial
Secretary, Commission, dated January 17, 2017
Industry Regulatory Authority, Inc.
mstockstill on DSK3G9T082PROD with NOTICES
comments more efficiently, please use (‘‘Exemption Request’’). Unless otherwise noted,
only one method. The Commission will (‘‘FINRA’’), International Securities capitalized terms are used as defined in Rule 613,
post all comments on the Commission’s Exchange, Inc., Investors’ Exchange, in the CAT NMS Plan, or in this letter.
3 17 CFR 242.608(c).
Internet Web site (http://www.sec.gov/ LLC, ISE Gemini, LLC, ISE Mercury,
4 Securities Exchange Act Release No. 79318
LLC, Miami International Securities
(Nov. 15, 2016), 81 FR 84696, 84963 (Nov. 23, 2016)
11 15 U.S.C. 78s(b)(3)(A). Exchange LLC, NASDAQ BX, Inc., (Order Approving CAT NMS Plan) Ex. A, Sec.
12 17 CFR 240.19b–4(f)(5). 6.7(a)(ii).
13 15 U.S.C. 78s(b)(2)(B). 14 17 CFR 200.30–3(a)(12). 5 See Exemption Request at 1 n.4.
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![13036 Federal Register / Vol. 82, No. 44 / Wednesday, March 8, 2017 / Notices
orderly markets and the removal of for systematically monitoring market methodology relies on a process that
impediments to, and the perfection of a conditions and performing adjustments adjusts the individual volatility
national market system because it is to its margin coverage when market measures of equity-based option
narrowly tailored, may provide cost volatility increases beyond historically underliers (e.g., GE or IBM) by a
savings to those Industry Members that observed levels. The Advance Notice multiplier derived from the volatility of
do not capture time in milliseconds, was published for comment in the the Standard &Poor’s® 500 index
allows such Industry Members Federal Register on February 7, 2017.3 (‘‘SPX’’). OCC refers to that multiplier as
additional time to develop cost efficient The Commission has not received any the uniform scale factor. To account for
ways to achieve clock synchronization comments on the Advance Notice to intra-month changes in volatility, the
and will not adversely affect the date. This publication serves as notice uniform scale factor adjusts individual
implementation of the consolidated of no objection to the Advance Notice. volatilities of applicable underliers by a
audit trail. factor tied to the relationship between
Accordingly, it is hereby ordered, I. Background the short-term and long term volatility
pursuant to Rule 608(e) of the Exchange OCC protects itself against potential of the SPX. Specifically, the uniform
Act,20 that the Participants are granted losses that could result from the default scale factor is used as a proxy to ‘‘scale
a limited exemption extending the clock of a clearing member by requiring up’’ volatilities of equity-based option
synchronization compliance date set margin to be posted in connection with underliers 4 when near-term volatility
forth in Section 6.7(a)(ii) of CAT NMS each member’s positions. The amount of estimates fall below a certain ratio
Plan from within four months after the margin calculated and collected from relative to long-term average volatility,
effective date of CAT NMS Plan, or OCC’s clearing members, along with based on the volatility of the SPX. OCC
March 15, 2017, to February 19, 2018 mutualized clearing-fund resources, is asserts that, by applying a scale factor in
with respect to Industry Members with intended to make available to OCC this way, margin requirements better
Business Clocks that do not capture sufficient financial resources for the account for intra-month volatility risks
time in milliseconds as of the date of orderly transfer or liquidation of a for individual equity-based option
this order. defaulting clearing member’s positions. underliers and thereby better ensure
OCC’s proprietary risk management that clearing members maintain
By the Commission.
system, the System for Theoretical sufficient margin assets in connection
Eduardo A. Aleman, with option positions based upon those
Analysis and Numerical Simulations
Assistant Secretary. (‘‘STANS’’), calculates each clearing underliers.
[FR Doc. 2017–04479 Filed 3–7–17; 8:45 am] member’s margin requirement by II. Description of the Advance Notice
BILLING CODE 8011–01–P utilizing Monte Carlo simulations to
forecast price movements related to the OCC proposes a number of
positions in each clearing member’s enhancements to its STANS margin
SECURITIES AND EXCHANGE portfolio. The STANS margin methodology to more accurately
COMMISSION requirement is intended to be sufficient compute its clearing member margin
[Release No. 34–80143; File No. SR–OCC– to collateralize the member’s losses requirements. Specifically, OCC
2017–801] across its portfolio over a two-day proposes the following: (1) )To change
period, under normal market the length of time-series data used to
Self-Regulatory Organizations; The conditions. calculate the uniform scale factor; (2) to
Options Clearing Corporation; Notice To determine margin requirements, introduce new equity index-based scale
of No Objection To Advance Notice STANS utilizes time-series data, factors; (3) to anchor individual risk
Filing Concerning the Options Clearing including pricing data on assets factor volatilities to longer-term
Corporation’s Margin Coverage During underlying the options contracts that averages; and (4) to implement daily
Times of Increased Volatility OCC clears, and performs calculations data updates of risk factors in OCC’s
related to, among other things, the statistical models used to value U.S.
March 2, 2017. Treasury securities for collateral and
volatilities of these underliers. The
The Options Clearing Corporation margin purposes. Each proposed change
margin amount collected from each
(‘‘OCC’’) filed on January 4, 2017 with is discussed in greater detail below.
clearing member also accounts for
the Securities and Exchange First, OCC proposes to change the
expected changes in the value of
Commission (‘‘Commission’’) advance time-series data period and thereby the
collateral posted in connection with that
notice SR–OCC–2017–801 (‘‘Advance data set used to calculate the uniform
member’s portfolio.
Notice’’) pursuant to Section 806(e)(1) of One of the primary risk drivers in the scale factor. One aspect of the uniform
the Payment, Clearing, and Settlement STANS methodology relates to the scale factor calculation relies on pricing
Supervision Act of 2010 (‘‘Payment, volatility of individual equity securities, information, or time-series data, relating
Clearing and Settlement Supervision which is derived from pricing data to the individual components of the S&P
Act’’) 1 and Rule 19b–4(n)(1)(i) 2 under imported monthly into STANS. 500 index dating back to 1946, which
the Securities Exchange Act of 1934 Between data feeds, the STANS margin pre-dates the 1957 introduction of SPX.
(‘‘Exchange Act’’) to modify its process Because the time-series data pre-dates
3 See Securities Exchange Act Release No. 79915 the SPX’s publication, OCC’s current
20 17 CFR 242.608(e). (February 1, 2017), 82 FR 9613 (February 7, 2017) practice is to supplement the published
1 12 U.S.C. 5465(e)(1). The Financial Stability
(File No. SR–OCC–2017–801). OCC also filed a SPX data with additional pricing
Oversight Council designated OCC a systemically proposed rule change with the Commission information that relies upon
mstockstill on DSK3G9T082PROD with NOTICES
important financial market utility on July 18, 2012. pursuant to Section 19(b)(1) of the Exchange Act
See Financial Stability Oversight Council 2012 and Rule 19b–4 thereunder, seeking approval of assumptions about what theoretically
Annual Report, Appendix A, http:// changes to its rules necessary to implement the
www.treasury.gov/initiatives/fsoc/Documents/ Advance Notice. 15 U.S.C. 78s(b)(1) and 17 CFR 4 The uniform scale factor applies to the volatility
2012%20Annual%20Report.pdf. Therefore, OCC is 240.19b–4, respectively. This proposed rule change measures for single-name and index underliers. It
required to comply with the Payment, Clearing and was published in the Federal Register on January does not apply to exchange-traded funds, futures,
Settlement Supervision Act and file advance 25, 2017. Securities Exchange Act Release No. or volatility-based underliers. For the latter types of
notices with the Commission. 79818 (January 18, 2017), 82 FR 8455 (January 25, options, STANS uses a constant volatility measure
2 17 CFR 240.19b–4(n)(1)(i). 2017) (SR–OCC–2017–001). calculated from monthly data feeds.
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Document Created: 2017-03-08 05:07:01
Document Modified: 2017-03-08 05:07:01
| Category | Regulatory Information | |
| Collection | Federal Register | |
| sudoc Class | AE 2.7: GS 4.107: AE 2.106: | |
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| Section | Notices | |
| FR Citation | 82 FR 13034 |
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