[Federal Register Volume 77, Number 29 (Monday, February 13, 2012)]
[Notices]
[Pages 7621-7623]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2012-3213]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-66340; File No. SR-OCC-2012-02]


Self-Regulatory Organizations; The Options Clearing Corporation; 
Notice of Filing and Immediate Effectiveness of Proposed Rule Change To 
Permit OCC To Clear and Settle Spot Gold Futures, Which Are Proposed To 
Be Traded by NASDAQ OMX Futures Exchange, Inc.

February 7, 2012.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act''),\1\ notice is hereby given that on January 24, 2012, The 
Options Clearing Corporation (``OCC'') filed with the Securities and 
Exchange Commission (``Commission'') the proposed rule change described 
in Items I and II below, which Items have been prepared primarily by 
OCC. OCC filed the proposal pursuant to Section 19(b)(3)(A)(iii) of the 
Act \2\ and Rule 19b-4(f)(4)(ii) \3\ thereunder so that the proposal 
was effective upon filing with the Commission. The Commission is 
publishing this notice to solicit comments on the rule change from 
interested parties.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 15 U.S.C. 78s(b)(3)(A)(iii).
    \3\ 17 CFR 240.19b-4(f)(4)(ii).
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The proposed rule change will permit OCC to clear and settle Spot 
Gold Futures, which are proposed to be traded by NASDAQ OMX Futures 
Exchange, Inc. (``NFX'').

II. Self-Regulatory Organization'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.\4\
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    \4\ The Commission has modified the text of the summaries 
prepared by OCC.
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(A) Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    The purpose of this rule change is to permit OCC to clear and 
settle Spot Gold Futures, which are proposed to be traded by NFX. A 
Spot Gold Future is a U.S. dollar-settled futures contract based on the 
value of gold with an additional daily cost of carry/interest payment 
feature (``Cost of Carry Payment'') reflecting the difference between 
the overnight lease rate for gold and the overnight interest rate for 
the U.S. dollar. The Cost of Carry Payment will be in addition to the 
daily variation payment and is designed to make the economic effect of 
buying or selling a Spot Gold Future equivalent to the purchase or sale 
of gold in the spot market. Spot Gold Futures would simulate a spot 
market transaction that is continually ``rolled forward'' to the 
maturity date of the future with the Cost of Carry Payment being 
similar to the payment exchanged between the buyer and seller in a spot 
transaction each day the transaction is rolled forward.
    The per-contract amount of the Cost of Carry Payment will be 
expressed in terms of ``swap points,'' which will be calculated and 
supplied to NFX by a third-party service provider. A positive swap 
point results in a credit for the holder of the short position with 
respect to a Spot Gold Futures contract, and a

[[Page 7622]]

debit for the holder of the long position. Similarly, a negative swap 
point results in a debit for the holder of the short position and a 
credit for the holder of the long position. NFX will provide the swap 
point data that it receives from the third-party service provider to 
OCC each day, and OCC will apply the swap point value to each Clearing 
Member account's final position at the end of each day and will settle 
the resultant payment along with regular cash settlements on the 
following business day. In the event that that NFX does not provide the 
swap point data by the deadline specified by OCC, settlement of the 
Cost of Carry Payment may be postponed until the business day following 
the business day on which such amount was provided. Furthermore, the 
amount of the Cost of Carry Payment provided by NFX will be 
conclusively presumed to be accurate, and OCC will not bear any 
liability as a result of any inaccuracy in such amount.
    NFX plans to use as the final settlement price for each Spot Gold 
Future the published settlement price of the corresponding gold futures 
contract on COMEX.
OCC's Proposed By-Law and Rule Changes
    OCC's current By-Laws and Rules do not provide for cash-settled 
futures with a daily cost of carry/interest payment between the buyer 
and seller of such contract in addition to the daily variation payment. 
In order to provide for the clearance of Spot Gold Futures, OCC 
proposes to add definitions for Spot Futures and the Cost of Carry 
Payment to its By-Laws and to amend its Rules to describe the manner in 
which Cost of Carry Payments will be calculated and made.
Changes to Agreement for Clearing and Settlement Services
    OCC performs the clearing function for NFX pursuant to the Clearing 
Agreement between OCC and NFX. The Clearing Agreement provides that NFX 
will provide settlement prices to OCC and will indemnify OCC in the 
event that OCC uses an incorrect settlement price provided by NFX. It 
does not, however, contemplate the transmission of separate settlement 
items such as swap points. The Clearing Agreement will be amended to 
address NFX's provision of swap point data to OCC and to provide 
protection for OCC in the event that NFX provides incorrect swap point 
data.\5\
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    \5\ A copy of the proposed second amended and restated Clearing 
Agreement is attached to the proposed rule change filing as Exhibit 
5A.
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    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 additional types through the execution 
by both parties of a new ``Schedule C'' to the Agreement.\6\
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    \6\ A copy of the proposed new Schedule C providing for the 
clearance of Spot Gold Futures is attached to the proposed rule 
change filing as Exhibit 5B.
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    OCC believes that the proposed changes to OCC's By-Laws are 
consistent with the purposes and requirements of Section 17A of the Act 
\7\ and the rules and regulations thereunder applicable to OCC because 
the proposed changes are designed to permit OCC to perform clearing 
services for products that are subject to the jurisdiction of the CFTC 
without adversely affecting OCC's obligations with respect to the 
prompt and accurate clearance and settlement of securities transactions 
or the protection of investors and the public interest. The proposed 
rule change is not inconsistent with any rules of OCC.
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    \7\ 15 U.S.C. 78q-1.
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(B) Self-Regulatory Organization's Statement on Burden on Competition

    OCC does not believe that the proposed rule change will have any 
impact or impose any burden on competition.

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

    Written comments relating to the proposed rule change have not been 
solicited or received. OCC will notify the Commission of any written 
comments received by OCC.

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

    The foregoing proposed rule change has become effective upon filing 
pursuant to Section 19(b)(3)(A) of the Act \8\ and Rule 19b-4(f)(4)(ii) 
\9\ thereunder. 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.
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    \8\ 15 U.S.C. 78s(b)(3)(A).
    \9\ 17 CFR 240.19b-4(f)(4)(ii).
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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 protected]. Please include 
File Number SR-OCC-2012-02 on the subject line.

Paper Comments

     Send paper comments in triplicate to Elizabeth M. Murphy, 
Secretary, Securities and Exchange Commission, 100 F Street NE., 
Washington, DC 20549-1090.

All submissions should refer to File Number SR-OCC-2012-02. 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 
a.m. and 3 p.m. Copies of such filings also will be available for 
inspection and copying at the principal office of OCC and on OCC's Web 
site at http://www.optionsclearing.com/components/docs/legal/rules_and_bylaws/sr_occ_12_02.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-2012-02 and should be submitted on or before March 
5, 2012.


[[Page 7623]]


    For the Commission by the Division of Trading and Markets, 
pursuant to delegated authority.\10\
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    \10\ 17 CFR 200.30-3(a)(12).
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Kevin O'Neill,
Deputy Secretary.
[FR Doc. 2012-3213 Filed 2-10-12; 8:45 am]
BILLING CODE 8011-01-P