[Federal Register Volume 79, Number 249 (Tuesday, December 30, 2014)]
[Notices]
[Pages 78543-78547]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2014-30443]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-73907; File No. SR-OCC-2014-24]


Self-Regulatory Organizations; The Options Clearing Corporation; 
Notice of Filing of Proposed Rule Change Concerning Extended and 
Overnight Trading Sessions

December 22, 2014.
    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 December 12, 2014, 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 by OCC. The Commission is publishing this 
notice to solicit comments on the proposed rule change from interested 
persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Clearing Agency's Statement of the Terms of Substance of the 
Proposed Rule Change

    This proposed rule change is filed by OCC in connection with a 
proposed change to its operations concerning the clearance of confirmed 
trades executes in extended and overnight trading sessions 
(hereinafter, ``overnight trading sessions'') offered by exchanges for 
which OCC provides clearance and settlement services.

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
    This proposed rule change is being filed in connection with a 
proposed change to OCC's operations concerning the clearance of 
confirmed trades executed in overnight trading sessions offered by 
exchanges for which OCC provides clearance and settlement services. OCC 
currently clears overnight trading activity for CBOE Futures Exchange, 
LLC (``CFE'').\3\ The total number of trades submitted to OCC from 
overnight trading sessions is nominal, typically less than 3,000 
contracts per session. However, OCC has recently observed an industry 
trend whereby exchanges are offering overnight trading sessions beyond 
traditional hours. Exchanges offering overnight trading sessions have 
indicated that such sessions benefit market participants by providing 
additional price transparency and hedging opportunities for products 
traded in such sessions, which, in turn, promotes market stability.\4\ 
In light of this trend, OCC proposes to implement a framework for 
clearing trades executed in such sessions that includes: (1) 
Qualification criteria used to approve clearing members for overnight 
trading sessions, (2) systemic controls to identify trades executed 
during overnight trading sessions by clearing members not approved for 
such sessions, (3) enhancements to OCC's overnight monitoring of trades 
submitted by exchanges during overnight trading sessions, (4) 
enhancements to OCC's credit controls with respect to monitoring 
clearing members' credit risk during overnight trading sessions, 
including procedures for contacting an exchange offering overnight 
trading sessions in order to invoke use of the exchange's kill switch, 
and (5) taking appropriate disciplinary action against clearing members 
who attempt to clear during overnight trading session without first 
obtaining requisite approvals. These changes (described in greater 
detail below) are designed to reduce and mitigate the risks associated 
with clearing trades executed in overnight trading sessions. In 
addition, the only products that will be eligible for overnight trading 
sessions are index options and index futures products.
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    \3\ ELX Futures LP (``ELX'') previously submitted overnight 
trading activity to OCC, but currently does not submit trades from 
overnight trading sessions to OCC. OCC will re-evaluate ELX's risk 
controls in the event ELX re-institutes its overnight trading 
sessions.
    \4\ See CFE-2014-010 at http://cfe.cboe.com/publish/CFErulefilings/SR-CFE-2014-010.pdf.
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    OCC's standards for determining whether to provide clearing 
services for overnight trading sessions offered by an exchange and the 
implementation of a framework are designed to work in conjunction with 
the risk controls of the exchanges that offer overnight trading 
sessions. OCC would confirm an exchange's risk controls as well as its 
staffing levels as they relate to overnight trading sessions to 
determine if OCC may reasonably rely on such risk controls to reduce 
risk presented to OCC by the exchange's overnight trading sessions. 
Such exchange risk controls will consist of: (1) Price reasonability 
checks, (2) controls to prevent orders from being executed beyond a 
certain percentage (determined by the exchange) from the initial 
execution price, (3) activity based protections which focus on risk 
beyond price, such as a high number of trades occurring in a set period 
of time, and (4) kill switch capabilities, which may be initiated by 
the exchange and can cancel all open quotes or all orders of a 
particular participant. OCC believes that confirming the existence of 
applicable pre-trade risk controls as well as overnight staffing at the 
relevant exchanges is essential to mitigating risks

[[Page 78544]]

presented to OCC from overnight trading sessions.\5\ Providing clearing 
services to exchanges offering such sessions is consistent with OCC's 
mission to provide market participants with clearing and risk 
management solutions that respond to changes in the marketplace and may 
result in increased cleared contract volume.
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    \5\ Comparable controls are applied to futures and future option 
trades executed in overnight trading sessions currently cleared by 
OCC, although such controls have been implemented by clearing 
futures commission merchants (``clearing FCMs'') pursuant to 
Commodity Futures Trading Commission (``CFTC'') Regulation 1.73, 
which also requires such clearing FCMs to monitor for adherence to 
such controls during regular and overnight trading sessions. OCC 
believes that it may reasonably rely on such regulation to reduce 
risk presented to OCC during futures markets overnight trading 
sessions. See 17 CFR 1.73. OCC also confirmed CFE maintains kill 
switch capabilities.
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Qualification Criteria
    In order to mitigate risks associated with clearing for overnight 
trading sessions, clearing members that participate in such trading 
sessions would be required to provide contact information to OCC for 
operational and risk personnel available to be contacted by OCC during 
such sessions. In addition, OCC would require that clearing members 
participating in an overnight trading session to post additional margin 
in a designated account in order to mitigate against the risk that OCC 
cannot draft a clearing member's bank account during an overnight 
trading session.\6\ OCC would also adopt a procedure whereby, on a 
quarterly basis, it confirms its record of clearing members eligible 
for overnight trading sessions with a similar record maintained by 
exchanges offering such overnight trading sessions.
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    \6\ Clearing members will be required to designate a proprietary 
bank account to ensure that OCC has a general lien on the assets in 
the account and can use them to satisfy any obligation of the 
clearing member to OCC.
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    With respect to providing operational and risk contacts, under OCC 
Rule 201, each clearing member is required to maintain facilities for 
conducting business with OCC, and a representative of the clearing 
member authorized in the name of the clearing member to take all action 
necessary for conducting business with OCC is required to be available 
at the facility during such hours as may be specified from time-to-time 
by OCC. Similarly, OCC Rules 214(c) and (d) require clearing members to 
ensure that they have the appropriate number of qualified personnel and 
to maintain the ability to process anticipated volumes and values of 
transactions. OCC would use this existing authority to require clearing 
members trading during overnight trading sessions to maintain 
operational and risk staff that may be contacted by OCC during such 
sessions.
    OCC would impose upon clearing members qualified to participate in 
overnight trading sessions additional margin requirement in an amount 
of the lesser of $10 million or 10% of the clearing member's net 
capital (``Additional Margin''), which would be equal to the first 
monitoring risk threshold (described below) and which would be 
collected the morning before each overnight trading sessions.\7\ 
Clearing members must identify the proprietary account that would be 
charged the Additional Margin amount. The Additional Margin requirement 
is intended to provide OCC with additional margin assets should a 
clearing member's credit risk increase during overnight trading 
sessions. OCC proposes to adopt a process whereby each morning OCC 
Financial Risk Management staff would assess the Additional Margin 
requirement against clearing members eligible to participate in 
overnight trading sessions. Clearing members that do not have 
sufficient excess margin on deposit with OCC to meet the Additional 
Margin amount would be required to deposit additional funds with OCC to 
satisfy the Additional Margin requirement.\8\ This process would be 
adopted under existing rule authority.
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    \7\ Clearing members approved for overnight trading sessions who 
do not meet the Additional Margin requirement for a given overnight 
trading session will be treated like a clearing member not approved 
overnight trading sessions, as described below.
    \8\ Under OCC Rule 601, OCC has the discretion to fix the margin 
requirement for any account at an amount that it deems necessary or 
appropriate under the circumstances to protect the interests of 
clearing members, OCC and the public.
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    Moreover, OCC also would confirm that an exchange offering 
overnight trading sessions has adopted a procedure whereby such 
exchange would contact OCC when a trader requests trading privileges 
during overnight trading sessions. The purpose of this contact is to 
verify that the trader's clearing firm (i.e., the OCC clearing member) 
is approved for overnight trading sessions. If the applicable OCC 
clearing member is not approved for overnight trading sessions, then 
the clearing member must receive OCC's approval for overnight trading 
sessions, or the exchange would not provide the trader trading 
privileges during overnight trading sessions. Moreover, OCC would 
confirm that an exchange offering overnight trading sessions has 
implemented a procedure to periodically (i.e., quarterly) validate its 
record of approved clearing firms against OCC's record of clearing 
members approved for overnight trading sessions. Any discrepancies 
between the two records would be promptly resolved by either the 
clearing member obtaining approval at OCC for overnight trading 
sessions, or by the exchange revoking the clearing firm's trading 
privileges for overnight trading sessions.
Systemic Controls
    OCC plans to implement system changes so that trades submitted to 
OCC during overnight trading sessions that have been executed by 
clearing members not approved for such trading sessions would be 
reviewed by OCC staff after acceptance but before being processed (each 
such trade a being a ``Reviewed Trade''). OCC would contact the 
submitting exchange regarding each Reviewed Trade in order to determine 
if the trade is a valid trade. If the exchange determines that the 
Reviewed Trade was in error such that, as provided in Article VI, 
Section 7(c), new or revised trade information is required to properly 
clear the transaction, OCC expects the exchange would instruct OCC to 
disregard or ``bust'' the trade. If the exchange determines that the 
Reviewed Trade was not in error, then OCC would clear the Reviewed 
Trade and take appropriate disciplinary action against the non-approved 
clearing member, as described below. OCC believes that clearing the 
Reviewed Trade is appropriate in order to avoid potentially harming the 
clearing member approved for overnight trading sessions that is on the 
opposite side of the transaction.
Overnight Monitoring
    OCC plans to implement additional overnight monitoring in order to 
better monitor clearing members' credit risk during overnight trading 
sessions. Such monitoring of credit risk is similar to existing OCC 
practices concerning futures cleared during overnight trading hours and 
includes automated processes within ENCORE to measure, by clearing 
member: (i) The aggregate mark-to-market amounts of a clearing member's 
positions, including positions created during overnight trading, based 
on current prices using OCC's Portfolio Revaluation system, (ii) the 
aggregate incremental margin produced by all positions resulting from 
transactions executed during overnight trading, and (iii) with respect 
to options cleared during overnight trading hours, the aggregate net 
trade premium positions resulting from trades executed during overnight 
trading (each of these measures being a ``Credit Risk Number''). Hourly 
credit reports would

[[Page 78545]]

be generated by ENCORE containing the Credit Risk Numbers expressed in 
terms of both dollars and, except for the mark-to-market position 
values, as a percentage of net capital for each clearing member trading 
during overnight trading sessions. The Credit Risk Numbers are the same 
information used by OCC staff to evaluate clearing member exposure 
during regular trading hours and, in addition to OCC's knowledge of its 
clearing members' businesses, are effective measures of the risk 
presented to OCC by each clearing member. OCC's Operations staff would 
review such reports as they are generated and, in the event that any of 
the Credit Risk Numbers for positions established by a clearing member 
during an overnight trading session exceeds established thresholds, 
staff would alert OCC's Market Risk staff \9\ of the exceedance in 
accordance with established procedures, as described below. Market Risk 
staff would follow a standardized process concerning such exceedances, 
including escalation to OCC's management, if required by such process. 
Given the nominal volume of trades executed in overnight trading 
sessions that are presently submitted for clearance, no changes in 
current staffing levels that support overnight clearing activities is 
contemplated at this time, however, such staffing levels will be 
periodically assessed and adjusted, as appropriate. As part of the 
overnight clearing activities, OCC has, however, designated an on-call 
Market Risk duty officer who would be responsible for reviewing issues 
that arise when clearing for overnight trading session and determining 
what measures to be taken as well as additional escalation, if 
necessary.
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    \9\ OCC's Member Services staff will also receive alerts in 
order to contact clearing members as may be necessary.
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    With respect to OCC's escalation thresholds, if any Credit Risk 
Number of a clearing member approved for overnight trading sessions is 
$10 million or more, or any Credit Risk Number equals 10% or more of 
the clearing member's net capital, OCC's Operations staff would be 
required to provide email notification to Market Risk and Member 
Services staff. If any Credit Risk Number of a clearing member not 
approved for overnight trading sessions is $10 million or more, or any 
Credit Risk Number equals 10% or more of the clearing member's net 
capital, OCC's Operations would also notify Market Risk and Member 
Services staff as well as its senior management. Such departments would 
take action to prevent additional trading by the non-approved clearing 
member, including contacting the exchange to invoke use of the 
exchange's kill switch.
    If any Credit Risk Number of a clearing member approved for 
overnight trading sessions is $50 million or more, or equals 25% or 
more of the clearing member's net capital, Operations staff would be 
required to contact, by telephone: (i) Market Risk and Member Services, 
(ii) the applicable exchange for secondary review, and (iii) the 
clearing member's designated contacts. The on-call Market Risk duty 
officer would also consider if additional action is necessary, which 
may include contacting a designated executive officer in order to issue 
an intra-day margin call, increase the clearing member's margin 
requirement in order to prevent the withdrawal of a specified amount of 
excess margin collateral, if any, the clearing member has on deposit 
with OCC or contacting the exchange in order to invoke use of its kill 
switch. If any Credit Risk Number is $75 million or more, or equals 50% 
or more of the clearing member's net capital, Operations staff would be 
required to contact, by telephone, Market Risk staff, the on-call 
Market Risk duty officer and a designated executive officer. Such 
officer would be responsible for reviewing the situation and 
determining whether to implement credit controls, which are described 
in greater detail below and include: Issuing an intra-day margin call, 
increasing a clearing member's margin requirement in order to prevent 
the withdrawal of a specified amount of excess margin collateral, if 
any, the clearing member has on deposit with OCC, whether further 
escalation is warranted in order for OCC to take protective measures 
pursuant to OCC Rule 305, or contact the exchange in order to invoke 
use of its kill switch. OCC chose the above described escalation 
thresholds based on its analysis of historical overnight trading 
activity across the futures industry. OCC believes that these 
thresholds strike an appropriate balance between effective risk 
monitoring and operational efficiency.
Credit Controls
    In order to address credit risk associated with trading during 
overnight trading sessions, and as described above, OCC would collect 
Additional Margin from clearing members as well as monitor and analyze 
the impact that positions established during such sessions have on a 
clearing member's overall exposure. Should the need arise based on 
threshold breaches described above, and pursuant to OCC Rule 609, OCC 
may require the deposit of additional margin (``intra-day margin'') by 
any clearing member that increases its incremental risk as a result of 
trading activity during overnight trading sessions. Accordingly, a 
clearing member's positions established during such sessions will be 
incorporated into OCC's intra-day margin process. Should a clearing 
member's exposure significantly increase while settlement banks are not 
open to process an intra-day margin call, OCC has the authority under 
OCC Rule 601 to increase a clearing member's margin requirement which 
would restrict its ability to withdraw excess margin collateral. The 
implementation of these measures is discussed more fully below.
    In the event that a clearing member's exposure during overnight 
trading sessions causes a clearing member to exceed OCC's intra-day 
margin call threshold for overnight night trading sessions, OCC would 
require the clearing member to deposit intra-day margin equal to the 
increased incremental risk presented by the clearing member. 
Specifically, if a clearing member has a total risk charge \10\ 
exceeding 25% (a reduction of the usual figure of 50%), as computed 
overnight by OCC's STANS system, and a loss of greater than $50,000 
from an overnight trading session(s), as computed by Portfolio 
Revaluation, OCC would initiate an intra-day margin call. OCC would 
know at approximately 8:30 a.m. (Central Time) if an intra-day margin 
call on a clearing member would be initiated based on breaches of these 
thresholds. This ``start of business'' margin call is in addition to 
daily margin OCC collects from clearing members pursuant to OCC Rule 
605, any intra-day margin call that OCC may initiate as a result of 
regular trading sessions or special margin call that OCC may initiate.
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    \10\ Total risk charge is a number derived from STANS outputs 
and is the sum of expected shortfall, stress test charges and any 
add-on charges computed by STANS. STANS is OCC's proprietary margin 
methodology.
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    In addition to, or instead of, requiring additional intra-day 
margin, OCC Rule 601 \11\ and OCC's Clearing Member Margin Call Policy 
work together to authorize Market Risk staff to increase a clearing 
member's margin requirement which may be in an amount equal to an 
intra-day margin call.\12\ (Any increased

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margin requirement will remain in effect until the next business day.) 
This action would immediately prevent clearing members from withdrawing 
any excess margin collateral (in the amount of the increased margin 
requirement) the clearing member has deposited with OCC. With respect 
to clearing trades executed in overnight trading sessions, and in the 
event OCC requires additional margin from a clearing member, Market 
Risk staff may use increased margin requirements as a means of 
collateralizing the increase in incremental risk a clearing member 
incurred during such sessions without having to wait for banks to open 
to process an intra-day margin call.\13\ Such action may be taken by 
OCC instead of or in addition to issuing an intra-day margin call 
depending on the amount of excess margin a clearing member has on 
deposit with OCC and the amount of the incremental risk presented by 
such clearing member. The expansion of OCC's intra-day margin call 
process as described in the preceding paragraph, including OCC's 
ability to manually increase clearing members' margin requirements, 
would mitigate the risk that OCC is under-collateralized as a result of 
overnight trading hours.
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    \11\ In addition, OCC Rule 601 provides OCC with the authority 
to fix the margin requirement for any account or any class of 
cleared contracts at such amount as it deems necessary or 
appropriate under the circumstances to protect the respective 
interests of clearing members, OCC and the public.
    \12\ Clearing members frequently deposit margin at OCC in excess 
of requirements.
    \13\ Clearing members would be able to substitute the locked-up 
collateral during normal time frames (i.e., 6:00 a.m. to 5:00 p.m. 
(Central Time) for equity securities).
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    Moreover, a designated executive officer may call an exchange 
offering overnight trading sessions to invoke use of its kill switch. 
The kill switch would prevent a clearing member (or the market 
participant clearing through a clearing member) from executing trades 
on the exchange during a given overnight trading session or, if needed, 
stop all trading during a given overnight trading session. Finally, 
pursuant to OCC Rule 305, the Executive Chairman or the President of 
OCC, in certain situations, has the authority to impose limitations and 
restrictions on the transactions, positions and activities of a 
clearing member. This authority would be used, as needed, in the event 
a clearing member accumulates significant credit risk during overnight 
trading sessions, or a clearing member's activities during such trading 
sessions otherwise warrant OCC taking protective action.
Rule Enforcement Actions
    In order to deter clearing members from attempting to participate 
in overnight trading sessions without authorization as well as 
appropriately enforce the above described processes, OCC would ensure 
that any attempt by a clearing member to participate in overnight 
trading sessions without first obtaining the necessary approval would 
result in the initiation of a rule enforcement action against such 
clearing member. As described above, clearing members not approved for 
overnight trading sessions who trade during such overnight sessions 
would have their trades reviewed by OCC staff. Clearing members who 
attempted to participate in overnight trading sessions that did not 
obtain the necessary approval to do so would be subject to a minor rule 
violation fine.\14\ In addition, if a clearing member's operational or 
risk contacts for overnight trading sessions were unavailable had OCC 
attempted to contact such individuals, the clearing member would be 
subject to a minor rule violation fine. OCC has existing processes in 
place to monitor for clearing member violations of OCC's rules and such 
processes would also apply to clearing member activity during overnight 
trading sessions.
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    \14\ See OCC Rule 1201(b).
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 2. Statutory Basis
    OCC believes that the proposed rule change is consistent with 
Section 17A(b)(3)(F) of the Act \15\ because it provides for the 
safeguarding of securities and funds in the custody and control of OCC. 
OCC believes that the proposed changes described above will provide OCC 
with the tools necessary to mitigate risks that may occur as a result 
of overnight trading sessions thereby providing for the safeguarding of 
securities and funds in the custody and control of OCC. As described 
above, OCC will implement a risk monitoring processes designed to 
identify increases in credit risk presented to OCC as a result of 
overnight trading sessions as well as implement additional safeguards 
designed to mitigate operational risk associated with overnight trading 
sessions. These practices are designed to identify and mitigate risks 
that may be presented to OCC as a result of overnight trading sessions, 
and provide for the safeguarding of securities and funds in the custody 
and control of OCC. The proposed rule change is not inconsistent with 
the existing rules of OCC, including any other rules proposed to be 
amended.
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    \15\ 15 U.S.C. 78q-1(b)(3)(F).
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(B) Clearing Agency's Statement on Burden on Competition

    OCC does not believe that the proposed rule change would impose a 
burden on competition.\16\ The proposed rule change concerns 
operational changes that are designed to reduce OCC's exposure to risk 
as a result of clearing member activities during overnight trading 
sessions and are protective in nature. These changes will be applied 
uniformly across all clearing members and all exchanges participating 
in overnight trading sessions. Accordingly, OCC does not believe that 
the proposed rule change would impose a burden on competition.
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    \16\ 15 U.S.C. 78q-1(b)(3)(I).
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(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 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-2014-24 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-2014-24. 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

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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 OCC and on OCC's Web site at 
http://www.theocc.com/components/docs/legal/rules_and_bylaws/sr_occ_14_24.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-
2014-24 and should be submitted on or before January 20, 2015.
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    \17\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\17\
Brent J. Fields,
Secretary.
[FR Doc. 2014-30443 Filed 12-29-14; 8:45 am]
BILLING CODE 8011-01-P