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Federal Register/Vol. 76, No. 26/Tuesday, February 8, 2011

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Federal Register/Vol. 76, No. 26/Tuesday, February 8, 2011 6838 Federal Register / Vol. 76, No. 26 / Tuesday, February 8, 2011 / Notices of information to the Office of staff members who have an interest in proposed rule change was published for Management and Budget for approval. the matters also may be present. comment in the Federal Register on Rule 163 (17 CFR 230.163) provides The General Counsel of the December 21, 2010.4 The Commission an exemption from Section 5(c) under Commission, or his designee, has received no comment letters on the the Securities Act of 1933 (15 U.S.C. 77a certified that, in his opinion, one or proposed rule change. This order et seq.) for certain communications by more of the exemptions set forth in 5 approves the proposed rule change. or on behalf of a well-known seasoned U.S.C. 552b(c)(3), (5), (7), 9(B) and (10) II. Description of the Proposal issuer. The information filed under Rule and 17 CFR 200.402(a)(3), (5), (7), 9(ii) 163 is publicly available. We estimate and (10), permit consideration of the The Exchange proposes to amend that it takes approximately 0.24 burden scheduled matters at the Closed Rule 12.3(l), Margin Requirements, to hours per response to provide the Meeting. make CBOE’s margin requirements for information required under Rule 163 Commissioner Walter, as duty officer, Credit Options consistent with FINRA and that the information is filed by voted to consider the items listed for the Rule 4240, Margin Requirements for approximately 53 respondents for a total Closed Meeting in a closed session. Credit Default Swaps. CBOE’s Credit annual reporting burden of 13 hours. The subject matter of the Closed Options consist of two variations— We estimate that 25% of 0.24 hours per Meeting scheduled for Thursday, Credit Default Options and Credit response (0.06 hours) is prepared by the February 10, 2011 will be: Default Basket Options. Credit Default respondent for a total annual burden of Institution and settlement of Options and Credit Default Basket 3 hours (0.06 hours per response × 53 injunctive actions; and Options are also referred to as ‘‘Credit responses). Institution and settlement of Event Binary Options.’’ Effectively, both Written comments are invited on: (a) administrative proceedings. contracts operate in the same manner as Whether this proposed collection of At times, changes in Commission credit default swap contracts. information is necessary for the priorities require alterations in the As with a credit default swap performance of the functions of the scheduling of meeting items. contract, the buyer of a Credit Option agency, including whether the For further information and to contract is buying protection from the information will have practical utility; ascertain what, if any, matters have been seller of the Credit Option. This (b) the accuracy of the agency’s estimate added, deleted or postponed, please protection is in the form of a monetary of the burden imposed by the collection contact: payment from the Credit Option seller of information; (c) ways to enhance the The Office of the Secretary at (202) to the Credit Option buyer in the event quality, utility, and clarity of the 551–5400. that the issuer of debt securities, or Reference Entity, specified as information collected; and (d) ways to Dated: February 3, 2011. minimize the burden of the collection of underlying the Credit Option contract Elizabeth M. Murphy, information on respondents, including has a Credit Event,5 consequently through the use of automated collection Secretary. defaulting on the payment of principal techniques or other forms of information [FR Doc. 2011–2796 Filed 2–4–11; 11:15 am] and interest on its debt securities. When technology. Consideration will be given BILLING CODE 8011–01–P a Credit Option buyer and seller to comments and suggestions submitted initially open their positions via a in writing within 60 days of this transaction consummated on the publication. SECURITIES AND EXCHANGE Exchange, the Credit Option buyer’s Please direct your written comment to COMMISSION account is charged (debited) for the cost Thomas Bayer, Chief Information [Release No. 34–63819; File No. SR–CBOE– of the protection. The Credit Option Officer, Securities and Exchange 2010–106] seller’s account is credited. For the Commission, C/O Remi Pavlik-Simon, protection, there is only a one-time 6432 General Green Way, Alexandria, Self-Regulatory Organizations; debit and credit to the buyer and seller, Virginia 22312; or send an e-mail to: Chicago Board Options Exchange, respectively. If, prior to expiration of the [email protected]. Incorporated; Order Approving a Credit Option, a Credit Event 6 occurs, Proposed Rule Change, as Modified by the Credit Option contract is settled Dated: February 1, 2011. Amendment No. 1, To Amend Margin with a credit to the Credit Option Cathy H. Ahn, Requirements for Credit Options buyer’s account for a predetermined Deputy Secretary. payout amount (e.g., $1,000), based on [FR Doc. 2011–2667 Filed 2–7–11; 8:45 am] February 2, 2011. the Exchange’s contract specifications. BILLING CODE 8011–01–P I. Introduction The Credit Option seller’s account is debited (charged) for the payout On December 1, 2010, the Chicago amount. SECURITIES AND EXCHANGE Board Options Exchange, Incorporated Credit Default Options have a single COMMISSION (‘‘Exchange’’ or ‘‘CBOE’’) filed with the Reference Entity. Credit Default Basket Securities and Exchange Commission Options have multiple Reference Sunshine Act Meeting (‘‘Commission’’), pursuant to Section Entities. If a Credit Default Basket 19(b)(1) of the Securities Exchange Act Notice is hereby given, pursuant to 1 of 1934 (‘‘Act’’) and Rule 19b–4 4 See Securities Exchange Act Release No. 63546 the provisions of the Government in the 2 Sunshine Act, Public Law 94–409, that thereunder, a proposed rule change as (December 15, 2010), 75 FR 80099 (December 21, ‘‘ ’’ the Securities and Exchange described below. On December 14, 2010) ( Notice ). 5 See Securities Exchange Act Release No. 63352 Commission will hold a Closed Meeting 2010, the Exchange filed Amendment No. 1 to the proposed rule change.3 The (November 19, 2010), 75 FR 73155 (November 29, on Thursday, February 10, 2011 at 2 2010) (order approving SR–CBOE–2010–046). CBOE amended its rules to permit it to, among other p.m. 1 Commissioners, Counsel to the 15 U.S.C. 78s(b)(1). things, list credit options designating a single credit 2 17 CFR 240.19b–4. event, such as failure-to-pay default, another event Commissioners, the Secretary to the 3 Amendment No. 1 to SR–CBOE–2010–106 of default, or a restructuring. See also CBOE Rules Commission, and recording secretaries replaced and superseded the original rule filing in 29.2 and 29.2A. will attend the Closed Meeting. Certain its entirety. 6 Id. VerDate Mar<15>2010 18:16 Feb 07, 2011 Jkt 223001 PO 00000 Frm 00083 Fmt 4703 Sfmt 4703 E:\FR\FM\08FEN1.SGM 08FEN1 srobinson on DSKHWCL6B1PROD with NOTICES Federal Register / Vol. 76, No. 26 / Tuesday, February 8, 2011 / Notices 6839 Option is specified as having a single because the long and short are required application of margin requirements for payout, settlement is triggered when any to have the same underlying Reference similar products. one of the component Reference Entities Entity. Moreover, Credit Options are The Commission further believes that has a Credit Event and thereafter the standardized and are settled through it is appropriate to approve the proposal option ceases to exist. The payout is the The Options Clearing Corp. on a pilot basis to expire on July 16, settlement amount attached to that one CBOE’s proposed rules would also 2011. In particular, the Commission Reference Entity. If a Credit Default require no margin on a short Credit notes that CBOE’s proposed pilot Basket Option is specified as having Default Option that is offset with a short program will parallel FINRA’s pilot multiple payouts, a settlement is position in a debt security issued by the program. This will allow the triggered when any one of the Reference Entity underlying the option. Commission and CBOE to monitor the component Reference Entities has a This language differs from the debt effects of the pilot on the markets and Credit Event,7 but the option continues security offset allowed under FINRA investors and consider appropriate to exist until its expiration. Therefore, Rule 4240. However, applicable margin adjustments, as necessary. additional settlements would be must still be collected on the short IV. Conclusion triggered if, and as, any Credit Events position in a debt security as prescribed occur in respect of the remaining It is therefore ordered, pursuant to pursuant to applicable margin rules. 11 Reference Entity components. The Rule 4240 requires no margin for a long Section 19(b)(2) of the Act, that the payout is the settlement amount credit default swap contract that is proposed rule change (SR–CBOE–2010– attached to each particular Reference paired with a long position in the 106), as modified by Amendment No. 1, Entity. underlying debt security. However, is approved. CBOE notes that the current Exchange CBOE believes this type of offset does For the Commission, by the Division of margin requirements for Credit Options not appear to be workable in respect of Trading and Markets, pursuant to delegated 12 were established before FINRA a Credit Default Option. authority. implemented margin requirements for The proposal will become effective on Cathy H. Ahn, credit default swaps (FINRA Rule 4240). a pilot basis to run a parallel track with Deputy Secretary. In order to be consistent with FINRA FINRA Rule 4240. FINRA Rule 4240 [FR Doc. 2011–2645 Filed 2–7–11; 8:45 am] margin requirements and establish a operates on an interim pilot basis which BILLING CODE 8011–01–P level playing field for similar is currently scheduled to expire on July instruments, CBOE’s proposed 16, 2011.8 If the Exchange were to amendments adopt the FINRA propose an extension of the Credit SECURITIES AND EXCHANGE requirements to a large extent.
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