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Federal Register / Vol. 86, No. 19 / Monday, February 1, 2021 / Notices
Dated: January 28, 2021.
Vanessa A. Countryman, Secretary.
FR Doc. 202102155 Filed 12821; 11:15 am BILLING CODE 801101P

SECURITIES AND EXCHANGE
COMMISSION
Release No. 3490990; File No. SRCBOE
2021006

Self-Regulatory Organizations; Cboe Exchange, Inc.; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change Relating To Amend the Definition of Current Market Value for Purposes of Calculating Margin Requirements for Certain Options January 26, 2021.

Pursuant to Section 19b1 of the Securities Exchange Act of 1934 the Act,1 and Rule 19b4 thereunder,2
notice is hereby given that on January 14, 2021, Cboe Exchange, Inc. the Exchange or Cboe Options filed with the Securities and Exchange Commission the Commission the proposed rule change as described in Items I and II below, which Items have been prepared by the Exchange. The Exchange filed the proposal as a noncontroversial proposed rule change pursuant to Section 19b3Aiii of the Act 3 and Rule 19b4f6
thereunder.4 The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons.
I. Self-Regulatory Organizations Statement of the Terms of Substance of the Proposed Rule Change Cboe Exchange, Inc. the Exchange or Cboe Options proposes to amend the definition of current market value for purposes of calculating margin requirements for certain options. The text of the proposed rule change is provided below.
additions are italicized; deletions are bracketed

Rules of Cboe Exchange, Inc.

The text of the proposed rule change is also available on the Exchanges website http www.cboe.com/
AboutCBOE/CBOELegal RegulatoryHome.aspx, at the Exchanges Office of the Secretary, and at the Commissions Public Reference Room.
II. Self-Regulatory Organizations Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, the Exchange 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. The Exchange has prepared summaries, set forth in sections A, B, and C below, of the most significant aspects of such statements.
A. Self-Regulatory Organizations Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change The Exchange proposes to amend the definition of current market value with respect to certain ETF options for purposes of calculating margin requirements. Rule 10.3a2 currently defines the term current market value as follows:
The term current market value is as defined in Section 220.3 of Regulation T of the Board of Governors of the Federal Reserve System. At any other time, in the case of options, stock index warrants,
1 15

U.S.C. 78sb1.
2 17 CFR 240.19b4.
3 15 U.S.C. 78sb3Aiii.
4 17 CFR 240.19b4f6.

16:57 Jan 29, 2021

1. Purpose

Rule 10.3. Margin Requirements a Definitions. For purposes of this Rule, the following terms shall have the meanings specified below.
1 No change.
2 The term current market value is as defined in Section 220.32 of Regulation T

VerDate Sep<11>2014

of the Board of Governors of the Federal Reserve System. At any other time, in the case of options, stock index warrants, currency index warrants and currency warrants, it shall mean the closing price of that series of options or warrants on the Exchange on any day with respect to which a determination of current market value is made, except in the case of certain index and ETF options determined by the Exchange, it shall be based on quotes for that series of options on the Exchange 15 minutes prior to the close of trading on any day with respect to which a determination of current market value is made. In the case of other securities, it shall mean the preceding business days closing price as shown by any regularly published reporting or quotation service. If there is no closing price or quotes, as applicable, on the option or on another security, a TPH organization may use a reasonable estimate of the current market value of the security as of the close of business or as of 15 minutes prior to the closing of trading, respectively, on the preceding business day.

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currency index warrants and currency warrants, it shall mean the closing price of that series of options or warrants on the Exchange on any day with respect to which a determination of current market value is made, except in the case of certain index options determined by the Exchange, it shall be based on quotes for that series of options on the Exchange 15 minutes prior to the close of trading on any day with respect to which a determination of current market value is made. In the case of other securities, it shall mean the preceding business days closing price as shown by any regularly published reporting or quotation service. If there is no closing price or quotes, as applicable, on the option or on another security, a TPH
organization may use a reasonable estimate of the current market value of the security as of the close of business or as of 15 minutes prior to the closing of trading, respectively, on the preceding business day.5

Rule 10.3 and other Rules in Chapter 10 of the Exchanges Rulebook describe how margin requirements are calculated for market participants positions in options and certain other securities, including strategy-based margin and customer portfolio margin requirements, which requirements are generally based on the current market value of the option series. These requirements are determined on a daily basis for market participants securities accounts that hold options positions.6 Currently, 43
ETF options that are listed for trading on the Exchange close for trading at 4:15
p.m. Eastern time.7 Therefore, daily margin requirements for those options are currently based on the closing trade prices of those options series at that time.8
5 Section 220.2 of Regulation T of the Board of Governors of the Federal Reserve System defines current market value of a security as 1
throughout the day of the purchase or sale of a security, the securitys total cost of purchase or the net proceeds of its sale including any commissions charged; or 2 at any other time, the closing sale price of the security on the preceding business day, as shown by any regularly published reporting or quotation service. If there is no closing sale price, the creditor may use any reasonable estimate of the market value of the security as of the close of business on the preceding business day. See 12
CFR 220.2. The term marking value is often used to refer to the current market value for capital and margin purposes. The proposed rule change corrects the reference to Section 220.3 in the definition of current market value in Rule 10.3a2
to be Section 220.2.
6 The Exchange notes the Options Clearing Corporation OCC calculates the daily margin requirements for Clearing Members options positions at OCC. The Exchange understands OCC
intends to incorporate a corresponding change regarding the time at which the value of a series is determined into its procedures for calculating margin requirements.
7 See Rule 5.1b2; see also closing times for ETF
options, available at https www.cboe.com/us/
options/market_statistics/symbol_reference/
?mkt=cone&underlying=1.
8 The Exchange notes the daily margin requirements for all other ETF options that close at 4:00 p.m. Eastern time are based on the closing trade at that time.

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