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Federal Register / Vol. 86, No. 28 / Friday, February 12, 2021 / Notices Description is consistent with the requirements of Section 17Ab3F of the Exchange Act.23
B. Consistency With Rule 17Ad22e6
Under the Exchange Act Rules 17Ad22e6 generally requires each covered clearing agency that provides central counterparty services to establish, implement, maintain, and enforce written policies and procedures reasonably designed to cover its credit exposure to its participants by establishing a risk-based margin system that meets certain standards.24 As described above, the STANS Methodology Description addresses OCCs modeling choices and the interconnectedness of STANS model components in producing risk-based margin requirements.
Section i under Rule 17Ad22e6
requires that the policies and procedures required pursuant to Rule 17Ad22e6 describe a risk-based margin system that considers and produces margin levels commensurate with the risks and particular attributes of each relevant product, portfolio, and market.25 As described above, the STANS Methodology Description covers various components of STANS designed to address the particular attributes of the products that OCC clears e.g., American-style options, European-style options, Asian FLEX options, Cliquet options as well as the risks presented by a specific portfolio e.g., liquidation cost charges. Further, the STANS
Methodology Description also describes OCCs process addressing the entrance of new products into the markets for which it clears identifying and separately processing risk factors with incomplete data sets that lack sufficient data to estimate the copula.
Section iii under Rule 17Ad22e6
requires that the policies and procedures required pursuant to Rule 17Ad22e6 describe a risk-based margin system that calculates margin sufficient to cover its potential future exposure to participants in the interval between the last margin collection and the close out of positions following a participant default.26 As described above, the STANS Methodology Description discusses various model utilities that pertain to events occurring between the collection of margin and closing out of a defaulted Clearing Members portfolio e.g., cash dividend payments, option expiration, and changes to portfolio specific haircuts 23 15

U.S.C. 78q1b3F.
CFR 240.17Ad22e6.
25 17 CFR 240.17Ad22e6i.
26 17 CFR 240.17Ad22e6iii.
24 17

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due to the withdrawal or deposit of collateral.
Section v under Rule 17Ad22e6
requires that the policies and procedures required pursuant to Rule 17Ad22e6 describe a risk-based margin system that uses an appropriate method for measuring credit exposure to accounts for relevant product risk factors and portfolio effects across products.27 As discussed above, the STANS Methodology Description covers the various STANS components that provide the inputs and outputs necessary for OCC to conduct implied volatility smoothing and options pricing e.g., model components addressing derivatives based on equities and treasuries as well as generic futures, variance futures, and volatility indexbased futures as well as the implied volatility smoothing and options pricing themselves.
Based on the foregoing, the Commission believes that the replacement of the Margins Methodology with the STANS Margin Description is consistent with the requirements of Rule 17Ad22e6
under the Exchange Act.28
IV. Conclusion On the basis of the foregoing, the Commission finds that the Proposed Rule Change is consistent with the requirements of the Exchange Act, and in particular, the requirements of Section 17A of the Exchange Act 29 and the rules and regulations thereunder.
It is therefore ordered, pursuant to Section 19b2 of the Exchange Act,30
that the Proposed Rule Change SR
OCC2020016 be, and hereby is, approved.
For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.31
J. Matthew DeLesDernier, Assistant Secretary.
FR Doc. 202102859 Filed 21121; 8:45 am BILLING CODE 801101P

27 17

CFR 240.17Ad22e6v.
CFR 240.17Ad22e6.
29 In approving this Proposed Rule Change, the Commission has considered the proposed rules impact on efficiency, competition, and capital formation. See 15 U.S.C. 78cf.
30 15 U.S.C. 78sb2.
31 17 CFR 200.303a12.
28 17

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SECURITIES AND EXCHANGE
COMMISSION
SEC File No. 270125, OMB Control No.
32350104

Proposed Collection; Comment Request Upon Written Request Copies Available From: Securities and Exchange Commission, Office of FOIA Services, 100 F Street NE, Washington, DC
205492736
Extension:
Form 3

Notice is hereby given that pursuant, to the Paperwork Reduction Act of 1995
44 U.S.C. 3501 et seq., the Securities and Exchange Commission Commission is soliciting comments on the collections of information summarized below. The Commission plans to submit this existing collection of information to the Office of Management and Budget for extension and approval.
Exchange Act Forms 3 is filed by insiders of public companies that have a class of securities registered under Section 12 of the Exchange Act. Form 3
is an initial statement beneficial ownership of securities. Approximately 21,968 insiders file Form 3 annually and it takes approximately 0.50 hours to prepare for a total of 10,984 annual burden hours 0.50 hours per response 21,968 responses.
Written comments are invited on: a Whether this proposed collection of information is necessary for the proper performance of the functions of the agency, including whether the information will have practical utility;
b the accuracy of the agencys estimate of the burden imposed by the collection of information; c ways to enhance the quality, utility, and clarity of the information collected; and d ways to minimize the burden of the collection of information on respondents, including through the use of automated collection techniques or other forms of information technology. Consideration will be given to comments and suggestions submitted in writing within 60 days of this publication.
An agency may not conduct or sponsor, and a person is not required to respond to, a collection of information unless it displays a currently valid control number.
Please direct your written comment to David Bottom, Director/Chief Information Officer, Securities and Exchange Commission, c/o Cynthia Roscoe, 100 F Street NE, Washington, DC 20549 or send an email to: PRA_
Mailbox@sec.gov.

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