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Federal Register / Vol. 86, No. 28 / Friday, February 12, 2021 / Notices
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:
Use the Commissions internet comment form http www.sec.gov/
rules/sro.shtml; or Send an email to rule-comments@
sec.gov. Please include File Number SR
CboeEDGX2021009 on the subject line.
Paper Comments Send paper comments in triplicate to Secretary, Securities and Exchange Commission, 100 F Street NE, Washington, DC 205491090.
All submissions should refer to File Number SRCboeEDGX2021009. 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 Commissions internet website 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 website viewing and printing in the Commissions 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 the Exchange. All comments received will be posted without change.
Persons submitting comments are cautioned that we do not redact or edit personal identifying information from comment submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number SRCboeEDGX2021009 and should be submitted on or before March 5, 2021.
CFR 200.303a12.

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SECURITIES AND EXCHANGE
COMMISSION

Electronic Comments
25 17

For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.25
J. Matthew DeLesDernier, Assistant Secretary.

Jkt 253001

Release No. 3491079; File No. SROCC
2020016

Self-Regulatory Organizations; The Options Clearing Corporation; Order Approving Proposed Rule Change to Concerning the Options Clearing Corporations System for Theoretical Analysis and Numerical Simulation STANS Methodology Documentation February 8, 2021.

I. Introduction On December 9, 2020, the Options Clearing Corporation OCC filed with the Securities and Exchange Commission Commission the proposed rule change SROCC2020
016 Proposed Rule Change pursuant to Section 19b of the Securities Exchange Act of 1934 Exchange Act 1 and Rule 19b4 2 thereunder to adopt a new document describing OCCs system for calculating daily and intraday margin requirements for its Clearing Members.3 The Proposed Rule Change was published for public comment in the Federal Register on December 29, 2020.4 The Commission has received no comments regarding the Proposed Rule Change. This order approves the Proposed Rule Change.
II. Background To manage the credit risk posed by its Clearing Members, OCC collects margin collateral both daily and intraday. OCC
uses its System for Theoretical Analysis and Numerical Simulation STANS
to set risk-based margin requirements for its Clearing Members. The margin requirements calculated using STANS
consist of an estimate of a 99 percent expected shortfall ES over a two-day time horizon with additional charges for model risk, stress tests, liquidation costs, and various add-ons.
OCC maintains technical documentation that describes how the various quantitative components of 1 15

U.S.C. 78sb1.
CFR 240.19b4.
3 See Notice of Filing infra note 4, 85 FR at 85788.
4 Securities Exchange Act Release No. 3490763
Dec. 21, 2020, 85 FR 85788 Dec. 29, 2020 File No. SROCC2020016 Notice of Filing.
2 17

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STANS were developed and operate, including the various parameters and assumptions contained within those components 5 and the mathematical theories underlying the selection of those quantitative methods Model Whitepapers. The Model Whitepapers are currently synthesized in a single document, the Margins Methodology, describing how STANS operates from end to end. Pursuant to section 19b of the Exchange Act and Rule 19b4
thereunder,6 OCC has filed, and the Commission has approved, sections of OCCs Margins Methodology as rules in the past.7 OCC has not, however, filed the Margins Methodology in its entirety.
Additionally, OCC has requested confidential treatment for those sections of the Margins Methodology that it has filed with the Commission.8
OCC now proposes to replace the Margins Methodology in its entirety both sections that have and have not been filed as rules with a description of OCCs system for calculating daily and intra-day margin requirements for its Clearing Members the STANS
Methodology Description.9 OCC stated that the proposed STANS Methodology Description includes the material aspects of OCCs risk-based margin system.10 OCC intends to make the proposed STANS Methodology 5 See Securities Exchange Act Release No. 82473
Jan. 9, 2018, 83 FR 2271 Jan. 16, 2018 File No.
SROCC2017011, which describes how OCC
periodically reviews the parameters and assumptions used by STANS pursuant to its Model Risk Management Policy and in accordance with 17
CFR 240.17Ad22e6.
6 15 U.S.C. 78sb1 and 17 CFR 240.19b4.
7 See Securities Exchange Act Release No. 74966
May 14, 2015, 80 FR 29784 May 22, 2015 File No. SROCC2015010; Securities Exchange Act Release No. 76128 Dec. 28, 2015, 81 FR 135 Jan.
4, 2016 File No. SROCC2015016; Securities Exchange Act Release No. 79818 Jan. 18, 2017, 82
FR 8455 Jan. 25, 2017 File No. SROCC2017
001; Securities Exchange Act Release No. 82161
Nov. 28, 2017, 82 FR 57306 Dec. 4, 2017 File No. SROCC2017022; Securities Exchange Act Release No. 84524 Nov. 2, 2018, 83 FR 55918
Nov. 8, 2018 File No. SROCC2018014;
Securities Exchange Act Release No. 85440 Mar.
28, 2019, 84 FR 13082 Apr. 3, 2019 File No. SR
OCC2019002; Securities Exchange Act Release No. 85755 Apr. 30, 2019, 87 FR 19815 May 6, 2019 File No. SROCC2019004; Securities Exchange Act Release No. 86296 Jul. 3, 2019, 84
FR 32816 Jul. 9, 2019 File No. SROCC2019
005; Securities Exchange Act Release No. 87387
Oct. 23, 2019, 84 FR 57890 Oct. 29, 2019 File No. SROCC2019010; Securities Exchange Act Release No. 89392 Jul. 24, 2020, 85 FR 45938 Jul.
30,2020 File No. SROCC2020007; Securities Exchange Act Release No. 90139 Oct. 8, 2020, 85
FR 65886 Oct. 16, 2020 File No. SR OCC2020
012.
8 See id.
9 OCC also proposes conforming changes to its Margin Policy.
10 See Notice of Filing, 85 FR at 85789.

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