Federal Register / Vol. 86, No. 28 / Friday, February 12, 2021 / Notices 9413 

23 15 U.S.C. 78q–1(b)(3)(F). 

24 17 CFR 240.17Ad–22(e)(6). 

25 17 CFR 240.17Ad–22(e)(6)(i). 

26 17 CFR 240.17Ad–22(e)(6)(iii). 

27 17 CFR 240.17Ad–22(e)(6)(v). 

28 17 CFR 240.17Ad–22(e)(6). 

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. 78c(f). 

30 15 U.S.C. 78s(b)(2). 

31 17 CFR 200.30–3(a)(12). 

Description is consistent with the 

requirements of Section 17A(b)(3)(F) of 

the Exchange Act.23

B. Consistency With Rule 17Ad–22(e)(6) 

Under the Exchange Act 

Rules 17Ad–22(e)(6) 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 OCC’s modeling choices and 

the interconnectedness of STANS model 

components in producing risk-based 

margin requirements. 

Section (i) under Rule 17Ad–22(e)(6) 

requires that the policies and 

procedures required pursuant to Rule 

17Ad–22(e)(6) 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 

OCC’s 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 17Ad–22(e)(6) 

requires that the policies and 

procedures required pursuant to Rule 

17Ad–22(e)(6) 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 

Member’s portfolio (e.g., cash dividend 

payments, option expiration, and 

changes to portfolio specific haircuts 

due to the withdrawal or deposit of 

collateral). 

Section (v) under Rule 17Ad–22(e)(6) 

requires that the policies and 

procedures required pursuant to Rule 

17Ad–22(e)(6) 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 17Ad–22(e)(6) 

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 19(b)(2) of the Exchange Act,30

that the Proposed Rule Change (SR– 

OCC–2020–016) 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. 2021–02859 Filed 2–11–21; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[SEC File No. 270–125, OMB Control No. 

3235–0104] 

Proposed Collection; Comment 

Request 

Upon Written Request Copies Available 

From: Securities and Exchange 

Commission, Office of FOIA Services, 

100 F Street NE, Washington, DC 

20549–2736 

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 agency’s 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. 

9414 Federal Register / Vol. 86, No. 28 / Friday, February 12, 2021 / Notices 

Dated: February 8, 2021. 

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2021–02862 Filed 2–11–21; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[SEC File No. 270–170, OMB Control No. 

3235–0167] 

Proposed Collection; Comment 

Request 

Upon Written Request Copies Available 

From: Securities and Exchange 

Commission, Office of FOIA Services, 

100 F Street NE, Washington, DC 

20549–2736. 

Extension: 

Form 15 

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 collection 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. 

Form 15 (17 CFR 249.323) is a 

certification of termination of a class of 

security under Section 12(g) or notice of 

suspension of duty to file reports 

pursuant to Sections 13 and 15(d) of the 

Securities Exchange Act of 1934 (15 

U.S.C. 78a et seq.). We estimate that 

approximately 1,062 issuers file Form 

15 annually and it takes approximately 

1.5 hours per response to prepare for a 

total of 1,593 annual burden hours (1.5 

hours per response × 1,062 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 agency’s 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. 

Dated: February 8, 2021. 

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2021–02863 Filed 2–11–21; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[SEC File No. 270–36, OMB Control No. 

3235–0028] 

Submission for OMB Review; 

Comment Request 

Upon Written Request, Copies Available 

From: Securities and Exchange 

Commission, Office of FOIA Services, 

100 F Street NE, Washington, DC 

20549–2736 

Extension: 

Rule 17f–2(d) 

Notice is hereby given that pursuant 

to the Paperwork Reduction Act of 1995 

(‘‘PRA’’) (44 U.S.C. 3501 et seq.), the 

Securities and Exchange Commission 

(‘‘Commission’’) has submitted to the 

Office of Management and Budget 

(‘‘OMB’’) a request for approval of 

extension of the previously approved 

collection of information provided for in 

Rule 17f–2(d) (17 CFR 240.17f–2(d)), 

under the Securities Exchange Act of 

1934 (15 U.S.C. 78a et seq.). 

Rule 17f–2(d) requires that records 

created pursuant to the fingerprinting 

requirements of Section 17(f)(2) of the 

Act be maintained and preserved by 

every member of a national securities 

exchange, broker, dealer, registered 

transfer agent and registered clearing 

agency (‘‘covered entities’’ or 

‘‘respondents’’); permits, under certain 

circumstances, the records required to 

be maintained and preserved by a 

member of a national securities 

exchange, broker, or dealer to be 

maintained and preserved by a selfregulatory organization that is also the 

designated examining authority for that 

member, broker or dealer; and permits 

the required records to be preserved on 

microfilm. The general purpose of Rule 

17f–2 is to: (i) Identify security risk 

personnel; (ii) provide criminal record 

information so that employers can make 

fully informed employment decisions; 

and (iii) deter persons with criminal 

records from seeking employment or 

association with covered entities. The 

rule enables the Commission or other 

examining authority to ascertain 

whether all covered persons are being 

fingerprinted and whether proper 

procedures regarding fingerprinting are 

being followed. Retention of these 

records for a period of not less than 

three years after termination of a 

covered person’s employment or 

relationship with a covered entity 

ensures that law enforcement officials 

will have easy access to fingerprint 

cards on a timely basis. This in turn acts 

as an effective deterrent to employee 

misconduct. 

Approximately 3,900 respondents are 

subject to the recordkeeping 

requirements of the rule. Each 

respondent maintains approximately 68 

new records per year, each of which 

takes approximately 2 minutes per 

record to maintain, for an annual 

burden of approximately 2.2666667 

hours (68 records times 2 minutes). The 

total annual time burden for all 

respondents is approximately 8,840 

hours (3,900 respondents times 

2.2666667 hours). As noted above, all 

records maintained subject to the rule 

must be retained for a period of not less 

than three years after termination of a 

covered person’s employment or 

relationship with a covered entity. In 

addition, we estimate the total annual 

cost burden to respondents is 

approximately $39,000 in third party 

storage costs. 

An agency may not conduct or 

sponsor, and a person is not required to 

respond to, a collection of information 

under the PRA unless it displays a 

currently valid OMB control number. 

The public may view background 

documentation for this information 

collection at the following website: 

www.reginfo.gov. Find this particular 

information collection by selecting 

‘‘Currently under 30-day Review—Open 

for Public Comments’’ or by using the 

search function. Written comments and 

recommendations for the proposed 

information collection should be sent 

within 30 days of publication of this 

notice to (i) www.reginfo.gov/public/do/ 

PRAMain and (ii) David Bottom, 

Director/Chief Information Officer, 

Securities and Exchange Commission, c/ 

o Cynthia Roscoe, 100 F Street NE, 

Washington, DC 20549, or by sending an 

email to: PRA_Mailbox@sec.gov. 

Dated: February 9, 2021. 

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2021–02958 Filed 2–11–21; 8:45 am] 

BILLING CODE 8011–01–P