8062 Federal Register / Vol. 87, No. 29 / Friday, February 11, 2022 / Notices 

1See 15 U.S.C. 7201 et seq. 

2See Commission Statement of Policy 

Reaffirming the Status of the FASB as a Designated 

Private-Sector Standard Setter, Release No. 33–8221 

(April 25, 2003) [68 FR 23333 (May 1, 2003)]. 

3The Financial Accounting Foundation’s Board 

of Trustees approved the FASB’s budget on 

November 16, 2021. The FAF submitted the 

approved budget to the Commission on November 

22, 2021. 

4See OMB Report Pursuant to the Sequestration 

Transparency Act of 2012, available at https://

www.whitehouse.gov/wp-content/uploads/2020/02/ 

JC-sequestration_report_FY21_2-10-20.pdf. The 

sequestration percentages calculated for FY 2021 

will be applied in each of the fiscal years from 2022 

to 2029. 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3Securities Exchange Act Release No. 92570 

(August 5, 2021), 86 FR 44482 (August 12, 2021) 

(SR–NSCC–2021–010) (‘‘Notice’’). NSCC also filed 

the proposal contained in the Proposed Rule 

Change as advance notice SR–NSCC–2021–803 

(‘‘Advance Notice’’) with the Commission pursuant 

to Section 806(e)(1) of the Dodd-Frank Wall Street 

Reform and Consumer Protection Act entitled the 

Payment, Clearing, and Settlement Supervision Act 

of 2010 (‘‘Clearing Supervision Act’’). 12 U.S.C. 

5465(e)(1); 17 CFR 240.19b–4(n)(1)(i). Notice of 

filing of the Advance Notice was published for 

comment in the Federal Register on August 12, 

2021. Securities Exchange Act Release No. 92568 

(August 5, 2021), 86 FR 44530 (August 12, 2021) 

(SR–NSCC–2021–803). The proposal contained in 

the Proposed Rule Change and the Advance Notice 

shall not take effect until all regulatory actions 

required with respect to the proposal are 

completed. 

4Comment letters are available at https://

www.sec.gov/comments/sr-nscc-2021-010/ 

srnscc2021010.htm. 

5 15 U.S.C. 78s(b)(2). 

6Securities Exchange Act Release No. 92860 

(September 2, 2021), 86 Fed. Reg. 50569 (September 

9, 2021) (SR–NSCC–2021–010). 

7 15 U.S.C. 78s(b)(2)(B). 

SECURITIES AND EXCHANGE 

COMMISSION 

[Securities Act of 1933 Release No. 11027/ 

February 8, 2022; Securities Exchange Act 

of 1934 Release No. 94187/February 8, 2022] 

Order Regarding Review of FASB 

Accounting Support Fee for 2022 

Under Section 109 of the SarbanesOxley Act of 2002 

The Sarbanes-Oxley Act of 2002 

(‘‘SOX’’ or the ‘‘Act’’) provides that the 

Securities and Exchange Commission 

(the ‘‘Commission’’) may recognize, as 

generally accepted for purposes of the 

securities laws, any accounting 

principles established by a standardsetting body that meets certain criteria.1

Section 109 of SOX provides that all of 

the budget of such a standard-setting 

body shall be payable from an annual 

accounting support fee assessed and 

collected against each issuer, as may be 

necessary or appropriate to pay for the 

budget and provide for the expenses of 

the standard-setting body, and to 

provide for an independent, stable 

source of funding, subject to review by 

the Commission. Under Section 109(f) 

of the Act, the amount of fees collected 

for a fiscal year shall not exceed the 

‘‘recoverable budget expenses’’ of the 

standard-setting body. Section 109(i) of 

SOX amends Section 13(b)(2) of the 

Securities Exchange Act of 1934 to 

require issuers to pay the allocable share 

of a reasonable annual accounting 

support fee or fees, determined in 

accordance with Section 109 of the Act. 

On April 25, 2003, the Commission 

issued a policy statement concluding 

that the Financial Accounting Standards 

Board (‘‘FASB’’) and its parent 

organization, the Financial Accounting 

Foundation (‘‘FAF’’), satisfied the 

criteria for an accounting standardsetting body under the Act, and 

recognizing the FASB’s financial 

accounting and reporting standards as 

‘‘generally accepted’’ under Section 108 

of the Act.2 Accordingly, the 

Commission undertook a review of the 

FASB’s accounting support fee for 

calendar year 2022.3 In connection with 

its review, the Commission also 

reviewed the budget for the FAF and the 

FASB for calendar year 2022. 

Section 109 of SOX provides that, in 

addition to the accounting support fee, 

the standard-setting body can have 

additional sources of revenue for its 

activities, such as earnings from sales of 

publications, provided that each 

additional source of revenue shall not 

jeopardize, in the judgment of the 

Commission, the actual or perceived 

independence of the standard setter. In 

this regard, the Commission also 

considered the interrelation of the 

operating budgets of the FAF, the FASB, 

and the Governmental Accounting 

Standards Board (‘‘GASB’’), the FASB’s 

sister organization, which sets 

accounting standards used by state and 

local government entities. The 

Commission has been advised by the 

FAF that neither the FAF, the FASB, nor 

the GASB accept contributions from the 

accounting profession. 

The Commission understands that the 

Office of Management and Budget 

(‘‘OMB’’) has determined the FASB’s 

spending of the 2022 accounting 

support fee is sequestrable under the 

Budget Control Act of 2011.4 So long as 

sequestration is applicable, we 

anticipate that the FAF will work with 

the Commission and Commission staff 

as appropriate regarding its 

implementation of sequestration. 

After its review, the Commission 

determined that the 2022 annual 

accounting support fee for the FASB is 

consistent with Section 109 of the Act. 

Accordingly, 

It is ordered, pursuant to Section 109 

of SOX, that the FASB may act in 

accordance with this determination of 

the Commission. 

By the Commission. 

Vanessa A. Countryman, 

Secretary. 

[FR Doc. 2022–02998 Filed 2–10–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94168; File No. SR–NSCC– 

2021–010] 

Self-Regulatory Organizations; 

National Securities Clearing 

Corporation; Notice of Designation of 

Longer Period for Commission Action 

on Proceedings To Determine Whether 

To Approve or Disapprove a Proposed 

Rule Change To Establish the 

Securities Financing Transaction 

Clearing Service and Make Other 

Changes 

February 7, 2022. 

On July 22, 2021, National Securities 

Clearing Corporation (‘‘NSCC’’) filed 

with the Securities and Exchange 

Commission (‘‘Commission’’) proposed 

rule change SR–NSCC–2021–010 

(‘‘Proposed Rule Change’’) pursuant to 

Section 19(b)(1) of the Securities 

Exchange Act of 1934 (‘‘Act’’) 1 and Rule 

19b–4 thereunder.2 The Proposed Rule 

Change was published for comment in 

the Federal Register on August 12, 

2021.3 The Commission received 

comment letters on the Proposed Rule 

Change.4

On September 2, 2021, pursuant to 

Section 19(b)(2) of the Act,5 the 

Commission designated a longer period 

within which to approve, disapprove, or 

institute proceedings to determine 

whether to approve or disapprove the 

Proposed Rule Change.6 On November 

5, 2021, the Commission instituted 

proceedings pursuant to Section 

19(b)(2)(B) of the Act,7 to determine 

whether to approve or disapprove the 


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Federal Register / Vol. 87, No. 29 / Friday, February 11, 2022 / Notices 8063 

8Securities Exchange Act Release No. 93532 

(November 5, 2021), 86 FR 62851 (November 12, 

2021) (SR–NSCC–2021–010). 

9See supra note 4. 

10 15 U.S.C. 78s(b)(2). 

11 15 U.S.C. 78s(b)(2)(B)(ii)(II). 

12 Id. 

13 17 CFR 200.30–3(a)(57). 

1 12 U.S.C. 5465(e)(1). 

2 17 CFR 240.19b–4(n)(1)(i). 

3 15 U.S.C. 78a et seq. 

4OCC’s By-Laws and Rules can be found on 

OCC’s public website: https://www.theocc.com/ 

Company-Information/Documents-and-Archives/ 

By-Laws-and-Rules. 

5See Exchange Act Release No. 91079 (Feb. 8, 

2021), 86 FR 9410 (Feb. 12, 2021) (File No. SR– 

OCC–2020–016). OCC makes its STANS 

Methodology description available to Clearing 

Members. An overview of the STANS methodology 

is on OCC’s public website: https://

www.theocc.com/Risk-Management/MarginMethodology. 

Proposed Rule Change.8 The 

Commission has received additional 

comment letters on the Proposed Rule 

Change.9

Section 19(b)(2) of the Act 10 provides 

that proceedings to determine whether 

to approve or disapprove a proposed 

rule change must be concluded within 

180 days of the date of publication of 

notice of filing of the proposed rule 

change. The time for conclusion of the 

proceedings may be extended for up to 

60 days if the Commission determines 

that a longer period is appropriate and 

publishes the reasons for such 

determination.11 The 180th day after 

publication of the Notice in the Federal 

Register is February 8, 2022. 

The Commission is extending the 

period for Commission action on the 

Proposed Rule Change. The Commission 

finds that it is appropriate to designate 

a longer period within which to take 

action on the Proposed Rule Change so 

that the Commission has sufficient time 

to consider the issues raised by the 

Proposed Rule Change and to take 

action on the Proposed Rule Change. 

Accordingly, pursuant to Section 

19(b)(2)(B)(ii)(II) of the Act,12 the 

Commission designates April 8, 2022, as 

the date by which the Commission 

should either approve or disapprove the 

Proposed Rule Change SR–NSCC–2021– 

010. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.13

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–02912 Filed 2–10–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94166; File No. SR–OCC– 

2022–801] 

Self-Regulatory Organizations; The 

Options Clearing Corporation; Notice 

of Filing of Advance Notice 

Concerning the Options Clearing 

Corporation’s Margin Methodology for 

Incorporating Variations in Implied 

Volatility 

February 7, 2022. 

Pursuant to Section 806(e)(1) of Title 

VIII of the Dodd-Frank Wall Street 

Reform and Consumer Protection Act, 

entitled Payment, Clearing and 

Settlement Supervision Act of 2010 

(‘‘Clearing Supervision Act’’) 1 and Rule 

19b–4(n)(1)(i) 2 under the Securities 

Exchange Act of 1934 (‘‘Exchange Act’’ 

or ‘‘Act’’),3 notice is hereby given that 

on January 24, 2022, the Options 

Clearing Corporation (‘‘OCC’’) filed with 

the Securities and Exchange 

Commission (‘‘Commission’’) an 

advance notice as described in Items I, 

II and III below, which Items have been 

prepared by OCC. The Commission is 

publishing this notice to solicit 

comments on the advance notice from 

interested persons. 

I. Clearing Agency’s Statement of the 

Terms of Substance of the Advance 

Notice 

This advance notice is submitted in 

connection with a proposal to simplify 

OCC’s margin methodology, the System 

for Theoretical Analysis and Numerical 

Simulations (‘‘STANS’’), control 

procyclicality in volatility modeling, 

provide natural offsets for volatility 

products with similar characteristics, 

and build the foundation for a single, 

consistent framework to model equity 

volatility products in margin and stress 

testing. Specifically, this proposed 

change would: 

(1) Implement a new model for 

incorporating variations in implied volatility 

within STANS for products based on the S&P 

500 Index (such index hereinafter referred to 

as ‘‘S&P 500’’ and such proposed model 

being the ‘‘S&P 500 Implied Volatility 

Simulation Model’’) to provide consistent 

and smooth simulated volatility scenarios; 

(2) implement a new model to calculate the 

theoretical values of futures on indexes 

designed to measure volatilities implied by 

prices of options on a particular underlying 

index (such indexes being ‘‘volatility 

indexes’’; futures contracts on such Volatility 

Indexes being ‘‘volatility index futures’’; and 

such proposed model being the ‘‘Volatility 

Index Futures Model’’) to provide consistent 

and stable coverage across all maturities; and 

(3) replace OCC’s model to calculate the 

theoretical values of exchange-traded futures 

contracts based on the expected realized 

variance of an underlying interest (such 

contracts being ‘‘variance futures,’’ and such 

model being the ‘‘Variance Futures Model’’) 

with one that provides adequate margin 

coverage while providing offsets for hedged 

positions in the listed options market. 

The proposed changes to OCC’s 

STANS Methodology document are 

contained in confidential Exhibit 5 of 

filing SR–OCC–2022–801. Amendments 

to the existing text are marked by 

underlining and material proposed to be 

deleted is marked by strikethrough text. 

The proposed changes are described in 

detail in Item 3 below. New sections 

2.1.4 (S&P 500 Implied Volatilities 

Scenarios) and 2.1.8 (Volatility Index 

Futures), and the replacement text for 

section 2.1.7 (Variance Futures), specific 

to the proposed models, are presented 

without marking. Existing Section 2.1.4 

through 2.1.7 have been renumbered to 

reflect the addition of the new sections 

but are otherwise unchanged. The 

proposed changes do not require any 

changes to the text of OCC’s By-Laws or 

Rules. All terms with initial 

capitalization that are not otherwise 

defined herein have the same meaning 

as set forth in the OCC By-Laws and 

Rules.4

II. Clearing Agency’s Statement of the 

Purpose of, and Statutory Basis for, the 

Advance Notice 

In its filing with the Commission, 

OCC included statements concerning 

the purpose of and basis for the advance 

notice and discussed any comments it 

received on the advance notice. The text 

of these statements may be examined at 

the places specified in Item IV below. 

OCC has prepared summaries, set forth 

in sections (A) and (B) below, of the 

most significant aspects of these 

statements. 

(A) Clearing Agency’s Statement on 

Comments on the Advance Notice 

Received From Members, Participants or 

Others 

Written comments were not and are 

not intended to be solicited with respect 

to the advance notice and none have 

been received. OCC will notify the 

Commission of any written comments 

received by OCC. 

(B) Advance Notices Filed Pursuant to 

Section 806(e) of the Payment, Clearing, 

and Settlement Supervision Act 

Description of the Proposed Change 

Background 

STANS Overview 

STANS is OCC’s proprietary risk 

management system for calculating 

Clearing Member margin requirements.5

The STANS methodology utilizes largescale Monte Carlo simulations to 


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