18414 Federal Register / Vol. 87, No. 61 / Wednesday, March 30, 2022 / Notices 

5See Securities Exchange Act Release No. 93222, 

86 FR 55671 (Oct. 6, 2021). The Commission 

designated December 7, 2021 as the date by which 

the Commission shall approve or disapprove, or 

institute proceedings to determine whether to 

approve or disapprove, the proposed rule change. 

6 15 U.S.C. 78s(b)(2)(B). 

7See Securities Exchange Act Release No. 93714, 

86 FR 70150 (Dec. 9, 2021). 

8See Securities Exchange Act Release No. 94362, 

87 FR 13780 (Mar. 10, 2022). 

9 17 CFR 200.30–3(a)(12). 

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. 

4See Notice of Filing infra note 5, at 87 FR 8063. 

5Securities Exchange Act Release No. 94166 (Feb. 

7, 2022), 87 FR 8063 (Feb. 11, 2022) (File No. SR– 

OCC–2022–801) (‘‘Notice of Filing’’). On January 

24, 2022, OCC also filed a related proposed rule 

change (SR–OCC–2022–001) with the Commission 

pursuant to Section 19(b)(1) of the Exchange Act 

and Rule 19b–4 thereunder (‘‘Proposed Rule 

Change’’). 15 U.S.C. 78s(b)(1) and 17 CFR 240.19b– 

4, respectively. In the Proposed Rule Change, which 

was published in the Federal Register on February 

11, 2022, OCC seeks approval of proposed changes 

to its rules necessary to implement the Advance 

Notice. Securities Exchange Act Release No. 94165 

(Feb. 7, 2022), 87 FR 8072 (Feb. 11, 2022) (File No. 

SR–OCC–2022–001). The comment period for the 

related Proposed Rule Change filing closed on 

March 4, 2022. 

6Since the proposal contained in the Advance 

Notice was also filed as a proposed rule change, all 

public comments received on the proposal are 

considered regardless of whether the comments are 

submitted on the Proposed Rule Change or the 

Advance Notice. Comments on the Proposed Rule 

Change are available at https://www.sec.gov/ 

comments/sr-occ-2022-001/srocc2022001.htm. 

7 12 U.S.C. 5465(e)(1)(G). 

8 12 U.S.C. 5465(e)(1)(H). 

9See Notice of Filing, 87 FR 8063. 

10 12 U.S.C. 5465(e)(1)(H). 

11 Id. 

12 17 CFR 200.30–3(a)(94). 

1 15 U.S.C. 80a–1 et seq. 

2 15 U.S.C. 80a–29(b). 

3 17 CFR 270.2a–7. 

4 17 CFR 274.201. 

5 17 CFR 270.30b1–7. 

determine whether to disapprove the 

proposed rule change.5 On December 3, 

2021, the Commission instituted 

proceedings under Section 19(b)(2)(B) of 

the Exchange Act 6 to determine 

whether to approve or disapprove the 

proposed rule change.7 On March 4, 

2022, the Commission extended the 

period for consideration of the proposed 

rule change to May 6, 2022.8 On March 

21, 2022, the Exchange withdrew the 

proposed rule change (SR–NYSE–2021– 

42). 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.9

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–06638 Filed 3–29–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94504; File No. SR–OCC– 

2022–801] 

Self-Regulatory Organizations; the 

Options Clearing Corporation; Notice 

of Extension of Review Period of 

Advance Notice Concerning the 

Options Clearing Corporation’s Margin 

Methodology for Incorporating 

Variations in Implied Volatility 

March 24, 2022. 

On January 24, 2022, the Options 

Clearing Corporation (‘‘OCC’’) filed with 

the Securities and Exchange 

Commission (‘‘Commission’’) advance 

notice SR–OCC–2022–801 (‘‘Advance 

Notice’’) 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’’) 3 to change quantitative models 

related to certain volatility products.4

The Advance Notice was published for 

public comment in the Federal Register 

on February 11, 2022.5 The Commission 

received a comment regarding the 

changes proposed in the Advance 

Notice.6

Section 806(e)(1)(G) of the Clearing 

Supervision Act provides that OCC may 

implement the changes if it has not 

received an objection to the proposed 

changes within 60 days of the later of (i) 

the date that the Commission receives 

the Advance Notice or (ii) the date that 

any additional information requested by 

the Commission is received,7 unless 

extended as described below. 

Pursuant to Section 806(e)(1)(H) of the 

Clearing Supervision Act, the 

Commission may extend the review 

period of an advance notice for an 

additional 60 days, if the changes 

proposed in the advance notice raise 

novel or complex issues, subject to the 

Commission providing the clearing 

agency with prompt written notice of 

the extension.8

Here, as the Commission has not 

requested any additional information, 

the date that is 60 days after OCC filed 

the Advance Notice with the 

Commission is March 25, 2022. 

However, the Commission finds the 

issues raised by the Advance Notice 

complex because OCC proposes to 

change three models within its margin 

methodology, in part, to build the 

foundation for a single, consistent 

framework to model equity volatility 

products in margin and stress testing.9

Therefore, the Commission finds it 

appropriate to extend the review period 

of the Advance Notice for an additional 

60 days under Section 806(e)(1)(H) of 

the Clearing Supervision Act.10

Accordingly, the Commission, 

pursuant to Section 806(e)(1)(H) of the 

Clearing Supervision Act,11 extends the 

review period for an additional 60 days 

so that the Commission shall have until 

May 24, 2022 to issue an objection or 

non-objection to advance notice SR– 

OCC–2022–801. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.12

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–06627 Filed 3–29–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[SEC File No. 270–604, OMB Control No. 

3235–0657] 

Proposed Collection; Comment 

Request; Extension: Form N–MFP and 

Rule 30b1–7 

Upon Written Request, Copies Available 

From: Securities and Exchange 

Commission, Office of FOIA Services, 

100 F Street NE, Washington, DC 

20549–2736. 

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 (‘‘OMB’’) for 

extension and approval. 

Section 30(b) of the Investment 

Company Act of 1940 (‘‘Investment 

Company Act’’) 1 provides that ‘‘[e]very 

registered investment company shall file 

with the Commission . . . such 

information, documents, and reports 

(other than financial statements), as the 

Commission may require to keep 

reasonably current the information and 

documents contained in the registration 

statement of such company. . . .’’ 2

Rule 30b1–7 under the Investment 

Company Act, entitled ‘‘Monthly Report 

for Money Market Funds,’’ provides that 

every registered investment company, or 

series thereof, that is regulated as a 

money market funds under rule 2a–7 3

must file with the Commission a 

monthly report of portfolio holdings on 

Form N–MFP 4 no later than the fifth 

business day of each month.5 Form N– 


khammond on DSKJM1Z7X2PROD with NOTICES