30284 Federal Register / Vol. 87, No. 96 / Wednesday, May 18, 2022 / Notices 

1See Docket No. RM2018–3, Order Adopting 

Final Rules Relating to Non-Public Information, 

June 27, 2018, Attachment A at 19–22 (Order No. 

4679). 

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

2 17 CFR 240.19b–4. 

3See Notice of Filing infra note 4, at 87 FR 8072. 

4Securities Exchange Act Release No. 94165 (Feb. 

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

OCC–2022–001) (‘‘Notice of Filing’’). OCC also filed 

a related advance notice (SR–OCC–2022–801) 

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

to Section 806(e)(1) of Title VIII of the Dodd-Frank 

Wall Street Reform and Consumer Protection Act, 

entitled the Payment, Clearing, and Settlement 

Supervision Act of 2010 and Rule 19b–4(n)(1)(i) 

under the Exchange Act. 12 U.S.C. 5465(e)(1). 15 

U.S.C. 78s(b)(1) and 17 CFR 240.19b–4, 

respectively. The Advance Notice was published in 

the Federal Register on February 11, 2022. 

Securities Exchange Act Release No. 94166 (Feb. 7, 

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

OCC–2022–801). 

5Comments on the Proposed Rule Change are 

available at https://www.sec.gov/comments/sr-occ2022-001/srocc2022001.htm. Since the proposal 

contained in the Proposed Rule Change was also 

filed as an advance notice, 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. 

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

7Securities Exchange Act Release No. 94165 (Feb. 

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

OCC–2022–001). 

establishes comment deadline(s) 

pertaining to each request. 

The public portions of the Postal 

Service’s request(s) can be accessed via 

the Commission’s website (http://

www.prc.gov). Non-public portions of 

the Postal Service’s request(s), if any, 

can be accessed through compliance 

with the requirements of 39 CFR 

3011.301.1

The Commission invites comments on 

whether the Postal Service’s request(s) 

in the captioned docket(s) are consistent 

with the policies of title 39. For 

request(s) that the Postal Service states 

concern market dominant product(s), 

applicable statutory and regulatory 

requirements include 39 U.S.C. 3622, 39 

U.S.C. 3642, 39 CFR part 3030, and 39 

CFR part 3040, subpart B. For request(s) 

that the Postal Service states concern 

competitive product(s), applicable 

statutory and regulatory requirements 

include 39 U.S.C. 3632, 39 U.S.C. 3633, 

39 U.S.C. 3642, 39 CFR part 3035, and 

39 CFR part 3040, subpart B. Comment 

deadline(s) for each request appear in 

section II. 

II. Docketed Proceeding(s) 

1. Docket No(s): CP2020–227; Filing 

Title: Notice of the United States Postal 

Service of Filing Modification Two to 

Global Reseller Expedited Package 2 

Negotiated Service Agreement; Filing 

Acceptance Date: May 12, 2022; Filing 

Authority: 39 CFR 3035.105; Public 

Representative: Christopher C. Mohr; 

Comments Due: May 20, 2022. 

This Notice will be published in the 

Federal Register. 

Erica A. Barker, 

Secretary. 

[FR Doc. 2022–10673 Filed 5–17–22; 8:45 am] 

BILLING CODE 7710–FW–P 

POSTAL SERVICE 

Product Change—Priority Mail 

Negotiated Service Agreement 

AGENCY: Postal ServiceTM. 

ACTION: Notice. 

SUMMARY: The Postal Service gives 

notice of filing a request with the Postal 

Regulatory Commission to add a 

domestic shipping services contract to 

the list of Negotiated Service 

Agreements in the Mail Classification 

Schedule’s Competitive Products List. 

DATES: Date of required notice: May 18, 

2022. 

FOR FURTHER INFORMATION CONTACT: 

Sean Robinson, 202–268–8405. 

SUPPLEMENTARY INFORMATION: The 

United States Postal Service® hereby 

gives notice that, pursuant to 39 U.S.C. 

3642 and 3632(b)(3), on May 11, 2022, 

it filed with the Postal Regulatory 

Commission a USPS Request to Add 

Priority Mail Contract 742 to 

Competitive Product List. Documents 

are available at www.prc.gov, Docket 

Nos. MC2022–59, CP2022–64. 

Sean Robinson, 

Attorney, Corporate and Postal Business Law. 

[FR Doc. 2022–10657 Filed 5–17–22; 8:45 am] 

BILLING CODE 7710–12–P 

POSTAL SERVICE 

Product Change—Priority Mail 

Negotiated Service Agreement 

AGENCY: Postal Service TM. 

ACTION: Notice. 

SUMMARY: The Postal Service gives 

notice of filing a request with the Postal 

Regulatory Commission to add a 

domestic shipping services contract to 

the list of Negotiated Service 

Agreements in the Mail Classification 

Schedule’s Competitive Products List. 

DATES: Date of required notice: May 18, 

2022. 

FOR FURTHER INFORMATION CONTACT: 

Sean Robinson, 202–268–8405. 

SUPPLEMENTARY INFORMATION: The 

United States Postal Service® hereby 

gives notice that, pursuant to 39 U.S.C. 

3642 and 3632(b)(3), on May 11, 2022, 

it filed with the Postal Regulatory 

Commission a USPS Request to Add 

Priority Mail Contract 741 to 

Competitive Product List. Documents 

are available at www.prc.gov, Docket 

Nos. MC2022–58, CP2022–63. 

Sean Robinson, 

Attorney, Corporate and Postal Business Law. 

[FR Doc. 2022–10659 Filed 5–17–22; 8:45 am] 

BILLING CODE 7710–12–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94900; File No. SR–OCC– 

2022–001] 

Self-Regulatory Organizations; 

Options Clearing Corporation; Order 

Instituting Proceedings To Determine 

Whether To Approve or Disapprove a 

Proposed Rule Change Concerning the 

Options Clearing Corporation’s Margin 

Methodology for Incorporating 

Variations in Implied Volatility 

May 12, 2022. 

I. Introduction 

On January 24, 2022, the Options 

Clearing Corporation (‘‘OCC’’) filed with 

the Securities and Exchange 

Commission (‘‘Commission’’) the 

proposed rule change SR–OCC–2022– 

001 (‘‘Proposed Rule Change’’) pursuant 

to Section 19(b) of the Securities 

Exchange Act of 1934 (‘‘Exchange 

Act’’) 1 and Rule 19b–4 2 thereunder to 

change quantitative models related to 

certain volatility products.3 The 

Proposed Rule Change was published 

for public comment in the Federal 

Register on February 11, 2022.4 The 

Commission has received comments 

regarding the Proposed Rule Change.5

On March 24, 2022, pursuant to 

Section 19(b)(2) of the Exchange Act,6

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.7

This order institutes proceedings, 

pursuant to Section 19(b)(2)(B) of the 


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Federal Register / Vol. 87, No. 96 / Wednesday, May 18, 2022 / Notices 30285 

8 15 U.S.C. 78s(b)(2)(B). 

9See Securities Exchange Act Release No. 76781 

(Dec. 28, 2015), 81 FR 135 (Jan. 4, 2016) (File No. 

SR–OCC–2015–016). 

10See Notice of Filing, supra note 4. 

11A volatility index is an index designed to 

measure the volatiles implied by the prices of 

options on an underlying index. 

12A variance future is an exchange-traded futures 

contract based on the expected realized variance of 

an underlying interest. 

13 15 U.S.C. 78s(b)(2)(B). 

14 Id. 

15 15 U.S.C. 78q–1. 

16 15 U.S.C. 78q–1(b)(3)(F). 

17 17 CFR 240.17Ad–22(e)(2). 

18 17 CFR 240.17Ad–22(e)(2)(i). 

19 17 CFR 240.17Ad–22(e)(2)(ii). 

20 17 CFR 240.17Ad–22(e)(2)(iii). 

21 17 CFR 240.17Ad–22(e)(3). 

22 17 CFR 240.17Ad–22(e)(3)(i). 

23 17 CFR 240.17Ad–22(e)(4). 

24 17 CFR 240.17Ad–22(e)(6). 

Exchange Act,8 to determine whether to 

approve or disapprove the Proposed 

Rule Change. 

II. Summary of the Proposed Rule 

Change 

OCC is a central counterparty 

(‘‘CCP’’), which means it interposes 

itself as the buyer to every seller and 

seller to every buyer for financial 

transactions. As the CCP for the listed 

options markets in the U.S., as well as 

for certain futures, OCC is exposed to 

the risk that one or more of its members 

may fail to make a payment or to deliver 

securities. OCC addresses such 

exposures, in part, by requiring its 

members to provide collateral, 

including margin collateral. Margin is 

the collateral that CCPs, like OCC, 

collect to cover potential changes in a 

member’s positions over a set period of 

time. Typically, margin is designed to 

cover such exposures during normal 

market conditions, which means that 

margin collateral should be sufficient to 

exposures at least 99 out of 100 days. 

Margin requirements may fluctuate 

from day to day; however, CCPs seek to 

reduce fluctuations that could otherwise 

impose systemic risk. For example, if a 

CCP collects too little margin during 

relatively stable market conditions, then 

it would need to collect significantly 

more margin during stressed market 

conditions. Margin requirements that 

are strongly reactive to market 

movements are considered to be 

‘‘procyclical.’’ By contrast, a CCP may 

collect slightly more margin during 

quiet times to reduce the additional 

strain it places on members during 

times of market stress. 

OCC’s process for setting margin 

requirements considers several distinct 

risk factors, including volatility. OCC’s 

current models for estimating the 

impact of volatility on member 

positions have a number of limitations 

that may result in procyclical margin 

requirements. OCC is proposing to 

change its models to reduce the level of 

procyclicality in its margin 

requirements caused by changes in 

volatility. The changes OCC is 

proposing would also provide for offsets 

between products based on the same 

underlying asset. Based on data 

provided by OCC, the proposed model 

changes would likely increase margin 

requirements slightly overall, which, in 

turn, would reduce the additional 

amount of margin OCC would need to 

collect during periods of market stress. 

The proposed changes to OCC’s 

models are a continuation of volatility 

model changes that OCC has 

implemented over the past several 

years. In 2015, the Commission 

approved OCC’s proposal to more 

broadly incorporate variations in 

implied volatility in OCC’s margin 

methodology.9 In 2018, OCC modified 

its implied volatility model to address 

issues highlighted by large spikes in 

volatility. 

As described in the Notice of Filing,10

OCC proposes to change three 

quantitative models related to certain 

volatility products. Specifically, OCC 

proposes the following changes: 

(1) Implement a new model for 

incorporating variations in implied 

volatility within OCC’s margin 

methodology for products based on the 

S&P 500 Index; 

(2) implement a new model to margin 

futures on volatility indexes; 11 and 

(3) replace OCC’s model to for 

margining variance futures.12

III. Proceedings To Determine Whether 

To Approve or Disapprove the 

Proposed Rule Change and Grounds for 

Disapproval Under Consideration 

The Commission is instituting 

proceedings pursuant to Section 

19(b)(2)(B) of the Exchange Act 13 to 

determine whether the Proposed Rule 

Change should be approved or 

disapproved. Institution of proceedings 

is appropriate at this time in view of the 

legal and policy issues raised by the 

Proposed Rule Change. Institution of 

proceedings does not indicate that the 

Commission has reached any 

conclusions with respect to any of the 

issues involved. Rather, the Commission 

seeks and encourages interested persons 

to comment on the Proposed Rule 

Change, providing the Commission with 

arguments to support the Commission’s 

analysis as to whether to approve or 

disapprove the Proposed Rule Change. 

Pursuant to Section 19(b)(2)(B) of the 

Exchange Act,14 the Commission is 

providing notice of the grounds for 

disapproval under consideration. The 

Commission is instituting proceedings 

to allow for additional analysis of, and 

input from commenters with respect to, 

the Proposed Rule Change’s consistency 

with Section 17A of the Exchange Act,15

and the rules thereunder, including the 

following provisions: 

• Section 17A(b)(3)(F) of the 

Exchange Act,16 which requires, among 

other things, that the rules of a clearing 

agency must be designed to assure the 

safeguarding of securities and funds 

which are in the custody or control of 

the clearing agency or for which it is 

responsible; and 

• Rule 17Ad–22(e)(2) under the 

Exchange Act,17 which requires a 

covered clearing agency establish, 

implement, maintain, and enforce 

written policies and procedures 

reasonably designed to provide for 

governance arrangements that, among 

other things, (1) are clear and 

transparent,18 (2) clearly prioritize the 

safety and efficiency of the covered 

clearing agency,19 and (3) support the 

public interest requirements in Section 

17A of the Exchange Act (15 U.S.C. 

78q–1) applicable to clearing agencies, 

and the objectives of owners and 

participants.20

• Rule 17Ad–22(e)(3) under the 

Exchange Act,21 which requires a 

covered clearing agency establish, 

implement, maintain, and enforce 

written policies and procedures 

reasonably designed to maintain a 

sound risk management framework for 

comprehensively managing legal, credit, 

liquidity, operational, general business, 

investment, custody, and other risks 

that arise in or are borne by the covered 

clearing agency, which, among other 

things, includes risk management 

policies, procedures, and systems 

designed to identify, measure, monitor, 

and manage the range of risks that arise 

in or are borne by the covered clearing 

agency, that are subject to review on a 

specified periodic basis and approved 

by the board of directors annually.22

• Rule 17Ad–22(e)(4) under the 

Exchange Act,23 which requires a 

covered clearing agency establish, 

implement, maintain, and enforce 

written policies and procedures 

reasonably designed to effectively 

identify, measure, monitor, and manage 

its credit exposures to participants and 

those arising from its payment, clearing, 

and settlement processes. 

• Rule 17Ad–22(e)(6) under the 

Exchange Act,24 which requires a 

covered clearing agency establish, 

implement, maintain, and enforce 


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30286 Federal Register / Vol. 87, No. 96 / Wednesday, May 18, 2022 / Notices 

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)(23). 

29 17 CFR 240.17Ad–22(e)(23)(ii). 

30 15 U.S.C. 78q–1(b)(3)(F). 

31 17 CFR 240.17Ad–22(e)(6). 

32 17 CFR 240.19b–4(g). 

33Section 19(b)(2) of the Exchange Act grants to 

the Commission flexibility to determine what type 

of proceeding—either oral or notice and 

opportunity for written comments—is appropriate 

for consideration of a particular proposal by a selfregulatory organization. See Securities Act 

Amendments of 1975, Senate Comm. on Banking, 

Housing & Urban Affairs, S. Rep. No. 75, 94th 

Cong., 1st Sess. 30 (1975). 

34See Notice of Filing, supra note 4. 

35 17 CFR 200.30–3(a)(31). 

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

2 15 U.S.C. 78a. 

3 17 CFR 240.19b–4. 

written policies and procedures 

reasonably designed to cover, if the 

covered clearing agency provides 

central counterparty services, its credit 

exposures to its participants by 

establishing a risk-based margin system 

that, among other things, (1) considers, 

and produces margin levels 

commensurate with, the risks and 

particular attributes of each relevant 

product, portfolio, and market 25 (2) 

calculates sufficient margin 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 and 

uses an appropriate method for 

measuring credit exposure that accounts 

for relevant product risk factors and 

portfolio effects across products.27

• Rule 17Ad–22(e)(23) under the 

Exchange Act,28 which requires a 

covered clearing agency establish, 

implement, maintain, and enforce 

written policies and procedures 

reasonably designed to provide for, 

among other things, sufficient 

information to enable participants to 

identify and evaluate the risks, fees, and 

other material costs they incur by 

participating in the covered clearing 

agency.29

IV. Procedure: Request for Written 

Comments 

The Commission requests that 

interested persons provide written 

submissions of their views, data, and 

arguments with respect to the issues 

identified above, as well as any other 

concerns they may have with the 

Proposed Rule Change. In particular, the 

Commission invites the written views of 

interested persons concerning whether 

the Proposed Rule Change is consistent 

with Section 17A(b)(3)(F) of the 

Exchange Act,30 Rule 17Ad–22(e)(6) 

under the Exchange Act,31 or any other 

provision of the Exchange Act, or the 

rules and regulations thereunder. 

Although there do not appear to be any 

issues relevant to approval or 

disapproval that would be facilitated by 

an oral presentation of views, data, and 

arguments, the Commission will 

consider, pursuant to Rule 19b–4(g) 

under the Exchange Act,32 any request 

for an opportunity to make an oral 

presentation.33

Interested persons are invited to 

submit written data, views, and 

arguments regarding whether the 

Proposed Rule Change should be 

approved or disapproved by June 8, 

2022. Any person who wishes to file a 

rebuttal to any other person’s 

submission must file that rebuttal by 

June 22, 2022. 

The Commission asks that 

commenters address the sufficiency of 

OCC’s statements in support of the 

Proposed Rule Change, which are set 

forth in the Notice of Filing,34 in 

addition to any other comments they 

may wish to submit about the Proposed 

Rule Change. 

Comments may be submitted by any 

of the following methods: 

Electronic Comments 

• Use the Commission’s internet 

comment form (http://www.sec.gov/ 

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include File Number SR– 

OCC–2022–001 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE, 

Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–OCC–2022–001. 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 Commission’s 

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 Commission’s 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 such 

filing also will be available for 

inspection and copying at the principal 

office of OCC and on OCC’s website at 

https://www.theocc.com/CompanyInformation/Documents-and-Archives/ 

By-Laws-and-Rules. 

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 SR–OCC–2022–001 and should 

be submitted on or before June 8, 2022. 

Rebuttal comments should be submitted 

by June 22, 2022. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.35

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–10616 Filed 5–17–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94902; File No. SR– 

NYSEArca–2022–29] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change To List and Trade Shares 

of the IQ Winslow Large Cap Growth 

ETF and IQ Winslow Focused Large 

Cap Growth ETF Under NYSE Arca 

Rule 8.601–E (Active Proxy Portfolio 

Shares) 

May 12, 2022. 

Pursuant to Section 19(b)(1) 1 of the 

Securities Exchange Act of 1934 

(‘‘Act’’) 2 and Rule 19b–4 thereunder,3

notice is hereby given that on May 5, 

2022, NYSE Arca, Inc. (‘‘NYSE Arca’’ or 

‘‘Exchange’’) filed with the Securities 

and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change as described in Items I and II 

below, which Items have been prepared 

by the self-regulatory organization. The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

change from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to list and 

trade shares of the following under 

NYSE Arca Rule 8.601–E: IQ Winslow 


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