Document ID: SEC-2022-0436-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations: The Options Clearing Corp.
Posted Date: 2022-03-30T04:00Z

[Federal Register Volume 87, Number 61 (Wednesday, March 30, 2022)]
[Notices]
[Page 18414]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2022-06627]

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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\
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    \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.
    \4\ See Notice of Filing infra note 5, at 87 FR 8063.
    \5\ Securities 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.
    \6\ Since 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.
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    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.
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    \7\ 12 U.S.C. 5465(e)(1)(G).
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    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\
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    \8\ 12 U.S.C. 5465(e)(1)(H).
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    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\
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    \9\ See Notice of Filing, 87 FR 8063.
    \10\ 12 U.S.C. 5465(e)(1)(H).
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    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.
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    \11\ Id.
    \12\ 17 CFR 200.30-3(a)(94).

    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