60 Day Notice

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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.

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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
5 See 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).
7 See Securities Exchange Act Release No. 93714,
86 FR 70150 (Dec. 9, 2021).
8 See 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.
4 See Notice of Filing infra note 5, at 87 FR 8063.

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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
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.
7 12 U.S.C. 5465(e)(1)(G).
8 12 U.S.C. 5465(e)(1)(H).
9 See Notice of Filing, 87 FR 8063.
10 12 U.S.C. 5465(e)(1)(H).

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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–
11 Id.
12 17

CFR 200.30–3(a)(94).
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.
1 15

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

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MFP sets forth the specific disclosure
items that money market funds must
provide. Filers must submit this report
electronically using the Commission’s
electronic filing system (‘‘EDGAR’’) in
Extensible Markup Language (‘‘XML’’).
Compliance with rule 30b1–7 is
mandatory for any fund that holds itself
out as a money market fund in reliance
on rule 2a–7. Responses to the
disclosure requirements will not be kept
confidential. 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 OMB control number.
The following estimates of average
burden hours and costs are made solely
for purposes of the Paperwork
Reduction Act and are not derived from
a comprehensive or even representative
survey or study of the cost of
Commission rules and forms.
The Commission calculates there are
currently 353 6 money market funds that
report information on Form N–MFP,
with approximately 8 7 of them being
new money market funds that are filing
reports on Form N–MFP for the first
time.
We estimate that 35% of money
market funds (or 124 money market
funds, broken down into 121 existing
funds and 3 new funds) 8 license a
software solution and file reports on
Form N–MFP in house; we further
estimate that each fund that files reports
on Form N–MFP in house requires an
average of approximately 47 burden
hours to compile (including review of
the information), tag, and electronically
file the Form N–MFP for the first time
and an average of approximately 13
burden hours for subsequent filings.9
Therefore, we estimate the per fund
average annual hour burden is 156
6 This estimate is based on staff review of reports
on Form N–MFP filed with the Commission for the
month ended December 31, 2021 and includes both
feeder and non-feeder money market funds.
7 This calculation is based on staff review of
reports on Form N–MFP filed with the Commission
for 2019 (16 new funds), 2020 (5 new funds) and
2021 (2 new funds). Averaging those numbers over
three years provides an estimate of 8 new funds per
year.
8 The estimate is based on the following
calculation: (353 money market funds × 35% = 124
money market funds. Of that amount, we estimate
that 3 are new money market funds (8 new money
market funds each year × 35% = 2.8 funds, rounded
to 3). Therefore, 124 money market funds¥3 new
money market funds = 121 existing money market
funds.
9 We understand that the required information is
currently maintained by money market funds
pursuant to other regulatory requirements or in the
ordinary course of business. Accordingly, for the
purposes of our analysis, we do not ascribe any
time to producing the required information.

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hours 10 for existing funds and 190
hours 11 for new money market funds.
Based on an estimate of 121 existing
funds and 3 new funds each year, we
estimate that filing reports on Form N–
MFP in house takes 19,446 hours and
costs funds, in aggregate, $6,319,950 per
year.12
We estimate that 65% of money
market funds (or 229 money market
funds, broken down into 224 existing
funds and 5 new funds) 13 retain the
services of a third party to provide data
aggregation and validation services as
part of the preparation and filing of
reports on Form N–MFP on the fund’s
behalf; we further estimate that each
fund requires an average of
approximately 26 burden hours to
compile and review the information
with the service provider prior to
electronically filing the report for the
first time and an average of
approximately 9 burden hours for
subsequent filings. Therefore, we
estimate the per fund average annual
hour burden is 108 hours 14 for existing
10 This estimate is based on the following
calculation: 12 filings per year × 13 burden hours
per filing = 156 burden hours per year.
11 This estimate is based on the following
calculation: (First month’s initial filing × 47 burden
hours) + (11 subsequent monthly filings × 13
burden hours per filing) = 190 burden hours per
year.
12 These estimates are based on the following
calculations: Existing funds: (156 hours × blended
hourly rate of $325 for a financial reporting
manager ($318 per hour), senior accountant ($237
per hour), senior database administrator ($373 per
hour), senior portfolio manager ($360 per hour) and
compliance manager ($339 per hour)) = $44,772.
The blended hourly rate was calculated as ($318 +
$237 + $373 + $360 + $339/5 = $325. There are 121
existing money market funds that use in house
solutions × 156 hours with an internal time cost of
$50,700 per fund = 18,876 hours with an internal
time cost of $6,134,700.
New money market funds: (190 hours × blended
hourly rate of $325 for a financial reporting
manager ($318 per hour), senior accountant ($237
per hour), senior database administrator ($373 per
hour), senior portfolio manager ($360 per hour) and
compliance manager ($339 per hour)) = $61,750.
The blended hourly rate was calculated as ($318 +
$237 + $373 + $360 + $339/5 = $325. Three new
money market funds × 190 hours with an internal
time cost of $61,750 per fund = 570 hours with an
internal time cost of $185,250.
Aggregate annual hourly burden for all funds
filing reports on Form N–MFP in house: 18,876
hours + 570 hours = 19,446 hours.
Aggregate annual costs for all funds filing reports
on Form N–MFP in house: $6,134,700 + $185,250
= $6,319,950.
13 The estimate is based on the following
calculation: (353 money market funds × 65% = 229
money market funds. Of that amount, we estimate
that 5 are new money market funds (8 new money
market funds each year × 65% = 5.2 funds, rounded
to 5). Therefore, 229 money market funds—5 new
money market funds = 224 existing money market
funds.
14 This estimate is based on the following
calculation: 12 filings per year × 9 burden hours per
filing = 108 burden hours per year.

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18415

funds and 125 hours 15 for new money
market funds. Based on an estimate of
224 existing funds and 5 new funds
each year, we estimate that filing reports
on Form N–MFP using a service
provider takes 24,817 hours and costs
funds, in aggregate, $8,065,525 per
year.16 In sum, we estimate that filing
reports on Form N–MFP imposes a total
annual hour burden of 44,263 hours,17
at an aggregate cost of $14,385,475 on
all money market funds.18
Cost burden is the cost of goods and
services purchased in connection with
complying with the collection of
information requirements of rule 30b1–
7 and Form N–MFP. The cost burden
does not include the cost of the hour
burden discussed above.
Based on discussions with industry
participants, we estimate that money
market funds that file reports on Form
N–MFP in house license a third-party
software solution to assist in filing their
reports at an average cost of $3,900 per
fund per year. In addition, we estimate
that money market funds that use a
service provider to prepare and file
reports on Form N–MFP pay an average
fee of $9,300 per fund per year. In sum,
we estimate that all money market funds
15 This estimate is based on the following
calculation: (First month’s initial filing × 26 burden
hours) + (11 subsequent month filings × 9 burden
hours per filing) = 125 burden hours per year.
16 These estimates are based on the following
calculations: existing funds: (108 hours × blended
hourly rate of $325 for a financial reporting
manager ($318 per hour), senior accountant ($237
per hour), senior database administrator ($373 per
hour), senior portfolio manager ($360 per hour) and
compliance manager ($339 per hour)) = $35,000.
The blended hourly rate was calculated as ($318 +
$237 + $373 + $360 + $339)/5 = $325. There are
224 existing money market funds who use a thirdparty service provider × 108 hours with an internal
time cost of $35,100 per fund = 24,192 hours with
an internal time cost of $7,862,400.
New money market funds: (125 hours × blended
hourly rate of $325 for a financial reporting
manager ($318 per hour), fund senior accountant
($237 per hour), senior database administrator
($373 per hour), senior portfolio manager ($360 per
hour) and compliance manager ($339 per hour)) =
$40,625. The blended hourly rate was calculated as
($318 + $237 + $373 + $360 + $339)/5 = $325. Five
new money market funds × 125 hours with an
internal cost of $40,625 per fund = 625 hours with
an internal time cost of $203,125.
Aggregate annual hourly burden for all funds
filing reports on Form N–MFP using a third party
service provider: 24,192 6 hours + 625 hours =
24,817 hours.
Aggregate annual costs for all funds filing reports
on Form N–MFP using a third party service
provider: $7,862,400 + $203,125 = $8,065,525.
17 This estimate is based on the following
calculation: 19,446 hours for filers licensing a
software solution and filing in-house + 24,817
hours for filers using a third-party service provider
= 44,263 hours in total.
18 This estimate is based on the following
calculation: $6,319,950 (in-house filers) +
$8,065,525 (filers using a service provider) =
$14,385,475.

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

incur on average, in the aggregate,
external annual costs of $2,613,300.19
Written comments are invited on: (a)
Whether the proposed collection of
information is necessary for the proper
performance of the functions of the
Commission, including whether the
information shall have practical utility;
(b) the accuracy of the Commission’s
estimates of the burden of the proposed
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 by May 31, 2022.
Please direct your written comments
to David Bottom, Director/Chief
Information Officer, Securities and
Exchange Commission, C/O John
Pezzullo, 100 F Street NE, Washington,
DC 20549; or send an email to: PRA_
[email protected].
Dated: March 25, 2022.
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2022–06704 Filed 3–29–22; 8:45 am]
BILLING CODE 8011–01–P

SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–94505; File No. SR–LCH
SA–2022–003]

Self-Regulatory Organizations; LCH
SA; Notice of Filing of Proposed Rule
Change Relating to the Restructuring
Notification Process for Swaptions
March 24, 2022.

khammond on DSKJM1Z7X2PROD with NOTICES

Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934 (‘‘Act’’
or ‘‘Exchange Act’’) 1 and Rule 19b–4
thereunder,2 notice is hereby given that
on March 18, 2022, Banque Centrale de
Compensation, which conducts
business under the name LCH SA (‘‘LCH
SA’’), filed with the Securities and
Exchange Commission (‘‘Commission’’)
the proposed rule change described in
Items I, II and III below, which Items
have been prepared primarily by LCH
19 This estimate is based on the following
calculation: (124 money market funds (121 existing
funds + 3 new funds) that file reports on Form N–
MFP in house x $3,900 per fund, per year) + (229
money market funds (224 existing funds + 5 new
funds) that file reports on Form N–MFP using a
service provider × $9,300 per fund, per year) =
$2,613,300.
1 15 U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.

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SA. The Commission is publishing this
notice to solicit comments on the
proposed rule change from interested
persons.
I. Clearing Agency’s Statement of the
Terms of Substance of the Proposed
Rule Change
(a) Banque Centrale de Compensation,
which conducts business under the
name LCH SA (‘‘LCH SA’’), is proposing
to amend its (i) CDS Clearing
Supplement (‘‘Supplement’’) and (ii)
CDS Clearing Procedures (‘‘Procedures’’)
to incorporate new terms and to make
conforming, clarifying and clean-up
changes to implement a delegation
mechanism for clients of CDSClear
clearing members which applies in the
context of the restructuring process for
swaptions (the ‘‘Proposed Rule
Change’’).
The text of the Proposed Rule Change
has been annexed [sic] as Exhibit 5.3
The implementation of the Proposed
Rule Change will be contingent on LCH
SA’s receipt of all necessary regulatory
approvals.
(b) Not applicable.
(c) Not applicable.
II. Clearing Agency’s Statement of the
Purpose of, and Statutory Basis for, the
Proposed Rule Change
In its filing with the Commission,
LCH SA included statements concerning
the purpose of and basis for the
proposed rule change and discussed any
comments it received on the proposed
rule change. The text of these statements
may be examined at the places specified
in Item IV below. LCH SA has prepared
summaries, set forth in sections A, B,
and C below, of the most significant
aspects of these statements.
A. Clearing Agency’s Statement of the
Purpose of, and Statutory Basis for, the
Proposed Rule Change
(a) Purpose
The purpose of the Proposed Rule
Change is to to [sic] amend the
restructuring notification process
applicable in respect of swaptions
registered in a Client Account Structure.
Currently, in the event of a restructuring
which would be applicable to a
component transaction of the
underlying index transaction to which a
set of swaptions relate, Clearing
Members would be in charge of sending
and receiving the relevant notices in
respect of this restructuring and
notifying LCH SA of any such notice
delivered or received by no later than
3 All capitalized terms not defined herein have
the same definition as in the CDS Clearing Rule
Book, Supplement or Procedures, as applicable.

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5:00 p.m. on the cut-off date. Where
such restructuring also relate to
swaptions registered in a Client Account
Structure, this also implies from the
Client that it shall first deliver the
restructuring notice to its Clearing
Member and its Clearing Member
delivers the equivalent notice to the
other Clearing Member to allow for this
notification requirement by the relevant
Clearing Member to LCH SA by no later
than 5:00 p.m. on the cut-off date.
The proposed amendments to the
restructuring process for swaptions
registered in a Client Account Structure
will remove any dependency between
the notification duties in the context of
a restructuring. The proposed rule
change will provide for a delegation
mechanism whereby Clearing Members
shall appoint their Clients as their
Restructuring Delegation Beneficiaries
for the purposes of sending and
receiving the relevant notices to the
other Clearing Member(s) or Client(s) in
the event of a restructuring affecting the
swaptions registered in their relevant
Client Account Structure. The
notification duty vis-a`-vis LCH SA
following the sending or receiving of the
notices will also rely on such
Restructuring Delegation Beneficiary.
These amendments replicate the current
delegation legal mechanism which is
used in the context of the exercise
process in respect of swaptions
registered in a Client Account Structure.
1. Supplement
LCH SA is proposing to modify Part
C of the Supplement (‘‘Part C’’) to
incorporate terms for implementing the
delegation mechanism for the
restructuring process and to make
certain conforming and clean-up
changes to improve clarity of Part C.
Section 1.2 (Terms defined in the CDS
Clearing Supplement) of Part C would
be amended by adding the following
new defined terms.
The term ‘‘Restructuring Delegation
Beneficiary’’ would be added to refer to
a Client of a Clearing Member
designated by such Clearing Member
pursuant to new Section 5.7 (Delegation
by Clearing Members to Clients) as being
entitled to send and receive Credit
Event Notices and Notices to Exercise
Movement Option in respect of the
relevant Swaption Restructuring Cleared
Transactions on such Clearing Member’s
behalf.
The term ‘‘Swaption Restructuring
CCM Client Notice would be added to
make a cross reference to its definition
as set out in Mandatory Provision 7.3
(Duty to Deliver Swaption Restructuring
CCM Client Notice) in Appendix VIII to
Part C.

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