Notice2022-19913
Self-Regulatory Organizations; National Securities Clearing Corporation; Order Instituting Proceedings To Determine Whether To Approve or Disapprove a Proposed Rule Change To Amend the Stress Testing Framework and Liquidity Risk Management Framework
Primary source
Metadata and text below are from the Federal Register, a public-domain U.S. government work. Always verify the official published version before relying on it for any legal matter.
Published
September 15, 2022
Issuing agencies
Securities and Exchange Commission
Full Text
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<title>Federal Register, Volume 87 Issue 178 (Thursday, September 15, 2022)</title>
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[Federal Register Volume 87, Number 178 (Thursday, September 15, 2022)]
[Notices]
[Pages 56735-56736]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[FR Doc No: 2022-19913]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-95725; File No. SR-NSCC-2022-006]
Self-Regulatory Organizations; National Securities Clearing
Corporation; Order Instituting Proceedings To Determine Whether To
Approve or Disapprove a Proposed Rule Change To Amend the Stress
Testing Framework and Liquidity Risk Management Framework
September 9, 2022.
I. Introduction
On May 26, 2022, National Securities Clearing Corporation
(``NSCC'') filed with the Securities and Exchange Commission
(``Commission'') proposed rule change SR-NSCC-2022-006 (the ``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 June
15, 2022,\3\ and the Commission has received no comments regarding the
changes proposed in the Proposed Rule Change.
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ Securities Exchange Act Release No. 95078 (June 10, 2022),
87 FR 36158 (June 15, 2022) (File No. SR-NSCC-2022-006).
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On July 14, 2022, pursuant to Section 19(b)(2) of the Act,\4\ 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.\5\ This order institutes
proceedings, pursuant to Section 19(b)(2)(B) of the Act,\6\ to
determine whether to approve or disapprove the Proposed Rule Change.
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\4\ 15 U.S.C. 78s(b)(2).
\5\ Securities Exchange Act Release No. 95283 (July 14, 2022),
87 FR 43354 (July 20, 2022) (SR-NSCC-2022-006).
\6\ 15 U.S.C. 78s(b)(2)(B).
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II. Summary of the Proposed Rule Change
As described in the Notice, NSCC proposes to amend the Clearing
Agency Stress Testing Framework (Market Risk) (``ST Framework'') and
the Clearing Agency Liquidity Risk Management Framework (``LRM
Framework,'' and, together with the ST Framework, the ``Frameworks'')
of NSCC and its affiliates, The Depository Trust Company (``DTC'') and
Fixed Income Clearing Corporation (``FICC,'' and together with NSCC and
DTC, the ``Clearing Agencies'').\7\
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\7\ The description of the Proposed Rule Change is based on the
statements prepared by NSCC in the Notice. See Notice, supra note 3.
Capitalized terms used herein and not otherwise defined herein are
defined in the Rules, available at <a href="https://www.dtcc.com/-/media/Files/Downloads/legal/rules/nscc_rules.pdf">https://www.dtcc.com/-/media/Files/Downloads/legal/rules/nscc_rules.pdf</a>.
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First, the proposed changes would amend both the ST Framework and
the LRM Framework to move descriptions of the Clearing Agencies'
liquidity stress testing activities from the LRM Framework to the ST
Framework. In connection with this proposed change, the Clearing
Agencies propose to recategorize the stress scenarios used for
liquidity risk management, such that all such stress scenarios are
described as either regulatory or informational scenarios.
Second, the proposed changes would amend the ST Framework to (1)
enhance stress testing for the Government Securities Division of FICC
(``GSD'') to obtain certain data utilized in stress testing from
external vendors and implement a back-up stress testing calculation
that would be utilized in the event such data is not supplied by its
vendors, and amend the ST Framework to reflect these practices for both
GSD
[[Page 56736]]
and the Mortgage-Backed Securities Division of FICC (``MBSD''); (2)
reflect that a stress testing team is primarily responsible for the
actions described in the ST Framework, and (3) make other revisions to
update and clarify certain statements in the ST Framework.
Third, the proposed changes would amend the LRM Framework to update
and clarify certain statements in the LRM Framework.
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 Act \8\ 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.
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\8\ 15 U.S.C. 78s(b)(2)(B).
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Pursuant to Section 19(b)(2)(B) of the Act,\9\ 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 Act,\10\ and the
rules thereunder, including the following provisions:
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\9\ Id.
\10\ 15 U.S.C. 78q-1.
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<bullet> Section 17A(b)(3)(F) of the Act,\11\ which requires, among
other things, that the rules of a clearing agency must be designed to
promote the prompt and accurate clearance and settlement of securities
transactions, 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 to protect investors and the public interest; and
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\11\ 15 U.S.C. 78q-1(b)(3)(F).
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<bullet> Rule 17Ad-22(e)(4) of the Act,\12\ which requires that 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.
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\12\ 17 CFR 240.17Ad-22(e)(4).
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<bullet> Rule 17Ad-22(e)(7) of the Act,\13\ which requires a
covered clearing agency to effectively measure, monitor, and manage the
liquidity risk that arises in or is borne by the covered clearing
agency, including measuring, monitoring, and managing its settlement
and funding flows on an ongoing and timely basis, and its use of
intraday liquidity.
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\13\ 17 CFR 240.17Ad-22(e)(7).
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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 Act,\14\ and
Rules 17Ad-22(e)(4) and (e)(7) of the Act,\15\ or any other provision
of the Act, or the rules and regulations thereunder.
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\14\ 15 U.S.C. 78q-1(b)(3)(F).
\15\ 17 CFR 240.17Ad-22(e)(4) and (e)(7).
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Interested persons are invited to submit written data, views, and
arguments regarding whether the Proposed Rule Change should be approved
or disapproved by October 6, 2022. Any person who wishes to file a
rebuttal to any other person's submission must file that rebuttal by
October 20, 2022.
The Commission asks that commenters address the sufficiency of
NSCC's statements in support of the Proposed Rule Change, which are set
forth in the Notice,\16\ in addition to any other comments they may
wish to submit about the Proposed Rule Change.
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\16\ See Notice, supra note 3.
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Comments may be submitted by any of the following methods:
Electronic Comments
<bullet> Use the Commission's internet comment form (<a href="http://www.sec.gov/rules/sro.shtml">http://www.sec.gov/rules/sro.shtml</a>); or
<bullet> Send an email to <a href="/cdn-cgi/l/email-protection#e496918881c9878b8989818a9097a4978187ca838b92"><span class="__cf_email__" data-cfemail="1260677e773f717d7f7f777c6661526177713c757d64">[email protected]</span></a>. Please include
File Number SR-NSCC-2022-006 on the subject line.
Paper Comments
<bullet> 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-NSCC-2022-006. 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 (<a href="http://www.sec.gov/rules/sro.shtml">http://www.sec.gov/rules/sro.shtml</a>).
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 the filing also will be available for inspection
and copying at the principal office of NSCC and on DTCC's website
(<a href="http://dtcc.com/legal/sec-rule-filings.aspx">http://dtcc.com/legal/sec-rule-filings.aspx</a>). 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-NSCC-2022-006 and should be submitted on
or before October 6, 2022. Rebuttal comments should be submitted by
October 20, 2022.
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\17\ 17 CFR 200.30-3(a)(31).
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\17\
J. Matthew DeLesDernier,
Deputy Secretary.
[FR Doc. 2022-19913 Filed 9-14-22; 8:45 am]
BILLING CODE 8011-01-P
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