Notice2023-18187
Self-Regulatory Organizations; Fixed Income Clearing Corporation; Notice of Filing of Proposed Rule Change Relating to the Margin Liquidity Adjustment Charge
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
August 24, 2023
Issuing agencies
Securities and Exchange Commission
Full Text
<html>
<head>
<title>Federal Register, Volume 88 Issue 163 (Thursday, August 24, 2023)</title>
</head>
<body><pre>
[Federal Register Volume 88, Number 163 (Thursday, August 24, 2023)]
[Notices]
[Pages 58004-58012]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[FR Doc No: 2023-18187]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-98163; File No. SR-FICC-2023-012]
Self-Regulatory Organizations; Fixed Income Clearing Corporation;
Notice of Filing of Proposed Rule Change Relating to the Margin
Liquidity Adjustment Charge
August 18, 2023.
Pursuant to section 19(b)(1) of the Securities Exchange Act of 1934
(``Act'') \1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that
on August 3, 2023, Fixed Income Clearing Corporation (``FICC'') filed
with the Securities and Exchange Commission (``Commission'') the
proposed rule change as described in Items I, II and III below, which
Items have been prepared by the clearing agency. The Commission is
publishing this notice to solicit comments on the proposed rule change
from interested persons.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------
I. Clearing Agency's Statement of the Terms of Substance of the
Proposed Rule Change
The proposed rule change consists of modifications to FICC's
Government Securities Division (``GSD'') Rulebook (``GSD Rules'') and
Mortgage-Backed Securities Division (``MBSD'') Clearing Rules (``MBSD
Rules,'' and collectively with the GSD Rules, the ``Rules'') \3\ in
order to (1) enhance the calculation of the Margin Liquidity Adjustment
Charge (``MLA Charge'') in the GSD Rules for Sponsored Members that
clear through multiple accounts sponsored by multiple Sponsoring
Members, (2) revise the language in the GSD Rules and MBSD Rules
describing the asset groups/subgroups used in the calculation of the
MLA Charge at GSD and MBSD, respectively, and (3) clarify the language
in the GSD Rules and MBSD Rules describing the calculation of the MLA
Charge at GSD and MBSD, as well as make technical changes in the GSD
Rules, each as described in greater detail below.
---------------------------------------------------------------------------
\3\ Terms not defined herein are defined in the GSD Rules and
MBSD Rules, as applicable, available at <a href="http://www.dtcc.com/legal/rules-and-procedures">www.dtcc.com/legal/rules-and-procedures</a>.
---------------------------------------------------------------------------
II. Clearing Agency's Statement of the Purpose of, and Statutory Basis
for, the Proposed Rule Change
In its filing with the Commission, the clearing agency included
statements concerning the purpose of and basis for the proposed rule
change and discussed any comments it received on the
[[Page 58005]]
proposed rule change. The text of these statements may be examined at
the places specified in Item IV below. The clearing agency has prepared
summaries, set forth in sections A, B, and C below, of the most
significant aspects of such statements.
(A) Clearing Agency's Statement of the Purpose of, and Statutory Basis
for, the Proposed Rule Change
1. Purpose
There are three primary components of this proposed rule change.
First, FICC is proposing to enhance the calculation of the MLA Charge
at GSD for Sponsored Members that clear through multiple accounts
sponsored by multiple Sponsoring Members. Second, FICC is proposing to
revise the language in the GSD Rules and MBSD Rules describing the
asset groups/subgroups used in FICC's calculation of the MLA Charge at
GSD and MBSD, respectively. Third, FICC is proposing to clarify the
language in the GSD Rules and MBSD Rules describing the calculation of
the MLA Charge at GSD and MBSD, as well as make technical changes in
the GSD Rules.
When a Sponsored Member clears through multiple accounts sponsored
by multiple Sponsoring Members at GSD, FICC may charge an MLA Excess
Amount in addition to the MLA Charge. The MLA Excess Amount is being
charged by FICC in order to address any market impact cost that could
incur when such Sponsored Member defaults, and each of its Sponsoring
Members, in its capacity as the Sponsored Member's guarantor,
liquidates net unsettled positions associated with the defaulted
Sponsored Member.
FICC currently allocates the MLA Excess Amount across each
Sponsoring Member of the Sponsored Member using a market volatility
risk-weighted allocation methodology. In order to better align with the
position concentration risks arising from Sponsored Members that clear
through multiple accounts sponsored by multiple Sponsoring Members,
FICC is proposing to enhance its calculation of the MLA Charge for such
Sponsored Members.
In addition, FICC is proposing to revise the language in the GSD
Rules and MBSD Rules describing the asset groups/subgroups used in
FICC's calculation of the MLA Charge at GSD and MBSD, respectively.
This proposed change would enable FICC to calculate the MLA Charge at
GSD and MBSD using a schedule of asset groups and subgroups that FICC
would set and adjust from time to time, rather than as codified in the
GSD Rules and MBSD Rules in the manner the asset groups and/or
subgroups are today.
Finally, FICC is proposing to modify certain language in the GSD
Rules and MBSD Rules to make it clearer as to how the MLA Charge is
calculated at GSD and MBSD, as well as make a technical change in the
GSD Rules.
(i) Overview of the Required Fund Deposit and the Clearing Fund
FICC, through GSD and MBSD, serves as a central counterparty and
provider of clearance and settlement services for transactions in the
U.S. government securities and mortgage-backed securities markets.\4\
As part of its market risk management strategy, FICC manages its credit
exposure to Members by determining the appropriate Required Fund
Deposit to the Clearing Fund and monitoring its sufficiency, as
provided for in the GSD Rules and MBSD Rules.\5\ The Required Fund
Deposit serves as each Member's margin. The objective of a Member's
Required Fund Deposit is to mitigate potential losses to FICC
associated with liquidating a Member's portfolio in the event FICC
ceases to act for that Member (hereinafter referred to as a
``default'').\6\ The aggregate of all Members' Required Fund Deposits
constitutes the Clearing Fund. FICC would access the Clearing Fund
should a defaulting Member's own Required Fund Deposit be insufficient
to satisfy losses to FICC caused by the liquidation of that Member's
portfolio.
---------------------------------------------------------------------------
\4\ GSD also clears and settles certain transactions on
securities issued or guaranteed by U.S. government agencies and
government sponsored enterprises.
\5\ See GSD Rule 4 (Clearing Fund and Loss Allocation) and MBSD
Rule 4 (Clearing Fund and Loss Allocation), supra note 3. FICC's
market risk management strategy is designed to comply with Rule
17Ad-22(e)(4) under the Act, where these risks are referred to as
``credit risks.'' 17 CFR 240.17Ad-22(e)(4).
\6\ The GSD Rules and MBSD Rules identify when FICC may cease to
act for a Member and the types of actions FICC may take. For
example, FICC may suspend a firm's membership with FICC, or prohibit
or limit a Member's access to FICC's services, in the event that
Member defaults on a financial or other obligation to FICC. See GSD
Rule 21 (Restrictions on Access to Services) and MBSD Rule 14
(Restrictions on Access to Services), supra note 3.
---------------------------------------------------------------------------
Pursuant to the GSD Rules and MBSD Rules, each Member's Required
Fund Deposit amount consists of a number of applicable components, each
of which is calculated to address specific risks faced by FICC, as
identified within the GSD Rules and MBSD Rules.\7\ One of these
components is the MLA Charge, which is designed to address the risk
presented to FICC when a Member's portfolio contains large net
unsettled positions in a particular group of securities with a similar
risk profile or in a particular transaction type (referred to herein as
``asset groups'').\8\
---------------------------------------------------------------------------
\7\ Supra note 3.
\8\ With respect to GSD, references herein to ``net unsettled
positions'' refer to Net Unsettled Positions, as such term is
defined in GSD Rule 1 (Definitions). Supra note 3.
---------------------------------------------------------------------------
(ii) Overview of the MLA Charge
Upon a Member default, GSD Rule 22A (Procedures for When the
Corporation Ceases to Act) and MBSD Rule 17 (Procedures for When the
Corporation Ceases to Act) each provides FICC with the authority to
promptly close out and manage the positions of the defaulted Member and
to apply the defaulted Member's collateral. The process of closing out
the net unsettled positions of a defaulted Member typically involves
effecting market purchases and sales; that is, buying in securities the
defaulted Member was obligated to deliver to FICC, and selling out
securities the defaulted Member was obligated to receive from FICC and
pay for, or otherwise liquidating the position.
FICC may face increased transaction costs when it liquidates the
net unsettled positions of a defaulted Member due to the unique
characteristics of that Member's portfolio. The transaction costs to
FICC to liquidate a defaulted Member's portfolio include market impact
costs. Market impact costs are the costs due to the marketability of a
security, and generally increase when a portfolio contains large net
unsettled positions in a particular group of securities with a similar
risk profile or in a particular transaction type. The MLA Charge is
specifically designed to address this risk.
The MLA Charge is designed to address the market impact costs of
liquidating a defaulted Member's portfolio that may increase when that
portfolio includes large net unsettled positions in a particular group
of securities with a similar risk profile or in a particular
transaction type. These positions may be more difficult to liquidate
because a concentration in that group of securities or in a transaction
type could reduce the marketability of those large net unsettled
positions. Therefore, such portfolios create a risk that FICC may face
increased market impact cost to liquidate that portfolio in the assumed
margin period of risk of three Business Days at market prices.
The MLA Charge is calculated to address this increased market
impact cost by assessing sufficient margin to mitigate this risk. The
MLA Charge is calculated for different asset groups.
[[Page 58006]]
Essentially, the calculation is designed to compare the total market
value of net unsettled positions in a particular asset group, which
FICC would be required to liquidate in the event of a Member default,
to the available trading volume of that asset group or equities
subgroup in the market.\9\ If the market value of the net unsettled
positions in an asset group is large, as compared to the available
trading volume of that asset group, then there is an increased risk
that FICC would face additional market impact cost in liquidating those
positions in the event of a Member default. Therefore, the calculation
provides FICC with a measurement of the possible increased market
impact cost that FICC could face when it liquidates large net unsettled
positions in a particular asset group.
---------------------------------------------------------------------------
\9\ FICC determines average daily trading volume by reviewing
data that is made publicly available by the Securities Industry and
Financial Markets Association (``SIFMA''), at <a href="https://www.sifma.org/resources/archive/research/statistics">https://www.sifma.org/resources/archive/research/statistics</a>.
---------------------------------------------------------------------------
To calculate the MLA Charge, FICC categorizes securities into one
or more asset groups.\10\ At GSD, those asset groups currently include
the following, each of which have similar risk profiles: (a) U.S.
Treasury securities, which are further categorized by maturity--those
maturing in (i) less than one year, (ii) equal to or more than one year
and less than two years, (iii) equal to or more than two years and less
than five years, (iv) equal to or more than five years and less than
ten years, and (v) equal to or more than ten years; (b) Treasury-
Inflation Protected Securities (``TIPS''), which are further
categorized by maturity--those maturing in (i) less than two years,
(ii) equal to or more than two years and less than six years, (iii)
equal to or more than six years and less than eleven years, and (iv)
equal to or more than eleven years; (c) U.S. agency bonds; and (d)
mortgage pools transactions. At MBSD, there is currently one mortgage-
backed securities asset group.
---------------------------------------------------------------------------
\10\ See the definition of Margin Liquidity Adjustment Charge in
GSD Rule 1 (Definitions) and MBSD Rule 1 (Definitions). Supra note
3.
---------------------------------------------------------------------------
FICC first calculates a measurement of market impact cost with
respect to the net unsettled positions of a Member in each of these
asset groups. To determine the market impact cost for net unsettled
positions in Treasuries maturing less than one year and TIPS at GSD,
FICC uses the directional market impact cost, which is a function of
the net unsettled positions' net directional market value.\11\ To
determine the market impact cost for all other net unsettled positions
at GSD and MBSD, FICC adds together two components: (1) the directional
market impact cost, as described above, and (2) the basis cost, which
is based on the net unsettled positions' gross market value.\12\
---------------------------------------------------------------------------
\11\ The net directional market value of an asset group within a
portfolio is calculated as the absolute difference between the
market value of the long net unsettled positions in that asset
group, and the market value of the short net unsettled positions in
that asset group. For example, if the market value of the long net
unsettled positions is $100,000, and the market value of the short
net unsettled positions is $150,000, the net directional market
value of the asset group is $50,000.
\12\ To determine the gross market value of the net unsettled
positions in each asset group, FICC sums the absolute value of each
CUISP in the asset group.
---------------------------------------------------------------------------
The calculation of market impact cost for net unsettled positions
in Treasuries maturing less than one year and TIPS does not include
basis cost because basis risk is negligible for these types of
positions. For all asset groups, when determining the market impact
cost at GSD and MBSD, the net directional market value and the gross
market value of the net unsettled positions are divided by the average
daily volumes of the securities in that asset group over a lookback
period.\13\
---------------------------------------------------------------------------
\13\ Supra note 9.
---------------------------------------------------------------------------
FICC then compares the calculated market impact cost to a portion
of the VaR Charge that is allocated to net unsettled positions in those
asset groups.\14\ If the ratio of the calculated market impact cost to
a portion of the VaR Charge is greater than a prescribed threshold, an
MLA Charge is applied to that asset group.\15\ If the ratio of these
two amounts is equal to or less than this threshold, an MLA Charge is
not applied to that asset group. The threshold is based on an estimate
of the market impact cost that is incorporated into the calculation of
the 1-day VaR Charge, such that an MLA Charge is applied only when the
calculated market impact cost exceeds this prescribed threshold. In
addition, FICC may apply a downward adjusting scaling factor in the
calculation of the MLA Charge based on the ratio of the calculated
market impact cost to the 1-day VaR Charge.
---------------------------------------------------------------------------
\14\ FICC's margining methodology uses a three-day assumed
period of risk. For purposes of this calculation, FICC uses a
portion of the VaR Charge that is based on a one-day assumed period
of risk and calculated by applying a simple square-root of time
scaling, referred to herein as ``1-day VaR Charge.'' Any changes
that FICC deems appropriate to this assumed period of risk would be
subject to FICC's model risk management governance procedures set
forth in the Clearing Agency Model Risk Management Framework
(``Model Risk Management Framework''). See Securities Exchange Act
Release Nos. 81485 (Aug. 25, 2017), 82 FR 41433 (Aug. 31, 2017) (SR-
FICC-2017-014); 84458 (Oct. 19, 2018), 83 FR 53925 (Oct. 25, 2018)
(SR-FICC-2018-010); 88911 (May 20, 2020), 85 FR 31828 (May 27, 2020)
(SR-FICC-2020-004); 92380 (July 13, 2021), 86 FR 38140 (July 19,
2021) (SR-FICC-2021-006); 94271 (Feb. 17, 2022), 87 FR 10411 (Feb.
24, 2022) (SR-FICC-2022-001); and 97890 (July 13, 2023), 88 FR 46287
(July 19, 2023) (SR-FICC-2023-008).
\15\ FICC reviews the method for calculating the thresholds from
time to time and any changes that FICC deems appropriate would be
subject to FICC's model risk management governance procedures set
forth in the Model Risk Management Framework. See id.
---------------------------------------------------------------------------
For each Member portfolio, FICC adds the MLA Charges for each asset
group, as applicable, to determine a total MLA Charge for the Member
portfolio. The final MLA charge is calculated daily and, when the
charge is applicable, as described above, is included as a component of
Members' Required Fund Deposits.
MLA Excess Amount for Sponsored Members
At GSD, the calculation of the MLA Charge for a Sponsored Member
that clears through a single account sponsored by a single Sponsoring
Member is the same as described above. For a Sponsored Member that
clears through multiple accounts sponsored by multiple Sponsoring
Members, in addition to calculating an MLA Charge for each account as
described above, FICC also calculates an MLA Charge for the combined
net unsettled positions of the Sponsored Member across all of its
Sponsoring Members (herein referred to as the ``consolidated
portfolio'').
Currently, if the MLA Charge of the consolidated portfolio is
higher than the sum of all MLA Charges for each account of the
Sponsored Member, the amount of such difference, referred to as the
``MLA Excess Amount,'' would be charged in addition to the applicable
MLA Charge. If the MLA Charge of the consolidated portfolio is not
higher than the sum of all MLA Charges for each account of the
Sponsored Member, then only an MLA Charge for each of the Sponsored
Member's accounts, as applicable, would be charged.
The MLA Excess Amount is designed to capture the additional market
impact cost that could be incurred when a Sponsored Member defaults,
and each of its Sponsoring Members, in its capacity as the Sponsored
Member's guarantor, liquidates net unsettled positions associated with
that defaulted Sponsored Member. If large net unsettled positions in
the same asset group are being liquidated by multiple Sponsoring
Members, the market impact cost to liquidate those positions could
increase. The MLA Excess Amount addresses this additional market impact
cost by capturing any difference between the calculations of the MLA
Charge for each of the Sponsored Member's accounts and for the
consolidated portfolio. The MLA Excess Amount for a Sponsored Member is
currently allocated across each of its
[[Page 58007]]
Sponsoring Members using a market volatility risk-weighted allocation
methodology.
FICC is proposing to revise how GSD calculates the MLA Charge for
Sponsored Members that clear through multiple accounts sponsored by
multiple Sponsoring Members in order to better align with the market
impact cost arising from position concentration of the Sponsored
Member's respective Sponsored Member accounts. As proposed, those
Sponsored Member's accounts with higher relative market impact cost and
a lower relative VaR Charge would be apportioned a higher amount of the
additional market impact cost than those Sponsored Member's accounts
with lower relative market impact cost and a higher relative VaR
Charge.
In light of the proposal to enhance GSD's calculation of the MLA
Charge for Sponsored Members that clear through multiple accounts
sponsored by multiple Sponsoring Members, FICC has determined it is
appropriate to eliminate the MLA Excess Amount from the GSD Rules. This
is because the market impact cost that the MLA Excess Amount is
designed to address would now be mitigated by the proposed enhancement
to the MLA Charge.
Asset Groups/Subgroups Used in the MLA Charge Calculation
As described above, to calculate the MLA Charge, FICC categorizes
securities into one or more asset groups. Those asset groups, as
currently codified in the GSD Rules,\16\ include the following, each of
which have similar risk profiles: (a) U.S. Treasury securities, which
are further categorized by maturity--those maturing in (i) less than
one year, (ii) equal to or more than one year and less than two years,
(iii) equal to or more than two years and less than five years, (iv)
equal to or more than five years and less than ten years, and (v) equal
to or more than ten years; (b) Treasury-Inflation Protected Securities
(``TIPS''), which are further categorized by maturity--those maturing
in (i) less than two years, (ii) equal to or more than two years and
less than six years, (iii) equal to or more than six years and less
than eleven years, and (iv) equal to or more than eleven years; (c)
U.S. agency bonds; and (d) mortgage pools transactions. There is one
mortgage-backed securities asset group as currently codified in the
MBSD Rules.\17\
---------------------------------------------------------------------------
\16\ See the definition of Margin Liquidity Adjustment Charge in
GSD Rule 1 (Definitions). Supra note 3.
\17\ See the definition of Margin Liquidity Adjustment Charge in
MBSD Rule 1 (Definitions). Supra note 3.
---------------------------------------------------------------------------
FICC is proposing to revise the language in the GSD Rules and MBSD
Rules describing the asset groups and/or subgroups used in its
calculation of the MLA Charge at GSD and MBSD. This proposed change
would enable FICC to calculate the MLA Charge at GSD and MBSD using an
applicable schedule of asset groupings that FICC would set and adjust
from time to time, rather than as codified in the GSD Rules and MBSD
Rules in the manner they are today.
Clarifying and Technical Changes
Finally, FICC is proposing to modify certain language in the GSD
Rules and MBSD Rules to make it clearer as to how the MLA Charge is
calculated at GSD and MBSD, as well as make technical changes in the
GSD Rules.
Specifically, FICC is proposing changes that would make it clearer
that, for the purpose of determining the amount of MLA Charge at GSD
and MBSD, the MLA Charge is first calculated for each asset group/
subgroup and then added together to result in one MLA Charge for each
Member portfolio. FICC is also proposing changes that would reflect the
calculation of market impact cost is performed for combined net
unsettled positions in each asset group/subgroup, not for each net
unsettled position. Similarly, FICC is proposing changes to make it
clearer that the associated VaR Charge allocation is also performed for
each asset group/subgroup, not for each net unsettled position.
FICC is also proposing technical changes to reflect correct term
usage in the GSD Rules.
(iii) Proposed Changes
Enhancing the MLA Charge Calculation at GSD for Sponsored Members that
Clear Through Multiple Accounts Sponsored by Multiple Sponsoring
Members
For a Sponsored Member that clears through multiple accounts
sponsored by multiple Sponsoring Members, in lieu of charging an MLA
Excess Amount in addition to the applicable MLA Charge, FICC is
proposing to enhance GSD's calculation of the MLA Charge for such
Sponsored Member in order to better align with the additional market
impact cost that could be incurred when the Sponsored Member defaults,
and each of its Sponsoring Members, in its capacity as the Sponsored
Member's guarantor, liquidates the defaulted Sponsored Member's large
net unsettled positions in the same asset group.
Specifically, FICC is proposing that when a Sponsored Member clears
through multiple accounts sponsored by multiple Sponsoring Members, for
each such account, GSD would calculate an MLA Charge both (1) for each
asset group/subgroup in the account on a standalone basis, as described
above, and (2) for each asset group/subgroup in the account as part of
a consolidated portfolio, as described below, with the higher amount
applied as the MLA Charge for the relevant asset group/subgroup.
When calculating the MLA Charge for each asset group/subgroup in
the account as part of a consolidated portfolio, GSD would first
calculate the market impact cost for each asset group/subgroup based on
the aggregate net unsettled positions of that asset group/subgroup in
the consolidated portfolio. The calculated market impact cost for each
asset group/subgroup would then be allocated to each asset group/
subgroup in each account of the Sponsored Member on a pro rata basis
based on the market impact cost of that asset group/subgroup in the
account.
The allocated market impact cost for an asset group/subgroup would
then be compared to a portion of the VaR Charge that is allocated to
that asset group/subgroup in the account. If the ratio of the allocated
market impact cost to a portion of the VaR Charge is greater than a
prescribed threshold, as determined by FICC from time to time, there
would be an MLA Charge for that asset group/subgroup. If the ratio of
the two amounts is equal to or less than this threshold, then there
would not be an MLA Charge for that asset group/subgroup. As described
above and in further detail in Exhibit 3b to this filing (DTCC Model
Development Documentation--FICC Market Liquidity Adjustment Model and
Bid-ask Charge Model) (``MLA Model Document''),\18\ the threshold is
currently determined by an optimization process based on the ratio of
an estimate of the market impact cost to the 1-day VaR Charge and would
remain so with respect to the changes made in accordance with this
proposal.\19\
---------------------------------------------------------------------------
\18\ FICC is requesting confidential treatment of the MLA Model
Document and has filed it separately with the Commission.
\19\ Supra note 15.
---------------------------------------------------------------------------
When applicable, the MLA Charge for each asset group/subgroup in
the account as part of the consolidated portfolio would be calculated
as a proportion of the product of (1) the amount by which the ratio of
the allocated market impact cost for the asset group/subgroup to the
portion of the VaR Charge allocated to that asset group/subgroup
exceeds the prescribed
[[Page 58008]]
threshold, and (2) a portion of the VaR Charge allocated to that asset
group/subgroup.
As stated above, GSD would then compare the MLA Charge for each
asset group/subgroup in the account on a standalone basis against the
MLA Charge for each asset group/subgroup in the account as part of a
consolidated portfolio. The higher of the two amounts would be applied
as the MLA Charge for the asset group. The applicable MLA Charges for
each asset group/subgroup would be added together to result in one
total MLA Charge for that account of the Sponsored Member.
To implement the proposal as described above, FICC would amend GSD
Rule 1 (Definitions) to modify the description of the MLA Charge. FICC
would also amend GSD Rule 1 to remove MLA Excess Amount as it would no
longer be needed under the proposal.
Revise Asset Groups/Subgroups Language in the GSD Rules and MBSD Rules
When calculating the MLA Charge at GSD and MBSD, it is important to
have Members' net unsettled positions with similar risk profiles placed
in the same group or category so that market impact cost to each asset
group or category can be properly measured. However, the risk profiles
of positions may shift from time to time due to changes in market
conditions, and such shift in risk profiles may require FICC to set and
adjust the asset groupings from time to time in order to reflect these
changes. Because the various groupings used in the calculation of the
MLA Charge are currently codified in the GSD Rules and MBSD Rules, any
changes to the groupings would require the filing of a proposed rule
change with the Commission.
In order to provide FICC with more flexibility in setting and
adjusting the groupings from time to time,\20\ FICC is proposing to
remove from the GSD Rules references to specific maturity groupings
used in FICC's calculation of the MLA Charge. In addition, in order to
better reflect the different risk profiles of the mortgage pools/
mortgage-backed securities asset groups, FICC is proposing to add
language in the GSD Rules and MBSD Rules that would provide mortgage
pools/mortgage-backed securities asset groups may be further
categorized into subgroups by mortgage pool types. In place thereof,
FICC would publish on its website schedules of asset groups and
subgroups used in the calculation of the MLA Charge for GSD and MBSD,
respectively.
---------------------------------------------------------------------------
\20\ FICC reviews the asset groupings from time to time and any
changes that FICC deems appropriate would be subject to FICC's model
risk management governance procedures set forth in the Model Risk
Management Framework. See supra note 14.
---------------------------------------------------------------------------
Specifically, FICC is proposing to revise the MLA Charge definition
in GSD Rule 1 (Definitions) to provide that for the purpose of
calculating the MLA Charge at GSD, a Member's net unsettled positions
shall be categorized into (a) U.S. Treasury securities, which shall be
further categorized into subgroups by maturity; (b) Treasury-Inflation
Protected Securities (``TIPS''), which shall be further categorized
into subgroups by maturity; (c) U.S. agency bonds; and (d) mortgage
pools, which may be further categorized into subgroups by mortgage pool
types.
FICC is also proposing to revise the MLA Charge definition in MBSD
Rule 1 (Definitions) to provide that for the purpose of calculating the
MLA Charge at MBSD, a Member's net unsettled positions in TBA
transactions, Specified Pool Trades and Stipulated Trades shall be
included in one mortgage-backed securities asset group, which may be
further categorized into subgroups by mortgage pool types.
In addition, in both GSD Rule 1 and MBSD Rule 1, FICC is proposing
to revise the MLA Charge definition to state (i) the asset groups and
subgroups shall be set forth in a schedule that is published on FICC's
website, (ii) it shall be the Member's responsibility to retrieve the
schedule, and (iii) FICC would provide Members with at a minimum 5
Business Days' advance notice of any change to the schedule via an
Important Notice.
Clarifying and Technical Changes
FICC is proposing to modify certain language in the GSD Rules and
MBSD Rules to make it clearer as to how the MLA Charge is calculated at
GSD and MBSD. Specifically, FICC is proposing changes to the definition
of ``Margin Liquidity Adjustment Charge'' in GSD Rule 1 (Definitions)
and MBSD Rule 1 (Definitions) that would make it clearer that, for the
purpose of determining the amount of MLA Charge at GSD and MBSD, the
MLA Charge is first calculated for each asset group/subgroup and then
added together to result in one MLA Charge for each Member portfolio.
FICC is also proposing changes that would reflect the calculation of
market impact cost is performed for combined net unsettled positions in
each asset group/subgroup, not for each net unsettled position.
Similarly, FICC is proposing changes to make it clearer that the
associated VaR Charge allocation is also performed for each asset
group/subgroup, not for each net unsettled position.
In addition, FICC is proposing technical changes to reflect correct
term usage in the GSD Rules. Specifically, FICC is proposing to modify
the definition of Margin Liquidity Adjustment Charge in GSD Rule 1
(Definitions) by (i) deleting the reference to ``mortgage pools
transactions'' and replacing it with ``mortgage pools'' and (ii)
deleting ``MLA charge'' and replacing it with ``MLA Charge'' in two
places.
Impact Study
FICC conducted an impact study for the period from October 19, 2020
through October 31, 2022 (``Impact Study''). The results of the Impact
Study indicate that, if the proposed enhancements to the MLA Charge
calculation had been in place for Sponsored Members that clear through
multiple accounts sponsored by multiple Sponsoring Members, the
enhancements would have resulted in an average daily change of $9.47
million in the aggregate MLA Charge for the impacted Sponsored Members
(approximately 1.18% of the impacted Sponsored Members' average daily
aggregate VaR Charge and 0.20% of the Sponsoring Members' average daily
aggregate VaR Charge). The largest daily increase in the aggregate MLA
Charge for the impacted Sponsored Members would be $31.44 million
(approximately 2.86% of the impacted Sponsored Members' aggregate VaR
Charge and 0.57% of the Sponsoring Members' aggregate VaR Charge).
Implementation Timeframe
Subject to approval by the Commission, FICC expects to implement
this proposal by no later than 60 Business Days after such approval and
would announce the effective date of the proposed changes by an
Important Notice posted to FICC's website.
2. Statutory Basis
FICC believes the proposed changes are consistent with the
requirements of the Act, and the rules and regulations thereunder
applicable to a registered clearing agency. In particular, FICC
believes that the proposed rule change is consistent with section
17A(b)(3)(F) of the Act,\21\ and Rules 17Ad-22(e)(6)(i) and (e)(19),
each promulgated under the Act,\22\ for the reasons described below.
---------------------------------------------------------------------------
\21\ 15 U.S.C. 78q-1(b)(3)(F).
\22\ 17 CFR 240.17Ad-22(e)(6)(i) and (e)(19).
---------------------------------------------------------------------------
Section 17A(b)(3)(F) of the Act requires, in part, that the rules
of a
[[Page 58009]]
clearing agency be designed to promote the prompt and accurate
clearance and settlement of securities transactions, and assure the
safeguarding of securities and funds which are in the custody or
control of the clearing agency or for which it is responsible.\23\ FICC
believes that the proposed changes described are designed to promote
the prompt and accurate clearance and settlement of securities
transactions, and assure the safeguarding of securities and funds which
are in the custody or control of FICC or for which it is responsible,
consistent with section 17A(b)(3)(F) of the Act.\24\
---------------------------------------------------------------------------
\23\ 15 U.S.C. 78q-1(b)(3)(F).
\24\ Id.
---------------------------------------------------------------------------
As described above, the proposed changes to enhance the MLA Charge
calculation at GSD for Sponsored Members that clear through multiple
accounts sponsored by multiple Sponsoring Members are designed to
enable FICC to better align the MLA Charge with the risks arising from
position concentration of such Sponsored Members. Better aligning the
MLA Charge with such risk would help ensure that FICC collects MLA
Charges from the Sponsoring Members of these Sponsored Members that are
commensurate with the additional market impact cost that could be
incurred when such a Sponsored Member defaults, and each of its
Sponsoring Members, in its capacity as the Sponsored Member's
guarantor, liquidates the defaulted Sponsored Member's large net
unsettled positions in the same asset grouping so that FICC's
operations would not be disrupted, and non-defaulting Members would not
be exposed to losses they cannot anticipate or control. In this way,
the proposed rule change to enhance the MLA Charge calculation at GSD
for Sponsored Members that clear through multiple accounts sponsored by
multiple Sponsoring Members would assure the safeguarding of securities
and funds which are in the custody and control of FICC or for which it
is responsible, consistent with section 17A(b)(3)(F) of the Act.\25\
---------------------------------------------------------------------------
\25\ Id.
---------------------------------------------------------------------------
FICC believes the proposed changes to revise the asset group/
subgroup language in the Rules would provide FICC with more flexibility
in setting and adjusting the asset groupings used in the calculation of
the MLA Charge at GSD and MBSD because such adjustments would no longer
require a rule change.\26\ By being able to make adjustments to the
asset groupings from time to time without a rule change, FICC would
have the flexibility to respond to changes in the risk profile of
Members' positions more promptly. FICC believes that having this
additional flexibility to respond to changing risk profiles of Members'
positions more promptly would help better ensure that FICC collects MLA
Charges from Members that are commensurate with the risk exposure that
FICC may face in liquidating Members' portfolios such that, in the
event of a Member default, FICC's operations would not be disrupted,
and non-defaulting Members would not be exposed to losses they cannot
anticipate or control. In this way, the proposed rule change to revise
the asset group/subgroup language in the Rules would assure the
safeguarding of securities and funds which are in the custody and
control of FICC or for which it is responsible, consistent with section
17A(b)(3)(F) of the Act.\27\
---------------------------------------------------------------------------
\26\ Pursuant to section 806(e)(1) of title VIII of the Dodd-
Frank Wall Street Reform and Consumer Protection Act and Rule 19b-
4(n)(1)(i) under the Act, if a change materially affects the nature
or level of risks presented by FICC, then FICC is required to file
an advance notice filing. 12 U.S.C. 5465(e)(1) and 17 CFR 240.19b-
4(n)(1)(i).
\27\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------
In addition, FICC believes the proposed clarifying and technical
changes would help to ensure that the GSD Rules and MBSD Rules are
clear to Members. When Members better understand their rights and
obligations regarding the GSD Rules and MBSD Rules, Members are more
likely to act in accordance with the GSD Rules and MBSD Rules, which
FICC believes would promote the prompt and accurate clearance and
settlement of securities transactions. As such, FICC believes that the
proposed clarifying and technical changes would be consistent with
section 17A(b)(3)(F) of the Act.\28\
---------------------------------------------------------------------------
\28\ Id.
---------------------------------------------------------------------------
Rule 17Ad-22(e)(6)(i) under the Act \29\ requires a covered
clearing agency to establish, implement, maintain and enforce 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, at a minimum, considers, and produces margin levels
commensurate with, the risks and particular attributes of each relevant
product, portfolio, and market. FICC believes that the proposed changes
are consistent with the requirements of Rule 17Ad-22(e)(6)(i).\30\
---------------------------------------------------------------------------
\29\ 17 CFR 240.17Ad-22(e)(6)(i).
\30\ Id.
---------------------------------------------------------------------------
Specifically, the proposed changes to enhance the MLA Charge
calculation at GSD for Sponsored Members that clear through multiple
accounts sponsored by multiple Sponsoring Members are designed to
enable FICC to better align the MLA Charge with the risks arising from
position concentration of such Sponsored Members. Better aligning the
MLA Charge with such risk would enable FICC to better risk manage its
credit exposure to its Members because FICC would then be able to
collect MLA Charges from the Sponsoring Members of these Sponsored
Members that are commensurate with the additional market impact cost
that could be incurred when such a Sponsored Member defaults, and each
of its Sponsoring Members, in its capacity as the Sponsored Member's
guarantor, liquidates the defaulted Sponsored Member's large net
unsettled positions in the same asset grouping. Being able to better
align the MLA Charge with the risks arising from position concentration
of Sponsored Members that clear through multiple accounts sponsored by
multiple Sponsoring Members would allow FICC to continue to produce
margin levels commensurate with the risks and particular attributes of
each relevant product, portfolio, and market. Therefore, FICC believes
these proposed changes are consistent with Rule 17Ad-22(e)(6)(i) under
the Act.\31\
---------------------------------------------------------------------------
\31\ Id.
---------------------------------------------------------------------------
FICC believes the proposed change to revise the asset group/
subgroup language in the Rules would provide FICC with more flexibility
in setting and adjusting the asset groupings used in the calculation of
the MLA Charge at GSD and MBSD because such adjustments would no longer
require a rule change. By being able to make adjustments to the asset
groupings from time to time without a rule change, FICC would have the
flexibility to respond to changes in the risk profile of Members'
positions more promptly. FICC believes that having this additional
flexibility to respond to changing risk profiles of Members' positions
more promptly would help better ensure that FICC collects MLA Charges
from Members that are commensurate with the risk exposure that FICC may
face in liquidating Members' portfolios. In this way, the proposed rule
change to revise the asset group/subgroup language in the Rules would
allow FICC to continue to produce margin levels commensurate with the
risks and particular attributes of each relevant product, portfolio,
and market. Therefore, FICC believes this proposed change is consistent
with Rule 17Ad-22(e)(6)(i) under the Act.\32\
---------------------------------------------------------------------------
\32\ Id.
---------------------------------------------------------------------------
[[Page 58010]]
Rule 17Ad-22(e)(19) under the Act \33\ requires a covered clearing
agency to establish, implement, maintain and enforce written policies
and procedures reasonably designed to identify, monitor, and manage the
material risks to the covered clearing agency arising from arrangements
in which firms that are indirect participants in the covered clearing
agency rely on the services provided by the direct participants to
access the covered clearing agency's payment, clearing, or settlement
facilities. FICC believes that the proposed changes are consistent with
the requirements of Rule 17Ad-22(e)(19).\34\
---------------------------------------------------------------------------
\33\ 17 CFR 240.17Ad-22(e)(19).
\34\ Id.
---------------------------------------------------------------------------
Specifically, the proposed changes to enhance the MLA Charge
calculation at GSD for Sponsored Members that clear through multiple
accounts sponsored by multiple Sponsoring Members are designed to
enable FICC to better align the MLA Charge with the risks arising from
position concentration of such Sponsored Members. Better aligning the
MLA Charge with such risk would enable FICC to better risk manage the
material risks arising from position concentration of Sponsored Members
that clear through multiple accounts sponsored by multiple Sponsoring
Members because FICC would then be able to collect MLA Charges from the
Sponsoring Members of these Sponsored Members that are commensurate
with the additional market impact cost that could be incurred when such
a Sponsored Member defaults, and each of its Sponsoring Members, in its
capacity as the Sponsored Member's guarantor, liquidates the defaulted
Sponsored Member's large net unsettled positions in the same asset
grouping. Therefore, FICC believes these proposed changes are
consistent with Rule 17Ad-22(e)(19) under the Act.\35\
---------------------------------------------------------------------------
\35\ Id.
---------------------------------------------------------------------------
(B) Clearing Agency's Statement on Burden on Competition
FICC believes proposed changes to enhance the MLA Charge
calculation at GSD for Sponsored Members that clear through multiple
accounts sponsored by multiple Sponsoring Members may have an impact on
competition because these changes could result in the Sponsoring
Members of such Sponsored Members being assessed a higher margin than
they would have been assessed under the current MLA Charge calculation.
When these proposed changes result in a higher MLA Charge, they could
burden competition for Sponsoring Members that have lower operating
margins or higher costs of capital compared to other Sponsoring
Members. Whether such burden on competition would be significant would
depend on each Sponsoring Member's financial status and the specific
risks presented by the portfolio(s) of the Sponsoring Member's
Sponsored Members.
FICC believes any burden on competition imposed by the proposed
changes to enhance the MLA Charge calculation at GSD for Sponsored
Members that clear through multiple accounts sponsored by multiple
Sponsoring Members would not be significant. As the result of the
Impact Study indicates, if the enhanced MLA Charge calculation had been
in place, the associated aggregate MLA Charge daily change would be
approximately $9.47 million (or 1.18% of the impacted Sponsored
Members' average daily aggregate VaR Charge and 0.20% of the Sponsoring
Members' average daily aggregate VaR Charge) on average. However,
regardless of whether the burden on competition would be significant,
FICC believes that any burden on competition imposed by the proposed
changes to enhance the MLA Charge calculation at GSD for Sponsored
Members that clear through multiple accounts sponsored by multiple
Sponsoring Members would be both necessary and appropriate in
furtherance of FICC's efforts to mitigate risks and meet the
requirements of the Act,\36\ as described in this filing and further
below.
---------------------------------------------------------------------------
\36\ 15 U.S.C. 78q-1(b)(3)(I).
---------------------------------------------------------------------------
FICC believes any burden on competition imposed by the proposed
changes to enhance the MLA Charge calculation at GSD for Sponsored
Members that clear through multiple accounts sponsored by multiple
Sponsoring Members would be necessary in furtherance of the Act,
specifically section 17A(b)(3)(F) of the Act.\37\ As described above,
the proposed changes would enable FICC to better align the MLA Charge
with the risks arising from position concentration of such Sponsored
Members. Better aligning the MLA Charge with such risk would help
ensure that FICC collects MLA Charges from the Sponsoring Members of
these Sponsored Members that are commensurate with the additional
market impact cost that could be incurred when such a Sponsored Member
defaults, and each of its Sponsoring Members, in its capacity as the
Sponsored Member's guarantor, liquidates the defaulted Sponsored
Member's large net unsettled positions in the same asset grouping such
that FICC's operations would not be disrupted, and non-defaulting
Members would not be exposed to losses they cannot anticipate or
control. In this way, the proposed rule change to enhance the MLA
Charge calculation at GSD for Sponsored Members that clear through
multiple accounts sponsored by multiple Sponsoring Members would assure
the safeguarding of securities and funds which are in the custody and
control of FICC or for which it is responsible, consistent with section
17A(b)(3)(F) of the Act.\38\
---------------------------------------------------------------------------
\37\ 15 U.S.C. 78q-1(b)(3)(F).
\38\ Id.
---------------------------------------------------------------------------
In addition, FICC believes the proposed changes to enhance the MLA
Charge calculation at GSD for Sponsored Members that clear through
multiple accounts sponsored by multiple Sponsoring Members are
necessary to support FICC's compliance with Rules 17Ad-22(e)(6)(i) and
(e)(19) under the Act. Specifically, as described above, FICC believes
these proposed changes would enable FICC to better align the MLA Charge
with the risks arising from position concentration of such Sponsored
Members. Being able to better align the MLA Charge with the risks
arising from position concentration of Sponsored Members that clear
through multiple accounts sponsored by multiple Sponsoring Members
would allow FICC to continue to produce margin levels commensurate with
the risks and particular attributes of each relevant product,
portfolio, and market, consistent with Rule 17Ad-22(e)(6)(i) under the
Act.\39\ Better aligning the MLA Charge with the risks arising from
position concentration of Sponsored Members that clear through multiple
accounts sponsored by multiple Sponsoring Members would also enable
FICC to better risk manage its credit exposure to its Members because
FICC would then be able to collect MLA Charges from the Sponsoring
Members of these Sponsored Members that are commensurate with the
additional market impact cost that could be incurred when such a
Sponsored Member defaults, and each of its Sponsoring Members, in its
capacity as the Sponsored Member's guarantor, liquidates the defaulted
Sponsored Member's large net unsettled positions in the same asset
grouping, consistent with Rule 17Ad-22(e)(19) under the Act.\40\
---------------------------------------------------------------------------
\39\ 17 CFR 240.17Ad-22(e)(6)(i).
\40\ 17 CFR 240.17Ad-22(e)(19).
---------------------------------------------------------------------------
FICC believes that the above-described burden on competition that
could be created by the proposed changes to enhance the MLA Charge
[[Page 58011]]
calculation at GSD for Sponsored Members that clear through multiple
accounts sponsored by multiple Sponsoring Members would be appropriate
in furtherance of the Act because such changes have been appropriately
designed to assure the safeguarding of securities and funds which are
in the custody or control of FICC or for which it is responsible, as
described in detail above. These proposed changes would enable FICC to
better align the MLA Charge with the risks arising from position
concentration of such Sponsored Members. Being able to better align the
MLA Charge with the risks arising from position concentration of
Sponsored Members that clear through multiple accounts sponsored by
multiple Sponsoring Members would allow FICC to continue to produce
margin levels commensurate with the risks and particular attributes of
each Sponsored Member's portfolio.
FICC believes the proposed changes to revise the asset group/
subgroup language in the Rules may have an impact on competition
because these changes would enable FICC to adjust the asset groupings
used in the calculation of the MLA Charge from time to time, which
could result in Members being assessed a higher margin than they would
have been assessed under the current asset groupings. When these
proposed changes result in a higher MLA Charge, they could burden
competition for Members that have lower operating margins or higher
costs of capital compared to other Members. Whether such burden on
competition would be significant would depend on each Member's
financial status and the specific risks presented by each Member's
portfolio(s). Regardless of whether the burden on competition would be
significant, FICC believes that any burden on competition imposed by
the proposed changes to revise the asset group/subgroup language in the
Rules would be both necessary and appropriate in furtherance of FICC's
efforts to mitigate risks and meet the requirements of the Act,\41\ as
described in this filing and further below.
---------------------------------------------------------------------------
\41\ 15 U.S.C. 78q-1(b)(3)(I).
---------------------------------------------------------------------------
FICC believes that any such burden on competition imposed by the
proposed changes to revise the asset group/subgroup language in the
Rules would be necessary in furtherance of the Act, specifically
section 17A(b)(3)(F) of the Act.\42\ As described above, these proposed
changes would provide FICC with more flexibility in setting and
adjusting the asset groupings used in the calculation of the MLA Charge
at GSD and MBSD because such adjustments would no longer require a rule
change. By being able to make adjustments to the asset groupings from
time to time without a rule change, FICC would have the flexibility to
respond to changes in the risk profile of Members' positions more
promptly. FICC believes that having this additional flexibility to
respond to changing risk profiles of Members' positions more promptly
would help better ensure that FICC collects MLA Charges from Members
that are commensurate with the risk exposure that FICC may face in
liquidating Members' portfolios such that, in the event of a Member
default, FICC's operations would not be disrupted, and non-defaulting
Members would not be exposed to losses they cannot anticipate or
control. In this way, the proposed changes to revise the asset group/
subgroup language in the Rules would assure the safeguarding of
securities and funds which are in the custody and control of FICC or
for which it is responsible, consistent with section 17A(b)(3)(F) of
the Act.\43\
---------------------------------------------------------------------------
\42\ 15 U.S.C. 78q-1(b)(3)(F).
\43\ Id.
---------------------------------------------------------------------------
In addition, FICC believes the proposed changes to revise the asset
group/subgroup language in the Rules are necessary to support FICC's
compliance with Rule 17Ad-22(e)(6)(i) under the Act. Specifically, as
described above, FICC believes these proposed changes would provide
FICC with more flexibility in setting and adjusting the asset groupings
used in the calculation of the MLA Charge at GSD and MBSD and help
better ensure that FICC collects MLA Charges from Members that are
commensurate with the risk exposure that it may face in liquidating
Members' portfolios. In this way, the proposed changes to revise the
asset group/subgroup language in the Rules would allow FICC to continue
to produce margin levels commensurate with the risks and particular
attributes of each relevant product, portfolio, and market. Therefore,
FICC believes these proposed changes are consistent with Rule 17Ad-
22(e)(6)(i) under the Act.\44\
---------------------------------------------------------------------------
\44\ 17 CFR 240.17Ad-22(e)(6)(i).
---------------------------------------------------------------------------
FICC believes that the above-described burden on competition that
could be created by the proposed changes to revise the asset group/
subgroup language in the Rules would be appropriate in furtherance of
the Act because such changes have been appropriately designed to assure
the safeguarding of securities and funds which are in the custody or
control of FICC or for which it is responsible, as described in detail
above. These proposed changes would help better ensure that FICC
collects MLA Charges from Members that are commensurate with the risk
exposure that FICC may face in liquidating Members' portfolios. Being
able to collect MLA Charges from Members that are commensurate with the
risk exposure that FICC may face in liquidating Members' portfolios
would allow FICC to continue to produce margin levels commensurate with
the risks and particular attributes of each Member's portfolio.
FICC does not believe the proposed clarifying and technical changes
to the GSD Rules and MBSD Rules would impact competition. These
proposed changes would help to ensure that the GSD Rules and MBSD Rules
remain clear. In addition, the changes would facilitate Members'
understanding of the GSD Rules and MBSD Rules and their obligations
thereunder. These proposed changes would not affect FICC's operations
or the rights and obligations of the membership. As such, FICC believes
the proposed clarifying and technical changes to the GSD Rules and MBSD
Rules would not have any impact on competition.
(C) Clearing Agency's Statement on Comments on the Proposed Rule Change
Received From Members, Participants, or Others
FICC has not received or solicited any written comments relating to
this proposal. If any written comments are received, they will be
publicly filed as an Exhibit 2 to this filing, as required by Form 19b-
4 and the General Instructions thereto.
Persons submitting comments are cautioned that, according to
Section IV (Solicitation of Comments) of the Exhibit 1A in the General
Instructions to Form 19b-4, the Commission does not edit personal
identifying information from comment submissions. Commenters should
submit only information that they wish to make available publicly,
including their name, email address, and any other identifying
information.
All prospective commenters should follow the Commission's
instructions on how to submit comments, available at <a href="https://www.sec.gov/regulatory-actions/how-to-submit-comments">https://www.sec.gov/regulatory-actions/how-to-submit-comments</a>. General
questions regarding the rule filing process or logistical questions
regarding this filing should be directed to the Main Office of the
SEC's Division of Trading and Markets at <a href="/cdn-cgi/l/email-protection#35414754515c5b52545b515854475e504146754650561b525a43"><span class="__cf_email__" data-cfemail="fd898f9c9994939a9c9399909c8f9698898ebd8e989ed39a928b">[email protected]</span></a> or
202-551-5777.
FICC reserves the right not to respond to any comments received.
[[Page 58012]]
III. Date of Effectiveness of the Proposed Rule Change, and Timing for
Commission Action
Within 45 days of the date of publication of this notice in the
Federal Register or within such longer period up to 90 days (i) as the
Commission may designate if it finds such longer period to be
appropriate and publishes its reasons for so finding or (ii) as to
which the self-regulatory organization consents, the Commission will:
(A) by order approve or disapprove such proposed rule change, or
(B) institute proceedings to determine whether the proposed rule
change should be disapproved.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Act. Comments may be submitted by any of
the following methods:
Electronic Comments
<bullet> Use the Commission's internet comment form (<a href="https://www.sec.gov/rules/sro.shtml">https://www.sec.gov/rules/sro.shtml</a>); or
<bullet> Send an email to <a href="/cdn-cgi/l/email-protection#1f6d6a737a327c7072727a716b6c5f6c7a7c31787069"><span class="__cf_email__" data-cfemail="1b696e777e36787476767e756f685b687e78357c746d">[email protected]</span></a>. Please include
File Number SR-FICC-2023-012 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.
All submissions should refer to File Number SR-FICC-2023-012. 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="https://www.sec.gov/rules/sro.shtml">https://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 FICC and on
DTCC's website (<a href="http://dtcc.com/legal/sec-rule-filings">dtcc.com/legal/sec-rule-filings</a>). Do not include
personal identifiable information in submissions; you should submit
only information that you wish to make available publicly. We may
redact in part or withhold entirely from publication submitted material
that is obscene or subject to copyright protection. All submissions
should refer to File Number SR-FICC-2023-012 and should be submitted on
or before September 14, 2023.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\45\
---------------------------------------------------------------------------
\45\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2023-18187 Filed 8-23-23; 8:45 am]
BILLING CODE 8011-01-P
</pre><script data-cfasync="false" src="/cdn-cgi/scripts/5c5dd728/cloudflare-static/email-decode.min.js"></script></body>
</html>Indexed from Federal Register on August 24, 2023.
This is legal information, not legal advice. Laws vary by jurisdiction and change frequently. Always verify current law with official sources and consult a licensed attorney in your jurisdiction for advice on your specific situation.