Notice2023-21338
Self-Regulatory Organizations; Fixed Income Clearing Corporation; Order Approving Proposed Rule Change, as Modified by Amendment No. 1, To Adopt a Portfolio Differential Charge as an Additional Component to the Government Securities Division Required Fund Deposit
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 29, 2023
Issuing agencies
Securities and Exchange Commission
Full Text
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<title>Federal Register, Volume 88 Issue 188 (Friday, September 29, 2023)</title>
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[Federal Register Volume 88, Number 188 (Friday, September 29, 2023)]
[Notices]
[Pages 67394-67397]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[FR Doc No: 2023-21338]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-98494; File No. SR-FICC-2023-011]
Self-Regulatory Organizations; Fixed Income Clearing Corporation;
Order Approving Proposed Rule Change, as Modified by Amendment No. 1,
To Adopt a Portfolio Differential Charge as an Additional Component to
the Government Securities Division Required Fund Deposit
September 25, 2023.
I. Introduction
On August 3, 2023, Fixed Income Clearing Corporation (``FICC'')
filed with the Securities and Exchange Commission (``Commission'')
proposed rule change SR-FICC-2023-011 pursuant to Section 19(b)(1) of
the Securities Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4
thereunder.\2\ On August 16, 2023, FICC filed Amendment No. 1 to the
proposed rule change, to make clarifications to the proposed rule
change.\3\ The proposed rule change, as modified by Amendment No. 1, is
hereinafter referred to as the ``Proposed Rule Change.'' The Proposed
Rule Change was published for comment in the Federal Register on August
23, 2023.\4\ The Commission has received no comments on the Proposed
Rule Change. For the reasons discussed below, the Commission is
approving the Proposed Rule Change.\5\
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ Amendment No. 1 made clarifications and corrections to the
description of the proposed rule change and Exhibit 3a of the filing
(Summary of Impact Study) to incorporate a longer impact analysis.
As originally filed, the time-period of the impact analysis was
November 2021 to October 2022. As amended by Amendment No. 1, the
time-period of the impact analysis is November 2021 to March 2023.
These clarifications and corrections have been incorporated, as
appropriate, into the proposed rule change. FICC has requested
confidential treatment of Exhibit 3a, pursuant to 17 CFR 240.24b-2.
\4\ See Securities Exchange Act Release No. 98160 (Aug. 17,
2023), 88 FR 57485 (Aug. 23, 2023) (File No. SR-FICC-2023-011)
(``Notice of Filing'').
\5\ Capitalized terms not defined herein are defined in the GSD
Rulebook (``Rules''), available at https://www.dtcc.com/~/media/
Files/Downloads/legal/rules/ficc_gov_rules.pdf.
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II. Background
FICC is a central counterparty (``CCP''), which means it interposes
itself as the buyer to every seller and seller to every buyer for the
financial transactions it clears. FICC's Government Securities Division
(``GSD'') \6\ provides trade comparison, netting, risk management,
settlement, and CCP services for the U.S. Government securities market.
As such, FICC is exposed to the risk that one or more of its members
may fail to make a payment or to deliver securities.
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\6\ FICC operates two divisions: GSD and the Mortgage-Backed
Securities Division (``MBSD''). GSD provides CCP services for the
U.S. Government securities market; MBSD provides CCP services for
the U.S. mortgage-backed securities market. GSD and MBSD maintain
separate sets of rules, margin models, and clearing funds. The
Proposed Rule Change relates solely to GSD.
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A key tool that FICC uses to manage its credit exposures to its
members is the daily collection of the Required Fund Deposit (i.e.,
margin) from each member. A member's margin is designed to mitigate
potential losses associated with liquidation of the member's portfolio
in the event of that member's default. The aggregated amount of all
members' margin constitutes the Clearing Fund, which FICC would be able
to access should a defaulted member's own margin be insufficient to
satisfy losses to FICC caused by the liquidation of that member's
portfolio. Each member's margin consists of a number of
[[Page 67395]]
components, each of which is calculated to address specific risks faced
by FICC arising out of its members' trading activity. Each member's
margin includes a value-at-risk (``VaR'') charge (``VaR Charge'')
designed to capture the potential market price risk \7\ associated with
the securities in a member's portfolio. The VaR Charge is typically the
largest component of a member's margin requirement.
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\7\ Market price risk refers to the risk that volatility in the
market causes the price of a security to change between the
execution of a trade and settlement of that trade. This risk is
sometimes also referred to as volatility risk.
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The VaR Charge uses a sensitivity-based VaR methodology and is
based on the potential price volatility of unsettled positions in a
member's portfolio. It is designed to project the potential losses that
could occur in connection with the liquidation of a defaulting member's
portfolio, assuming the portfolio would take three days to liquidate in
normal market conditions and uses three inputs: (1) confidence level,
(2) a time horizon and (3) historical market volatility. The projected
liquidation gains or losses are used to determine the amount of the VaR
Charge for each portfolio, which is calculated to capture the market
price risk associated with each portfolio at a 99 percent confidence
level.
FICC calculates and collects a start-of-day VaR component, which is
designed to address the risk presented by a member's start-of-day
positions. FICC also calculates and collects an intraday VaR component,
which reflects the changes in a member's positions and risk profile due
to the submission of new trades and completed settlement activity from
the start-of-day to noon. Additionally, FICC re-calculates the amount
of the intraday VaR Charge applicable to each member portfolio, based
on the open positions therein, to determine whether FICC will collect
an additional margin amount (the ``Intraday Supplemental Fund Deposit''
or ``ISFD''). FICC calculates the ISFD by evaluating certain criteria
with respect to a member's intraday VaR Charge and backtesting
results.\8\ FICC may assess the ISFD in the event that a member's risk
exposure breaches certain criteria.\9\
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\8\ The first criterion, the ``Dollar Threshold,'' evaluates
whether a member's intraday VaR Charge equals or exceeds a set
threshold dollar amount when compared to the VaR Charge that was
included in the most recent margin collection. The second criterion,
the ``Percentage Threshold,'' evaluates whether the intraday VaR
Charge equals or exceeds a percentage increase of the VaR Charge
that was included in the most recent margin collection. The third
criterion, the ``Coverage Target,'' evaluates whether a member's
backtesting results are below the 99 percent confidence level.
Securities Exchange Act Release No. 83362 (June 1, 2018), 83 FR
26514 (June 7, 2018) (File No. SR-FICC-2018-001); Securities
Exchange Act Release No. 83223 (May 11, 2018), 83 FR 23020 (May 17,
2018) (File No. SR-FICC-2018-801).
\9\ FICC assesses an ISFD if a member's risk exposure breaches
all three of the Dollar Threshold, Percentage Threshold, and
Coverage Target. FICC also assesses an ISFD if, under certain market
conditions, a member's intraday VaR Charge breaches both the Dollar
Threshold and the Percentage Threshold. Id.
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FICC states that it regularly assesses market and liquidity risks
as such risks relate to its margin methodologies to evaluate whether
margin levels are commensurate with the particular risk attributes of
each relevant product, portfolio, and market.\10\ For example, FICC
employs daily backtesting \11\ to determine the adequacy of each
member's margin. FICC compares each member's margin with the simulated
liquidation gains/losses, using the actual positions in the member's
portfolio(s) and the actual historical security returns. A backtesting
deficiency occurs when a member's margin would not have been adequate
to cover the projected liquidation losses estimated from the member's
settlement activity based on the backtesting results. Backtesting
deficiencies highlight exposure that could subject FICC to potential
losses in the event of a member default. FICC states that it
investigates the cause(s) of any backtesting deficiencies to determine
whether there is an identifiable cause of repeat backtesting
deficiencies and/or whether multiple members may experience backtesting
deficiencies for the same underlying reason.\12\
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\10\ See Notice of Filing, supra note 4, at 57485.
\11\ Backtesting is an ex-post comparison of actual outcomes
with expected outcomes derived from the use of margin models. See 17
CFR 240.17Ad-22(a)(1).
\12\ See id. at 57486.
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FICC states that based on its regular review of the effectiveness
of its margin methodology, FICC has identified backtesting deficiencies
attributable to intraday margin fluctuations in certain member
portfolios as those members execute trades throughout the day.\13\
Specifically, since FICC generally novates and guarantees trades upon
comparison,\14\ a member's trading activity may result in coverage gaps
due to large un-margined intraday portfolio fluctuations that remain
unmitigated from the time of novation until the next scheduled margin
collection.\15\ FICC designed the Proposed Rule Change to mitigate such
exposure.
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\13\ See id. at 57487.
\14\ Trade comparison consists of the reporting, validating, and
in some cases, matching by FICC of the long and short sides of a
securities trade to ensure that the details of such trade are in
agreement between the parties. See GSD Rule 5, supra note 5.
\15\ See Notice of Filing, supra note 4, at 57486.
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III. Description of the Proposed Rule Change
FICC proposes to add a new margin component, the Portfolio
Differential Charge (``PD Charge''), to its methodology for calculating
members' margin. FICC designed the PD Charge to help mitigate the risks
posed to FICC by the variability of clearing activity submitted by
members to GSD throughout the day, by measuring the historical period-
over-period increases in the VaR Charge of a member over a given time-
period.\16\ FICC would calculate the PD Charge twice a day, and if
applicable, add the PD Charge to the calculation of the member's
margin.
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\16\ See id. The proposed PD Charge is different from the ISFD
because the PD Charge is meant to capture the risks presented by the
unpredictability of a member's historical trading activity, as
measured, in part, by the variability in a member's VaR Charge over
the look-back period; by contrast, the ISFD is meant to capture the
intraday volatility risks presented by the existing net unsettled
positions in a member's portfolio. See id.
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Specifically, in determining the PD Charge, FICC would take into
account the historical period-over-period increases between the (1)
start-of-day and intraday VaR components, and (2) intraday and end-of-
day VaR components, respectively, of a member's margin over a look-back
period of no less than 100 days, with a decay factor of no greater than
1.\17\ FICC would calculate the PD Charge to equal the exponentially
weighted moving average of such changes to the member's VaR Charge
during the look-back period, times a multiplier that is no less than
one and no greater than three, as determined by FICC from time to time
based on backtesting results.\18\ The use of this type of average means
that FICC would use an exponentially weighted
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array of VaR Charges, the result of which is to emphasize more recent
observations in determining the PD Charge (that is, it places more
weight and significance on more recent data points).
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\17\ Upon implementation of the Proposed Rule Change, FICC would
use a 100-day look-back period in conjunction with a decay factor of
0.97, which FICC believes would provide a sufficient amount of time
to reflect the current market conditions. As market conditions
shift, FICC may modify the look-back period and/or the decay factor
from time to time, subject to FICC's model governance process and
announced by FICC via an Important Notice posted on its website. See
id. at note 14.
\18\ FICC states that the uncertainty of the market condition
and/or changes in members' business models may lead to changes in
member activity patterns that would require a multiplier greater
than 1 be invoked from time to time. See id. at note 15. FICC would
determine whether to modify the multiplier based on the backtesting
results to evaluate the effectiveness of PD Charge as a mitigant of
the position change risk and may change the multiplier from time to
time to maintain the effectiveness of the PD Charge in generating
sufficient backtesting coverage. Changes to the multiplier would be
subject to FICC's model governance process and be announced by FICC
via an Important Notice posted to its website.
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FICC believes the PD Charge would address the period-over-period
changes to members' VaR Charges, and thereby help mitigate the risks
posed to FICC by un-margined period-over-period fluctuations to member
portfolios resulting from trades that FICC novates and guarantees
during the coverage gap between margin collections.\19\ In support,
FICC cites an impact study it conducted that covers the period from
November 2021 to March 2023 (the ``Impact Study'').\20\ The Impact
Study shows, among other things, that if the PD Charge had been in
place from April 2022 through March 2023, the number of backtesting
deficiencies would have been reduced by 77 (from 498 to 421, or
approximately 15 percent) and the backtesting coverage for 44 members
(approximately 34 percent of the GSD membership) would have improved,
with 14 members who were below 99 percent coverage brought back to
above 99 percent.\21\
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\19\ See id. at 57486.
\20\ As part of the Proposed Rule Change, FICC filed Exhibit
3a--Summary of Impact Analysis (i.e., the Impact Study), comparing,
on a member by member basis, the actual margin collections during
the period of the Impact Study to the hypothetical margin
collections FICC would have collected had the PD Charge been in
place during that period. The Impact Study shows that the rolling
12-month Clearing Fund requirement backtesting coverage ratio (from
April 2022 through March 2023) would have improved from 98.37
percent to 98.62 percent. The Impact Study also shows what the
average daily PD Charge would be on a per member basis. Pursuant to
17 CFR 240.24b-2, FICC requested confidential treatment of Exhibit
3b. For further discussion of the Impact Study, see the Notice of
Filing. See id. at 57487.
\21\ See id.
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IV. Discussion and Commission Findings
Section 19(b)(2)(C) of the Act \22\ directs the Commission to
approve a proposed rule change of a self-regulatory organization if it
finds that such proposed rule change is consistent with the
requirements of the Act and rules and regulations thereunder applicable
to such organization. After carefully considering the Proposed Rule
Change, the Commission finds that the Proposed Rule Change is
consistent with the requirements of the Act and the rules and
regulations thereunder applicable to FICC. In particular, the
Commission finds that the Proposed Rule Change is consistent with
Section 17A(b)(3)(F) \23\ of the Act and Rules 17Ad-22(e)(4)(i),
(e)(6)(i), and (e)(6)(iii) thereunder.\24\
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\22\ 15 U.S.C. 78s(b)(2)(C).
\23\ 15 U.S.C. 78q-1(b)(3)(F).
\24\ 17 CFR 240.17Ad-22(e)(4)(i), (e)(6)(i), and (e)(6)(iii).
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A. Consistency With Section 17A(b)(3)(F) of the Act
Section 17A(b)(3)(F) of the Act \25\ requires that the rules of a
clearing agency, such as FICC, be designed to, among other things,
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.\26\ The Commission believes that the Proposed Rule Change
is consistent with Section 17A(b)(3)(F) of the Act for the reasons
stated below.
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\25\ 15 U.S.C. 78q-1(b)(3)(F).
\26\ Id.
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As described above in Section III, FICC proposes to add the PD
Charge to the margin requirements that FICC may collect. As discussed
in more detail in Section IV.B infra, the Commission believes adding
the PD Charge to FICC's margin methodology would help ensure that FICC
collects sufficient margin to cover its credit exposure associated with
the variability of clearing activity submitted by members to GSD
throughout the day by measuring the historical period-over-period
increases in the VaR Charges of members over the look-back period. By
helping FICC to collect sufficient margin, the Proposed Rule Change
would better ensure that, in the event of a member default, FICC's
operation of its critical clearance and settlement services would not
be disrupted because of insufficient financial resources. Accordingly,
the Commission finds that the Proposed Rule Change should help FICC to
continue providing prompt and accurate clearance and settlement of
securities transactions, consistent with Section 17A(b)(3)(F) of the
Act.\27\
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\27\ 15 U.S.C. 78q-1(b)(3)(F).
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Moreover, as described above in Section II, FICC would access the
mutualized Clearing Fund should a defaulted member's own margin be
insufficient to satisfy losses to FICC caused by the liquidation of
that member's portfolio. Because FICC's proposal to adopt the PD Charge
should help ensure that FICC has collected sufficient margin from
members, the Proposed Rule Change should also help minimize the
likelihood that FICC would have to access the Clearing Fund, thereby
limiting non-defaulting members' exposure to mutualized losses. The
Commission believes that by helping to limit the exposure of FICC's
non-defaulting members to mutualized losses, the Proposed Rule Change
would help FICC assure the safeguarding of securities and funds which
are in its custody or control, consistent with Section 17A(b)(3)(F) of
the Act.\28\
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\28\ Id.
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B. Consistency With Rule 17Ad-22(e)(4)(i) Under the Act
Rule 17Ad-22(e)(4)(i) under the Act requires that each covered
clearing agency, such as FICC, 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, including by maintaining sufficient financial
resources to cover its credit exposure to each participant fully with a
high degree of confidence.\29\ The Commission believes that the
Proposed Rule Change is consistent with Rule 17Ad-22(e)(4)(i) under the
Act for the reasons stated below.\30\
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\29\ 17 CFR 240.17Ad-22(e)(4)(i).
\30\ Id.
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The Commission agrees that FICC's proposal to add the PD Charge to
its margin methodology would enable FICC to better manage its credit
exposures to members by maintaining sufficient resources to cover those
credit exposures fully with a high degree of confidence. Specifically,
the proposed PD Charge would allow FICC to collect additional margin on
an intraday basis to help FICC effectively mitigate the risks
attributable to intraday margin fluctuations in certain member
portfolios as those members execute trades throughout the day between
margin collections. As discussed above in Section II, since FICC
generally novates and guarantees trades upon comparison, a member's
trading activity may result in coverage gaps due to large un-margined
intraday portfolio fluctuations that remain unmitigated from the time
of novation until the next scheduled margin collection. The PD Charge
would help FICC mitigate such exposure.
The Commission has reviewed and analyzed the materials filed by
FICC, including FICC's Impact Study and backtesting results submitted
confidentially,\31\ which show that had the PD Charge been in place
from April 2022 through March 2023, it would have reduced number of
backtesting deficiencies and thereby better enabled FICC to collect
margin sufficient to meet its coverage requirements. Accordingly,
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for the reasons discussed above, the Commission finds that the Proposed
Rule Change is reasonably designed to better enable FICC to effectively
identify, measure, monitor, and manage its credit exposure to members,
and those arising from its payment, clearing, and settlement processes,
including by maintaining sufficient financial resources to cover its
credit exposure to each member fully with a high degree of confidence
consistent with Rule 17Ad-22(e)(4)(i).\32\
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\31\ See supra note 20.
\32\ 17 CFR 240.17Ad-22(e)(4)(i).
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C. Consistency With Rule 17Ad-22(e)(6)(i) Under the Act
Rule 17Ad-22(e)(6)(i) under the Act requires that each covered
clearing agency that provides central counterparty services, such as
FICC, establish, implement, maintain and enforce written policies and
procedures reasonably designed to cover 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.\33\ The Commission believes that the proposal is consistent
with Rule 17Ad-22(e)(6)(i) under the Act for the reason stated below.
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\33\ 17 CFR 240.17Ad-22(e)(6)(i).
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The Commission agrees that FICC's proposal to add the PD Charge to
its margin methodology would enable FICC to more effectively address
the risks posed to FICC by un-margined period-over-period fluctuations
to member portfolios resulting from trades that FICC novates and
guarantees during the coverage gap between margin collections. In its
filing materials, FICC provided information regarding the impacts of
the proposed PD Charge on its margin collection.\34\ Specifically, the
Impact Study shows that if the PD Charge had been in place from April
2022 through March 2023, the number of backtesting deficiencies would
have been reduced by 77 (from 498 to 421, or approximately 15 percent)
and the backtesting coverage for 44 members (approximately 34 percent
of the GSD membership) would have improved, with 14 members who were
below 99 percent coverage brought back to above 99 percent.\35\ The
Commission has reviewed and analyzed FICC's analysis and agrees that
adding the PD Charge to FICC's margin methodology would enable FICC to
more effectively mitigate the risks attributable to intraday margin
fluctuations arising out of member trading activity between margin
collections. As a result, implementing the Proposed Rule Change would
better enable FICC to collect margin amounts at levels commensurate
with FICC's intraday credit exposures to its members.
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\34\ See supra note 20.
\35\ See id.
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Accordingly, the Commission finds the Proposed Rule Change is
consistent with Rule 17Ad-22(e)(6)(i) under the Act because it is
designed to assist FICC in maintaining a risk-based margin system that
considers, and produces margin levels commensurate with, the risks of
portfolios that experience significant volatility on an intraday
basis.\36\
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\36\ 17 CFR 240.17Ad-22(e)(6)(i).
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D. Consistency With Rule 17Ad-22(e)(6)(iii) Under the Act
Rule17Ad-22(e)(6)(iii) under the Act requires that each covered
clearing agency, such as FICC, establish, implement, maintain and
enforce written policies and procedures reasonably designed to cover
its credit exposures to its participants by establishing a risk-based
margin system that, at a minimum, calculates margin sufficient to cover
its potential future exposure to participants in the interval between
the last margin collection and the close out of positions following a
participant default.\37\ The Commission believes that the proposal is
consistent with Rule 17Ad-22(e)(6)(iii) under the Act for the reason
stated below.
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\37\ 17 CFR 240.17Ad-22(e)(6)(iii).
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As stated above in Section II, FICC's proposal to add the PD Charge
is designed to address FICC's exposure to its members attributable to
trading activity that takes place in the interval between margin
collections. Specifically, since FICC generally novates and guarantees
trades upon comparison, a member's trading activity may result in
coverage gaps due to large un-margined intraday portfolio fluctuations
that remain unmitigated between margin collections.\38\ As discussed
above in Section IV.C, based on the Commission's review of the filing
materials, the Commission agrees that that FICC's proposal to add the
PD Charge to its margin methodology should enable FICC to more
effectively address the risks posed to FICC by un-margined period-over-
period fluctuations to member portfolios resulting from trades that
FICC novates and guarantees during the coverage gap between margin
collections.
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\38\ See Notice of Filing, supra note 4, at 57486.
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Accordingly, the Commission finds the Proposed Rule Change is
consistent with Rule 17Ad-22(e)(6)(iii) under the Act because it is
designed to better enable FICC to cover its credit exposures to its
members by establishing a risk-based margin system that specifically
calculates margin sufficient to cover its potential future exposure to
members in the interval between the last margin collection and the
close out of positions following a member default.\39\
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\39\ 17 CFR 240.17Ad-22(e)(6)(iii).
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IV. Conclusion
On the basis of the foregoing, the Commission finds that the
Proposed Rule Change, as modified by Amendment No. 1, is consistent
with the requirements of the Act and in particular with the
requirements of Section 17A of the Act \40\ and the rules and
regulations promulgated thereunder.
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\40\ 15 U.S.C. 78q-1.
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It is therefore ordered, pursuant to Section 19(b)(2) of the Act
\41\ that proposed rule change SR-FICC-2023-011, be, and hereby is,
approved.\42\
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\41\ 15 U.S.C. 78s(b)(2).
\42\ In approving the Proposed Rule Change, the Commission
considered its impact on efficiency, competition, and capital
formation. 15 U.S.C. 78c(f).
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\43\
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\43\ 17 CFR 200.30-3(a)(12).
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Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2023-21338 Filed 9-28-23; 8:45 am]
BILLING CODE 8011-01-P
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