Notice2024-02159
Self-Regulatory Organizations; Fixed Income Clearing Corporation; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Amend Methodology Documents
Primary source
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Published
February 6, 2024
Issuing agencies
Securities and Exchange Commission
Full Text
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<title>Federal Register, Volume 89 Issue 25 (Tuesday, February 6, 2024)</title>
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[Federal Register Volume 89, Number 25 (Tuesday, February 6, 2024)]
[Notices]
[Pages 8260-8264]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[FR Doc No: 2024-02159]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-99447; File No. SR-FICC-2024-001]
Self-Regulatory Organizations; Fixed Income Clearing Corporation;
Notice of Filing and Immediate Effectiveness of Proposed Rule Change To
Amend Methodology Documents
January 30, 2024.
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 January 23, 2024, 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 primarily by the clearing agency. FICC filed
the proposed rule change pursuant to Section 19(b)(3)(A) of the Act \3\
and Rule 19b-4(f)(4) thereunder.\4\ The Commission is publishing this
notice to solicit comments on the proposed rule change from interested
persons.
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ 15 U.S.C. 78s(b)(3)(A).
\4\ 17 CFR 240.19b-4(f)(4).
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I. Clearing Agency's Statement of the Terms of Substance of the
Proposed Rule Change
FICC is proposing to amend the MBSD Methodology and Model
Operations Document--MBSD Quantitative Risk Model (``MBSD QRM
Methodology Document''),\5\ in order to remove references to specific
benchmarks used to calculate the minimum margin amount (``Minimum
Margin Amount'') \6\ and the alternative
[[Page 8261]]
volatility calculation (``Margin Proxy'') \7\ at MBSD. FICC would
replace the references to specific benchmarks with a more general
description. FICC is also proposing to make certain corrections and
technical changes to the GSD Methodology Document--GSD Initial Market
Risk Margin Model \8\ (``GSD QRM Methodology Document,'' and together
with the MBSD QRM Methodology Document, the ``QRM Methodology
Documents'') and a clarification to the MBSD QRM Methodology Document,
as described in greater detail below.\9\
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\5\ The MBSD QRM Methodology was filed as a confidential exhibit
in the rule filing and advance notice for MBSD sensitivity VaR. See
Securities Exchange Act Release Nos. 79868 (Jan. 24, 2017), 82 FR
8780 (Jan. 30, 2017) (SR-FICC-2016-007) and 79843 (Jan. 19, 2017),
82 FR 8555 (Jan. 26, 2017) (SR-FICC-2016-801) (collectively, ``MBSD
Margin Proxy Approval Order''). The MBSD QRM Methodology has been
amended. See Securities Exchange Act Release Nos. 85944 (May 24,
2019), 84 FR 25315 (May 31, 2019) (SR-FICC-2019-001), 90182 (Oct.
14, 2020), 85 FR 66630 (Oct. 20, 2020) (SR-FICC-2020-009), 92303
(Jun. 30, 2021), 86 FR 35854 (Jul. 7, 2021) (SR-FICC-2020-017)
(``MBSD Minimum Margin Amount Approval Order''), 95070 (Jun. 8,
2022), 87 FR 36014 (Jun. 14, 2022) (SR-FICC-2022-002), and 97342
(Apr. 21, 2023), 88 FR 25721 (Apr. 27, 2023) (SR-FICC-2023-003).
\6\ FICC has adopted a minimum margin amount into its MBSD
margin methodology. The Minimum Margin Amount uses a dynamic haircut
method based on observed to-be-announced (``TBA'') securities price
moves and serves as a minimum MBSD value-at-risk (``VaR'') charge
(``VaR Charge'') for net unsettled positions, calculated using the
historical market price changes of certain benchmark TBA securities.
See MBSD Minimum Margin Amount Approval Order, supra note 5. As
defined in MBSD Rule 1 (Definitions), the term ``TBA'' means a
contract for the purchase or sale of mortgage-backed security to be
delivered at an agreed-upon future date because as of the
transaction date, the seller has not yet identified certain terms of
the contract, such as the pool number and number of pools, to the
buyer. Infra note 9. The term ``VaR Charge'' is defined in MBSD Rule
1 and means, with respect to each margin portfolio, a calculation of
the volatility of specified net unsettled positions of a Clearing
Member, as of the time of such calculation (with respect to the
specified net unsettled positions as of the time of such
calculation). Such volatility calculations shall be made in
accordance with any generally accepted portfolio volatility model,
including, but not limited to, any margining formula employed by any
other clearing agency registered under Section 17A of the Act. Such
calculation shall be made utilizing such assumptions (including
confidence levels) and based on such historical data as FICC deems
reasonable, and shall cover such range of historical volatility as
FICC from time to time deems appropriate. To the extent that the
primary source of such historical data becomes unavailable for an
extended period of time, FICC shall utilize the Margin Proxy as an
alternative volatility calculation. In its assessment of volatility,
FICC shall calculate an additional bid-ask spread risk charge
measured by multiplying the gross market value of each Net Unsettled
Position by a basis point charge, where the applicable basis point
charge shall be reviewed at least annually. If the volatility
calculation is lower than the VaR Floor then the VaR Floor will be
utilized as such Clearing Member's VaR Charge. Infra note 9.
\7\ FICC has adopted procedures that would govern in the event
that the vendor fails to provide risk analytics data used by FICC to
calculate the MBSD VaR Charge. These procedures include the
application of the Margin Proxy, which would be applied as an
alternative volatility calculation for the MBSD VaR Charge (subject
to the VaR Floor, as defined in MBSD Rule 1, infra note 9) if FICC
determines that the data disruption would extend beyond five (5)
business days. See MBSD Margin Proxy Approval Order, supra note 5.
\8\ The GSD QRM Methodology Document was filed as a confidential
exhibit in the rule filing and advance notice for GSD sensitivity
VaR. See Securities Exchange Act Release Nos. 83362 (Jun. 1, 2018),
83 FR 26514 (Jun. 7, 2018) (SR-FICC-2018-001) and 83223 (May 11,
2018), 83 FR 23020 (May 17, 2018) (SR-FICC-2018-801). The GSD QRM
Methodology has been subsequently amended. See Securities Exchange
Act Release Nos. 85944 (May 24, 2019), 84 FR 25315 (May 31, 2019)
(SR-FICC-2019-001), 90182 (Oct. 14, 2020), 85 FR 66630 (Oct. 20,
2020) (SR-FICC-2020-009), 93234 (Oct. 1, 2021), 86 FR 55891 (Oct. 7,
2021) (SR-FICC-2021-007), 95605 (Aug. 25, 2022), 87 FR 53522 (Aug.
31, 2022) (SR-FICC-2022-005), and 97342 (Apr. 21, 2023), 88 FR 25721
(Apr. 27, 2023) (SR-FICC-2023-003).
\9\ Capitalized terms used herein and not defined shall have the
meaning assigned to such terms in the FICC's Government Securities
Division (``GSD'') Rulebook (``GSD Rules'') and FICC's Mortgage-
Backed Securities Division (``MBSD'') Clearing Rules (``MBSD
Rules'', and together with the GSD Rules, the ``Rules''), available
at <a href="http://www.dtcc.com/legal/rules-and-procedures.aspx">www.dtcc.com/legal/rules-and-procedures.aspx</a>.
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FICC is requesting confidential treatment of the QRM Methodology
Documents and has filed them separately with the Secretary of the
Commission.\10\
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\10\ 17 CFR 240.24b-2.
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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 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
The purpose of this rule filing is to amend the QRM Methodology
Documents to remove references to specific benchmarks used for the
Minimum Margin Amount and Margin Proxy at MBSD. FICC would replace
these references to specific benchmarks with a more general
description. FICC is also proposing to make certain corrections and
technical changes to the GSD QRM Methodology Document and a
clarification to the MBSD QRM Methodology Document.
Replacing References to Specific Benchmarks for Minimum Margin Amount
and Margin Proxy of MBSD With a More General Description in the MBSD
QRM Methodology Document
The MBSD QRM Methodology Document provides the methodology by which
FICC calculates the MBSD VaR Charge. The MBSD QRM Methodology Document
specifies model inputs, parameters and assumptions, among other
information. With respect to Minimum Margin Amount and Margin Proxy,
the MBSD QRM Methodology Document refers to the specific benchmarks
that are in use. FICC is proposing to remove the specific benchmark
references and replace them with a more general description in order to
provide FICC with more flexibility in updating the benchmarks. This is
because FICC has observed that vendors may from time to time modify,
suspend or discontinue benchmarks.\11\ Such occurrences do not happen
frequently, however, because the references to the specific benchmarks
are currently codified in the MBSD QRM Methodology Document, any
changes or updates to the benchmarks would require a proposed rule
change to be filed with the Commission. In order to provide FICC with
more flexibility in updating the benchmarks to timely reflect changes
and/or updates, FICC is proposing to replace references to specific
benchmarks in the MBSD QRM Methodology Document with a more general
description.
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\11\ For example, one of the benchmarks specified in the MBSD
QRM Methodology Document for the GNMA program is GNMA I (i.e.,
MTGEGNSF Index from Bloomberg for GNMA I 30-Year current coupons),
which is used to calculate the Margin Proxy; however, FICC has
recently learned that GNMA I is no longer available due to
diminishing trading volume. Accordingly, following the
implementation of these proposed changes, FICC plans to replace GNMA
I with GNMA II (i.e., MTGEG2SF Index from Bloomberg for GNMA II 30-
Year current coupons) in the calculation of Margin Proxy.
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Specifically, with respect to the Minimum Margin Amount
calculation, FICC is proposing to remove the specific references to
default benchmark TBA programs from the MBSD QRM Methodology and
replacing it with language that FICC would designate daily benchmark
TBA for each of the CONV30, CONV15, GNMA30, and GNMA15 programs based
on the TBA with the largest gross settlement amount in the program.
Similarly, with respect to the Margin Proxy calculation, FICC is
proposing to remove the specific references to default benchmark TBAs
as well as the corresponding reference current coupons and replacing
them with language that FICC would designate daily benchmark TBAs for
each of the CONV30, CONV15, GNMA30, and GNMA15 programs based on the
TBA coupon rate closest to or identical with the then current coupon
rate. By replacing references to specific benchmarks in the MBSD QRM
Methodology Document with a more general description, FICC would no
longer need to submit subsequent rule filings to make updates or
changes to these benchmarks unless such changes require an advance
notice.\12\
[[Page 8262]]
Nonetheless, as part of the key model construct, benchmarks are
reviewed at least annually through FICC's model validation process, and
any changes to the benchmarks would continue to be subject to DTCC's
internal model governance process as described in the Clearing Agency
Model Risk Management Framework.\13\
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\12\ 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).
\13\ The Clearing Agency Model Risk Management Framework
(``Framework'') sets forth the model risk management practices that
FICC and its affiliates The Depository Trust Company (``DTC'') and
National Securities Clearing Corporation (``NSCC,'' and together
with FICC and DTC, the ``Clearing Agencies'') follow to identify,
measure, monitor, and manage the risks associated with the design,
development, implementation, use, and validation of quantitative
models. The Framework is filed as a rule of the Clearing Agencies.
See Securities Exchange Act Release Nos. 81485 (Aug. 25, 2017), 82
FR 41433 (Aug. 31, 2017) (SR-DTC-2017-008; SR-FICC-2017-014; SR-
NSCC-2017-008), 88911 (May 20, 2020), 85 FR 31828 (May 27, 2020)
(SR-DTC-2020-008; SR-FICC-2020-004; SR-NSCC-2020-008), 92380 (Jul.
13, 2021), 86 FR 38140 (Jul. 19, 2021) (SR-FICC-2021-006), 92381
(Jul. 13, 2021), 86 FR 38163 (Jul. 19, 2021) (SR-NSCC-2021-008),
92379 (Jul. 13, 2021), 86 FR 38143 (Jul. 19, 2021) (SR-DTC-2021-
013), 94271 (Feb. 17, 2022), 87 FR 10411 (Feb. 24, 2022) (SR-FICC-
2022-001), 94272 (Feb. 17, 2022) 87 FR 10419 (Feb. 24, 2022) (SR-
NSCC-2022-001), 94273 (Feb. 17, 2022), 87 FR 10395 (Feb. 24, 2022)
(SR-DTC-2022-001), 97890 (Jul. 13, 2023), 88 FR 46287 (Jul. 19,
2023) (SR-FICC-2023-008), 97892 (Jul. 13, 2023), 88 FR 46232 (Jul.
19, 2023) (SR-NSCC-2023-006), and 97891 (Jul. 13, 2023), 88 FR 46336
(Jul. 19, 2023) (SR-DTC-2023-006).
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Under the proposal, FICC would delete references to specific
benchmarks from the Minimum Margin Amount and the Margin Proxy sections
of the MBSD QRM Methodology Document. With respect to the calculation
of the Minimum Margin Amount, the MBSD QRM Methodology Document would
provide that the risk factors are calculated based on the applicable
benchmark TBA for each program,\14\ and each day, the benchmark TBA is
designated by FICC based on the TBA with the largest gross settlement
amount in the program. Similarly, the MBSD QRM Methodology Document
would also provide that in calculating the Margin Proxy, the risk
factors are calculated based on the benchmark TBA for each program,\15\
and each day, the benchmark TBA is designated by FICC based on the TBA
coupon rate closest to or identical with the then current coupon rate.
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\14\ In calculating the Minimum Margin Amount and the Margin
Proxy, FICC partitions each MBSD member portfolio into four
programs--CONV30, GNMA30, CONV15, and GNMA15.
\15\ Id.
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Certain Corrections and Technical Changes to the GSD QRM Methodology
Document and a Clarification to the MBSD QRM Methodology Document
FICC is proposing to make certain corrections and technical changes
to the GSD QRM Methodology Document and a clarification to the MBSD QRM
Methodology Document, as described in detail below.
(1) GSD QRM Methodology Document
FICC is proposing to make certain corrections and technical changes
to the GSD QRM Methodology Document. Specifically, FICC would correct
two typographical errors--one in the description of market risks
associated with products cleared by GSD, and the other in the
description of key assumptions for Blackout Period Exposure. FICC would
also correct two grammatical errors--one in the description of market
risks associated with products cleared by GSD and the other in the
description of certain factors for VaR determination.
Appendix 4 (Related Methodology for MBSD Sensitivity VaR) to the
GSD QRM Methodology Document currently includes certain sections from
the MBSD QRM Methodology Document with slightly different numbering
sequences. In order to eliminate duplicity and prevent potential
inconsistency with the MBSD QRM Methodology Document, FICC is proposing
certain technical changes to remove Appendix 4 (Related Methodology for
MBSD Sensitivity VaR) from the GSD QRM Methodology Document and update
references thereto to directly refer to the relevant section name(s) in
the MBSD QRM Methodology Document. FICC is also proposing an update to
the reference of the MBSD QRM Methodology Document in the Bibliography
section by removing the date from the title of the document. Removing
the date from the title of this document in the Bibliography section of
the MBSD QRM Methodology Document would help this reference from
becoming stale or outdated as the MBSD QRM Methodology gets updated
from time to time.
(2) MBSD QRM Methodology Document
FICC is proposing to make a clarification to the MBSD QRM
Methodology Document. Specifically, in the section of the MBSD QRM
Methodology Document that describes the calculation of Margin Proxy,
FICC would add a sentence that describes FICC's current practice when
the current coupon rate used to determine the benchmark is missing,
unavailable, or deemed unreliable. Specifically, the additional
sentence would provide that if the current coupon rate is missing,
unavailable, or deemed unreliable for a particular program, then FICC
would use the latest available coupon rate to determine the benchmark
TBA or obtain the current coupon rate from an alternative source.
Impact Study
FICC has conducted an impact study for the period from June 2022 to
May 2023 (``Impact Study'') assessing the change with respect to the
Margin Proxy.\16\ The result of the Impact Study indicates that, if
FICC had replaced GNMA I (i.e., MTGEGNSF Index from Bloomberg for GNMA
I 30-Year current coupons) with GNMA II (i.e., MTGEG2SF Index from
Bloomberg for GNMA II 30-Year current coupons) when calculating the
Margin Proxy during the Impact Study period, the MBSD backtesting
coverage ratio with respect to the Margin Proxy would largely remain
unchanged, with a 0.1% decrease in coverage ratio.
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\16\ There is no anticipated impact from this proposal with
respect to the Minimum Margin Amount from Jun. 2022 to May 2023.
This is because under the proposal, with respect to the Minimum
Margin Amount, GNMA I TBAs would be added as a potential benchmark
TBA in addition to the currently existing default benchmark TBAs,
i.e., GNMA II TBAs; however, since 2022, GNMA II TBAs have
consistently exceeded GNMA I TBAs in terms of position exposures at
MBSD, therefore, based on the gross settlement amounts, irrespective
of the addition of GNMA I TBAs as a potential benchmark TBA, the
benchmark TBA designated by FICC would still have been GNMA II TBAs.
Therefore, there is no anticipated impact from this proposal on the
Minimum Margin Amount from Jun. 2022 to May 2023.
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Specifically, if FICC had replaced GNMA I with GNMA II when
calculating the MBSD Margin Proxy during the Impact Study period, the
average daily aggregate Margin Proxy would have decreased $16.3 million
(or approximately 0.29% of the average daily aggregate Margin Proxy).
The average daily decrease in Margin Proxy per portfolio would have
been approximately $213,000 (or approximately 0.29% of the average
daily Margin Proxy per portfolio), with the largest daily dollar
decrease of approximately $4.1 million (0.59% of the Margin Proxy for
that day) and the largest percentage decrease of 2.07% (or
approximately $1,900 decrease in Margin Proxy).
2. Statutory Basis
FICC believes this proposal is consistent with the requirements of
the Act, and the rules and regulations thereunder applicable to a
registered clearing agency. Specifically, FICC
[[Page 8263]]
believes that the proposed changes to the QRM Methodology Documents
described above are consistent with Section 17A(b)(3)(F) of the Act,
for the reasons described below.\17\
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\17\ 15 U.S.C. 78q-1(b)(3)(F).
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Section 17A(b)(3)(F) of the Act requires, in part, that the rules
of a clearing agency be designed to assure the safeguarding of
securities and funds which are in the custody or control of the
clearing agency or for which it is responsible.\18\
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\18\ Id.
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FICC believes that amending the MBSD QRM Methodology Document to
remove references to specific benchmarks used for the calculation of
Minimum Margin Amount and Margin Proxy and replace them with a more
general description as described above would enhance clarity and
consistency for FICC. Specifically, the proposed changes would help
ensure that the MBSD QRM Methodology Document (which has been filed
confidentially) remains aligned with the slate of available benchmarks
as it evolves over time. FICC believes that enhancing clarity and
consistency with respect to changes to the aforementioned benchmarks
would help ensure that FICC calculates and collects adequate margin
from its Clearing Members. Collecting adequate margin from its Clearing
Members would help FICC mitigate potential losses associated with
liquidating a Clearing Member's portfolio in the event of Clearing
Member default. Therefore, in the event of Clearing Member default, the
proposed changes would help to ensure that FICC's operations would not
be disrupted and non-defaulting Clearing Members would not be exposed
to losses they cannot anticipate or control. In this way, the proposed
changes to the aforementioned benchmarks would help 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.\19\
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\19\ Id.
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FICC believes that the proposed changes, which constitute certain
corrections and technical changes to the GSD QRM Methodology Document
and a clarification to the MBSD QRM Methodology Document, would enhance
the clarity and accuracy of the QRM Methodology Documents for FICC. The
QRM Methodology Documents are used by FICC risk management personnel
regarding the calculation of margin requirements. Having clear and
accurate QRM Methodology Documents would help facilitate the accurate
and smooth functioning of the margining process at FICC. The changes
referenced in this paragraph would promote such clarity and accuracy.
This would in turn allow FICC risk management to charge members an
appropriate level of margin. As such, FICC believes that enhancing the
clarity and accuracy of the QRM Methodology Documents would 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.\20\
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\20\ Id.
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(B) Clearing Agency's Statement on Burden on Competition
FICC believes that the proposed changes to amend the MBSD QRM
Methodology Document to remove references to specific benchmarks used
for the calculation of Minimum Margin Amount and Margin Proxy and
replace them with a more general description as described above could
have an impact on competition. Specifically, FICC believes that the
proposed changes could burden competition because changes to the
benchmarks could potentially result in larger Required Fund Deposit
amounts for some members than the amounts currently calculated. This is
because the proposed changes would provide FICC the flexibility to
timely update benchmarks without a rule filing, which in turn could
lead to either higher or lower haircut rates being used when
calculating the Minimum Margin Amount and/or Margin Proxy. Using higher
haircut rates when calculating the Minimum Margin Amount and/or Margin
Proxy could result in larger Required Fund Deposit amounts for some
members than the amounts currently calculated.
When the proposal results in a larger Required Fund Deposit for
members, the proposed changes could burden competition for members that
have lower operating margin or higher cost 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 would be both
necessary and appropriate in furtherance of FICC's efforts to mitigate
risks and meet the requirements of the Act,\21\ as described in this
filing and further below.
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\21\ 15 U.S.C. 78q-1(b)(3)(I).
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FICC believes the above-described burden on competition that may be
created by the proposed changes to amend the MBSD QRM Methodology
Document to remove references to specific benchmarks used in the
calculation of the Minimum Margin Amount and Margin Proxy and replace
them with a more general description would be necessary in furtherance
of the Act.\22\ As stated above, these proposed changes would provide
FICC with more flexibility in updating these benchmarks without a rule
filing. As such, the proposed changes would enhance clarity and
consistency for FICC by helping to ensure that the MBSD QRM Methodology
Document (which has been filed confidentially) stays aligned with the
slate of available benchmarks as it evolves over time. FICC believes
that enhancing clarity and consistency for FICC with respect to changes
to the aforementioned benchmarks would help ensure that FICC calculates
and collects adequate margin from its Clearing Members and would
thereby 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.\23\
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\22\ Id.
\23\ 15 U.S.C. 78q-1(b)(3)(F).
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FICC also believes that the above-described burden on competition
that could be created by the proposed changes to amend the MBSD QRM
Methodology Document to remove references to specific benchmarks used
for the calculation of Minimum Margin Amount and Margin Proxy and
replace them with a more general description would be appropriate in
furtherance of the Act.\24\ FICC believes these proposed changes would
be appropriate in furtherance of the Act because they have been
designed to assure the safeguard of securities and funds which are in
the custody or control of FICC or for which it is responsible. The
proposal achieves this purpose by providing FICC additional flexibility
when updating aforementioned benchmarks, thus ensuring that the MBSD
QRM Methodology Document (which has been filed confidentially) remains
aligned with the slate of available benchmarks as it evolves over time.
Having a clear MBSD QRM Methodology Document would help facilitate the
accurate and smooth functioning of the margining process at FICC and
thereby assure the safeguarding of securities and funds which are in
the custody or control of FICC or for which it is responsible,
[[Page 8264]]
consistent with Section 17A(b)(3)(F) of the Act.\25\
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\24\ 15 U.S.C. 78q-1(b)(3)(I).
\25\ 15 U.S.C. 78q-1(b)(3)(F).
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FICC does not believe the proposed corrections and technical
changes to the GSD QRM Methodology Document and the proposed
clarification to the MBSD QRM Methodology Document described above
would have any impact on competition. These proposed changes would
enhance QRM Methodology Documents by providing additional clarity and
accuracy. The proposed changes referenced above would not advantage or
disadvantage any particular member of FICC or unfairly inhibit access
to FICC's services. FICC therefore does not believe these proposed
changes would have any impact, or impose any burden, 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 additional 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="http://www.sec.gov/regulatory-actions/how-to-submit-comments">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#e195938085888f86808f858c80938a849592a1928482cf868e97"><span class="__cf_email__" data-cfemail="2054524144494e47414e444d41524b455453605345430e474f56">[email protected]</span></a> or 202-551-5777.
FICC reserves the right not to respond to any comments received.
III. Date of Effectiveness of the Proposed Rule Change, and Timing for
Commission Action
The foregoing rule change has become effective pursuant to Section
19(b)(3)(A) \26\ of the Act and paragraph (f) \27\ of Rule 19b-4
thereunder. At any time within 60 days of the filing of the proposed
rule change, the Commission summarily may temporarily suspend such rule
change if it appears to the Commission that such action is necessary or
appropriate in the public interest, for the protection of investors, or
otherwise in furtherance of the purposes of the Act.
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\26\ 15 U.S.C. 78s(b)(3)(A).
\27\ 17 CFR 240.19b-4(f).
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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#94e6e1f8f1b9f7fbf9f9f1fae0e7d4e7f1f7baf3fbe2"><span class="__cf_email__" data-cfemail="0775726b622a64686a6a626973744774626429606871">[email protected]</span></a>. Please include
file number SR-FICC-2024-001 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-2024-001. 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
a.m. and 3 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.aspx">http://dtcc.com/legal/sec-rule-filings.aspx</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-2024-001 and should be submitted on
or before February 27, 2024.
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\28\ 17 CFR 200.30-3(a)(12).
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\28\
Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2024-02159 Filed 2-5-24; 8:45 am]
BILLING CODE 8011-01-P
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</html>Indexed from Federal Register on February 6, 2024.
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.