Notice2025-05200
Self-Regulatory Organizations; Fixed Income Clearing Corporation; Notice of Filing of Proposed Rule Change To Adopt an Intraday Mark-to-Market Charge at GSD
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
March 27, 2025
Issuing agencies
Securities and Exchange Commission
Full Text
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<title>Federal Register, Volume 90 Issue 58 (Thursday, March 27, 2025)</title>
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[Federal Register Volume 90, Number 58 (Thursday, March 27, 2025)]
[Notices]
[Pages 13965-13973]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[FR Doc No: 2025-05200]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-102705; File No. SR-FICC-2025-005]
Self-Regulatory Organizations; Fixed Income Clearing Corporation;
Notice of Filing of Proposed Rule Change To Adopt an Intraday Mark-to-
Market Charge at GSD
March 21, 2025.
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 March 14, 2025, 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.
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
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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
[[Page 13966]]
(``GSD Rules'') \3\ to adopt an intraday mark-to-market charge
(``Intraday Mark-to-Market Charge'').
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\3\ Terms not defined herein are defined in the GSD Rules,
available at <a href="http://www.dtcc.com/legal/rules-and-procedures">www.dtcc.com/legal/rules-and-procedures</a>.
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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
FICC is proposing to adopt an Intraday Mark-to-Market Charge at
GSD.
Currently, the mark-to-market component of the daily Funds-Only
Settlement Amount \4\ covers FICC's exposure to a Member due to market
moves and/or trading and settlement activity because it brings the
Member's portfolio of outstanding positions up to the market value at
the end of the prior day. Specifically, twice each Business Day, each
Member is required to pay (or is entitled to collect) a Funds-Only
Settlement Amount across all CUSIPs in which it has outstanding
positions. However, because the start of day and intraday mark-to-
market components of the Funds-Only Settlement Amount are calculated
using the end of prior day and noon of current day positions and
prices, respectively, they do not cover a Member's risk exposure
arising out of changes to position and price in the Member's portfolio
that occur between the collections of the Funds-Only Settlement Amount,
i.e., from the start of day to noon and from noon to end of day
changes, that result in an adverse change to the Member's mark-to-
market exposure (``MTM Exposure''). In order to mitigate such intraday
risk, FICC is proposing to adopt an Intraday Mark-to-Market Charge at
GSD.\5\
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\4\ The term ``Funds-Only Settlement Amount'' means the net
dollar amount of a Netting Member's obligation, calculated pursuant
to GSD Rule 13, either to make a funds-only payment to FICC or to
receive a funds-only payment from FICC. See GSD Rule 1
(Definitions), supra note 3.
\5\ The Mortgage-Backed Securities Division (``MBSD'') of FICC
also has an intraday mark-to-market charge that is similar to the
proposed Intraday Mark-to-Market Charge. See definition of
``Intraday Mark-to-Market Charge'' in Rule 1 of MBSD Clearing Rules,
available at <a href="http://www.dtcc.com/legal/rules-and-procedures">www.dtcc.com/legal/rules-and-procedures</a>.
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Background
FICC, through GSD, serves as a central counterparty and provider of
clearance and settlement services for transactions in the U.S.
government securities, as well as repurchase and reverse repurchase
transactions involving U.S. government securities.\6\ 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.\7\ The Required Fund Deposit serves as each Member's margin.
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\6\ GSD also clears and settles certain transactions on
securities issued or guaranteed by U.S. government agencies and
government sponsored enterprises.
\7\ See GSD 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 Act, where these risks are referred to
as ``credit risks.'' 17 CFR 240.17ad-22(e)(4).
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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'').\8\ The aggregate amount of all Members'
Required Fund Deposit 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.
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\8\ The GSD 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) of the GSD Rules, supra note 3.
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Pursuant to the GSD 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.\9\ These components include the VaR Charge,
Blackout Period Exposure Adjustment, Backtesting Charge, Holiday
Charge, Intraday Supplemental Fund Deposit, Margin Liquidity Adjustment
Charge, special charge, and Portfolio Differential Charge.\10\ The VaR
Charge generally comprises the largest portion of a Member's Required
Fund Deposit amount.
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\9\ Supra note 3.
\10\ These margin components and the relevant defined terms are
currently located in GSD Rules 1 (Definitions) and 4 (Clearing Fund
and Loss Allocation), supra note 3. FICC recently received
regulatory approval to move the margin calculation methodology,
including the margin components and the relevant defined terms, into
a new Margin Component Schedule. See Securities Exchange Act Release
Nos. 101695 (Nov. 21, 2024), 89 FR 93763 (Nov. 27, 2024) (SR-FICC-
2024-007) and 101675 (Nov. 21, 2024), 89 FR 93735 (Nov. 27, 2024)
(SR-FICC-2024-802).
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Proposed Intraday Mark-to-Market Charge
Separate and apart from collecting the Required Fund Deposit, FICC
also conducts mark-to-market to reflect the difference between the
contract value of a trade and the current market value of the security.
Specifically, twice each Business Day, each Member is required to pay
(or is entitled to collect) a Funds-Only Settlement Amount across all
CUSIPs in which it has outstanding positions. This amount includes,
among other payments,\11\ a mark-to-market amount for every net
settlement position (i.e., positions set to settle on the next Business
Day), every forward net settlement position (i.e., open positions), and
every position that was scheduled to settle and has not yet settled
(i.e., failed positions). The funds-only settlement process is a cash
pass-through process, i.e., those Members that are in a debit position
submit payments to FICC that are then used by FICC to pay Members in a
credit position.
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\11\ The Funds-Only Settlement payments are set forth in Section
1 of GSD Rule 13 (Funds-Only Settlement), supra note 3. They
generally consist of (A) transaction adjustment payments for
settlement purposes, (B) risk management-related amounts (such as
mark-to-market amounts), (C) security coupon and similar amounts,
and (D) other amounts (such as invoice amounts).
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During each trading day, a Member's exposure may change due to the
settlement of existing transactions and new trade activities. In
addition, the value of the Member's portfolio may change due to market
moves. Currently, the mark-to-market component of the Funds-Only
Settlement Amount covers FICC's exposure to a Member due to market
moves and/or trading and settlement activity by bringing the Member's
portfolio of outstanding positions up to the market value at noon and
end of day.
FICC currently conducts hourly \12\ monitoring each Business
Day,\13\ with the Funds-Only Settlement Amounts being collected at 4:30
p.m. that
[[Page 13967]]
Business Day based on the Member's noon positions and 10 a.m. the next
Business Day based on the Member's end-of-day positions on the previous
Business Day.
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\12\ FICC expects to increase the frequency of its intraday
monitoring at GSD from hourly to a 15-minute increment during first
quarter of 2025.
\13\ FICC generally conducts intraday monitoring between 9-11
a.m. (New York time) and 1-4 p.m. (New York time); however, on the
last Business Day of each calendar month, the intraday monitoring is
extended from 4 p.m. to 5 p.m. (New York time).
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However, because the start of day and intraday mark-to-market
components of the Funds-Only Settlement Amount are calculated using the
end of prior day and noon of current day positions and prices,
respectively, they do not cover a Member's risk exposure arising out of
changes to position and market value in the Member's portfolio that
occur between the collections of the Funds-Only Settlement Amount that
result in MTM Exposure. In order to mitigate such intraday risk, FICC
is proposing to adopt an Intraday Mark-to-Market Charge.
Specifically, FICC is proposing to collect an Intraday Mark-to-
Market Charge from Members to cover significant risk exposures that
warrant the collection of intraday margin, i.e., when the calculated
Intraday Mark-to-Market Charge equals or exceeds certain thresholds, as
further described below. The proposed Intraday Mark-to-Market Charge
would work in conjunction with the Intraday Supplemental Fund Deposit
\14\ to help FICC mitigate its intraday risk exposure, including when
certain risk thresholds are breached or when the products cleared or
markets served display elevated volatility. Whereas the Intraday
Supplemental Fund Deposit is designed to mitigate intraday risk
exposure to FICC that results from large fluctuations in a Member's
portfolio due to new and unsettled trade activities, the proposed
Intraday Mark-to-Market Charge is designed to mitigate intraday risk
exposure to FICC that results from large fluctuations in a Member's
portfolio due to changes in position and market value. Both the
Intraday Supplemental Fund Deposit and the proposed Intraday Mark-to-
Market Charge would be recalculated intraday, each Business Day, at the
times and frequencies established by FICC for this purpose, which times
and frequencies shall be communicated to Members on FICC's public
website.\15\
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\14\ See the description of Intraday Supplemental Fund Deposit,
currently located in GSD Rule 4, Section 2a, supra note 3. FICC
recently received regulatory approval to move the margin calculation
methodology, including the description of Intraday Supplemental Fund
Deposit, into a new Margin Component Schedule. See Securities
Exchange Act Release Nos. 101695 (Nov. 21, 2024), 89 FR 93763 (Nov.
27, 2024) (SR-FICC-2024-007) and 101675 (Nov. 21, 2024), 89 FR 93735
(Nov. 27, 2024) (SR-FICC-2024-802).
\15\ Supra note 12.
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The Parameter Breaks
As proposed, FICC would determine whether to assess the Intraday
Mark-to-Market Charge by tracking three criteria (each, a ``Parameter
Break'') for each Member. FICC would assess the Intraday Mark-to-Market
Charge on a Member that has breached all three Parameter Breaks.
The Parameter Breaks help FICC determine whether a Member's MTM
Exposure poses a risk to FICC that is significant enough to warrant an
Intraday Mark-to-Market Charge. The objective of the Parameter Breaks
is to ensure that FICC is able to limit exposure to intraday mark-to-
market fluctuations that (a) are of a large dollar amount (the ``Dollar
Threshold''), (b) exhausts a significant portion of a Member's last
calculated VaR Charge (the ``Percentage Threshold''), and (c) are
experienced by Members with either (i) a limited trading history (the
``Trading Day Threshold'') or (ii) backtesting deficiencies that bring
backtesting results for the Member below a confidence target (the
``Coverage Target''), indicating that a Member's activity was not
sufficiently covered by margin.
1. The Dollar Threshold
The first Parameter Break is the Dollar Threshold. The purpose of
the Dollar Threshold is to identify those Members whose MTM Exposure
equals or exceeds a set large dollar amount. FICC believes that such
Members pose an increased risk of loss to FICC because if a Member with
large MTM Exposure were to default and the Member's Required Fund
Deposit was not sufficient to satisfy losses to FICC caused by the
liquidation of the Member's portfolio, FICC may have to access the
Clearing Fund to satisfy such losses.\16\ However, because the Clearing
Fund is a finite financial resource designed to be available to satisfy
potential losses to FICC that may arise from any Member default, FICC
could be exposed to a significant risk of loss if a Member's MTM
Exposures equals or exceeds a set large dollar amount that could
deplete a substantial portion of the Clearing Fund. Accordingly, FICC
is proposing to set the Dollar Threshold to an amount that is equal to
or greater than $1,000,000 in order to ensure that the MTM Exposure of
each of its Members would not be excessive. FICC believes that the
minimum $1,000,000 Dollar Threshold would ensure the Clearing Fund
available to satisfy all other liquidation losses arising out of a
Member's default is sufficient to mitigate the risks posed to FICC by
such losses.
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\16\ See Rule 4 (Clearing Fund and Loss Allocation), supra note
3.
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As an initial matter, FICC would set the Dollar Threshold at
$1,000,000 in order to align with the minimum Clearing Fund requirement
at GSD, thus helping to ensure that the aggregate MTM Exposure of a
Member would not exceed its minimum Clearing Fund deposit. FICC would
review and assess the sufficiency of the Dollar Threshold at least
annually. If FICC determines that any adjustments to the Dollar
Threshold are necessary to provide reasonable coverage, the FICC market
risk group would document the rationale and obtain the requisite
approval for the change, in accordance with FICC's internal market risk
management policies and procedures. FICC would notify Members of any
changes to the Dollar Threshold via an Important Notice.
As proposed, the Dollar Threshold is an adverse intraday mark-to-
market change in a Member's portfolio that equals or exceeds $1,000,000
when compared to the mark-to-market amount reflected either in the last
Funds-Only Settlement Amount or Intraday Mark-to-Market Charge, as
applicable, for the Member's portfolio.
2. The Percentage Threshold
The second Parameter Break is the Percentage Threshold. The purpose
of the Percentage Threshold is to identify those Members whose MTM
Exposures deplete a significant portion of such Member's daily VaR
Charge. FICC believes that Members that experience such MTM Exposures
pose an increased risk of loss to FICC because the coverage provided by
the VaR Charge, which is designed to cover estimated losses to a
portfolio over a three-day time liquidation period at least 99 percent
of the time would be depleted by a significant MTM Exposure that could
cause the Member's Required Fund Deposit to be unable to absorb further
intraday losses to the Member's portfolio. The Percentage Threshold is
designed to provide FICC with a reasonable risk buffer to allow the VaR
Charge collected to function as expected. More specifically, the VaR
Charge is designed to cover potential losses over a three-day
liquidation period for a Member at least 99 percent of the time,
assuming normal market conditions. When a Member's MTM Exposure meets
or exceeds a certain percentage as compared to its daily VaR Charge,
the value of the Member's portfolio is trending towards a loss outside
of the expected value as determined by such VaR Charge. The
[[Page 13968]]
Percentage Threshold is calculated to equal a percentage of the daily
VaR Charge that FICC has determined would leave it with a sufficient
amount of a Member's remaining VaR Charge after accounting for
potential losses arising from the Member's MTM Exposure.
FICC would review and assess the sufficiency of the Percentage
Threshold at least annually. If FICC determines that any adjustment to
the Percentage Threshold are necessary to provide reasonable coverage,
the FICC market risk group would document the rationale and obtain the
requisite approval for the change, in accordance with FICC's internal
market risk management policies and procedures. FICC would notify
Members of any changes to the Percentage Threshold via an Important
Notice.
As proposed, the Percentage Threshold is an adverse intraday mark-
to-market change in a Member's portfolio that is not less than 10
percent of the last calculated VaR Charge for the Member's portfolio.
As an initial matter, FICC would set the Percentage Threshold as 30
percent of the last calculated VaR Charge of a Member's portfolio. This
is because FICC believes that a Member with MTM Exposure of 30 percent
or more of the Member's VaR Charge on an intraday basis would likely
pose increased risk to the sufficiency of the Member's Required Fund
Deposit to cover additional exposures that may occur during the three-
day liquidation period that the VaR Charge is designed to cover.
3. The Trading Day Threshold/Coverage Target
The third Parameter Break is either (i) the Trading Day Threshold,
if a Member only has a limited trading history, or (ii) the Coverage
Target.
The purpose of the Trading Day Threshold is to identify those
Members that have limited trading history. As proposed, Members that
have limited trading history, i.e., fewer than 100 trading days in a
rolling 12-month period, would be assessed the proposed Intraday Mark-
to-Market Charge irrespective of their backtesting coverage if they
were to breach the Dollar Threshold and the Percentage Threshold. This
is because when a Member has fewer than 100 trading days in a rolling
12-month period, even one backtesting deficiency would have a
disproportionate effect on the Member's backtesting coverage. For
example, a single backtesting deficiency would result in a Member
falling below 99 percent in backtesting coverage if the Member has
fewer than 100 trading days in a rolling 12-month period, but if a
Member has more than 100 trading days in a rolling 12-month period, one
backtesting deficiency would not result in such a Member falling below
99 percent in backtesting coverage. This means that if a Member with
fewer than 100 trading days in a rolling 12-month period has breached
both the Dollar Threshold and the Percentage Threshold, then the Member
would be assessed the proposed Intraday Mark-to-Market Charge
regardless of the Member's backtesting coverage.
In contrast, for Members with 100 or more trading days in a rolling
12-month period, FICC would take into consideration the Member's
backtesting coverage when assessing the proposed Intraday Mark-to-
Market Charge, i.e., whether the Member's backtesting coverage equals
or exceeds the Coverage Target, as described below.
The purpose of the Coverage Target is to identify those Members
that have experienced backtesting deficiencies that bring their
backtesting results as reported in the most current month below a
certain threshold percentage as determined by FICC from time to time.
FICC believes that such Members pose an increased risk of loss to FICC
because their backtesting deficiencies demonstrated that FICC's risk-
based margin model did not perform as expected for the Member. Thus,
the Coverage Target is designed to provide coverage to FICC for risk
exposures arising from intraday mark-to-market fluctuations in the
portfolio of a Member for whom the FICC margin model is not performing
as expected.
As an initial matter, FICC would set the Coverage Target at 100
percent in order to capture all Members that have demonstrated
sufficiency in margin backtesting. FICC would review and assess the
sufficiency of the Coverage Target at least annually. If FICC
determines that any adjustment to the Coverage Target are necessary to
provide reasonable coverage, the FICC market risk group would document
the rationale and obtain the requisite approval for the change, in
accordance with FICC's internal market risk management policies and
procedures. FICC would notify Members of any changes to the Coverage
Target via an Important Notice.
Assessment and Collection of Proposed Intraday Mark-to-Market Charge
FICC would review intraday snapshots of each Member's portfolios to
determine whether the Member has experienced a MTM Exposure that
warrants FICC assessing an Intraday Mark-to-Market Charge. More
specifically, if a Member's MTM Exposure breaches all three Parameter
Breaks, the Member would be subject to the Intraday Mark-to-Market
Charge, and FICC would collect the charge, subject to waiver/reduction
to the amount of the calculated charge as described below. However,
where FICC determines that volatile market conditions \17\ exist, FICC
proposes that the Dollar Threshold and/or Percentage Threshold may be
reduced. Having the ability to reduce the Dollar Threshold and/or
Percentage Threshold would help ensure that FICC can accelerate
collection of anticipated additional margin from Members whose
portfolios may present relatively greater risks to FICC on an overnight
basis. Any such reduction would not cause the Dollar Threshold to be
less than $250,000 and the Percentage Threshold to be less than 5
percent. FICC would provide Members with at a minimum one Business Day
advance notice of any reductions to the Dollar Threshold or Percentage
Threshold via an Important Notice.
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\17\ Volatile market conditions can include, but are not limited
to, sudden swings in the U.S. Treasury yields or mortgage-backed
security spreads outside of historically observed market moves and/
or conditions contributing to increased MTM Exposures that, in
aggregate, materially exceed those amounts observed under normal
market conditions.
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Moreover, in volatile market conditions, FICC may modify or not
consider the Coverage Target when applying the proposed Intraday Mark-
to-Market Charge to a Member's portfolio that may present relatively
greater risks to FICC on an overnight basis due to such market
conditions. That is, FICC could impose the Intraday Mark-to-Market
Charge on a Member's portfolio when only the Dollar Threshold and/or
Percentage Threshold are breached if volatile market conditions were to
occur. This is because FICC has determined that a Member's backtesting
coverage may not accurately reflect the risks posed by the Member under
volatile market conditions. Thus, if volatile market conditions occur,
Members with backtesting coverage that meets or exceeds the Coverage
Target then in effect may nonetheless be assessed the proposed Intraday
Mark-to-Market Charge on portfolios that may pose increased risk to
FICC on an overnight basis due to such market conditions.
Although FICC would generally collect the Intraday Mark-to-Market
Charge if a Member's MTM Exposure breaches all three Parameter Breaks,
FICC would retain the discretion to waive or decrease such Intraday
Mark-to-Market Charge in circumstances where it determines that the MTM
[[Page 13969]]
Exposure and/or the breaches of the three Parameter Breaks do not
accurately reflect FICC's risk exposure to the Member's intraday mark-
to-market fluctuation. An example of such circumstances is when a
Member's breach of the Parameter Breaks is based on MTM Exposures
arising out of trade errors for which FICC can confirm the reversal/
correction thereto. Based on FICC's assessment of the impact of these
circumstances and FICC's risk exposure from the Member's portfolio,
FICC may waive or decrease an Intraday Mark-to-Market Charge for a
Member.
If FICC determines that either a waiver or reduction of an Intraday
Mark-to-Market Charge is appropriate, the FICC market risk group would
document the rationale and obtain the requisite approval for the
waiver/reduction, in accordance with FICC's internal market risk
management policies and procedures. Given the variability of the
factors that result in breaches of the Parameter Breaks, FICC believes
that it is important to maintain such discretion in order to limit the
imposition of the Intraday Mark-to-Market Charge to those Members with
MTM Exposures that pose an elevated level of risk to FICC.
If FICC determines that FICC should collect an Intraday Mark-to-
Market Charge from a Member, FICC would notify the Member during the
trading day of its requirement to pay the Intraday Mark-to-Market
Charge and the amount due. Affected Members would be required to pay
the amount due by the Required Fund Deposit Deadline,\18\ currently
within one hour of such notification to Members.
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\18\ The term ``Required Fund Deposit Deadline'' means the
deadline set forth by FICC for such purpose in its procedures,
unless FICC has issued a notice extending such deadline pursuant to
the GSD Rules. See GSD Rule 1 (Definitions), supra note 3.
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Proposed GSD Rule Changes
In connection with adopting the Intraday Mark-to-Market Charge,
FICC would modify the GSD Rules to:
I. Add a definition of ``Intraday Mark-to-Market Charge'' in GSD
Rule 1 (Definitions) and define it in the new Margin Component
Schedule.\19\ As proposed, the term ``Intraday Mark-to-Market Charge''
would mean an additional charge that is collected from a Member or
Segregated Indirect Participant \20\ (unless waived or decreased by
FICC as provided below) to mitigate FICC's exposure that may arise due
to intraday changes in the size, composition and constituent security
prices of such Member's Margin Portfolio or Segregated Indirect
Participant's portfolio, including when certain risk thresholds are
breached or when the products cleared or markets served display
elevated volatility. The proposed definition would provide that the
Intraday Mark-to-Market Charge, with respect to each Margin Portfolio
or Segregated Indirect Participant's portfolio, equals the difference
between (a) the mark-to-market amount reflected either in the last
Funds-Only Settlement Amount or Intraday Mark-to-Market Charge, as
applicable, for the Margin Portfolio or Segregated Indirect
Participant's portfolio and (b) such Margin Portfolio's or Segregated
Indirect Participant's portfolio marked to the most recently observed
System Price for such positions and shall be recalculated intraday,
each Business Day, at the times and frequencies established by FICC for
this purpose, which times and frequencies shall be communicated to
Members and Segregated Indirect Participants on FICC's public website.
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\19\ Supra note 10.
\20\ FICC recently received regulatory approval to make changes
to the GSD Rules regarding the separate calculation, collection and
holding of margin for indirect participant transactions of Members.
Accordingly, a new defined term ``Segregated Indirect Participant''
will be added to GSD Rule 1 (Definitions) to refer to a Member's
indirect participants whose transactions are recorded in a
Segregated Indirect Participant Account. See Securities Exchange Act
Release Nos. 101695 (Nov. 21, 2024), 89 FR 93763 (Nov. 27, 2024)
(SR-FICC-2024-007) and 101675 (Nov. 21, 2024), 89 FR 93735 (Nov. 27,
2024) (SR-FICC-2024-802). Therefore, FICC is proposing to also
include references to the Segregated Indirect Participants in the
proposed ``Intraday Mark-to-Market Charge'' definition.
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The proposed definition would have three subsections.
Subsection (a) would state that the Intraday Mark-to-Market Charge
applies to a Margin Portfolio and/or Segregated Indirect Participant's
portfolio that:
(i) experienced an adverse intraday mark-to-market change that
equals or exceeds a certain threshold dollar amount (but not less
than $1,000,000) as determined by FICC from time to time as compared
to the mark-to-market amount reflected either in the last Funds-Only
Settlement Amount or Intraday Mark-to-Market Charge, as applicable,
for the Margin Portfolio or Segregated Indirect Participant's
portfolio,
(ii) experienced an adverse intraday mark-to-market change that
equals or exceeds a certain threshold percentage (but not less than
10 percent) as determined by FICC from time to time as compared to
the last calculated VaR Charge for the Margin Portfolio or
Segregated Indirect Participant's portfolio, and
(iii) has either (x) fewer than 100 trading days in a rolling
12-month period or (y) 12-month backtesting coverage below a certain
threshold percentage as determined by FICC from time to time.
Each of (i), (ii), and (iii) above would be a ``Parameter'' for
purposes of this proposed definition. Furthermore, the proposed
definition would provide that FICC will notify Members of changes to
any Parameter via an Important Notice.
Subsection (b) of the proposed definition would provide that, if
volatile market conditions occur, FICC may:
(A) reduce the threshold dollar amount in Parameter (i) above (but
not to less than $250,000),
(B) reduce the threshold percentage in Parameter (ii) above (but
not less than 5 percent), and/or
(C) elect to modify or not consider the 12-month backtesting
coverage threshold in Parameter (iii)(y) above, when applying the
Intraday Mark-to-Market Charge to Margin Portfolios and/or Segregated
Indirect Participants' portfolios that may present relatively greater
risks to FICC on an overnight basis due to such market conditions.
The proposed definition would provide examples of volatile market
conditions that FICC may consider with respect to applying subsection
(b) of the proposed definition to include, but shall not be limited to,
the occurrence of sudden swings in U.S. Treasury yields or mortgage-
backed security spreads outside of historically observed market moves
and/or conditions contributing to intraday risk exposures to FICC that,
in aggregate, materially exceed intraday risk exposures observed under
normal market conditions. Furthermore, the proposed definition would
state that FICC will provide Members with a minimum of one Business Day
advance notice of changes to any Parameter due to volatile market
conditions via an Important Notice.
Subsection (c) of the proposed definition would provide that FICC
may waive the imposition of the Intraday Mark-to-Market Charge, or may
decrease the amount of the Intraday Mark-to-Market Charge, in
circumstances where FICC determines that the adverse intraday mark-to-
market change of the Margin Portfolio or Segregated Indirect
Participant's portfolio and/or the breaches of the Parameters referred
to in subsection (a) do not accurately reflect FICC's risk exposure
from the intraday mark-to-market fluctuation of the Margin Portfolio or
Segregated Indirect Participant's portfolio. The proposed definition
would provide that examples of circumstances that FICC may consider
with respect to the determination in the previous sentence may include,
but shall not be limited to, large mark-to-market fluctuations arising
out of trade errors. In addition, the proposed definition would provide
that all waiver and/or reduction of the
[[Page 13970]]
Intraday Mark-to-Market Charge shall be approved, documented and
reviewed on a regular basis pursuant to FICC's procedures.
II. Add the ``Intraday Mark-to-Market Charge'' as an additional
charge in calculating the Required Fund Deposit and the new Segregated
Customer Margin Requirement \21\ in the new Margin Component
Schedule,\22\ Sections 2(b) and 3(b).
---------------------------------------------------------------------------
\21\ FICC recently received regulatory approval to make changes
to the GSD Rules regarding the separate calculation, collection and
holding of margin for indirect participant transactions of Members.
The margin requirement for a Member's segregated indirect
participant transactions would be referred to as the Segregated
Customer Margin Requirement. See Securities Exchange Act Release
Nos. 101695 (Nov. 21, 2024), 89 FR 93763 (Nov. 27, 2024) (SR-FICC-
2024-007) and 101675 (Nov. 21, 2024), 89 FR 93735 (Nov. 27, 2024)
(SR-FICC-2024-802). Therefore, FICC is proposing to also include the
Intraday Mark-to-Market Charge as an additional charge in
calculating the Segregated Customer Margin Requirement.
\22\ Supra note 10.
---------------------------------------------------------------------------
Impact Study
FICC performed an impact study for the period beginning July 1,
2022 through June 30, 2024 (``Impact Study Period''). If the proposed
Intraday Mark-to-Market Charge had been in place during the Impact
Study Period compared to the existing GSD Rules, on average it would be
assessed on a Member twice a day.\23\ The aggregate average daily
Intraday Mark-to-Market Charges would be approximately $28.8 million
and the number of backtesting deficiencies would have been reduced by
21 (from 350 to 329, or approximately 6 percent). Two Members would be
assessed an Intraday Mark-to-Market Charge, on average, during the
Impact Study Period.
---------------------------------------------------------------------------
\23\ The impact study excluded three (3) instances of large
mark-to-market fluctuations arising out of trade errors that
occurred during the Impact Study Period.
---------------------------------------------------------------------------
The average daily Intraday Mark-to-Market Charge in dollars per
impacted Member would be approximately $17.5 million (approximately 31
percent of the average daily Clearing Fund deposit per impacted
Member).
The three largest daily Intraday Mark-to-Market Charge in dollars
for Members would be $384.7 million (approximately 39 percent of the
Member's daily Clearing Fund deposit and 3.3 percent of the Member's
average Net Capital),\24\ $342.9 million (approximately 29 percent of
the Member's daily Clearing Fund deposit and 2.7 percent of the
Member's average Net Capital), and $260.4 million (approximately 38
percent of the Member's daily Clearing Fund deposit and 1.6 percent of
the Member's average Net Capital).
---------------------------------------------------------------------------
\24\ The term ``Net Capital'' means, as of a particular date,
the amount equal to the net capital of a broker or dealer as defined
in SEC Rule 15c3-1(c)(2), or any successor rule or regulation
thereto. See GSD Rule 1 (Definitions), supra note 3.
---------------------------------------------------------------------------
The three largest daily Intraday Mark-to-Market Charge for Members
as percentages of the relevant Member's daily Clearing Fund deposit
would be 352 percent, or $4.5 million (1.8 percent of the Member's
average Net Capital), 203 percent, or $27.7 million (0.6 percent of the
Member's average Net Capital), and 178 percent, or $3.7 million (3.4
percent of the Member's average Net Capital).
FICC also analyzed the impact data by bifurcating the Impact Study
Period into two one-year periods. If the proposed Intraday Mark-to-
Market Charge had been in place for the period beginning July 1, 2022
through June 30, 2023 compared to the existing GSD Rules, on average it
would be assessed on a Member twice a day. The aggregate average daily
Intraday Mark-to-Market Charges would be approximately $40.4 million.
If the proposed Intraday Mark-to-Market Charge had been in place for
the period beginning July 1, 2023 through June 30, 2024 compared to the
existing GSD Rules, on average it would be assessed on a Member once a
day. This is primarily because the market volatility was higher during
the July 1, 2022 through June 30, 2023 period and the market was less
volatile during the July 1, 2023 through June 30, 2024 period. The
aggregate average daily Intraday Mark-to-Market Charges would be
approximately $17.4 million.
Implementation Timeframe
FICC would implement the proposed rule changes by no later than 60
Business Days after the approval of the proposed rule change by the
Commission. FICC would announce the effective date of the proposed
changes by an Important Notice posted to its website.
2. Statutory Basis
FICC believes the proposed rule change is consistent with the
requirements of the Act and the rules and regulations thereunder
applicable to a registered clearing agency. In particular, FICC
believes the proposed rule change is consistent with Section
17A(b)(3)(F) of the Act,\25\ and Rules 17ad-22(e)(4)(i), (e)(6)(i) and
(e)(6)(ii), each promulgated under the Act,\26\ for the reasons
described below.
---------------------------------------------------------------------------
\25\ 15 U.S.C. 78q-1(b)(3)(F).
\26\ 17 CFR 240.17ad-22(e)(4)(i), (e)(6)(i) and (e)(6)(ii).
---------------------------------------------------------------------------
Section 17A(b)(3)(F) of the Act requires that the GSD Rules be
designed to, among other things, assure the safeguarding of securities
and funds which are in the custody or control of the clearing agency or
for which it is responsible and be designed to promote the prompt and
accurate clearance and settlement of securities transactions.\27\ FICC
believes the proposed change to adopt the Intraday Mark-to-Market
Charge is designed to assure the safeguarding of securities and funds
which are in its custody or control or for which it is responsible
because it is designed to mitigate intraday risks to FICC arising out
of changes to position and market value in a Member's portfolio that
occur intraday and result in MTM Exposure. Specifically, the proposed
Intraday Mark-to-Market Charge would allow FICC to collect financial
resources to cover significant risk exposures that warrant the
collection of intraday margin.
---------------------------------------------------------------------------
\27\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------
The Clearing Fund is a key tool that FICC uses to mitigate
potential losses to FICC associated with liquidating a Member's
portfolio in the event of Member default. Therefore, the proposed
change to include an Intraday Mark-to-Market Charge among the GSD
Clearing Fund components would enable FICC to better address
significant adverse intraday mark-to-market changes in a Member's
portfolio such that, in the event of 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
change to adopt the Intraday Mark-to-Market Charge is designed to
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.\28\
---------------------------------------------------------------------------
\28\ Id.
---------------------------------------------------------------------------
The proposed rule change with respect to the adoption of the
Intraday Mark-to-Market Charge has also been designed to be consistent
with Rules 17ad-22(e)(4)(i), (e)(6)(i) and (e)(6)(ii) under the
Act.\29\ Rule 17ad-22(e)(4)(i) under the Act \30\ requires a covered
clearing agency to 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 exposures arising from its payment, clearing, and settlement
processes by maintaining sufficient financial resources to cover its
credit exposure to each participant fully
[[Page 13971]]
with a high degree of confidence. As described above, FICC believes
that the proposed changes would enable it to better identify, measure,
monitor, and, through the collection of Members' Required Fund
Deposits, manage its credit exposures to Members by maintaining
sufficient resources to cover those credit exposures fully with a high
degree of confidence. More specifically, the proposed Intraday Mark-to-
Market Charge addresses the identification, measurement, monitoring,
and management of credit exposures that may arise from intraday changes
that occur to a participant's adverse mark-to-market exposure.
Moreover, by incorporating the Intraday Mark-to-Market Charge into the
GSD Rules, the proposed change would enable FICC to have rule
provisions that are reasonably designed to effectively identify,
measure, monitor, and manage its credit exposures to Members. As a
result, FICC believes that the proposal to adopt the Intraday Mark-to-
Market Charge would enhance FICC's ability to effectively identify,
measure, and monitor its credit exposures and would enhance its ability
to maintain sufficient financial resources to cover its credit exposure
to each participant fully with a high degree of confidence, consistent
with the requirements of Rule 17ad-22(e)(4)(i) under the Act.\31\
---------------------------------------------------------------------------
\29\ 17 CFR 240.17ad-22(e)(4)(i), (e)(6)(i) and (e)(6)(ii).
\30\ 17 CFR 240.17ad-22(e)(4)(i).
\31\ Id.
---------------------------------------------------------------------------
Rule 17ad-22(e)(6)(i) under the Act \32\ requires FICC to
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 proposed Intraday Mark-to-Market Charge is a risk-
based margining system with parameters that are regularly reviewed by
FICC. Therefore, FICC believes the proposed rule change is consistent
with Rule 17ad-22(e)(6)(i) under the Act.\34\
---------------------------------------------------------------------------
\32\ 17 CFR 240.17ad-22(e)(6)(i).
\33\ Id.
\34\ Id.
---------------------------------------------------------------------------
Furthermore, the Required Fund Deposits are made up of risk-based
components (as margin) that are calculated and assessed daily to limit
FICC's credit exposures to Members. FICC is proposing changes that are
designed to more effectively measure and address intraday risk
exposures due to Members' MTM Exposure arising between the collections
of the Funds-Only Settlement Amount. Adopting the Intraday Mark-to-
Market Charge would help to ensure that margin levels are commensurate
with the risk exposure of each portfolio throughout the day and that
the margin that FICC collects from Members is sufficient to mitigate
the credit exposure presented by the Members. Overall, the proposed
changes to adopt the Intraday Mark-to-Market Charge would allow FICC to
more effectively address the risks presented by Members. In this way,
the proposed changes would enhance the ability of FICC to produce
margin levels commensurate with the risks and particular attributes of
each relevant product, portfolio, and market. As such, FICC believes
that the proposed changes are consistent with the requirements of Rule
17ad-22(e)(6)(i) under the Act.\35\
---------------------------------------------------------------------------
\35\ Id.
---------------------------------------------------------------------------
Rule 17ad-22(e)(6)(ii) under the Act \36\ requires FICC to
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, (A) marks participant positions to market and collect margin
at least daily, (B) monitors intraday exposure on an ongoing basis, (C)
includes the authority and operational capacity to make intraday margin
calls as frequently as circumstances warrant, including (1) when risk
thresholds specified by FICC are breached, and (2) when the products
cleared or markets served display elevated volatility, and (D)
documents when FICC determines not to make an intraday call pursuant to
its written policies and procedures.\37\
---------------------------------------------------------------------------
\36\ 17 CFR 240.17ad-22(e)(6)(ii).
\37\ Id.
---------------------------------------------------------------------------
FICC believes that the proposed changes to adopt the Intraday Mark-
to-Market Charge as described herein are consistent with the
requirements of Rule 17ad-22(e)(6)(ii) cited above. The proposed
Intraday Mark-to-Market Charge would be calculated and assessed at
least daily based on FICC's ongoing monitoring of its intraday
exposures to Members. As proposed, FICC would be able to make intraday
margin calls as frequently as circumstances warrant, including when
risk thresholds specified by FICC are breached and when the products
cleared or markets served by FICC display elevated volatility. The
proposed changes would also provide that FICC would document instances
when it determines not to make an intraday call pursuant to its
policies and procedures. Overall, the proposed changes to adopt the
Intraday Mark-to-Market Charge would allow FICC to more effectively
address its intraday credit exposure to its Members, consistent with
the requirements of Rule 17ad-22(e)(6)(ii) under the Act.\38\
---------------------------------------------------------------------------
\38\ Id.
---------------------------------------------------------------------------
(B) Clearing Agency's Statement on Burden on Competition
FICC believes the proposed rule changes to adopt the Intraday Mark-
to-Market Charge could impose a burden on competition. As a result of
the proposed rule changes, participants may experience increases in
their Required Fund Deposits and/or Segregated Customer Margin
Requirements. An impact study during the Impact Study Period indicates
that the average daily Intraday Mark-to-Market Charge in dollars per
Member would be approximately $17.5 million. Such increases could
burden participants that have lower operating margins or higher costs
of capital than other participants. It is not clear whether the burden
on competition would necessarily be significant because it would depend
on whether the affected participants were similarly situated in terms
of business type and size. Regardless of whether the burden on
competition is significant, FICC believes that any burden on
competition would be necessary and appropriate in furtherance of the
purposes of the Act.
Specifically, FICC believes that the proposed rule changes would be
necessary in furtherance of the Act, as described in this filing and
further below. FICC believes that the above-described burden on
competition that may be created by the proposed changes is necessary.
This is because the GSD Rules must be designed to assure the
safeguarding of securities and funds that are in FICC's custody or
control or for which it is responsible, consistent with Section
17A(b)(3)(F). As described above, FICC believes that the adoption of
the Intraday Mark-to-Market Charge would enable FICC to better address
significant adverse intraday mark-to-market changes in a Member's
portfolio such that, in the event of Member default, FICC's operations
would not be disrupted and non-defaulting Members would not be exposed
to losses they cannot anticipate or control. As such, the proposed
changes to adopt the Intraday Mark-to-Market Charge are designed to
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.\39\
---------------------------------------------------------------------------
\39\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------
FICC also believes these proposed changes to adopt the Intraday
Mark-to-
[[Page 13972]]
Market Charge are necessary to support FICC's compliance with Rules
17ad-22(e)(4)(i), (e)(6)(i) and (e)(6)(ii) under the Act,\40\ which
require FICC to establish, implement, maintain and enforce written
policies and procedures reasonably designed to (x) 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, (y) 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, and (z) cover its credit exposures to its participants by
establishing a risk-based margin system that, at a minimum, (A) marks
participant positions to market and collect margin at least daily, (B)
monitors intraday exposure on an ongoing basis, (C) includes the
authority and operational capacity to make intraday margin calls as
frequently as circumstances warrant, including (1) when risk thresholds
specified by FICC are breached, and (2) when the products cleared or
markets served display elevated volatility, and (D) documents when FICC
determines not to make an intraday call pursuant to its written
policies and procedures.
---------------------------------------------------------------------------
\40\ 17 CFR 240.17ad-22(e)(4)(i), (e)(6)(i) and (e)(6)(ii).
---------------------------------------------------------------------------
As described above, FICC believes that adopting the Intraday Mark-
to-Market Charge would allow FICC to more effectively mitigate risk
exposure arising out of intraday changes to position and market value
in a participant's portfolio that result in MTM Exposure. Specifically,
FICC believes the proposed change to adopt the Intraday Mark-to-Market
Charge would appropriately cover FICC's credit exposure to participants
with a high degree of confidence in such a situation. Therefore, FICC
believes that these proposed changes to adopt the Intraday Mark-to-
Market Charge would allow FICC to effectively identify, measure,
monitor, and manage its credit exposures to participants and better
limit FICC's credit exposures to participants by maintaining sufficient
financial resources to cover its credit exposure to each participant
fully with a high degree of confidence, cover its credit exposures to
its participants by producing margin levels commensurate with the risks
and particular attributes of each relevant product and portfolio as
well as collecting intraday margin, consistent with the requirements of
Rules 17ad-22(e)(4)(i), (e)(6)(i) and (e)(6)(ii) under the Act.\41\
---------------------------------------------------------------------------
\41\ Id.
---------------------------------------------------------------------------
FICC also believes that the above-described burden on competition
that could be created by the proposed changes 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. The proposed changes to adopt an Intraday
Mark-to-Market Charge is specifically designed to cover significant
risk exposures that warrant the collection of intraday margin, i.e.,
when the calculated Intraday Mark-to-Market Charge breached three
Parameter Breaks, namely (1) Dollar Threshold, (2) Percentage
Threshold, and (3) Trading Day Threshold/Coverage Target. Any increase
in Required Fund Deposit and/or Segregated Customer Margin Requirement
as a result of such proposed change for a particular participant would
be in direct relation to the specific risks presented by such
participant's portfolio, and each participant's Required Fund Deposit
and/or Segregated Customer Margin Requirement would continue to be
calculated with the same parameters and at the same confidence level.
Therefore, participants with portfolios that present similar risks,
regardless of the type of participant, would have similar impacts on
their Required Fund Deposit and/or Segregated Customer Margin
Requirement amounts. In addition, the proposed changes to adopt the
Intraday Mark-to-Market Charge would improve the risk-based margining
methodology that FICC employs to set margin requirements and better
limit FICC's credit exposures to its participants. Impact studies
indicate that the proposed Intraday Mark-to-Market Charge would result
in backtesting coverage that more appropriately addresses the risks
presented by each participant's portfolio(s). Therefore, because the
proposed changes are designed to provide FICC with a more appropriate
and complete measure of the risks presented by participants'
portfolios, FICC believes the proposals are appropriately designed to
meet its risk management goals and its regulatory obligations.
Accordingly, FICC does not believe that the proposed changes to
adopt the Intraday Mark-to-Market Charge would impose any burden on
competition that is not necessary or appropriate in furtherance of the
Act.\42\
---------------------------------------------------------------------------
\42\ 15 U.S.C. 78q-1(b)(3)(I).
---------------------------------------------------------------------------
(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#33474152575a5d54525d575e524158564740734056501d545c45"><span class="__cf_email__" data-cfemail="e89c9a898c81868f89868c85899a838d9c9ba89b8d8bc68f879e">[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
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:
[[Page 13973]]
Electronic Comments
<bullet> Use the Commission's internet comment form (<a href="https://www.sec.gov/rules-regulations/self-regulatory-organization-rulemaking">https://www.sec.gov/rules-regulations/self-regulatory-organization-rulemaking</a>);
or
<bullet> Send an email to <a href="/cdn-cgi/l/email-protection#cab8bfa6afe7a9a5a7a7afa4beb98ab9afa9e4ada5bc"><span class="__cf_email__" data-cfemail="90e2e5fcf5bdf3fffdfdf5fee4e3d0e3f5f3bef7ffe6">[email protected]</span></a>. Please include
File Number SR-FICC-2025-005 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-2025-005. 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-regulations/self-regulatory-organization-rulemaking">https://www.sec.gov/rules-regulations/self-regulatory-organization-rulemaking</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://www.dtcc.com/legal/sec-rule-filings">www.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-2025-005 and should be submitted on or
before April 17, 2025.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\43\
---------------------------------------------------------------------------
\43\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
J. Matthew DeLesDernier,
Deputy Secretary.
[FR Doc. 2025-05200 Filed 3-26-25; 8:45 am]
BILLING CODE 8011-01-P
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