Government Securities Act Regulations; Replacement of References to Credit Ratings and Technical Amendments, 59592-59596 [2011-24785]
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59592
Federal Register / Vol. 76, No. 187 / Tuesday, September 27, 2011 / Proposed Rules
corrected on February 28, 2005 (70 FR 12119,
March 11, 2005).
Applicability
(c) This AD applies to The Boeing
Company Model 767–200 and -300 series
airplanes, certificated in any category, as
identified in Boeing Alert Service Bulletin
767–53A0139, dated November 12, 2009.
Alternative Methods of Compliance
(AMOCs)
Subject
(d) Joint Aircraft System Component
(JASC)/Air Transport Association (ATA) of
America Code 53: Fuselage.
Unsafe Condition
(e) This AD was prompted by reports of
multiple site damage cracks in the radial web
lap and tear strap splices of the aft pressure
bulkhead at station (STA) 1582 due to
fatigue. We are issuing this AD to prevent
fatigue cracking of the aft pressure bulkhead,
which could result in rapid decompression of
the airplane and possible damage or
interference with the airplane control
systems that penetrate the bulkhead, and
consequent loss of controllability of the
airplane.
Compliance
(f) Comply with this AD within the
compliance times specified, unless already
done.
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Repetitive Inspections
(g) Except as provided by paragraph (h) of
this AD: Before the accumulation of 43,000
total flight cycles, or within 1,600 flight
cycles after the effective date of this AD,
whichever occurs later, do detailed, lowfrequency eddy current, and mid-frequency
eddy current inspections for cracking of the
aft pressure bulkhead at STA 1582, in
accordance with the Accomplishment
Instructions of Boeing Alert Service Bulletin
767–53A0139, dated November 12, 2009. If
any crack is found, before further flight,
replace the bulkhead as required by
paragraph (h) of this AD, or repair the crack
in accordance with the Accomplishment
Instructions of Boeing Alert Service Bulletin
767–53A0139, dated November 12, 2009, and
repeat the inspections thereafter at intervals
not to exceed 1,600 flight cycles. If no crack
is found, repeat the inspections thereafter at
intervals not to exceed 1,600 flight cycles.
Accomplishing the inspections required by
this paragraph terminates the repetitive
inspections required by paragraph (b) of AD
2004–05–16, Amendment 39–13511 (69 FR
10917, March 9, 2004); and paragraph (f) of
AD 2005–03–11, Amendment 39–13967 (70
FR 7174, February 11, 2005), corrected on
February 28, 2005 (70 FR 12119, March 11,
2005).
Replacement
(h) Except as provided by paragraph (g) of
this AD: Before the accumulation of 43,000
total flight cycles, or within 5,000 flight
cycles after the effective date of this AD,
whichever occurs later: Replace the aft
pressure bulkhead at STA 1582 with a new
bulkhead, in accordance with the
Accomplishment Instructions of Boeing Alert
Service Bulletin 767–53A0139, dated
November 12, 2009. Accomplishing the
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replacement in this paragraph terminates the
repetitive inspections required by paragraph
(g) of this AD.
(i)(1) The Manager, Seattle Aircraft
Certification Office (ACO), FAA, has the
authority to approve AMOCs for this AD, if
requested using the procedures found in 14
CFR 39.19. In accordance with 14 CFR 39.19,
send your request to your principal inspector
or local Flight Standards District Office, as
appropriate. If sending information directly
to the manager of the ACO, send it to the
attention of the person identified in the
Related Information section of this AD.
Information may be e-mailed to: 9-ANMSeattle-ACO-AMOC-Requests@faa.gov.
(2) Before using any approved AMOC,
notify your appropriate principal inspector,
or lacking a principal inspector, the manager
of the local flight standards district office/
certificate holding district office.
(3) An AMOC that provides an acceptable
level of safety may be used for any repair
required by this AD if it is approved by the
Boeing Commercial Airplanes Organization
Designation Authorization (ODA) that has
been authorized by the Manager, Seattle ACO
to make those findings. For a repair method
to be approved, the repair must meet the
certification basis of the airplane, and the
approval must specifically refer to this AD.
Related Information
(j) For more information about this AD,
contact Berhane Alazar, Aerospace Engineer,
Airframe Branch, ANM–120S, FAA, Seattle
Aircraft Certification Office, 1601 Lind
Avenue SW., Renton, Washington 98057–
3356; phone (425) 917–6577; fax (425) 917–
6590; e-mail: berhane.alazar@faa.gov.
(k) For service information identified in
this AD, contact Boeing Commercial
Airplanes, Attention: Data & Services
Management, P. O. Box 3707, MC 2H–65,
Seattle, WA 98124–2207; telephone 206–
544–5000, extension 1; fax 206–766–5680;
e-mail me.boecom@boeing.com; Internet
https://www.myboeingfleet.com. You may
review copies of the referenced service
information at the FAA, Transport Airplane
Directorate, 1601 Lind Avenue, SW., Renton,
Washington 98057–3356. For information on
the availability of this material at the FAA,
call 425–227–1221.
Issued in Renton, Washington, on
September 7, 2011.
Jeffrey E. Duven,
Acting Manager, Transport Airplane
Directorate, Aircraft Certification Service.
[FR Doc. 2011–24748 Filed 9–26–11; 8:45 am]
BILLING CODE 4910–13–P
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DEPARTMENT OF THE TREASURY
17 CFR Parts 400, 401, 402, 403, 405,
and 420
[Docket No. BPD GSRS 11–01]
RIN 1535–AA02
Government Securities Act
Regulations; Replacement of
References to Credit Ratings and
Technical Amendments
Office of the Assistant
Secretary for Financial Markets,
Treasury.
ACTION: Proposed rule.
AGENCY:
The Department of the
Treasury (‘‘Treasury’’ or ‘‘We’’) is
issuing this proposed rule to solicit
public comment on a proposed
amendment to the regulations issued
under the Government Securities Act of
1986, as amended (‘‘GSA’’), to replace
references to credit ratings in our rules
with alternative requirements. Section
939A of the Dodd-Frank Wall Street
Reform and Consumer Protection Act of
2010 requires Federal agencies to
remove from their applicable
regulations any reference to or
requirement of reliance on credit ratings
and to substitute a standard of
creditworthiness as the agency
determines appropriate for such
regulations. In this release Treasury is
requesting comment on a substitute
standard of creditworthiness for use in
the liquid capital rule required by GSA
regulations. Separately, we are
proposing in this release several nonsubstantive, technical amendments to
Treasury’s GSA regulations to update
certain information or to delete certain
requirements that are no longer
applicable.
SUMMARY:
Submit comments on or before
November 28, 2011.
ADDRESSES: Comments may be
submitted by any of the following
methods:
DATES:
Electronic Comments
Use the Federal eRulemaking Portal
(https://www.regulations.gov) and follow
the instructions for submitting
comments through the Web site. You
may download this proposed
amendment from https://
www.regulations.gov or the Bureau of
the Public Debt’s Web site at https://
www.treasurydirect.gov.
Paper Comments
Send paper comments to Bureau of
the Public Debt, Government Securities
Regulations Staff, 799 9th Street, NW.,
Washington, DC 20239–0001.
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Federal Register / Vol. 76, No. 187 / Tuesday, September 27, 2011 / Proposed Rules
Please submit your comments using
only one method, along with your full
name and mailing address. We will post
all comments on the Bureau of the
Public Debt’s Web site at https://
www.treasurydirect.gov. The proposed
amendment and comments will also be
available for public inspection and
copying at the Treasury Department
Library, Main Treasury Building, 1500
Pennsylvania Avenue, NW.,
Washington, DC 20220. To visit the
library, call (202) 622–0990 for an
appointment. In general, comments
received, including attachments and
other supporting materials, are part of
the public record and are available to
the public. Do not submit any
information in your comment or
supporting materials that you consider
confidential or inappropriate for public
disclosure.
Lori
Santamorena, Chuck Andreatta, or
Kevin Hawkins, Department of the
Treasury, Bureau of the Public Debt,
Government Securities Regulations
Staff, (202) 504–3632.
FOR FURTHER INFORMATION CONTACT:
We are
proposing to amend Treasury’s liquid
capital rule for registered government
securities brokers and dealers under the
GSA regulations at 17 CFR part 402
(‘‘liquid capital rule’’) to remove
references to credit ratings and
substitute a standard of
creditworthiness. We are proposing this
amendment in order to comply with the
requirements of the Dodd-Frank Wall
Street Reform and Consumer Protection
Act of 2010 (‘‘Dodd-Frank Act’’).1 At the
same time, we are seeking neither to
narrow nor broaden the scope of
financial instruments that would qualify
for beneficial treatment under the
existing rule. Section 939A(a) of the
Dodd-Frank Act requires that Federal
agencies, to the extent applicable,
‘‘review (1) any regulation issued by
such agency that requires the use of an
assessment of the creditworthiness of a
security or money market instrument;
and (2) any references to or
requirements in such regulations
regarding credit ratings.’’ Section
939A(b) requires the agency to modify
any regulations identified to ‘‘remove
any reference to or requirement of
reliance on credit ratings and to
substitute in such regulations such
standard of creditworthiness’’ as the
agency determines to be appropriate for
such regulations.2
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SUPPLEMENTARY INFORMATION:
1 Public
2 See
Law 111–203, 124 Stat. 1376.
Section 939A of the Dodd-Frank Act.
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I. Current Liquid Capital Rule
Treasury’s liquid capital rule (17 CFR
402.2) prescribes minimum regulatory
capital requirements for registered
government securities brokers and
dealers. In general, the liquid capital
rule is a minimum ratio requirement of
liquid capital to risk, as measured using
various ‘‘haircuts.’’ 3 Specifically, a
government securities broker or dealer
may not permit its liquid capital to be
below an amount equal to 120 percent
of ‘‘total haircuts,’’ which is the sum of
‘‘credit risk haircuts’’ and ‘‘market risk
haircuts’’ calculated by each
government securities broker or dealer.4
In describing the method for
registered government securities brokers
and dealers to calculate their minimum
capital requirements, the liquid capital
rule categorizes certain dollardenominated securities, debt
instruments, and derivative instruments
as ‘‘Treasury market risk instruments.’’ 5
These instruments receive a more
favorable capital treatment than
instruments that are more susceptible to
changes in value due to market
fluctuations, which receive a higher
‘‘other securities haircut.’’ 6 The
definition of Treasury market risk
instruments includes commercial paper,
which, in order to receive the more
favorable haircut treatment of Treasury
market risk instruments must be, ‘‘of no
more than one year to maturity [and]
rated in one of the three highest
categories by at least two nationally
recognized statistical rating
organizations.’’ 7
The liquid capital rule includes three
references to a rating by a nationally
recognized statistical rating organization
(‘‘NRSRO’’), i.e., a credit rating, each in
regard to commercial paper. NRSROs
are credit rating agencies that are subject
to Securities and Exchange Commission
registration and oversight.
II. Proposed Amendments to the Liquid
Capital Rule
In conformance with section 939A of
the Dodd-Frank Act, Treasury is
proposing to remove from the liquid
capital rule the three references to credit
ratings 8 that currently are used to
determine whether specific issues of
commercial paper are eligible to be
3 A ‘‘haircut’’ in the context of Treasury’s liquid
capital rule refers to a deduction in the market
value of securities or other instruments held by a
government securities broker or dealer as part of net
worth for calculating its liquid capital.
4 See §§ 402.2(a) and 402.2(g).
5 See § 402.2(e).
6 See § 402.2a(b).
7 See § 402.2(e)(1)(v), § 402.2a—Schedule A
Instructions for Line 3, and § 404.2a—Schedule B.
8 Id.
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treated as Treasury market risk
instruments for haircut purposes. In
place of these references, and as a
substitute alternative standard of
creditworthiness, Treasury is proposing
to amend the term ‘‘Treasury market
risk instrument’’ in the liquid capital
rule to include commercial paper that
‘‘has only a minimal amount of credit
risk as reasonably determined by the
government securities broker or dealer
pursuant to written policies and
procedures the government securities
broker or dealer establishes, maintains,
and enforces to assess
creditworthiness.’’ In making this
assessment, the government securities
broker or dealer would be required to
follow written policies and procedures
that it would establish, maintain, and
enforce. In making an assessment of
credit and liquidity risk, the government
securities broker or dealer could
consider the following factors, to the
extent appropriate, with respect to
commercial paper.9 The range and type
of specific factors considered, and the
frequency of their review, would vary
depending on the particular commercial
paper under review.
• Credit spreads (i.e., whether it is
possible to demonstrate that a position
in commercial paper is subject to a
minimal amount of credit risk based on
the spread between the commercial
paper’s yield and the yield of Treasury
or other securities, or based on credit
default swap spreads that reference the
security);
• Liquidity (i.e., whether the
commercial paper can be sold quickly at
a minimal transaction cost);
• Securities-related research (i.e.,
whether providers of securities-related
research believe the issuer of the
commercial paper will be able to meet
its financial commitments, generally, or
specifically, with respect to the
commercial paper held by the
government securities broker or
government securities dealer);
• Internal or external credit risk
assessments (i.e., whether credit
assessments developed internally by the
government securities broker or
government securities dealer or
externally by a credit rating agency,
irrespective of its status as an NRSRO,
express a view as to the credit risk
associated with a particular security);
9 This list of factors is not exhaustive or mutually
exclusive. It is patterned after the list of factors
proposed by the Securities and Exchange
Commission in its current proposed amendments to
Exchange Act Rule 15c3–1, and the Rule’s
appendices, to remove references to credit ratings
in the Commission’s Net Capital Rule. 76 FR 26550
(May 6, 2011).
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Federal Register / Vol. 76, No. 187 / Tuesday, September 27, 2011 / Proposed Rules
• Default statistics (i.e., whether
providers of credit information relating
to securities express a view that the
commercial paper has a probability of
default consistent with other
commercial paper with a minimal
amount of credit risk);
• Inclusion on an index (i.e., whether
a security, or issuer of the security, is
included as a component of a
recognized index of instruments that are
subject to a minimal amount of credit
risk);
• Price and/or yield (i.e., whether the
price and yield of a security are
consistent with other securities that the
government securities broker or
government securities dealer has
reasonably determined are subject to a
minimal amount of credit risk and
whether the price resulted from active
trading); and
• Factors specific to the commercial
paper market (e.g., general liquidity
conditions).
If the government securities broker or
dealer determines through its
assessment that the commercial paper
has more than a minimal amount of
credit risk, the commercial paper would
not be classified as a Treasury market
risk instrument, and would therefore
receive the less favorable ‘‘other
securities haircut’’ in the liquid capital
computation. Similarly, if the
government securities broker or dealer
does not have written policies and
procedures to assess creditworthiness,
all commercial paper would receive the
‘‘other securities haircut’’ treatment.
Under Treasury’s GSA regulations
that govern recordkeeping
requirements,10 which generally
incorporate the SEC’s Rule 17a–4
recordkeeping requirements for brokers
and dealers,11 each government
securities broker or dealer would be
required to preserve for a period of not
less than three years, the first two years
in an easily accessible place, the written
policies and procedures that it
establishes, maintains, and enforces for
assessing credit risk for commercial
paper. The SEC has proposed amending
Rule 17a–4 to include in the list of
records required to be preserved the
written policies and procedures a
broker-dealer establishes, maintains,
and enforces to assess
creditworthiness.12 No amendment is
necessary to Treasury’s recordkeeping
requirements in § 404.3 because they
10 See
§ 404.3(a).
17 CFR 240.17a–4.
12 76 FR 26552 (May 6, 2011). OMB Control No.
3235–0279.
11 See
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incorporate by reference the SEC’s Rule
17a–4.
A government securities broker’s or
dealer’s process for establishing
creditworthiness and its written policies
and procedures documenting that
process would be subject to review in
regulatory examinations by the SEC and
self-regulatory organizations. There are
three registered government securities
brokers and dealers, none of which
currently or routinely hold commercial
paper.
We are requesting comment on all
aspects of this proposed amendment. In
addition, we request comment on the
following specific questions:
• Is the proposed approach
appropriate or are there alternative
approaches that we should consider?
• What is the expected impact on
government securities brokers and
dealers and other market participants?
• Are there other factors a
government securities broker or dealer
should use when making an assessment
of the credit risk of commercial paper?
• Should the list of factors be
included in the text of the liquid capital
rule? Should the list be published as
guidance?
• How often should a government
securities broker or dealer be required to
update its assessment of the credit risk
of commercial paper to ensure that it
remains current?
• Is the proposed recordkeeping
requirement for government securities
brokers’ and dealers’ written policies
and procedures, as incorporated by
reference to the SEC’s Rule 17a–4 (and
proposed amendments), adequate to
ensure government securities brokers’
and dealers’ compliance with their
written policies and procedures on an
indefinite basis?
• What would be the appropriate
level of regulatory oversight of a
government securities broker or dealer’s
credit determination processes? How
should a government securities broker
or dealer be able to demonstrate to
regulators the adequacy of the processes
that it adopts and that it is following
them?
• How consistent should credit
determination criteria be across brokers
and dealers?
III. Proposed Amendments to Reporting
Requirements and Other Amendments
As part of our review of our Federal
regulations required by Executive Order
13563, we are proposing to streamline
the GSA regulations by deleting certain
requirements. Specifically, we are
proposing to delete the sections in our
reporting requirements that refer to year
2000 (‘‘Y2K’’) readiness reports because
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they are no longer needed.13 We are also
proposing to delete references to various
other requirements in the GSA
regulations that are contingent on
actions to be taken by specific dates in
the past and therefore are no longer
applicable.
IV. Special Analysis
Executive Orders 13563 and 12866
direct agencies to assess costs and
benefits of available regulatory
alternatives and, if regulation is
necessary, to select regulatory
approaches that maximize net benefits
(including potential economic,
environmental, public health and safety
effects, distributive impacts, and
equity). Executive Order 13563
emphasizes the importance of
quantifying both costs and benefits, of
reducing costs, of harmonizing rules,
and of promoting flexibility. This rule
has been designated a ‘‘significant
regulatory action,’’ although not
economically significant, under section
3(f) of Executive Order 12866.
Accordingly, the rule has been reviewed
by the Office of Management and
Budget.
This proposed amendment would
potentially affect three registered
government securities brokers or
dealers, none of which currently or
routinely hold commercial paper.
Accordingly, at this time, Treasury is
not submitting a Paperwork Reduction
Act submission related to the proposed
rule’s information collection
requirements. Additionally, because the
proposed amendment would not have a
significant economic impact on a
substantial number of small entities, a
regulatory flexibility analysis is not
required under the Regulatory
Flexibility Act (5 U.S.C. 601, et seq.).
List of Subjects in 17 CFR Part 400
Administrative practice and
procedure, Banks, banking, Brokers,
Government securities, Reporting and
recordkeeping requirements.
For the reasons set out in the
preamble, we propose that 17 CFR 400.2
be revised as follows:
PART 400—RULES OF GENERAL
APPLICATION
1. The authority citation for part 400
continues to read as follows:
Authority: 15 U.S.C. 78o–5.
2. Section 400.2 is amended by
revising the last sentence of paragraph
(c)(7)(i) to read as follows:
13 See
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§ 405.2 paragraphs (a)(11) through (a)(14).
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Federal Register / Vol. 76, No. 187 / Tuesday, September 27, 2011 / Proposed Rules
§ 400.2 Office responsible for regulations;
filing of requests for exemption, for
interpretations and of other materials.
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(c) * * *
(7) * * *
(i) * * * These documents will be
made available at the following location:
Treasury Department Library, Main
Treasury Building, 1500 Pennsylvania
Avenue, NW., Washington, DC 20220.
List of Subjects in 17 CFR Part 401
Banks, banking, Brokers, Government
securities.
For the reasons set out in the
preamble, we propose that 17 CFR 401.7
and 401.8 be deleted.
PART 401—EXEMPTIONS
1. The authority citation for part 401
continues to read as follows:
Authority: Sec. 101, Pub. L. 99–571, 100
Stat. 3209 (15 U.S.C. 78o–5(a)(4)).
2. Sections 401.7 and 401.8 are
deleted and section 401.9 is
redesignated as section 401.7.
List of Subjects in 17 CFR Part 402
Brokers, Government securities.
For the reasons set out in the
preamble, we propose that 17 CFR
402.2e be deleted and that 402.1, 402.2
and 402.2a be amended as follows:
PART 402—FINANCIAL
RESPONSIBILITY
1. The authority citation for part 402
continues to read as follows:
Authority: 15 U.S.C. 78o-5(b)(1)(A), (b)(4),
Pub. L. 111–203, 124 Stat. 1376.
2. Section 402.1 is amended by
revising paragraph (f) to read as follows:
§ 402.1 Application of part to registered
brokers and dealers and financial
institutions; special rules for futures
commission merchants and government
securities interdealer brokers; effective
date.
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(f) This part shall be effective July 25,
1987.
3. Section 402.2 is amended by
revising paragraphs (b)(1), (b)(2), (c)(1),
(c)(2), and (e)(1)(v) to read as follows:
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§ 402.2 Capital requirements for registered
government securities brokers and dealers.
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(b)(1) Minimum liquid capital for
brokers or dealers that carry customer
accounts. Notwithstanding the
provisions of paragraph (a) of this
section, a government securities broker
or dealer that carries customer or broker
or dealer accounts and receives or holds
funds or securities for those persons
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within the meaning of § 240.15c3–
1(a)(2)(i) of this title, shall have and
maintain liquid capital in an amount
not less than $250,000, after deducting
total haircuts as defined in paragraph (g)
of this section.
(2) Minimum liquid capital for
brokers or dealers that carry customer
accounts, but do not generally hold
customer funds or securities.
Notwithstanding the provisions of
paragraphs (a) and (b)(1) of this section,
a government securities broker or dealer
that carries customer or broker or dealer
accounts and is exempt from the
provisions of § 240.15c3–3 of this title,
as made applicable to government
securities brokers and dealers by § 403.4
of this chapter, pursuant to paragraph
(k)(2)(i), shall have and maintain liquid
capital in an amount not less than
$100,000, after deducting total haircuts
as defined in paragraph (g) of this
section.
(c)(1) Minimum liquid capital for
introducing brokers that receive
securities. Notwithstanding the
provisions of paragraphs (a) and (b) of
this section, a government securities
broker or dealer that introduces on a
fully disclosed basis transactions and
accounts of customers to another
registered or noticed government
securities broker or dealer but does not
receive, directly or indirectly, funds
from or for, or owe funds to, customers,
and does not carry the accounts of, or
for, customers shall have and maintain
liquid capital in an amount not less than
$50,000, after deducting total haircuts as
defined in paragraph (g) of this section.
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(2) Minimum liquid capital for
introducing brokers that do not receive
or handle customer funds or securities.
Notwithstanding the provisions of
paragraphs (a), (b) and (c)(1) of this
section, a government securities broker
or dealer that does not receive, directly
or indirectly, or hold funds or securities
for, or owe funds or securities to,
customers, and does not carry accounts
of, or for, customers and that effects ten
or fewer transactions in securities in any
one calendar year for its own
investment account shall have and
maintain liquid capital in an amount
not less than $25,000, after deducting
total haircuts as defined in paragraph (g)
of this section.
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(e) * * *
(1) * * *
(v) Commercial paper of no more than
one year to maturity and which has only
a minimal amount of credit risk as
reasonably determined by the
government securities broker or dealer
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59595
pursuant to written policies and
procedures the government securities
broker or dealer establishes, maintains,
and enforces to assess creditworthiness;
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4. Section 402.2a is amended by
revising the Instructions to Schedule A,
Line 3, paragraph c., and Instructions to
Schedule B, Columns 3 and 4,
paragraph (5) to read as follows:
§ 402.2a Appendix A—Calculation of
market risk haircut for purposes of
§ 402.2(g)(2).
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Instructions to Schedules A Through E
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Schedule A—Liquid Capital Requirement
Summary Computation
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c. Enter the credit volatility haircut which
equals a factor of 0.15 percent applied to the
larger of the gross long or gross short position
in money market instruments qualifying as
Treasury market risk instruments which
mature in 45 days or more, in futures and
forwards on these instruments that are settled
on a cash or delivery basis, and in futures
and forwards on time deposits described in
§ 402.2(e)(1)(vii), that mature in 45 days or
more, settled on a cash or delivery basis.
Money market instruments qualifying as
Treasury market risk instruments are (1)
Marketable certificates of deposit with no
more than one year to maturity, (2) bankers
acceptances, and (3) commercial paper of no
more than one year to maturity and which
has only a minimal amount of credit risk as
reasonably determined by the government
securities broker or dealer pursuant to
written policies and procedures the
government securities broker or government
securities dealer establishes, maintains, and
enforces to assess creditworthiness.
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Schedule B—Calculation of Net Immediate
Position in Securities and Financings
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(5) Commercial paper of no more than one
year to maturity and which has only a
minimal amount of credit risk as reasonably
determined by the government securities
broker or dealer pursuant to written policies
and procedures the government securities
broker or dealer establishes, maintains, and
enforces to assess creditworthiness; and
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§ 402.5a
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*
*
[Deleted]
5. Section 402.5a is deleted.
List of Subjects in 17 CFR Part 403
Banks, banking, Brokers, Government
securities.
For the reasons set out in the
preamble, 17 CFR part 403 is amended
as follows:
E:\FR\FM\27SEP1.SGM
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59596
Federal Register / Vol. 76, No. 187 / Tuesday, September 27, 2011 / Proposed Rules
PART 403—PROTECTION OF
CUSTOMER SECURITIES AND
BALANCES
making and maintaining the records
prescribed in this section.
*
*
*
*
*
material to the docket, call Renee V.
Wright, Program Manager, Docket
Operations, telephone 202–366–9826.
1. The authority citation for part 403
continues to read as follows:
Mary J. Miller,
Assistant Secretary for Financial Markets.
SUPPLEMENTARY INFORMATION:
Authority: Sec. 101, Pub. L. 99–571, 100
Stat. 3209; sec. 4(b), Pub. L. 101–432, 104
Stat. 963; sec. 102, sec. 106, Pub. L. 103–202,
107 Stat. 2344 (15 U.S.C. 78o–5(a)(5),
(b)(1)(A), (b)(4)).
[FR Doc. 2011–24785 Filed 9–26–11; 8:45 am]
Public Participation and Request for
Comments
BILLING CODE 4810–39–P
2. Section 403.7 is amended by
deleting paragraphs (d) and (e).
Coast Guard
List of Subjects in 17 CFR Part 405
33 CFR Part 110
We encourage you to participate in
this rulemaking by submitting
comments and related materials. All
comments received will be posted,
without change, to https://
www.regulations.gov and will include
any personal information you have
provided.
Brokers, Government securities,
Reporting and recordkeeping
requirements.
For the reasons set forth in the
preamble, we propose that 17 CFR 405.2
and 405.5 be amended as follows:
[Docket No. USCG–2011–0443]
Submitting Comments
RIN 1625–AA01
If you submit a comment, please
include the docket number for this
rulemaking (USCG–2011–0443),
indicate the specific section of this
document to which each comment
applies, and provide a reason for each
suggestion or recommendation. You
may submit your comments and
material online (via https://
www.regulations.gov), or by fax, mail or
hand delivery, but please use only one
of these means. If you submit a
comment online via https://
www.regulations.gov, it will be
considered received by the Coast Guard
when you successfully transmit the
comment. If you fax, hand deliver, or
mail your comment, it will be
considered as having been received by
the Coast Guard when it is received at
the Docket Management Facility. We
recommend that you include your name
and a mailing address, an e-mail
address, or a phone number in the body
of your document so that we can contact
you if we have questions regarding your
submission.
To submit your comment online, go to
https://www.regulations.gov, click on the
‘‘submit a comment’’ box, which will
then become highlighted in blue. In the
‘‘Document Type’’ drop down menu
select ‘‘Proposed Rule’’ and insert
‘‘USCG–2011–0443’’ in the ‘‘Keyword’’
box. Click ‘‘Search’’ then click on the
balloon shape in the ‘‘Actions’’ column.
If you submit your comments by mail or
hand delivery, submit them in an
unbound format, no larger than 8c by 11
inches, suitable for copying and
electronic filing. If you submit
comments by mail and would like to
know that they reached the Facility,
please enclose a stamped, self-addressed
postcard or envelope. We will consider
all comments and material received
during the comment period and may
change the rule based on your
comments.
§ 403.7
[Amended]
Anchorage Regulations; Newport, RI
Coast Guard, DHS.
Notice of proposed rulemaking.
AGENCY:
ACTION:
PART 405—REPORTS AND AUDIT
2. Section 420.4 is amended by
deleting paragraphs (a)(2) and (a)(3), and
redesignating paragraph (a)(1) as
paragraph (a) to read as follows:
The Coast Guard proposes to
change the shape and expand the
dimensions of anchorage ‘‘D’’ at
Newport, Rhode Island, to better
accommodate increasing cruise ship
visits to Newport and to improve
navigation safety.
DATES: Comments and related material,
including requests for public meetings,
must be received by the Coast Guard on
or before October 27, 2011.
ADDRESSES: You may submit comments
identified by docket number USCG–
2011–0443 using any one of the
following methods:
(1) Federal eRulemaking Portal:
https://www.regulations.gov.
(2) Fax: 202–493–2251.
(3) Mail: Docket Management Facility
(M–30), U.S. Department of
Transportation, West Building Ground
Floor, Room W12–140, 1200 New Jersey
Avenue, SE., Washington, DC 20590–
0001.
(4) Hand delivery: Same as mail
address above, between 9 a.m. and 5
p.m., Monday through Friday, except
Federal holidays. The telephone number
is 202–366–9329.
To avoid duplication, please use only
one of these methods. See the ‘‘Public
Participation and Request for
Comments’’ portion of the
SUPPLEMENTARY INFORMATION section
below.
§ 420.4
FOR FURTHER INFORMATION CONTACT:
1. The authority citation for part 405
continues to read as follows:
Authority: 15 U.S.C. 78o–5 (b)(1)(B),
(b)(1)(C), (b)(2), (b)(4).
§ 405.2
[Amended]
2. Section 405.2 is amended by
deleting paragraphs (a)(11) through
(a)(14) and redesignating paragraphs
(a)(15) and (a)(16) as paragraphs (a)(11)
and (a)(12), respectively.
§ 405.5
[Amended]
3. Section 405.5 is amended by
deleting paragraph (a)(7).
List of Subjects in 17 CFR Part 420
Foreign investments in U.S.,
Government securities, Investments,
Reporting and recordkeeping
requirements.
For the reasons stated in the
preamble, we propose that 17 CFR part
420 be amended as follows:
PART 420—LARGE POSITION
REPORTING
1. The authority citation for part 420
continues to read as follows:
Authority: 15 U.S.C. 78o–5(f).
mstockstill on DSK7SPTVN1PROD with PROPOSALS
DEPARTMENT OF HOMELAND
SECURITY
Recordkeeping.
(a) An aggregating entity that controls
a portion of its reporting entity’s
reportable position in a recently-issued
Treasury security, when such reportable
position of the reporting entity equals or
exceeds the minimum large position
threshold, shall be responsible for
VerDate Mar<15>2010
18:38 Sep 26, 2011
Jkt 223001
SUMMARY:
If
you have questions on this proposed
rule, call Mr. Edward G. LeBlanc, Chief,
Waterways Management Division, Coast
Guard Sector Southeastern New
England, at 401–435–2351, or
Edward.G.LeBlanc@uscg.mil. If you
have questions on viewing or submitting
PO 00000
Frm 00007
Fmt 4702
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]]>Agencies
[Federal Register Volume 76, Number 187 (Tuesday, September 27, 2011)]
[Proposed Rules]
[Pages 59592-59596]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2011-24785]
=======================================================================
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DEPARTMENT OF THE TREASURY
17 CFR Parts 400, 401, 402, 403, 405, and 420
[Docket No. BPD GSRS 11-01]
RIN 1535-AA02
Government Securities Act Regulations; Replacement of References
to Credit Ratings and Technical Amendments
AGENCY: Office of the Assistant Secretary for Financial Markets,
Treasury.
ACTION: Proposed rule.
-----------------------------------------------------------------------
SUMMARY: The Department of the Treasury (``Treasury'' or ``We'') is
issuing this proposed rule to solicit public comment on a proposed
amendment to the regulations issued under the Government Securities Act
of 1986, as amended (``GSA''), to replace references to credit ratings
in our rules with alternative requirements. Section 939A of the Dodd-
Frank Wall Street Reform and Consumer Protection Act of 2010 requires
Federal agencies to remove from their applicable regulations any
reference to or requirement of reliance on credit ratings and to
substitute a standard of creditworthiness as the agency determines
appropriate for such regulations. In this release Treasury is
requesting comment on a substitute standard of creditworthiness for use
in the liquid capital rule required by GSA regulations. Separately, we
are proposing in this release several non-substantive, technical
amendments to Treasury's GSA regulations to update certain information
or to delete certain requirements that are no longer applicable.
DATES: Submit comments on or before November 28, 2011.
ADDRESSES: Comments may be submitted by any of the following methods:
Electronic Comments
Use the Federal eRulemaking Portal (https://www.regulations.gov) and
follow the instructions for submitting comments through the Web site.
You may download this proposed amendment from https://www.regulations.gov or the Bureau of the Public Debt's Web site at
https://www.treasurydirect.gov.
Paper Comments
Send paper comments to Bureau of the Public Debt, Government
Securities Regulations Staff, 799 9th Street, NW., Washington, DC
20239-0001.
[[Page 59593]]
Please submit your comments using only one method, along with your
full name and mailing address. We will post all comments on the Bureau
of the Public Debt's Web site at https://www.treasurydirect.gov. The
proposed amendment and comments will also be available for public
inspection and copying at the Treasury Department Library, Main
Treasury Building, 1500 Pennsylvania Avenue, NW., Washington, DC 20220.
To visit the library, call (202) 622-0990 for an appointment. In
general, comments received, including attachments and other supporting
materials, are part of the public record and are available to the
public. Do not submit any information in your comment or supporting
materials that you consider confidential or inappropriate for public
disclosure.
FOR FURTHER INFORMATION CONTACT: Lori Santamorena, Chuck Andreatta, or
Kevin Hawkins, Department of the Treasury, Bureau of the Public Debt,
Government Securities Regulations Staff, (202) 504-3632.
SUPPLEMENTARY INFORMATION: We are proposing to amend Treasury's liquid
capital rule for registered government securities brokers and dealers
under the GSA regulations at 17 CFR part 402 (``liquid capital rule'')
to remove references to credit ratings and substitute a standard of
creditworthiness. We are proposing this amendment in order to comply
with the requirements of the Dodd-Frank Wall Street Reform and Consumer
Protection Act of 2010 (``Dodd-Frank Act'').\1\ At the same time, we
are seeking neither to narrow nor broaden the scope of financial
instruments that would qualify for beneficial treatment under the
existing rule. Section 939A(a) of the Dodd-Frank Act requires that
Federal agencies, to the extent applicable, ``review (1) any regulation
issued by such agency that requires the use of an assessment of the
creditworthiness of a security or money market instrument; and (2) any
references to or requirements in such regulations regarding credit
ratings.'' Section 939A(b) requires the agency to modify any
regulations identified to ``remove any reference to or requirement of
reliance on credit ratings and to substitute in such regulations such
standard of creditworthiness'' as the agency determines to be
appropriate for such regulations.\2\
---------------------------------------------------------------------------
\1\ Public Law 111-203, 124 Stat. 1376.
\2\ See Section 939A of the Dodd-Frank Act.
---------------------------------------------------------------------------
I. Current Liquid Capital Rule
Treasury's liquid capital rule (17 CFR 402.2) prescribes minimum
regulatory capital requirements for registered government securities
brokers and dealers. In general, the liquid capital rule is a minimum
ratio requirement of liquid capital to risk, as measured using various
``haircuts.'' \3\ Specifically, a government securities broker or
dealer may not permit its liquid capital to be below an amount equal to
120 percent of ``total haircuts,'' which is the sum of ``credit risk
haircuts'' and ``market risk haircuts'' calculated by each government
securities broker or dealer.\4\
---------------------------------------------------------------------------
\3\ A ``haircut'' in the context of Treasury's liquid capital
rule refers to a deduction in the market value of securities or
other instruments held by a government securities broker or dealer
as part of net worth for calculating its liquid capital.
\4\ See Sec. Sec. 402.2(a) and 402.2(g).
---------------------------------------------------------------------------
In describing the method for registered government securities
brokers and dealers to calculate their minimum capital requirements,
the liquid capital rule categorizes certain dollar-denominated
securities, debt instruments, and derivative instruments as ``Treasury
market risk instruments.'' \5\ These instruments receive a more
favorable capital treatment than instruments that are more susceptible
to changes in value due to market fluctuations, which receive a higher
``other securities haircut.'' \6\ The definition of Treasury market
risk instruments includes commercial paper, which, in order to receive
the more favorable haircut treatment of Treasury market risk
instruments must be, ``of no more than one year to maturity [and] rated
in one of the three highest categories by at least two nationally
recognized statistical rating organizations.'' \7\
---------------------------------------------------------------------------
\5\ See Sec. 402.2(e).
\6\ See Sec. 402.2a(b).
\7\ See Sec. 402.2(e)(1)(v), Sec. 402.2a--Schedule A
Instructions for Line 3, and Sec. 404.2a--Schedule B.
---------------------------------------------------------------------------
The liquid capital rule includes three references to a rating by a
nationally recognized statistical rating organization (``NRSRO''),
i.e., a credit rating, each in regard to commercial paper. NRSROs are
credit rating agencies that are subject to Securities and Exchange
Commission registration and oversight.
II. Proposed Amendments to the Liquid Capital Rule
In conformance with section 939A of the Dodd-Frank Act, Treasury is
proposing to remove from the liquid capital rule the three references
to credit ratings \8\ that currently are used to determine whether
specific issues of commercial paper are eligible to be treated as
Treasury market risk instruments for haircut purposes. In place of
these references, and as a substitute alternative standard of
creditworthiness, Treasury is proposing to amend the term ``Treasury
market risk instrument'' in the liquid capital rule to include
commercial paper that ``has only a minimal amount of credit risk as
reasonably determined by the government securities broker or dealer
pursuant to written policies and procedures the government securities
broker or dealer establishes, maintains, and enforces to assess
creditworthiness.'' In making this assessment, the government
securities broker or dealer would be required to follow written
policies and procedures that it would establish, maintain, and enforce.
In making an assessment of credit and liquidity risk, the government
securities broker or dealer could consider the following factors, to
the extent appropriate, with respect to commercial paper.\9\ The range
and type of specific factors considered, and the frequency of their
review, would vary depending on the particular commercial paper under
review.
---------------------------------------------------------------------------
\8\ Id.
\9\ This list of factors is not exhaustive or mutually
exclusive. It is patterned after the list of factors proposed by the
Securities and Exchange Commission in its current proposed
amendments to Exchange Act Rule 15c3-1, and the Rule's appendices,
to remove references to credit ratings in the Commission's Net
Capital Rule. 76 FR 26550 (May 6, 2011).
---------------------------------------------------------------------------
Credit spreads (i.e., whether it is possible to
demonstrate that a position in commercial paper is subject to a minimal
amount of credit risk based on the spread between the commercial
paper's yield and the yield of Treasury or other securities, or based
on credit default swap spreads that reference the security);
Liquidity (i.e., whether the commercial paper can be sold
quickly at a minimal transaction cost);
Securities-related research (i.e., whether providers of
securities-related research believe the issuer of the commercial paper
will be able to meet its financial commitments, generally, or
specifically, with respect to the commercial paper held by the
government securities broker or government securities dealer);
Internal or external credit risk assessments (i.e.,
whether credit assessments developed internally by the government
securities broker or government securities dealer or externally by a
credit rating agency, irrespective of its status as an NRSRO, express a
view as to the credit risk associated with a particular security);
[[Page 59594]]
Default statistics (i.e., whether providers of credit
information relating to securities express a view that the commercial
paper has a probability of default consistent with other commercial
paper with a minimal amount of credit risk);
Inclusion on an index (i.e., whether a security, or issuer
of the security, is included as a component of a recognized index of
instruments that are subject to a minimal amount of credit risk);
Price and/or yield (i.e., whether the price and yield of a
security are consistent with other securities that the government
securities broker or government securities dealer has reasonably
determined are subject to a minimal amount of credit risk and whether
the price resulted from active trading); and
Factors specific to the commercial paper market (e.g.,
general liquidity conditions).
If the government securities broker or dealer determines through
its assessment that the commercial paper has more than a minimal amount
of credit risk, the commercial paper would not be classified as a
Treasury market risk instrument, and would therefore receive the less
favorable ``other securities haircut'' in the liquid capital
computation. Similarly, if the government securities broker or dealer
does not have written policies and procedures to assess
creditworthiness, all commercial paper would receive the ``other
securities haircut'' treatment.
Under Treasury's GSA regulations that govern recordkeeping
requirements,\10\ which generally incorporate the SEC's Rule 17a-4
recordkeeping requirements for brokers and dealers,\11\ each government
securities broker or dealer would be required to preserve for a period
of not less than three years, the first two years in an easily
accessible place, the written policies and procedures that it
establishes, maintains, and enforces for assessing credit risk for
commercial paper. The SEC has proposed amending Rule 17a-4 to include
in the list of records required to be preserved the written policies
and procedures a broker-dealer establishes, maintains, and enforces to
assess creditworthiness.\12\ No amendment is necessary to Treasury's
recordkeeping requirements in Sec. 404.3 because they incorporate by
reference the SEC's Rule 17a-4.
---------------------------------------------------------------------------
\10\ See Sec. 404.3(a).
\11\ See 17 CFR 240.17a-4.
\12\ 76 FR 26552 (May 6, 2011). OMB Control No. 3235-0279.
---------------------------------------------------------------------------
A government securities broker's or dealer's process for
establishing creditworthiness and its written policies and procedures
documenting that process would be subject to review in regulatory
examinations by the SEC and self-regulatory organizations. There are
three registered government securities brokers and dealers, none of
which currently or routinely hold commercial paper.
We are requesting comment on all aspects of this proposed
amendment. In addition, we request comment on the following specific
questions:
Is the proposed approach appropriate or are there
alternative approaches that we should consider?
What is the expected impact on government securities
brokers and dealers and other market participants?
Are there other factors a government securities broker or
dealer should use when making an assessment of the credit risk of
commercial paper?
Should the list of factors be included in the text of the
liquid capital rule? Should the list be published as guidance?
How often should a government securities broker or dealer
be required to update its assessment of the credit risk of commercial
paper to ensure that it remains current?
Is the proposed recordkeeping requirement for government
securities brokers' and dealers' written policies and procedures, as
incorporated by reference to the SEC's Rule 17a-4 (and proposed
amendments), adequate to ensure government securities brokers' and
dealers' compliance with their written policies and procedures on an
indefinite basis?
What would be the appropriate level of regulatory
oversight of a government securities broker or dealer's credit
determination processes? How should a government securities broker or
dealer be able to demonstrate to regulators the adequacy of the
processes that it adopts and that it is following them?
How consistent should credit determination criteria be
across brokers and dealers?
III. Proposed Amendments to Reporting Requirements and Other Amendments
As part of our review of our Federal regulations required by
Executive Order 13563, we are proposing to streamline the GSA
regulations by deleting certain requirements. Specifically, we are
proposing to delete the sections in our reporting requirements that
refer to year 2000 (``Y2K'') readiness reports because they are no
longer needed.\13\ We are also proposing to delete references to
various other requirements in the GSA regulations that are contingent
on actions to be taken by specific dates in the past and therefore are
no longer applicable.
---------------------------------------------------------------------------
\13\ See Sec. 405.2 paragraphs (a)(11) through (a)(14).
---------------------------------------------------------------------------
IV. Special Analysis
Executive Orders 13563 and 12866 direct agencies to assess costs
and benefits of available regulatory alternatives and, if regulation is
necessary, to select regulatory approaches that maximize net benefits
(including potential economic, environmental, public health and safety
effects, distributive impacts, and equity). Executive Order 13563
emphasizes the importance of quantifying both costs and benefits, of
reducing costs, of harmonizing rules, and of promoting flexibility.
This rule has been designated a ``significant regulatory action,''
although not economically significant, under section 3(f) of Executive
Order 12866. Accordingly, the rule has been reviewed by the Office of
Management and Budget.
This proposed amendment would potentially affect three registered
government securities brokers or dealers, none of which currently or
routinely hold commercial paper. Accordingly, at this time, Treasury is
not submitting a Paperwork Reduction Act submission related to the
proposed rule's information collection requirements. Additionally,
because the proposed amendment would not have a significant economic
impact on a substantial number of small entities, a regulatory
flexibility analysis is not required under the Regulatory Flexibility
Act (5 U.S.C. 601, et seq.).
List of Subjects in 17 CFR Part 400
Administrative practice and procedure, Banks, banking, Brokers,
Government securities, Reporting and recordkeeping requirements.
For the reasons set out in the preamble, we propose that 17 CFR
400.2 be revised as follows:
PART 400--RULES OF GENERAL APPLICATION
1. The authority citation for part 400 continues to read as
follows:
Authority: 15 U.S.C. 78o-5.
2. Section 400.2 is amended by revising the last sentence of
paragraph (c)(7)(i) to read as follows:
[[Page 59595]]
Sec. 400.2 Office responsible for regulations; filing of requests for
exemption, for interpretations and of other materials.
* * * * *
(c) * * *
(7) * * *
(i) * * * These documents will be made available at the following
location: Treasury Department Library, Main Treasury Building, 1500
Pennsylvania Avenue, NW., Washington, DC 20220.
List of Subjects in 17 CFR Part 401
Banks, banking, Brokers, Government securities.
For the reasons set out in the preamble, we propose that 17 CFR
401.7 and 401.8 be deleted.
PART 401--EXEMPTIONS
1. The authority citation for part 401 continues to read as
follows:
Authority: Sec. 101, Pub. L. 99-571, 100 Stat. 3209 (15 U.S.C.
78o-5(a)(4)).
2. Sections 401.7 and 401.8 are deleted and section 401.9 is
redesignated as section 401.7.
List of Subjects in 17 CFR Part 402
Brokers, Government securities.
For the reasons set out in the preamble, we propose that 17 CFR
402.2e be deleted and that 402.1, 402.2 and 402.2a be amended as
follows:
PART 402--FINANCIAL RESPONSIBILITY
1. The authority citation for part 402 continues to read as
follows:
Authority: 15 U.S.C. 78o-5(b)(1)(A), (b)(4), Pub. L. 111-203,
124 Stat. 1376.
2. Section 402.1 is amended by revising paragraph (f) to read as
follows:
Sec. 402.1 Application of part to registered brokers and dealers and
financial institutions; special rules for futures commission merchants
and government securities interdealer brokers; effective date.
* * * * *
(f) This part shall be effective July 25, 1987.
3. Section 402.2 is amended by revising paragraphs (b)(1), (b)(2),
(c)(1), (c)(2), and (e)(1)(v) to read as follows:
Sec. 402.2 Capital requirements for registered government securities
brokers and dealers.
* * * * *
(b)(1) Minimum liquid capital for brokers or dealers that carry
customer accounts. Notwithstanding the provisions of paragraph (a) of
this section, a government securities broker or dealer that carries
customer or broker or dealer accounts and receives or holds funds or
securities for those persons within the meaning of Sec. 240.15c3-
1(a)(2)(i) of this title, shall have and maintain liquid capital in an
amount not less than $250,000, after deducting total haircuts as
defined in paragraph (g) of this section.
(2) Minimum liquid capital for brokers or dealers that carry
customer accounts, but do not generally hold customer funds or
securities. Notwithstanding the provisions of paragraphs (a) and (b)(1)
of this section, a government securities broker or dealer that carries
customer or broker or dealer accounts and is exempt from the provisions
of Sec. 240.15c3-3 of this title, as made applicable to government
securities brokers and dealers by Sec. 403.4 of this chapter, pursuant
to paragraph (k)(2)(i), shall have and maintain liquid capital in an
amount not less than $100,000, after deducting total haircuts as
defined in paragraph (g) of this section.
(c)(1) Minimum liquid capital for introducing brokers that receive
securities. Notwithstanding the provisions of paragraphs (a) and (b) of
this section, a government securities broker or dealer that introduces
on a fully disclosed basis transactions and accounts of customers to
another registered or noticed government securities broker or dealer
but does not receive, directly or indirectly, funds from or for, or owe
funds to, customers, and does not carry the accounts of, or for,
customers shall have and maintain liquid capital in an amount not less
than $50,000, after deducting total haircuts as defined in paragraph
(g) of this section.
* * * * *
(2) Minimum liquid capital for introducing brokers that do not
receive or handle customer funds or securities. Notwithstanding the
provisions of paragraphs (a), (b) and (c)(1) of this section, a
government securities broker or dealer that does not receive, directly
or indirectly, or hold funds or securities for, or owe funds or
securities to, customers, and does not carry accounts of, or for,
customers and that effects ten or fewer transactions in securities in
any one calendar year for its own investment account shall have and
maintain liquid capital in an amount not less than $25,000, after
deducting total haircuts as defined in paragraph (g) of this section.
* * * * *
(e) * * *
(1) * * *
(v) Commercial paper of no more than one year to maturity and which
has only a minimal amount of credit risk as reasonably determined by
the government securities broker or dealer pursuant to written policies
and procedures the government securities broker or dealer establishes,
maintains, and enforces to assess creditworthiness;
* * * * *
4. Section 402.2a is amended by revising the Instructions to
Schedule A, Line 3, paragraph c., and Instructions to Schedule B,
Columns 3 and 4, paragraph (5) to read as follows:
Sec. 402.2a Appendix A--Calculation of market risk haircut for
purposes of Sec. 402.2(g)(2).
* * * * *
Instructions to Schedules A Through E
* * * * *
Schedule A--Liquid Capital Requirement Summary Computation
* * * * *
c. Enter the credit volatility haircut which equals a factor of
0.15 percent applied to the larger of the gross long or gross short
position in money market instruments qualifying as Treasury market
risk instruments which mature in 45 days or more, in futures and
forwards on these instruments that are settled on a cash or delivery
basis, and in futures and forwards on time deposits described in
Sec. 402.2(e)(1)(vii), that mature in 45 days or more, settled on a
cash or delivery basis. Money market instruments qualifying as
Treasury market risk instruments are (1) Marketable certificates of
deposit with no more than one year to maturity, (2) bankers
acceptances, and (3) commercial paper of no more than one year to
maturity and which has only a minimal amount of credit risk as
reasonably determined by the government securities broker or dealer
pursuant to written policies and procedures the government
securities broker or government securities dealer establishes,
maintains, and enforces to assess creditworthiness.
* * * * *
Schedule B--Calculation of Net Immediate Position in Securities and
Financings
* * * * *
(5) Commercial paper of no more than one year to maturity and
which has only a minimal amount of credit risk as reasonably
determined by the government securities broker or dealer pursuant to
written policies and procedures the government securities broker or
dealer establishes, maintains, and enforces to assess
creditworthiness; and
* * * * *
Sec. 402.5a [Deleted]
5. Section 402.5a is deleted.
List of Subjects in 17 CFR Part 403
Banks, banking, Brokers, Government securities.
For the reasons set out in the preamble, 17 CFR part 403 is amended
as follows:
[[Page 59596]]
PART 403--PROTECTION OF CUSTOMER SECURITIES AND BALANCES
1. The authority citation for part 403 continues to read as
follows:
Authority: Sec. 101, Pub. L. 99-571, 100 Stat. 3209; sec. 4(b),
Pub. L. 101-432, 104 Stat. 963; sec. 102, sec. 106, Pub. L. 103-202,
107 Stat. 2344 (15 U.S.C. 78o-5(a)(5), (b)(1)(A), (b)(4)).
Sec. 403.7 [Amended]
2. Section 403.7 is amended by deleting paragraphs (d) and (e).
List of Subjects in 17 CFR Part 405
Brokers, Government securities, Reporting and recordkeeping
requirements.
For the reasons set forth in the preamble, we propose that 17 CFR
405.2 and 405.5 be amended as follows:
PART 405--REPORTS AND AUDIT
1. The authority citation for part 405 continues to read as
follows:
Authority: 15 U.S.C. 78o-5 (b)(1)(B), (b)(1)(C), (b)(2), (b)(4).
Sec. 405.2 [Amended]
2. Section 405.2 is amended by deleting paragraphs (a)(11) through
(a)(14) and redesignating paragraphs (a)(15) and (a)(16) as paragraphs
(a)(11) and (a)(12), respectively.
Sec. 405.5 [Amended]
3. Section 405.5 is amended by deleting paragraph (a)(7).
List of Subjects in 17 CFR Part 420
Foreign investments in U.S., Government securities, Investments,
Reporting and recordkeeping requirements.
For the reasons stated in the preamble, we propose that 17 CFR part
420 be amended as follows:
PART 420--LARGE POSITION REPORTING
1. The authority citation for part 420 continues to read as
follows:
Authority: 15 U.S.C. 78o-5(f).
2. Section 420.4 is amended by deleting paragraphs (a)(2) and
(a)(3), and redesignating paragraph (a)(1) as paragraph (a) to read as
follows:
Sec. 420.4 Recordkeeping.
(a) An aggregating entity that controls a portion of its reporting
entity's reportable position in a recently-issued Treasury security,
when such reportable position of the reporting entity equals or exceeds
the minimum large position threshold, shall be responsible for making
and maintaining the records prescribed in this section.
* * * * *
Mary J. Miller,
Assistant Secretary for Financial Markets.
[FR Doc. 2011-24785 Filed 9-26-11; 8:45 am]
BILLING CODE 4810-39-P
