Self-Regulatory Organizations; National Securities Clearing Corporation; Notice of Filing of a Proposed Rule Change To Expand the Application of the Family-Issued Securities Charge, 35563-35566 [2017-15993]
Download as PDF
<![CDATA[
Federal Register / Vol. 82, No. 145 / Monday, July 31, 2017 / Notices
G. Terms of Access to Transaction
Reports
Not applicable.
By the Commission.
Brent J. Fields,
Secretary.
H. Identification of Marketplace of
Execution
Not applicable.
[FR Doc. 2017–16000 Filed 7–28–17; 8:45 am]
III. Solicitation of Comments
The Commission seeks general
comments on the Amendments.
Interested persons are invited to submit
written data, views, and arguments
concerning the foregoing, including
whether the proposed Amendments are
consistent with the Act. Comments may
be submitted by any of the following
methods:
SECURITIES AND EXCHANGE
COMMISSION
BILLING CODE 8011–01–P
sradovich on DSKBCFCHB2PROD with NOTICES
Electronic Comments
• Use the Commission’s Internet
comment form (https://www.sec.gov/
rules/sro.shtml); or
• Send an email to rule-comments@
sec.gov. Please include File Number SR–
CTA/CQ–2017–03 on the subject line.
Paper Comments
• Send paper comments in triplicate
to Brent J. Fields, Secretary, Securities
and Exchange Commission, 100 F Street
NE., Washington, DC 20549–1090.
All submissions should refer to File
Number SR–CTA/CQ–2017–03. 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
Web site (https://www.sec.gov/rules/
sro.shtml). Copies of the submission, all
written statements with respect to the
proposed Amendments that are filed
with the Commission, and all written
communications relating to the
proposed Amendments 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 Web site 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 Web site
viewing and printing at the principal
office of the Plans. All comments
received will be posted without change;
the Commission does not edit personal
identifying information from
submissions. You should submit only
information that you wish to make
available publicly. All submissions
should refer to File Number SR–CTA/
CQ–2017–03 and should be submitted
on or before August 21, 2017.
VerDate Sep<11>2014
17:38 Jul 28, 2017
Jkt 241001
[Release No. 34–81203; File No. SR–NSCC–
2017–010]
Self-Regulatory Organizations;
National Securities Clearing
Corporation; Notice of Filing of a
Proposed Rule Change To Expand the
Application of the Family-Issued
Securities Charge
July 25, 2017.
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 July 10,
2017, National Securities Clearing
Corporation (‘‘NSCC’’) 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.3 The
Commission is publishing this notice to
solicit comments on the proposed rule
change from interested persons.
I. Clearing Agency’s Statement of the
Terms of Substance of the Proposed
Rule Change
The proposed change consists of
amendments to the NSCC Rules and
Procedures (‘‘Rules’’) 4 in order to (i)
expand the application of NSCC’s
existing family-issued securities charge 5
to apply to all Members, as described
below, and (ii) include a definition of
‘‘Family-Issued Security’’ as a security
that was issued by a Member or by an
affiliate of that Member, as described in
greater detail below.
U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 On July 10, 2017, NSCC filed this proposed rule
change as an advance notice (SR–NSCC–2017–804)
with the Commission pursuant to Section 806(e)(1)
of the Dodd-Frank Wall Street Reform and
Consumer Protection Act entitled the Payment,
Clearing, and Settlement Supervision Act of 2010,
12 U.S.C. 5465(e)(1), and Rule 19b–4(n)(1)(i) of the
Act, 17 CFR 240.19b–4(n)(1)(i). A copy of the
advance notice is available at https://www.dtcc.com/
legal/sec-rule-filings.aspx.
4 Terms not defined herein are defined in the
Rules, available at www.dtcc.com/∼/media/Files/
Downloads/legal/rules/nscc_rules.pdf.
5 The family-issued securities charge is currently
described in Procedure XV, Section I.(B)(1) of the
Rules, supra note 4.
PO 00000
1 15
2 17
Frm 00057
Fmt 4703
Sfmt 4703
35563
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
Currently, in calculating its Members’
required deposits to the Clearing Fund,
NSCC excludes positions in FamilyIssued Securities of certain Members
from its parametric volatility Clearing
Fund component (‘‘VaR Charge’’), and
instead charges an amount calculated by
multiplying the absolute value of the
long, net unsettled positions in that
Member’s Family-Issued Securities by a
percentage that is no less than 40
percent (‘‘FIS Charge’’). The FIS Charge
is currently only applied to Members
that are rated 5, 6, or 7 on the Credit
Risk Rating Matrix (‘‘CRRM’’). The
proposed change would expand the
application of the FIS Charge to the
positions in Family-Issued Securities of
all Members to help NSCC cover the
specific wrong-way risk posed by
Family-Issued Securities, as described
further below.6 Therefore, NSCC is
proposing to amend (i) Rule 1
(Definitions and Descriptions) to add a
definition of ‘‘Family-Issued Security,’’
and (ii) Procedure XV (Clearing Fund
Formula and Other Matters) to expand
the application of the FIS Charge to all
Members by moving the description of
FIS Charge from Section I.(B)(1) to
Sections I.(A)(1) and I.(A)(2) in order to
make clear that the FIS Charge would be
included as a component of the Clearing
Fund formula calculated for all
Members.
As a central counterparty, NSCC
occupies an important role in the
securities settlement system by
interposing itself between
counterparties to financial transactions
and thereby reducing the risk faced by
participants and contributing to global
financial stability. The effectiveness of a
central counterparty’s risk controls and
the adequacy of its financial resources
6 Members that do not trade in Family-Issued
Securities would not be subject to the FIS Charge.
E:\FR\FM\31JYN1.SGM
31JYN1
35564
Federal Register / Vol. 82, No. 145 / Monday, July 31, 2017 / Notices
sradovich on DSKBCFCHB2PROD with NOTICES
are critical to achieving these riskreducing goals. In that context, NSCC
continuously reviews its margining
methodology in order to ensure the
reliability of its margining in achieving
the desired coverage. In order to be most
effective, NSCC must take into
consideration the risk characteristics
specific to certain securities when
margining those securities.
Among the various risks that NSCC
considers when evaluating the
effectiveness of its margining
methodology are its counterparty risks
and identification and mitigation of
‘‘wrong-way’’ risk, particularly specific
wrong-way risk, defined as the risk that
an exposure to a counterparty is highly
likely to increase when the
creditworthiness of that counterparty
deteriorates.7 NSCC has identified an
exposure to specific wrong-way risk
when it acts as central counterparty to
a Member with respect to positions in
Family-Issued Securities. In the event
that a Member with unsettled long
positions in Family-Issued Securities
defaults, NSCC would close out those
positions following a likely drop in the
credit-worthiness of the issuer, possibly
resulting in a loss to NSCC.
In 2015, NSCC proposed to address its
exposure to specific wrong-way risk in
two ways.8 First, NSCC proposed to
apply the FIS Charge to its Members
that are rated a 5, 6, or 7 on the CRRM
(i.e., Members on the Watch List).9
Today, following implementation of the
FIS Phase 1 Rule Change, the FIS Charge
is applied by excluding positions in
Family-Issued Securities of those
Members from NSCC’s VaR Charge, and
instead charging an amount calculated
by multiplying the absolute value of the
long net unsettled positions in that
Member’s Family-Issued Securities by a
percentage.10 That percentage is no less
7 See Principles for financial market
infrastructures, issued by the Committee on
Payment and Settlement Systems and the Technical
Committee of the International Organization of
Securities Commissions 47 n.65 (April 2012),
available at https://www.bis.org/publ/cpss101a.pdf.
8 See Securities Exchange Act Release No. 76077
(October 5, 2015), 80 FR 61256 (October 9, 2015),
(SR–NSCC–2015–003) (‘‘FIS Phase 1 Rule Change’’).
9 As part of its ongoing monitoring of its
membership, NSCC utilizes the CRRM to rate its
risk exposures to its Members based on a scale from
1 (the strongest) to 7 (the weakest). Members that
fall within the higher risk rating categories (i.e., 5,
6, and 7) are placed on NSCC’s ‘‘Watch List,’’ and
may be subject to enhanced surveillance or
additional margin charges, as permitted under the
Rules. See Rule 2B, Section 4 and Procedure XV,
Section I.(B)(1) of the Rules, supra note 4. See also
Securities Exchange Act Release No. 80734 (May
19, 2017), 82 FR 24174 (May 25, 2017), (SR–DTC–
2017–002, SR–FICC–2017–006, SR–NSCC–2017–
002) (approving proposed changes to the CRRM
methodology).
10 Procedure XV (Clearing Fund Formula and
Other Matters), Section I.(B)(1), supra note 4.
VerDate Sep<11>2014
17:38 Jul 28, 2017
Jkt 241001
than 40 percent and up to 100 percent,
and is determined by NSCC based on
the Member’s rating on the CRRM and
on the type of Family-Issued Securities
submitted to NSCC. As such, under
Procedure XV (1) fixed income
securities that are Family-Issued
Securities are charged a haircut rate of
no less than 80 percent for Members
that are rated 6 or 7 on the CRRM, and
no less than 40 percent for Members
rated 5 on the CRRM; and (2) equity
securities that are Family-Issued
Securities are charged a haircut rate of
100 percent for Members that are rated
6 or 7 on the CRRM, and no less than
50 percent for Members that are rated 5
on the CRRM. Members that have a
rating on the CRRM of 1 through 4 are
not currently subject to the FIS Charge.
As stated above, Family-Issued
Securities present NSCC with specific
wrong-way risk such that, in the event
that a Member with unsettled long
positions in Family-Issued Securities
defaults, NSCC would close out those
positions following a likely drop in the
credit-worthiness of the issuer, possibly
resulting in a loss to NSCC. Therefore,
the FIS Charge is applied to the
unsettled long positions in FamilyIssued Securities, which are the
positions that NSCC would close out
following a Member default, as opposed
to the short positions in net unsettled
securities. The haircut rates were
calibrated based on historical corporate
issue recovery rate data, and address the
risk that the Family-Issued Securities of
a Member would be devalued in the
event of that Member’s default.
The FIS Charge is currently applied
only to Members on the Watch List
because these Members present a
heightened credit risk to NSCC or have
demonstrated higher risk related to their
ability to meet settlement, and, as such,
at the time the FIS Phase 1 Rule Change
was proposed, NSCC believed there was
a clear and more urgent need to address
NSCC’s exposure to specific wrong-way
risk presented by these Members’
positions in Family-Issued Securities.
Second, NSCC proposed to further
evaluate its exposure to wrong-way risk
presented by positions in Family-Issued
Securities by reviewing the impact of
expanding the application of the FIS
Charge to positions in Family-Issued
Securities of all Members.11 Following
its evaluation, NSCC has determined
that the risk characteristics to be
considered when margining FamilyIssued Securities extend beyond
Members’ creditworthiness. More
specifically, exposure to specific wrongway risk is based on the correlation to
PO 00000
11 FIS
Phase 1 Rule Change, supra note 8.
Frm 00058
Fmt 4703
Sfmt 4703
the default of the issuer Member, and
NSCC may face this risk with respect to
positions in Family-Issued Securities of
all of its Members, not only those
Members on the Watch List. As such, in
order to more effectively mitigate its
exposure to specific wrong-way risk,
NSCC is proposing to apply the FIS
Charge to positions in Family-Issued
Securities of all Members.
In order to implement this proposal,
NSCC would amend Procedure XV to
move the FIS Charge from Section
I.(B)(1), where it is currently described
as an additional deposit for Members on
surveillance, to Sections I.(A)(1) and (2),
to include the FIS Charge as a
component of the Clearing Fund
formula that is calculated for each
Member.12 Under the proposed change,
the calculation of the FIS Charge would
not change as applied to Members that
are rated 5, 6, or 7 on the CRRM. NSCC
is proposing to revise the description of
the FIS Charge to include Members that
are rated 1 through 4 on the CRRM.13
Specifically, NSCC is proposing to
amend the description of the FIS Charge
in Procedure XV such that (1) fixedincome securities that are Family-Issued
Securities would be charged a haircut
rate of no less than 80 percent for
Members that are rated 6 or 7 on the
CRRM, and no less than 40 percent for
Members that are rated 1 through 5 on
the CRRM; and (2) equities that are
Family-Issued Securities would be
charged a haircut rate of 100 percent for
Members rated 6 or 7 on the CRRM, and
no less than 50 percent for Members
that are rated 1 through 5 on the CRRM.
The proposed change would also
amend NSCC Rule 1 (Definitions and
Descriptions) to include a definition of
Family-Issued Securities in order to
provide more clarity to the Rules. Under
the proposed change, ‘‘Family-Issued
Security’’ would be defined as a security
that was issued by a Member or an
affiliate of that Member.
2. Statutory Basis
NSCC believes that the proposed
change is consistent with the
requirements of the Act and the rules
and regulations thereunder applicable to
a registered clearing agency. In
particular, NSCC believes that the
proposed change is consistent with
Section 17A(b)(3)(F) of the Act,14 and
Rules 17Ad–22(e)(4)(i), and (6)(i) and
12 Procedure XV, Sections I.(A)(1) and (2) and
I.(B), supra note 4.
13 Members that are not rated on the CRRM are
not subject to the FIS Charge and would not be
subject to the FIS Charge under the proposed
change.
14 15 U.S.C. 78q–1(b)(3)(F).
E:\FR\FM\31JYN1.SGM
31JYN1
sradovich on DSKBCFCHB2PROD with NOTICES
Federal Register / Vol. 82, No. 145 / Monday, July 31, 2017 / Notices
(v),15 each promulgated under the Act,
for the reasons described below.
Section 17A(b)(3)(F) of the Act
requires, in part, that the Rules be
designed to promote the prompt and
accurate clearance and settlement of
securities transactions and to protect
investors and the public interest.16 By
enhancing the margin methodology
applied to Family-Issued Securities of
all Members, the proposal will assist
NSCC in collecting margin that more
accurately reflects NSCC’s exposure to a
Member that clears Family-Issued
Securities and will assist NSCC in its
continuous efforts to improve the
reliability and effectiveness of its riskbased margining methodology by taking
into account specific wrong-way risk.
As such, the proposal will help NSCC,
as a central counterparty, promote
robust risk management, and thus
promote the prompt and accurate
clearance and settlement of securities
transactions, as well as, in general,
protect investors and the public interest,
consistent with the requirements of
Section 17A(b)(3)(F) of the Act.
Rule 17Ad–22(e)(4)(i) under the Act
requires, in part, that each covered
clearing agency establish, implement,
maintain and enforce written policies
and procedures reasonably designed to
effectively identify, measure, monitor,
and manage its credit exposures to
participants and those arising from its
payment, clearing, and settlement
processes, including by maintaining
sufficient financial resources to cover its
credit exposure to each participant fully
with a high degree of confidence.17 The
specific wrong-way risk presented by
Family-Issued Securities is the risk that,
in the event that a Member with
unsettled long positions in FamilyIssued Securities defaults, NSCC would
close out those positions following a
likely drop in the credit-worthiness of
the issuer, possibly resulting in a loss to
NSCC. The haircut rates of the FIS
Charge more accurately reflect this risk
because they were calibrated based on
historical corporate issue recovery rate
data, and, therefore, address the risk
that the Family-Issued Securities of a
Member would be devalued in the event
of that Member’s default. In this way,
NSCC has determined that the
margining methodology used in
calculating the FIS Charge more
accurately reflects the risk
characteristics of Family-Issued
Securities than applying its VaR Charge,
and would permit NSCC to more
accurately identify, measure, monitor
and manage its credit exposures to those
Members with positions in FamilyIssued Securities. Further, by expanding
the application of the FIS Charge to all
Members, the proposed change would
assist NSCC in collecting and
maintaining financial resources that
reflect its credit exposures to those
Members. Therefore, NSCC believes the
proposed change is consistent with Rule
17Ad–22(e)(4)(i).
Rule 17Ad–22(e)(6)(i) under the Act
requires, in part, that each covered
clearing agency that provides central
counterparty services 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.18 Rule 17Ad–22(e)(6)(v) under
the Act requires, in part, that each
covered clearing agency that provides
central counterparty services 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, uses an appropriate
method for measuring credit exposure
that accounts for relevant product risk
factors and portfolio effects across
products.19
As stated above, Family-Issued
Securities present NSCC with specific
wrong-way risk that, in the event that a
Member with unsettled long positions
in Family-Issued Securities defaults,
NSCC would close out those positions
following a likely drop in the creditworthiness of the issuer, possibly
resulting in a loss to NSCC. Therefore,
the haircut rates were calibrated based
on historical corporate issue recovery
rate data, and address the risk that the
Family-Issued Securities of a Member
would be devalued in the event of that
Member’s default, and would more
accurately reflect the risk characteristics
of Family-Issued Securities than
applying its VaR Charge. In this way,
the proposal would assist NSCC in
maintaining a risk-based margin system
that considers, and produces margin
levels commensurate with, the risks and
particular attributes of Family-Issued
Securities. Additionally, NSCC believes
application of the FIS Charge to
positions in Family-Issued Securities of
all Members is an appropriate method
for measuring its credit exposures,
15 17
CFR 240.17Ad–22(e)(4) and (e)(6).
U.S.C. 78q–1(b)(3)(F).
17 17 CFR 240.17Ad–22(e)(4)(i).
16 15
VerDate Sep<11>2014
17:38 Jul 28, 2017
Jkt 241001
18 17
19 17
PO 00000
CFR 240.17Ad–22(e)(6)(i).
CFR 240.17Ad–22(e)(6)(v).
Frm 00059
Fmt 4703
Sfmt 4703
35565
because the FIS Charge accounts for the
risk factors presented by these
securities, i.e. the risk that these
securities would be devalued in the
event of a Member default. Therefore,
NSCC believes the proposed change is
consistent with Rule 17Ad–22(e)(6)(i)
and (v).
(B) Clearing Agency’s Statement on
Burden on Competition
By expanding the application of the
FIS Charge to all Members, and,
therefore, increasing the amount of
margin that Members may be charged
under the Rules, the proposed change
may impose a burden on competition.
However, because the FIS Charge would
be imposed on all Members on an
individualized basis in an amount
reasonably calculated to mitigate the
risks posed to NSCC by those Members’
positions in Family-Issued Securities,
NSCC does not believe any burden on
competition imposed by the proposed
change would be significant.
Further, NSCC believes that any
burden on competition imposed by the
proposed change would be both
necessary and appropriate in
furtherance of the Act.20 The proposal to
expand the application of the FIS
Charge to positions in Family-Issued
Securities of all Members is necessary
for NSCC to limit its credit exposures
posed by these securities. Additionally,
by permitting NSCC to calculate and
collect margin that more accurately
reflects the risk characteristics of these
securities, the proposed change would
assist NSCC in limiting its potential
losses from defaults by Members. As
stated, the FIS Charge would be
imposed on Members on an
individualized basis in an amount
reasonably calculated to mitigate the
risks posed to NSCC by those Members’
positions in Family-Issued Securities. In
this way, NSCC believes the proposed
change would promote the prompt and
accurate clearance and settlement of
securities transactions and protect
investors and the public interest. As
such, NSCC believes any burden on
competition imposed by the expansion
of the application of the FIS Charge to
all Members would be necessary and
appropriate in furtherance of the Act.
(C) Clearing Agency’s Statement on
Comments on the Proposed Rule
Change Received From Members,
Participants, or Others
NSCC has not received or solicited
any written comments relating to this
proposal. NSCC will notify the
20 15
E:\FR\FM\31JYN1.SGM
U.S.C. 78q–1(b)(3)(I).
31JYN1
35566
Federal Register / Vol. 82, No. 145 / Monday, July 31, 2017 / Notices
Commission of any written comments
received by NSCC.
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:
sradovich on DSKBCFCHB2PROD with NOTICES
Electronic Comments
• Use the Commission’s Internet
comment form (https://www.sec.gov/
rules/sro.shtml); or
• Send an email to rule-comments@
sec.gov. Please include File Number SR–
NSCC–2017–010 on the subject line.
Paper Comments
• 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–NSCC–2017–010. 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 Web site (https://www.sec.gov/
rules/sro.shtml). 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 Web site 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
VerDate Sep<11>2014
17:38 Jul 28, 2017
Jkt 241001
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 NSCC and on DTCC’s Web site
(https://dtcc.com/legal/sec-rulefilings.aspx). All comments received
will be posted without change; the
Commission does not edit personal
identifying information from
submissions. You should submit only
information that you wish to make
available publicly. All submissions
should refer to File Number SR–NSCC–
2017–010 and should be submitted on
or before August 21, 2017.
II. Description of the Proposal, as
Modified by Amendment No. 2
The Exchange proposes to delete the
entirety of current MRX Rule 701 and
replace the current Exchange opening
process with an opening process
reflected in proposed MRX Rules 701
and 715(t).4 The new opening process is
similar to the process used by Phlx,5 as
well as the new opening process
recently adopted by ISE Gemini, LLC
(‘‘ISE Gemini’’) 6 and Nasdaq ISE, LLC
(‘‘ISE’’).7 The Exchange’s current and
proposed opening processes are
described below.8
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.21
Eduardo A. Aleman,
Assistant Secretary.
A. Current Exchange Opening Process
Currently, a Primary Market Maker
(‘‘PMM’’) on MRX initiates the ‘‘trading
rotation’’ in a specified options class.9
The Exchange may direct that one or
more trading rotations be employed on
any business day to aid in producing a
fair and orderly market.10 For each
rotation, except as the Exchange may
direct, rotations are conducted in the
order and manner the PMM determines
to be appropriate under the
circumstances.11 The PMM, with the
approval of the Exchange, has the
authority to determine the rotation order
and manner or deviate from the rotation
procedures.12 Such authority may be
exercised before and during a trading
rotation.13 Additionally, two or more
trading rotations may be employed
simultaneously, if the PMM, with the
approval of the Exchange, so
determines.14
[FR Doc. 2017–15993 Filed 7–28–17; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–81205; File No. SR–MRX–
2017–01]
Self-Regulatory Organizations; Nasdaq
MRX, LLC; Order Approving Proposed
Rule Change, as Modified by
Amendment No. 2, To Amend the
Exchange Opening Process
July 25, 2017.
I. Introduction
On May 31, 2017, Nasdaq MRX, LLC
(‘‘MRX’’ or ‘‘Exchange’’) filed with the
Securities and Exchange Commission
(‘‘Commission’’), pursuant to Section
19(b)(1) of the Securities Exchange Act
of 1934 (‘‘Act’’),1 and Rule 19b–4
thereunder,2 a proposed rule change to
amend the Exchange’s opening process.
On June 14, 2017, the Exchange filed
Amendment No. 1 to the proposal. On
June 14, 2017, the Exchange withdrew
Amendment No. 1 and filed
Amendment No. 2 to the proposal,
which replaced and superseded the
original filing in its entirety. The
proposed rule change, as modified by
Amendment No. 2, was published for
comment in the Federal Register on
June 20, 2017.3 The Commission
received no comment letters on the
proposed rule change. This order
approves the proposed rule change, as
modified by Amendment No. 2.
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
3 See Securities Exchange Act Release No. 80937
(June 15, 2017), 82 FR 28113 (‘‘Notice’’).
PO 00000
21 17
1 15
Frm 00060
Fmt 4703
Sfmt 4703
4 The Exchange represents that this proposed rule
change is being made in connection with a
technology migration to a Nasdaq, Inc. (‘‘Nasdaq’’)
supported architecture called INET which is
utilized on The NASDAQ Options Market LLC,
NASDAQ PHLX LLC (‘‘Phlx’’) and NASDAQ BX,
Inc. See id.
5 See Phlx Rule 1017. See also Securities
Exchange Act Release No. 79274 (November 9,
2016), 81 FR 80694 (November 16, 2016) (SR–Phlx–
2016–79).
6 See ISE Gemini Rules 701 and 715(t). See also
Securities Exchange Act Release No. 10952
(February 10, 2017), 82 FR 10952 (February 16,
2017) (SR–ISEGemini–2016–18).
7 See ISE Rules 701 and 715(t). See also Securities
Exchange Act Release No. 80225 (March 13, 2017),
82 FR 14243 (March 17, 2017) (SR–ISE–2017–02).
8 In connection with the new opening process, the
Exchange proposes to adopt a new ‘‘Definitions’’
section in proposed Rule 701(a), similar to Phlx
Rule 1017(a), to define several terms that are used
throughout the opening rule. Proposed Rule 701(a)
will define: ABBO, ‘‘market for the underlying
security,’’ Opening Price, Opening Process,
Potential Opening Price, Pre-Market BBO, Quality
Opening Market, Valid Width Quote, and Zero Bid
Market. For definitions of these terms, see Notice
supra note 3 at 28114.
9 See MRX Rule 701(a).
10 See MRX Rule 701(a)(1).
11 See MRX Rule 701(a)(2).
12 See MRX Rule 701(a)(3).
13 See MRX Rule 701(a)(3).
14 See MRX Rule 701(a)(4).
E:\FR\FM\31JYN1.SGM
31JYN1
]]>Agencies
[Federal Register Volume 82, Number 145 (Monday, July 31, 2017)]
[Notices]
[Pages 35563-35566]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-15993]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-81203; File No. SR-NSCC-2017-010]
Self-Regulatory Organizations; National Securities Clearing
Corporation; Notice of Filing of a Proposed Rule Change To Expand the
Application of the Family-Issued Securities Charge
July 25, 2017.
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 July 10, 2017, National Securities Clearing Corporation (``NSCC'')
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.\3\ The Commission is
publishing this notice to solicit comments on the proposed rule change
from interested persons.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ On July 10, 2017, NSCC filed this proposed rule change as an
advance notice (SR-NSCC-2017-804) with the Commission pursuant to
Section 806(e)(1) of the Dodd-Frank Wall Street Reform and Consumer
Protection Act entitled the Payment, Clearing, and Settlement
Supervision Act of 2010, 12 U.S.C. 5465(e)(1), and Rule 19b-
4(n)(1)(i) of the Act, 17 CFR 240.19b-4(n)(1)(i). A copy of the
advance notice is available at https://www.dtcc.com/legal/sec-rule-filings.aspx.
---------------------------------------------------------------------------
I. Clearing Agency's Statement of the Terms of Substance of the
Proposed Rule Change
The proposed change consists of amendments to the NSCC Rules and
Procedures (``Rules'') \4\ in order to (i) expand the application of
NSCC's existing family-issued securities charge \5\ to apply to all
Members, as described below, and (ii) include a definition of ``Family-
Issued Security'' as a security that was issued by a Member or by an
affiliate of that Member, as described in greater detail below.
---------------------------------------------------------------------------
\4\ Terms not defined herein are defined in the Rules, available
at www.dtcc.com/~/media/Files/Downloads/legal/rules/nscc_rules.pdf.
\5\ The family-issued securities charge is currently described
in Procedure XV, Section I.(B)(1) of the Rules, supra note 4.
---------------------------------------------------------------------------
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
Currently, in calculating its Members' required deposits to the
Clearing Fund, NSCC excludes positions in Family-Issued Securities of
certain Members from its parametric volatility Clearing Fund component
(``VaR Charge''), and instead charges an amount calculated by
multiplying the absolute value of the long, net unsettled positions in
that Member's Family-Issued Securities by a percentage that is no less
than 40 percent (``FIS Charge''). The FIS Charge is currently only
applied to Members that are rated 5, 6, or 7 on the Credit Risk Rating
Matrix (``CRRM''). The proposed change would expand the application of
the FIS Charge to the positions in Family-Issued Securities of all
Members to help NSCC cover the specific wrong-way risk posed by Family-
Issued Securities, as described further below.\6\ Therefore, NSCC is
proposing to amend (i) Rule 1 (Definitions and Descriptions) to add a
definition of ``Family-Issued Security,'' and (ii) Procedure XV
(Clearing Fund Formula and Other Matters) to expand the application of
the FIS Charge to all Members by moving the description of FIS Charge
from Section I.(B)(1) to Sections I.(A)(1) and I.(A)(2) in order to
make clear that the FIS Charge would be included as a component of the
Clearing Fund formula calculated for all Members.
---------------------------------------------------------------------------
\6\ Members that do not trade in Family-Issued Securities would
not be subject to the FIS Charge.
---------------------------------------------------------------------------
As a central counterparty, NSCC occupies an important role in the
securities settlement system by interposing itself between
counterparties to financial transactions and thereby reducing the risk
faced by participants and contributing to global financial stability.
The effectiveness of a central counterparty's risk controls and the
adequacy of its financial resources
[[Page 35564]]
are critical to achieving these risk-reducing goals. In that context,
NSCC continuously reviews its margining methodology in order to ensure
the reliability of its margining in achieving the desired coverage. In
order to be most effective, NSCC must take into consideration the risk
characteristics specific to certain securities when margining those
securities.
Among the various risks that NSCC considers when evaluating the
effectiveness of its margining methodology are its counterparty risks
and identification and mitigation of ``wrong-way'' risk, particularly
specific wrong-way risk, defined as the risk that an exposure to a
counterparty is highly likely to increase when the creditworthiness of
that counterparty deteriorates.\7\ NSCC has identified an exposure to
specific wrong-way risk when it acts as central counterparty to a
Member with respect to positions in Family-Issued Securities. In the
event that a Member with unsettled long positions in Family-Issued
Securities defaults, NSCC would close out those positions following a
likely drop in the credit-worthiness of the issuer, possibly resulting
in a loss to NSCC.
---------------------------------------------------------------------------
\7\ See Principles for financial market infrastructures, issued
by the Committee on Payment and Settlement Systems and the Technical
Committee of the International Organization of Securities
Commissions 47 n.65 (April 2012), available at https://www.bis.org/publ/cpss101a.pdf.
---------------------------------------------------------------------------
In 2015, NSCC proposed to address its exposure to specific wrong-
way risk in two ways.\8\ First, NSCC proposed to apply the FIS Charge
to its Members that are rated a 5, 6, or 7 on the CRRM (i.e., Members
on the Watch List).\9\ Today, following implementation of the FIS Phase
1 Rule Change, the FIS Charge is applied by excluding positions in
Family-Issued Securities of those Members from NSCC's VaR Charge, and
instead charging an amount calculated by multiplying the absolute value
of the long net unsettled positions in that Member's Family-Issued
Securities by a percentage.\10\ That percentage is no less than 40
percent and up to 100 percent, and is determined by NSCC based on the
Member's rating on the CRRM and on the type of Family-Issued Securities
submitted to NSCC. As such, under Procedure XV (1) fixed income
securities that are Family-Issued Securities are charged a haircut rate
of no less than 80 percent for Members that are rated 6 or 7 on the
CRRM, and no less than 40 percent for Members rated 5 on the CRRM; and
(2) equity securities that are Family-Issued Securities are charged a
haircut rate of 100 percent for Members that are rated 6 or 7 on the
CRRM, and no less than 50 percent for Members that are rated 5 on the
CRRM. Members that have a rating on the CRRM of 1 through 4 are not
currently subject to the FIS Charge. As stated above, Family-Issued
Securities present NSCC with specific wrong-way risk such that, in the
event that a Member with unsettled long positions in Family-Issued
Securities defaults, NSCC would close out those positions following a
likely drop in the credit-worthiness of the issuer, possibly resulting
in a loss to NSCC. Therefore, the FIS Charge is applied to the
unsettled long positions in Family-Issued Securities, which are the
positions that NSCC would close out following a Member default, as
opposed to the short positions in net unsettled securities. The haircut
rates were calibrated based on historical corporate issue recovery rate
data, and address the risk that the Family-Issued Securities of a
Member would be devalued in the event of that Member's default.
---------------------------------------------------------------------------
\8\ See Securities Exchange Act Release No. 76077 (October 5,
2015), 80 FR 61256 (October 9, 2015), (SR-NSCC-2015-003) (``FIS
Phase 1 Rule Change'').
\9\ As part of its ongoing monitoring of its membership, NSCC
utilizes the CRRM to rate its risk exposures to its Members based on
a scale from 1 (the strongest) to 7 (the weakest). Members that fall
within the higher risk rating categories (i.e., 5, 6, and 7) are
placed on NSCC's ``Watch List,'' and may be subject to enhanced
surveillance or additional margin charges, as permitted under the
Rules. See Rule 2B, Section 4 and Procedure XV, Section I.(B)(1) of
the Rules, supra note 4. See also Securities Exchange Act Release
No. 80734 (May 19, 2017), 82 FR 24174 (May 25, 2017), (SR-DTC-2017-
002, SR-FICC-2017-006, SR-NSCC-2017-002) (approving proposed changes
to the CRRM methodology).
\10\ Procedure XV (Clearing Fund Formula and Other Matters),
Section I.(B)(1), supra note 4.
---------------------------------------------------------------------------
The FIS Charge is currently applied only to Members on the Watch
List because these Members present a heightened credit risk to NSCC or
have demonstrated higher risk related to their ability to meet
settlement, and, as such, at the time the FIS Phase 1 Rule Change was
proposed, NSCC believed there was a clear and more urgent need to
address NSCC's exposure to specific wrong-way risk presented by these
Members' positions in Family-Issued Securities.
Second, NSCC proposed to further evaluate its exposure to wrong-way
risk presented by positions in Family-Issued Securities by reviewing
the impact of expanding the application of the FIS Charge to positions
in Family-Issued Securities of all Members.\11\ Following its
evaluation, NSCC has determined that the risk characteristics to be
considered when margining Family-Issued Securities extend beyond
Members' creditworthiness. More specifically, exposure to specific
wrong-way risk is based on the correlation to the default of the issuer
Member, and NSCC may face this risk with respect to positions in
Family-Issued Securities of all of its Members, not only those Members
on the Watch List. As such, in order to more effectively mitigate its
exposure to specific wrong-way risk, NSCC is proposing to apply the FIS
Charge to positions in Family-Issued Securities of all Members.
---------------------------------------------------------------------------
\11\ FIS Phase 1 Rule Change, supra note 8.
---------------------------------------------------------------------------
In order to implement this proposal, NSCC would amend Procedure XV
to move the FIS Charge from Section I.(B)(1), where it is currently
described as an additional deposit for Members on surveillance, to
Sections I.(A)(1) and (2), to include the FIS Charge as a component of
the Clearing Fund formula that is calculated for each Member.\12\ Under
the proposed change, the calculation of the FIS Charge would not change
as applied to Members that are rated 5, 6, or 7 on the CRRM. NSCC is
proposing to revise the description of the FIS Charge to include
Members that are rated 1 through 4 on the CRRM.\13\ Specifically, NSCC
is proposing to amend the description of the FIS Charge in Procedure XV
such that (1) fixed-income securities that are Family-Issued Securities
would be charged a haircut rate of no less than 80 percent for Members
that are rated 6 or 7 on the CRRM, and no less than 40 percent for
Members that are rated 1 through 5 on the CRRM; and (2) equities that
are Family-Issued Securities would be charged a haircut rate of 100
percent for Members rated 6 or 7 on the CRRM, and no less than 50
percent for Members that are rated 1 through 5 on the CRRM.
---------------------------------------------------------------------------
\12\ Procedure XV, Sections I.(A)(1) and (2) and I.(B), supra
note 4.
\13\ Members that are not rated on the CRRM are not subject to
the FIS Charge and would not be subject to the FIS Charge under the
proposed change.
---------------------------------------------------------------------------
The proposed change would also amend NSCC Rule 1 (Definitions and
Descriptions) to include a definition of Family-Issued Securities in
order to provide more clarity to the Rules. Under the proposed change,
``Family-Issued Security'' would be defined as a security that was
issued by a Member or an affiliate of that Member.
2. Statutory Basis
NSCC believes that the proposed change is consistent with the
requirements of the Act and the rules and regulations thereunder
applicable to a registered clearing agency. In particular, NSCC
believes that the proposed change is consistent with Section
17A(b)(3)(F) of the Act,\14\ and Rules 17Ad-22(e)(4)(i), and (6)(i) and
[[Page 35565]]
(v),\15\ each promulgated under the Act, for the reasons described
below.
---------------------------------------------------------------------------
\14\ 15 U.S.C. 78q-1(b)(3)(F).
\15\ 17 CFR 240.17Ad-22(e)(4) and (e)(6).
---------------------------------------------------------------------------
Section 17A(b)(3)(F) of the Act requires, in part, that the Rules
be designed to promote the prompt and accurate clearance and settlement
of securities transactions and to protect investors and the public
interest.\16\ By enhancing the margin methodology applied to Family-
Issued Securities of all Members, the proposal will assist NSCC in
collecting margin that more accurately reflects NSCC's exposure to a
Member that clears Family-Issued Securities and will assist NSCC in its
continuous efforts to improve the reliability and effectiveness of its
risk-based margining methodology by taking into account specific wrong-
way risk. As such, the proposal will help NSCC, as a central
counterparty, promote robust risk management, and thus promote the
prompt and accurate clearance and settlement of securities
transactions, as well as, in general, protect investors and the public
interest, consistent with the requirements of Section 17A(b)(3)(F) of
the Act.
---------------------------------------------------------------------------
\16\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------
Rule 17Ad-22(e)(4)(i) under the Act requires, in part, that each
covered clearing agency establish, implement, maintain and enforce
written policies and procedures reasonably designed to effectively
identify, measure, monitor, and manage its credit exposures to
participants and those arising from its payment, clearing, and
settlement processes, including by maintaining sufficient financial
resources to cover its credit exposure to each participant fully with a
high degree of confidence.\17\ The specific wrong-way risk presented by
Family-Issued Securities is the risk that, in the event that a Member
with unsettled long positions in Family-Issued Securities defaults,
NSCC would close out those positions following a likely drop in the
credit-worthiness of the issuer, possibly resulting in a loss to NSCC.
The haircut rates of the FIS Charge more accurately reflect this risk
because they were calibrated based on historical corporate issue
recovery rate data, and, therefore, address the risk that the Family-
Issued Securities of a Member would be devalued in the event of that
Member's default. In this way, NSCC has determined that the margining
methodology used in calculating the FIS Charge more accurately reflects
the risk characteristics of Family-Issued Securities than applying its
VaR Charge, and would permit NSCC to more accurately identify, measure,
monitor and manage its credit exposures to those Members with positions
in Family-Issued Securities. Further, by expanding the application of
the FIS Charge to all Members, the proposed change would assist NSCC in
collecting and maintaining financial resources that reflect its credit
exposures to those Members. Therefore, NSCC believes the proposed
change is consistent with Rule 17Ad-22(e)(4)(i).
---------------------------------------------------------------------------
\17\ 17 CFR 240.17Ad-22(e)(4)(i).
---------------------------------------------------------------------------
Rule 17Ad-22(e)(6)(i) under the Act requires, in part, that each
covered clearing agency that provides central counterparty services
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.\18\ Rule 17Ad-22(e)(6)(v) under the Act requires, in part,
that each covered clearing agency that provides central counterparty
services 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, uses an appropriate method for measuring credit exposure that
accounts for relevant product risk factors and portfolio effects across
products.\19\
---------------------------------------------------------------------------
\18\ 17 CFR 240.17Ad-22(e)(6)(i).
\19\ 17 CFR 240.17Ad-22(e)(6)(v).
---------------------------------------------------------------------------
As stated above, Family-Issued Securities present NSCC with
specific wrong-way risk that, in the event that a Member with unsettled
long positions in Family-Issued Securities defaults, NSCC would close
out those positions following a likely drop in the credit-worthiness of
the issuer, possibly resulting in a loss to NSCC. Therefore, the
haircut rates were calibrated based on historical corporate issue
recovery rate data, and address the risk that the Family-Issued
Securities of a Member would be devalued in the event of that Member's
default, and would more accurately reflect the risk characteristics of
Family-Issued Securities than applying its VaR Charge. In this way, the
proposal would assist NSCC in maintaining a risk-based margin system
that considers, and produces margin levels commensurate with, the risks
and particular attributes of Family-Issued Securities. Additionally,
NSCC believes application of the FIS Charge to positions in Family-
Issued Securities of all Members is an appropriate method for measuring
its credit exposures, because the FIS Charge accounts for the risk
factors presented by these securities, i.e. the risk that these
securities would be devalued in the event of a Member default.
Therefore, NSCC believes the proposed change is consistent with Rule
17Ad-22(e)(6)(i) and (v).
(B) Clearing Agency's Statement on Burden on Competition
By expanding the application of the FIS Charge to all Members, and,
therefore, increasing the amount of margin that Members may be charged
under the Rules, the proposed change may impose a burden on
competition. However, because the FIS Charge would be imposed on all
Members on an individualized basis in an amount reasonably calculated
to mitigate the risks posed to NSCC by those Members' positions in
Family-Issued Securities, NSCC does not believe any burden on
competition imposed by the proposed change would be significant.
Further, NSCC believes that any burden on competition imposed by
the proposed change would be both necessary and appropriate in
furtherance of the Act.\20\ The proposal to expand the application of
the FIS Charge to positions in Family-Issued Securities of all Members
is necessary for NSCC to limit its credit exposures posed by these
securities. Additionally, by permitting NSCC to calculate and collect
margin that more accurately reflects the risk characteristics of these
securities, the proposed change would assist NSCC in limiting its
potential losses from defaults by Members. As stated, the FIS Charge
would be imposed on Members on an individualized basis in an amount
reasonably calculated to mitigate the risks posed to NSCC by those
Members' positions in Family-Issued Securities. In this way, NSCC
believes the proposed change would promote the prompt and accurate
clearance and settlement of securities transactions and protect
investors and the public interest. As such, NSCC believes any burden on
competition imposed by the expansion of the application of the FIS
Charge to all Members would be necessary and appropriate in furtherance
of the Act.
---------------------------------------------------------------------------
\20\ 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
NSCC has not received or solicited any written comments relating to
this proposal. NSCC will notify the
[[Page 35566]]
Commission of any written comments received by NSCC.
III. Date of Effectiveness of the Proposed Rule Change, and Timing for
Commission Action
Within 45 days of the date of publication of this notice in the
Federal Register or within such longer period up to 90 days (i) as the
Commission may designate if it finds such longer period to be
appropriate and publishes its reasons for so finding or (ii) as to
which the self- regulatory organization consents, the Commission will:
(A) By order approve or disapprove such proposed rule change, or
(B) institute proceedings to determine whether the proposed rule
change should be disapproved.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Act. Comments may be submitted by any of
the following methods:
Electronic Comments
Use the Commission's Internet comment form (https://www.sec.gov/rules/sro.shtml); or
Send an email to rule-comments@sec.gov. Please include
File Number SR-NSCC-2017-010 on the subject line.
Paper Comments
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-NSCC-2017-010. 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 Web site (https://www.sec.gov/rules/sro.shtml). 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 Web site 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 NSCC and on
DTCC's Web site (https://dtcc.com/legal/sec-rule-filings.aspx). All
comments received will be posted without change; the Commission does
not edit personal identifying information from submissions. You should
submit only information that you wish to make available publicly. All
submissions should refer to File Number SR-NSCC-2017-010 and should be
submitted on or before August 21, 2017.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\21\
---------------------------------------------------------------------------
\21\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-15993 Filed 7-28-17; 8:45 am]
BILLING CODE 8011-01-P
