Self-Regulatory Organizations; Fixed Income Clearing Corporation; Order Instituting Proceedings To Determine Whether To Approve or Disapprove a Proposed Rule Change To Amend the Stress Testing Framework and Liquidity Risk Management Framework, 56732-56733 [2022-19914]
Download as PDF
56732
Federal Register / Vol. 87, No. 178 / Thursday, September 15, 2022 / Notices
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.30
J. Matthew DeLesDernier,
Deputy Secretary.
[FR Doc. 2022–19915 Filed 9–14–22; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–95724; File No. SR–FICC–
2022–004]
Self-Regulatory Organizations; Fixed
Income Clearing Corporation; Order
Instituting Proceedings To Determine
Whether To Approve or Disapprove a
Proposed Rule Change To Amend the
Stress Testing Framework and
Liquidity Risk Management Framework
September 9, 2022.
I. Introduction
On May 26, 2022, Fixed Income
Clearing Corporation (‘‘FICC’’) filed
with the Securities and Exchange
Commission (‘‘Commission’’) proposed
rule change SR–FICC–2022–004 (the
‘‘Proposed Rule Change’’) pursuant to
Section 19(b)(1) of the Securities
Exchange Act of 1934 (‘‘Act’’) 1 and Rule
19b–4 thereunder.2 The Proposed Rule
Change was published for comment in
the Federal Register on June 15, 2022,3
and the Commission has received no
comments regarding the changes
proposed in the Proposed Rule Change.
On July 14, 2022, pursuant to Section
19(b)(2) of the Act,4 the Commission
designated a longer period within which
to approve, disapprove, or institute
proceedings to determine whether to
approve or disapprove the Proposed
Rule Change.5 This order institutes
proceedings, pursuant to Section
19(b)(2)(B) of the Act,6 to determine
whether to approve or disapprove the
Proposed Rule Change.
II. Summary of the Proposed Rule
Change
As described in the Notice, FICC
proposes to amend (1) the Clearing
Agency Stress Testing Framework
(Market Risk) (‘‘ST Framework’’) and
the Clearing Agency Liquidity Risk
Management Framework (‘‘LRM
30 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
3 Securities Exchange Act Release No. 95079
(June 9, 2022), 87 FR 36182 (June 15, 2022) (File
No. SR–FICC–2022–004).
4 15 U.S.C. 78s(b)(2).
5 Securities Exchange Act Release No. 95284 (July
14, 2022), 87 FR 43364 (July 20, 2022) (SR–FICC–
2022–004).
6 15 U.S.C. 78s(b)(2)(B).
lotter on DSK11XQN23PROD with NOTICES1
1 15
VerDate Sep<11>2014
16:56 Sep 14, 2022
Jkt 256001
Framework,’’ and, together with the ST
Framework, the ‘‘Frameworks’’) of FICC
and its affiliates, The Depository Trust
Company (‘‘DTC’’) and National
Securities Clearing Corporation
(‘‘NSCC,’’ and together with FICC and
DTC, the ‘‘Clearing Agencies’’), and (2)
the Clearing Rules of the MortgageBacked Securities Division of FICC
(‘‘MBSD’’).7
First, the proposed changes would
amend both the ST Framework and the
LRM Framework to move descriptions
of the Clearing Agencies’ liquidity stress
testing activities from the LRM
Framework to the ST Framework. In
connection with this proposed change,
the Clearing Agencies propose to
recategorize the stress scenarios used for
liquidity risk management, such that all
such stress scenarios are described as
either regulatory or informational
scenarios.
Second, the proposed changes would
amend the ST Framework to (1) enhance
stress testing for the Government
Securities Division of FICC (‘‘GSD’’) to
obtain certain data utilized in stress
testing from external vendors and
implement a back-up stress testing
calculation that would be utilized in the
event such data is not supplied by its
vendors, and amend the ST Framework
to reflect these practices for both GSD
and MBSD; (2) reflect that a stress
testing team is primarily responsible for
the actions described in the ST
Framework, and (3) make other
revisions to update and clarify the
statements in the ST Framework.
Third, the proposed changes would
amend the LRM Framework to update
and clarify certain statements in the
LRM Framework.
Finally, the proposed changes would
amend the Clearing Rules of MBSD
(‘‘MBSD Rules’’) to remove disclosures
regarding the stress testing program,
which would be described in the ST
Framework.
III. Proceedings To Determine Whether
To Approve or Disapprove the
Proposed Rule Change and Grounds for
Disapproval Under Consideration
The Commission is instituting
proceedings pursuant to Section
19(b)(2)(B) of the Act 8 to determine
whether the Proposed Rule Change
should be approved or disapproved.
7 The description of the Proposed Rule Change is
based on the statements prepared by FICC in the
Notice. See Notice, supra note 3. Capitalized terms
used herein and not otherwise defined herein are
defined in the Rules, available at https://
www.dtcc.com/∼/media/Files/Downloads/legal/
rules/ficc_gov_rules.pdf; https://www.dtcc.com/∼/
media/Files/Downloads/legal/rules/ficc_mbsd_
rules.pdf.
8 15 U.S.C. 78s(b)(2)(B).
PO 00000
Frm 00113
Fmt 4703
Sfmt 4703
Institution of proceedings is appropriate
at this time in view of the legal and
policy issues raised by the Proposed
Rule Change. Institution of proceedings
does not indicate that the Commission
has reached any conclusions with
respect to any of the issues involved.
Rather, the Commission seeks and
encourages interested persons to
comment on the Proposed Rule Change,
providing the Commission with
arguments to support the Commission’s
analysis as to whether to approve or
disapprove the Proposed Rule Change.
Pursuant to Section 19(b)(2)(B) of the
Act,9 the Commission is providing
notice of the grounds for disapproval
under consideration. The Commission is
instituting proceedings to allow for
additional analysis of, and input from
commenters with respect to, the
Proposed Rule Change’s consistency
with Section 17A of the Act,10 and the
rules thereunder, including the
following provisions:
• Section 17A(b)(3)(F) of the Act,11
which requires, among other things, that
the rules of a clearing agency must be
designed to promote the prompt and
accurate clearance and settlement of
securities transactions, to assure the
safeguarding of securities and funds
which are in the custody or control of
the clearing agency or for which it is
responsible, and to protect investors and
the public interest; and
• Rule 17Ad–22(e)(4) of the Act,12
which requires that a 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.
• Rule 17Ad–22(e)(7) of the Act, 13
which requires a covered clearing
agency to effectively measure, monitor,
and manage the liquidity risk that arises
in or is borne by the covered clearing
agency, including measuring,
monitoring, and managing its settlement
and funding flows on an ongoing and
timely basis, and its use of intraday
liquidity.
IV. Procedure: Request for Written
Comments
The Commission requests that
interested persons provide written
submissions of their views, data, and
arguments with respect to the issues
9 Id.
10 15
U.S.C. 78q–1.
U.S.C. 78q–1(b)(3)(F).
12 17 CFR 240.17Ad–22(e)(4).
13 17 CFR 240.17Ad–22(e)(7).
11 15
E:\FR\FM\15SEN1.SGM
15SEN1
Federal Register / Vol. 87, No. 178 / Thursday, September 15, 2022 / Notices
identified above, as well as any other
concerns they may have with the
Proposed Rule Change. In particular, the
Commission invites the written views of
interested persons concerning whether
the Proposed Rule Change is consistent
with Section 17A(b)(3)(F) of the Act,14
and Rules 17Ad–22(e)(4) and (e)(7) of
the Act,15 or any other provision of the
Act, or the rules and regulations
thereunder.
Interested persons are invited to
submit written data, views, and
arguments regarding whether the
Proposed Rule Change should be
approved or disapproved by October 6,
2022. Any person who wishes to file a
rebuttal to any other person’s
submission must file that rebuttal by
October 20, 2022.
The Commission asks that
commenters address the sufficiency of
FICC’s statements in support of the
Proposed Rule Change, which are set
forth in the Notice,16 in addition to any
other comments they may wish to
submit about the Proposed Rule Change.
Comments may be submitted by any
of the following methods:
lotter on DSK11XQN23PROD with NOTICES1
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–
FICC–2022–004 on the subject line.
Paper Comments
• Send paper comments in triplicate
to Secretary, Securities and Exchange
Commission, 100 F Street NE,
Washington, DC 20549–1090.
All submissions should refer to File
Number SR–FICC–2022–004. This file
number should be included on the
subject line if email is used. To help the
Commission process and review your
comments more efficiently, please use
only one method. The Commission will
post all comments on the Commission’s
internet website (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 website viewing and
14 15
U.S.C. 78q–1(b)(3)(F).
CFR 240.17Ad–22(e)(4) and (e)(7).
16 See Notice, supra note 3.
15 17
VerDate Sep<11>2014
16:56 Sep 14, 2022
Jkt 256001
printing in the Commission’s Public
Reference Room, 100 F Street NE,
Washington, DC 20549 on official
business days between the hours of
10:00 a.m. and 3:00 p.m. Copies of the
filing also will be available for
inspection and copying at the principal
office of FICC and on DTCC’s website
(https://dtcc.com/legal/sec-rulefilings.aspx). All comments received
will be posted without change. Persons
submitting comments are cautioned that
we do not redact or edit personal
identifying information from comment
submissions. You should submit only
information that you wish to make
available publicly. All submissions
should refer to File Number SR–FICC–
2022–004 and should be submitted on
or before October 6, 2022. Rebuttal
comments should be submitted by
October 20, 2022.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.17
J. Matthew DeLesDernier,
Deputy Secretary,
[FR Doc. 2022–19914 Filed 9–14–22; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–95729; File No. SR–DTC–
2022–006]
Self-Regulatory Organizations; The
Depository Trust Company; Order
Instituting Proceedings To Determine
Whether To Approve or Disapprove a
Proposed Rule Change To Amend the
Stress Testing Framework and
Liquidity Risk Management Framework
September 9, 2022.
I. Introduction
On May 26, 2022, The Depository
Trust Company (‘‘DTC’’) filed with the
Securities and Exchange Commission
(‘‘Commission’’) proposed rule change
SR–DTC–2022–006 (the ‘‘Proposed Rule
Change’’) pursuant to Section 19(b)(1) of
the Securities Exchange Act of 1934
(‘‘Act’’) 1 and Rule 19b–4 thereunder.2
The Proposed Rule Change was
published for comment in the Federal
Register on June 15, 2022,3 and the
Commission has received comments
regarding the changes proposed in the
Proposed Rule Change.4
17 17
CFR 200.30–3(a)(31).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
3 Securities Exchange Act Release No. 95080
(June 9, 2022), 87 FR 36191 (June 15, 2022) (File
No. SR–DTC–2022–006).
4 Comments are available at https://www.sec.gov/
comments/sr-dtc-2022-006/srdtc2022006.htm.
1 15
PO 00000
Frm 00114
Fmt 4703
Sfmt 4703
56733
On July 14, 2022, pursuant to Section
19(b)(2) of the Act,5 the Commission
designated a longer period within which
to approve, disapprove, or institute
proceedings to determine whether to
approve or disapprove the Proposed
Rule Change.6 This order institutes
proceedings, pursuant to Section
19(b)(2)(B) of the Act,7 to determine
whether to approve or disapprove the
Proposed Rule Change.
II. Summary of the Proposed Rule
Change
As described in the Notice, DTC
proposes to amend the Clearing Agency
Stress Testing Framework (Market Risk)
(‘‘ST Framework’’) and the Clearing
Agency Liquidity Risk Management
Framework (‘‘LRM Framework,’’ and,
together with the ST Framework, the
‘‘Frameworks’’) of DTC and its affiliates,
National Securities Clearing Corporation
(‘‘NSCC’’) and Fixed Income Clearing
Corporation (‘‘FICC,’’ and together with
NSCC and DTC, the ‘‘Clearing
Agencies’’).8
First, the proposed changes would
amend both the ST Framework and the
LRM Framework to move descriptions
of the Clearing Agencies’ liquidity stress
testing activities from the LRM
Framework to the ST Framework. In
connection with this proposed change,
the Clearing Agencies propose to
recategorize the stress scenarios used for
liquidity risk management, such that all
such stress scenarios are described as
either regulatory or informational
scenarios.
Second, the proposed changes would
amend the ST Framework to (1) enhance
stress testing for the Government
Securities Division of FICC (‘‘GSD’’) to
obtain certain data utilized in stress
testing from external vendors and
implement a back-up stress testing
calculation that would be utilized in the
event such data is not supplied by its
vendors, and amend the ST Framework
to reflect these practices for both GSD
and the Mortgage-Backed Securities
Division of FICC (‘‘MBSD’’); (2) reflect
that a stress testing team is primarily
responsible for the actions described in
the ST Framework, and (3) make other
revisions to update and clarify certain
statements in the ST Framework.
5 15
U.S.C. 78s(b)(2).
Exchange Act Release No. 95282 (July
14, 2022), 87 FR 43354 (July 20, 2022) (SR–DTC–
2022–006).
7 15 U.S.C. 78s(b)(2)(B).
8 The description of the Proposed Rule Change is
based on the statements prepared by DTC in the
Notice. See Notice, supra note 3. Capitalized terms
used herein and not otherwise defined herein are
defined in the Rules, available at https://
www.dtcc.com/∼/media/Files/Downloads/legal/
rules/dtc_rules.pdf.
6 Securities
E:\FR\FM\15SEN1.SGM
15SEN1
Agencies
[Federal Register Volume 87, Number 178 (Thursday, September 15, 2022)]
[Notices]
[Pages 56732-56733]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2022-19914]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-95724; File No. SR-FICC-2022-004]
Self-Regulatory Organizations; Fixed Income Clearing Corporation;
Order Instituting Proceedings To Determine Whether To Approve or
Disapprove a Proposed Rule Change To Amend the Stress Testing Framework
and Liquidity Risk Management Framework
September 9, 2022.
I. Introduction
On May 26, 2022, Fixed Income Clearing Corporation (``FICC'') filed
with the Securities and Exchange Commission (``Commission'') proposed
rule change SR-FICC-2022-004 (the ``Proposed Rule Change'') pursuant to
Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act'') \1\
and Rule 19b-4 thereunder.\2\ The Proposed Rule Change was published
for comment in the Federal Register on June 15, 2022,\3\ and the
Commission has received no comments regarding the changes proposed in
the Proposed Rule Change.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ Securities Exchange Act Release No. 95079 (June 9, 2022), 87
FR 36182 (June 15, 2022) (File No. SR-FICC-2022-004).
---------------------------------------------------------------------------
On July 14, 2022, pursuant to Section 19(b)(2) of the Act,\4\ the
Commission designated a longer period within which to approve,
disapprove, or institute proceedings to determine whether to approve or
disapprove the Proposed Rule Change.\5\ This order institutes
proceedings, pursuant to Section 19(b)(2)(B) of the Act,\6\ to
determine whether to approve or disapprove the Proposed Rule Change.
---------------------------------------------------------------------------
\4\ 15 U.S.C. 78s(b)(2).
\5\ Securities Exchange Act Release No. 95284 (July 14, 2022),
87 FR 43364 (July 20, 2022) (SR-FICC-2022-004).
\6\ 15 U.S.C. 78s(b)(2)(B).
---------------------------------------------------------------------------
II. Summary of the Proposed Rule Change
As described in the Notice, FICC proposes to amend (1) the Clearing
Agency Stress Testing Framework (Market Risk) (``ST Framework'') and
the Clearing Agency Liquidity Risk Management Framework (``LRM
Framework,'' and, together with the ST Framework, the ``Frameworks'')
of FICC and its affiliates, The Depository Trust Company (``DTC'') and
National Securities Clearing Corporation (``NSCC,'' and together with
FICC and DTC, the ``Clearing Agencies''), and (2) the Clearing Rules of
the Mortgage-Backed Securities Division of FICC (``MBSD'').\7\
---------------------------------------------------------------------------
\7\ The description of the Proposed Rule Change is based on the
statements prepared by FICC in the Notice. See Notice, supra note 3.
Capitalized terms used herein and not otherwise defined herein are
defined in the Rules, available at https://www.dtcc.com/~/media/
Files/Downloads/legal/rules/ficc_gov_rules.pdf; https://
www.dtcc.com/~/media/Files/Downloads/legal/rules/
ficc_mbsd_rules.pdf.
---------------------------------------------------------------------------
First, the proposed changes would amend both the ST Framework and
the LRM Framework to move descriptions of the Clearing Agencies'
liquidity stress testing activities from the LRM Framework to the ST
Framework. In connection with this proposed change, the Clearing
Agencies propose to recategorize the stress scenarios used for
liquidity risk management, such that all such stress scenarios are
described as either regulatory or informational scenarios.
Second, the proposed changes would amend the ST Framework to (1)
enhance stress testing for the Government Securities Division of FICC
(``GSD'') to obtain certain data utilized in stress testing from
external vendors and implement a back-up stress testing calculation
that would be utilized in the event such data is not supplied by its
vendors, and amend the ST Framework to reflect these practices for both
GSD and MBSD; (2) reflect that a stress testing team is primarily
responsible for the actions described in the ST Framework, and (3) make
other revisions to update and clarify the statements in the ST
Framework.
Third, the proposed changes would amend the LRM Framework to update
and clarify certain statements in the LRM Framework.
Finally, the proposed changes would amend the Clearing Rules of
MBSD (``MBSD Rules'') to remove disclosures regarding the stress
testing program, which would be described in the ST Framework.
III. Proceedings To Determine Whether To Approve or Disapprove the
Proposed Rule Change and Grounds for Disapproval Under Consideration
The Commission is instituting proceedings pursuant to Section
19(b)(2)(B) of the Act \8\ to determine whether the Proposed Rule
Change should be approved or disapproved. Institution of proceedings is
appropriate at this time in view of the legal and policy issues raised
by the Proposed Rule Change. Institution of proceedings does not
indicate that the Commission has reached any conclusions with respect
to any of the issues involved. Rather, the Commission seeks and
encourages interested persons to comment on the Proposed Rule Change,
providing the Commission with arguments to support the Commission's
analysis as to whether to approve or disapprove the Proposed Rule
Change.
---------------------------------------------------------------------------
\8\ 15 U.S.C. 78s(b)(2)(B).
---------------------------------------------------------------------------
Pursuant to Section 19(b)(2)(B) of the Act,\9\ the Commission is
providing notice of the grounds for disapproval under consideration.
The Commission is instituting proceedings to allow for additional
analysis of, and input from commenters with respect to, the Proposed
Rule Change's consistency with Section 17A of the Act,\10\ and the
rules thereunder, including the following provisions:
---------------------------------------------------------------------------
\9\ Id.
\10\ 15 U.S.C. 78q-1.
---------------------------------------------------------------------------
Section 17A(b)(3)(F) of the Act,\11\ which requires, among
other things, that the rules of a clearing agency must be designed to
promote the prompt and accurate clearance and settlement of securities
transactions, to assure the safeguarding of securities and funds which
are in the custody or control of the clearing agency or for which it is
responsible, and to protect investors and the public interest; and
---------------------------------------------------------------------------
\11\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------
Rule 17Ad-22(e)(4) of the Act,\12\ which requires that a
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.
---------------------------------------------------------------------------
\12\ 17 CFR 240.17Ad-22(e)(4).
---------------------------------------------------------------------------
Rule 17Ad-22(e)(7) of the Act, \13\ which requires a
covered clearing agency to effectively measure, monitor, and manage the
liquidity risk that arises in or is borne by the covered clearing
agency, including measuring, monitoring, and managing its settlement
and funding flows on an ongoing and timely basis, and its use of
intraday liquidity.
---------------------------------------------------------------------------
\13\ 17 CFR 240.17Ad-22(e)(7).
---------------------------------------------------------------------------
IV. Procedure: Request for Written Comments
The Commission requests that interested persons provide written
submissions of their views, data, and arguments with respect to the
issues
[[Page 56733]]
identified above, as well as any other concerns they may have with the
Proposed Rule Change. In particular, the Commission invites the written
views of interested persons concerning whether the Proposed Rule Change
is consistent with Section 17A(b)(3)(F) of the Act,\14\ and Rules 17Ad-
22(e)(4) and (e)(7) of the Act,\15\ or any other provision of the Act,
or the rules and regulations thereunder.
---------------------------------------------------------------------------
\14\ 15 U.S.C. 78q-1(b)(3)(F).
\15\ 17 CFR 240.17Ad-22(e)(4) and (e)(7).
---------------------------------------------------------------------------
Interested persons are invited to submit written data, views, and
arguments regarding whether the Proposed Rule Change should be approved
or disapproved by October 6, 2022. Any person who wishes to file a
rebuttal to any other person's submission must file that rebuttal by
October 20, 2022.
The Commission asks that commenters address the sufficiency of
FICC's statements in support of the Proposed Rule Change, which are set
forth in the Notice,\16\ in addition to any other comments they may
wish to submit about the Proposed Rule Change.
---------------------------------------------------------------------------
\16\ See Notice, supra note 3.
---------------------------------------------------------------------------
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 [email protected]. Please include
File Number SR-FICC-2022-004 on the subject line.
Paper Comments
Send paper comments in triplicate to Secretary, Securities
and Exchange Commission, 100 F Street NE, Washington, DC 20549-1090.
All submissions should refer to File Number SR-FICC-2022-004. This file
number should be included on the subject line if email is used. To help
the Commission process and review your comments more efficiently,
please use only one method. The Commission will post all comments on
the Commission's internet website (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 website viewing and printing in
the Commission's Public Reference Room, 100 F Street NE, Washington, DC
20549 on official business days between the hours of 10:00 a.m. and
3:00 p.m. Copies of the filing also will be available for inspection
and copying at the principal office of FICC and on DTCC's website
(https://dtcc.com/legal/sec-rule-filings.aspx). All comments received
will be posted without change. Persons submitting comments are
cautioned that we do not redact or edit personal identifying
information from comment submissions. You should submit only
information that you wish to make available publicly. All submissions
should refer to File Number SR-FICC-2022-004 and should be submitted on
or before October 6, 2022. Rebuttal comments should be submitted by
October 20, 2022.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\17\
---------------------------------------------------------------------------
\17\ 17 CFR 200.30-3(a)(31).
---------------------------------------------------------------------------
J. Matthew DeLesDernier,
Deputy Secretary,
[FR Doc. 2022-19914 Filed 9-14-22; 8:45 am]
BILLING CODE 8011-01-P