Self-Regulatory Organizations; Fixed Income Clearing Corporation; Notice of Filing of Proposed Rule Change To Revise the Description of the Stressed Period Used To Calculate the Value-at-Risk Charge and Make Other Changes, 14189-14194 [2023-04580]
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Federal Register / Vol. 88, No. 44 / Tuesday, March 7, 2023 / Notices
What are your perspectives on these
approaches? Are there others that
should be considered?
Dated: March 2, 2023.
Stacy Murphy,
Deputy Chief Operations Officer/Security
Officer.
[FR Doc. 2023–04660 Filed 3–6–23; 8:45 am]
BILLING CODE 3270–F1–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–97001; File No. SR–FICC–
2023–003]
Self-Regulatory Organizations; Fixed
Income Clearing Corporation; Notice of
Filing of Proposed Rule Change To
Revise the Description of the Stressed
Period Used To Calculate the Value-atRisk Charge and Make Other Changes
March 1, 2023.
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 February
17, 2023, Fixed Income Clearing
Corporation (‘‘FICC’’) filed with the
Securities and Exchange Commission
(‘‘Commission’’) the proposed rule
change as described in Items I, II and III
below, which Items have been prepared
by the clearing agency. The Commission
is publishing this notice to solicit
comments on the proposed rule change
from interested persons.
I. Clearing Agency’s Statement of the
Terms of Substance of the Proposed
Rule Change
The proposed rule change 3 consists of
amendments to the GSD Methodology
Document—GSD Initial Market Risk
Margin Model (‘‘GSD QRM
Methodology Document’’) 4 and the
1 15
U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 Capitalized terms used herein and not defined
shall have the meaning assigned to such terms in
the FICC’s Government Securities Division (‘‘GSD’’)
Rulebook (‘‘GSD Rules’’) and FICC’s MortgageBacked Securities Division (‘‘MBSD’’) Clearing
Rules (‘‘MBSD Rules’’, and together with the GSD
Rules, the ‘‘Rules’’), available at https://
www.dtcc.com/legal/rules-and-procedures.aspx.
4 The GSD QRM Methodology Document was
filed as a confidential exhibit in the rule filing and
advance notice for GSD sensitivity VaR. See
Securities Exchange Act Release Nos. 83362 (June
1, 2018), 83 FR 26514 (June 7, 2018) (SR–FICC–
2018–001) and 83223 (May 11, 2018), 83 FR 23020
(May 17, 2018) (SR–FICC–2018–801). The GSD
QRM Methodology has been subsequently
amended. See Securities Exchange Act Release Nos.
85944 (May 24, 2019), 84 FR 25315 (May 31, 2019)
(SR–FICC–2019–001), 90182 (October 14, 2020), 85
FR 66630 (October 20, 2020) (SR–FICC–2020–009),
93234 (October 1, 2021), 86 FR 55891 (October 7,
2021) (SR–FICC–2021–007), and 95605 (August 25,
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MBSD Methodology and Model
Operations Document—MBSD
Quantitative Risk Model (‘‘MBSD QRM
Methodology Document’’,5 and
collectively with the GSD QRM
Methodology Document, the ‘‘QRM
Methodology Documents’’) in order to
revise the description of the stressed
period used to calculate the VaR Charge
(as defined below). FICC is also
proposing to amend the GSD QRM
Methodology Document in order to
clarify the language describing the floor
parameters used for the calculation of
the VaR Floor. In addition, FICC is
proposing to amend the QRM
Methodology Documents to make
certain technical changes, as described
in greater detail below.
II. Clearing Agency’s Statement of the
Purpose of, and Statutory Basis for, the
Proposed Rule Change
In its filing with the Commission, the
clearing agency included statements
concerning the purpose of and basis for
the proposed rule change and discussed
any comments it received on the
proposed rule change. The text of these
statements may be examined at the
places specified in Item IV below. The
clearing agency has prepared
summaries, set forth in sections A, B,
and C below, of the most significant
aspects of such statements.
(A) Clearing Agency’s Statement of the
Purpose of, and Statutory Basis for, the
Proposed Rule Change
1. Purpose
FICC has observed significant
volatility in the U.S. government
securities market due to tightening
monetary policy, increasing inflation,
and recession fears. The significant
volatility has led to greater risk
exposures for FICC. In order to mitigate
the increased risk exposures, FICC has
to quickly and timely respond to rapidly
changing market conditions. For
example, in order to respond to rapidly
changing market conditions, FICC may
need to quickly and timely adjust the
look-back period that FICC uses for
2022), 87 FR 53522 (August 31, 2022) (SR–FICC–
2022–005).
5 The MBSD QRM Methodology was filed as a
confidential exhibit in the rule filing and advance
notice for MBSD sensitivity VaR. See Securities
Exchange Act Release Nos. 79868 (January 24,
2017), 82 FR 8780 (January 30, 2017) (SR–FICC–
2016–007) and 79843 (January 19, 2017), 82 FR
8555 (January 26, 2017) (SR–FICC–2016–801). The
MBSD QRM Methodology has been amended. See
Securities Exchange Act Release Nos. 85944 (May
24, 2019), 84 FR 25315 (May 31, 2019) (SR–FICC–
2019–001), 90182 (October 14, 2020), 85 FR 66630
(October 20, 2020) (SR–FICC–2020–009), 92303
(June 30, 2021), 86 FR 35854 (July 7, 2021) (SR–
FICC–2020–017) and 95070 (June 8, 2022), 87 FR
36014 (June 14, 2022) (SR–FICC–2022–002).
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14189
purposes of calculating the VaR Charge
with an appropriate stressed period, as
needed, to enable FICC to calculate and
collect adequate margin from members.
Accordingly, FICC is proposing to
amend the QRM Methodology
Documents by revising the description
of the stressed period used to calculate
the VaR Charge in order to enable FICC
to quickly and timely adjust the lookback period used for calculating the VaR
Charge with an appropriate stressed
period, as needed. Adjustments to the
look-back period could affect the
amount of the VaR Charge that GSD
Members are assessed by either
increasing or decreasing such charge to
reflect the level of risk the activities of
the GSD Members presented to FICC.
FICC is also proposing to amend the
GSD QRM Methodology Document in
order to clarify the language describing
the floor parameters used for the
calculation of the VaR Floor. In
addition, FICC is proposing to amend
the QRM Methodology Documents to
make certain technical changes.
FICC, through GSD and MBSD, serves
as a central counterparty (‘‘CCP’’) and
provider of clearance and settlement
services for the U.S. government
securities and mortgage-backed
securities markets. A key tool that FICC
uses to manage its credit exposures to
its members is the daily collection of
margin from each member. The
aggregated amount of all GSD and
MBSD members’ margin constitutes the
GSD Clearing Fund and MBSD Clearing
Fund (collectively referred to herein as
the ‘‘Clearing Fund’’), which FICC
would be able to access should a
defaulted member’s own margin be
insufficient to satisfy losses to FICC
caused by the liquidation of that
member’s portfolio. Each member’s
margin consists of a number of
applicable components, including a
value-at-risk (‘‘VaR’’) charge (‘‘VaR
Charge’’) designed to capture the
potential market price risk associated
with the securities in a member’s
portfolio. The VaR Charge is typically
the largest component of a member’s
margin requirement. The VaR Charge is
designed to cover FICC’s projected
liquidation losses with respect to a
defaulted member’s portfolio at a 99%
confidence level.
FICC calculates VaR Charge by using
a methodology referred to as the
sensitivity approach. The sensitivity
approach leverages external vendor
expertise in supplying the market risk
attributes, which would then be
incorporated by FICC into the GSD and
MBSD models to calculate the VaR
Charge. Specifically, FICC sources
security-level risk sensitivity data and
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relevant historical risk factor time series
from an external vendor for all eligible
securities. The sensitivity data is
generated by a vendor based on its
econometric, risk and pricing models.
(1) Revise the Description of the
Stressed Period Used To Calculate the
VaR Charge
The sensitivity approach provides
FICC with the ability to adjust the lookback period that FICC uses for purposes
of calculating the VaR Charge. In
particular, the sensitivity approach
leverages external vendor data to
incorporate a look-back period of 10
years, which allows the GSD and MBSD
models to capture periods of historical
volatility. In the event FICC observes
that the 10-year look-back period does
not contain a sufficient number of
stressed market conditions, FICC will
include an additional period of
historically observed stressed market
conditions to the 10-year look-back
period.
The QRM Methodology Documents
currently describe the additional
stressed period as a configurable
continuous period (typically one year).
In addition, the GSD QRM Methodology
Document further specifies the duration
of the stressed period as one-year of
stressed market condition. To ensure the
GSD and MBSD models are performing
as designed, FICC regularly reviews
metrics from various assessments, such
as the proportion of failure (‘‘POF’’) test
being used to determine whether the
number of member deficiencies, if any,
are statistically significant. While recent
POF test results indicate that the GSD
and MBSD models still perform as
designed, FICC has observed a number
of instances, for example in certain U.S.
Treasury security tenors, where market
volatility produced price returns in
excess of the 99% confidence level
calibration of the VaR models in recent
months due to heightened volatility in
the market.
In order to provide FICC with more
flexibility with respect to the inclusion
of sufficient number of stressed market
conditions in the look-back period so
FICC can respond to rapidly changing
market conditions more quickly and
timely, FICC is proposing to eliminate
this detailed description of the stressed
period from Sections 2.10.1 (The list of
key parameters) and A4.5.16.1 (Stressed
VaR Calculation) of the GSD QRM
Methodology Document, as well as
Section 5.17.1 (Stressed VaR
Calculation) of the MBSD QRM
Methodology Document, and replace it
with a more general description.
Specifically, the proposed new
description of the stressed period would
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provide in Section A4.5.16.1 of the GSD
QRM Methodology Document and
Section 5.17.1 of the MBSD QRM
Methodology Document that the
‘‘stressed period’’ shall be a period of
time that FICC may add, in its sole
discretion, to the 10-year historical lookback period that includes stressed
market conditions that are not otherwise
captured in the look-back period. The
proposed new description would also
provide that a stressed period, if added
to the look-back period, shall be no
shorter than 6 months and no longer
than 36 months, and comprised of either
one continuous period specified by a
start date and an end date or comprised
of more than one non-continuous
period. In addition, the proposed new
description would provide that in
determining whether it is necessary to
add a stressed period to the 10-year
historical look-back period and the
appropriate length of the added stressed
period, FICC would review all relevant
information available to it at the time of
such determination, including, for
example, (1) the nature of the stressed
market conditions in the current 10-year
historical look-back period, (2)
backtesting coverage ratios, and (3)
market volatility observed by FICC, in
its sole discretion. Furthermore, the
proposed new description would
provide that changes to the stressed
period shall be approved through FICC’s
model governance process, and any
current stressed period shall be
documented and published to FICC
members at the time such stressed
period becomes effective.
FICC believes that having a more
general description would enable FICC
to adjust the stressed period more
quickly and timely because the
adjustment process, such as
constructing a stressed period
comprised of more than one year’s
historical data that may not be
continuous,6 would be more
streamlined and not require a rule
change.7 By being able to quickly and
timely make adjustments to the stressed
period, FICC would have the flexibility
to respond to rapidly changing market
6 FICC believes constructing a longer than oneyear stressed period, or a stressed period that may
not be continuous, would enable FICC to (i) better
cope with market volatility spikes by increasing the
calibrated volatility level of the VaR models, i.e.,
longer stressed periods generally result in higher
calibrated volatility levels, and (ii) capture a
sufficient number of stressed market conditions.
7 Pursuant to Section 806(e)(1) of Title VIII of the
Dodd-Frank Wall Street Reform and Consumer
Protection Act and Rule 19b–4(n)(1)(i) under the
Act, if a change materially affects the nature or level
of risks presented by FICC, then FICC is required
to file an advance notice filing. 12 U.S.C. 5465(e)(1)
and 17 CFR 240.19b–4(n)(1)(i).
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conditions more quickly and timely.
Having the flexibility to respond to
rapidly changing market conditions
more quickly and timely would in turn
help better ensure that FICC calculates
and collects adequate margin from
members as well as risk manages its
credit exposures to its members.8
Nonetheless, as described in the QRM
Methodology Documents, the look-back
period would continue to be tracked in
the monthly model parameter report
and any changes to the look-back
period 9 would continue to be subject to
DTCC’s internal model governance
process as described in the Clearing
Agency Model Risk Management
Framework.10
(2) Clarify the Floor Parameter Language
The VaR Charge is subject to a
minimum amount (the ‘‘VaR Floor’’)
that FICC employs as an alternative to
the amount calculated by the VaR model
for portfolios where the VaR Floor 11 is
greater than the model-based charge
amount. A VaR Floor addresses the risk
that the VaR model may calculate too
low a VaR Charge for certain portfolios
where the VaR model applies
substantial risk offsets among long and
short positions in different classes of
securities that have a high degree of
historical correlation. Because this high
degree of historical price correlation
may not apply in future changing
market conditions, FICC applies a VaR
Floor in order to protect FICC against
such risk in the event that FICC is
8 FICC is currently contemplating changing the
stressed period at GSD from one year to 1.5 year
while keeping the current one-year stressed period
at MBSD unchanged.
9 The look-back period includes the stressed
period, if any.
10 The Clearing Agency Model Risk Management
Framework (‘‘Framework’’) sets forth the model risk
management practices that FICC and its affiliates
The Depository Trust Company (‘‘DTC’’) and
National Securities Clearing Corporation (‘‘NSCC,’’
and together with FICC and DTC, the ‘‘Clearing
Agencies’’) follow to identify, measure, monitor,
and manage the risks associated with the design,
development, implementation, use, and validation
of quantitative models. The Framework is filed as
a rule of the Clearing Agencies. See Securities
Exchange Act Release Nos. 81485 (August 25,
2017), 82 FR 41433 (August 31, 2017) (File Nos.
SR–DTC–2017–008; SR–FICC–2017–014; SR–
NSCC–2017–008), 88911 (May 20, 2020), 85 FR
31828 (May 27, 2020) (File Nos. SR–DTC–2020–
008; SR–FICC–2020–004; SR–NSCC–2020–008),
92380 (July 13, 2021), 86 FR 38140 (July 19, 2021)
(File No. SR–FICC–2021–006), 92381 (July 13,
2021), 86 FR 38163 (July 19, 2021) (File No. SR–
NSCC–2021–008), 92379 (July 13, 2021), 86 FR
38143 (July 19, 2021) (File No. SR–DTC–2021–003),
94271 (February 17, 2022), 87 FR 10411 (February
24, 2022) (File No. SR–FICC–2022–001), 94272
(February 17, 2022) 87 FR 10419 (February 24,
2022) (File No. SR–NSCC–2022–001), and 94273
(February 17, 2022), 87 FR 10395 (February 24,
2022) (File No. SR–DTC–2022–001).
11 See definition of ‘‘VaR Charge’’ in GSD Rule 1
(Definitions), supra note 3.
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required to liquidate a large securities
portfolio in stressed market
conditions.12
VaR Floor at GSD is determined by
multiplying the absolute value of the
sum of the Net Long Positions and Net
Short Positions of Eligible Securities,
grouped by product and remaining
maturity, by a percentage designated by
FICC from time to time for such group.
Currently, the GSD Rules provide that
for (i) U.S. Treasury and agency
securities, such percentage shall be a
fraction, no less than 10%, of the
historical minimum volatility of a
benchmark fixed income index (i.e.,
haircut rate) for such group by product
and remaining maturity and (ii)
mortgage-backed securities, such
percentage shall be a fixed percentage
that is no less than 0.05%.13 However,
the GSD QRM Methodology Document
specifies these percentages (referred to
as floor parameters therein) for
government bond and MBS Pool as
simply 10% and 5 Bps, respectively.
To avoid inconsistency with the GSD
Rules, FICC is proposing clarifying
changes to the floor parameter language
in Section 2.10.1 of the GSD QRM
Methodology Document. Specifically,
FICC is proposing to revise the
description of the floor parameter for
government bond by deleting the
reference to 10% and adding language
that state the parameter is a percentage
as designated by FICC from time to time
pursuant to the GSD Rules and applied
to the haircut rate of the respective
government bonds. Similarly, for the
description of the floor parameter for
MBS Pool, FICC is proposing to revise
it by deleting the reference to 5 Bps and
adding language that state the parameter
is a percentage as designated by FICC
from time to time pursuant to the GSD
Rules.
In addition, FICC is proposing to add
a sentence making it clear that the floor
parameters are tracked in the monthly
model parameter report and that any
future changes to the floor parameters
would be subject to DTCC’s internal
model governance process set forth in
the Clearing Agency Model Risk
Management Framework.14
Lastly, consistent with the proposed
changes to the floor parameters
described above, FICC is proposing to
delete from the GSD QRM Methodology
Document the language in Sections 3.2.2
(Calculation of haircut of Treasury and
Agency bonds without sensitivity
12 See Securities Exchange Act Release Nos.
83362 (June 1, 2018), 83 FR 26514 (June 7, 2018)
(SR–FICC–2018–001) and 83223 (May 11, 2018), 83
FR 23020 (May 17, 2018) (SR–FICC–2018–801).
13 Id.
14 Supra note 10.
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analytics data) and 3.5 (Total VaR, Core
Charge and Standalone VaR) that
references the floor parameters for
government bond and MBS pool
positions being tentatively set to 10%
and 0.05%, respectively.
(3) Technical Changes
FICC is proposing to make certain
technical changes to the GSD QRM
Methodology Document. Specifically,
FICC proposes to clarify in Sections 1.1
(Purpose and scope), A4.5.16 (Stressed
VaR), and A4.5.16.1 (Stressed VaR
Calculation) of the GSD QRM
Methodology Document that ‘‘SVaR’’
refers to sensitivity VaR and not stressed
VaR. In addition, FICC is also proposing
to fix typographical errors in Sections
2.10.1 (The list of key parameters) and
A4.5.16.1 (Stressed VaR Calculation) of
the GSD QRM Methodology Document.
Impact Study
FICC conducted an impact study for
the period from January 2021 to October
2022 (‘‘Impact Study’’) which reviewed
the overall impact of the contemplated
change to the stressed period (i.e.,
changing the current stressed period of
one year (September 2008 to August
2009) to a stressed period of 1.5 years
(January 2008 to June 2009) on the GSD
VaR model backtesting coverage and
VaR Charge amounts as well as the
effect on the GSD Members during the
Impact Study period. The results of the
Impact Study indicates that, if a stressed
period of 1.5 years had been in place for
GSD, the GSD’s rolling 12-month VaR
model backtesting coverage ratio would
have improved by 29 bps (from 98.52%
to 98.81%) as of October 2022 and the
associated VaR Charge increase for GSD
would be approximately $387 million
(or 2.1%) on average during that period.
The three GSD Members with the
largest average daily VaR Charge
increases in dollar amount during the
Impact Study period would have had
increases of approximately $43.7
million, $43.24 million, and $39.55
million representing an average daily
increase for such Members of 3.4%,
4.4%, and 2.8%, respectively. The three
GSD Members with the largest average
daily VaR Charge increases as a
percentage of VaR Charges paid by such
Members during the Impact Study
period would have had an average daily
increase of 16.6%, 15.7% and 12.7%,
respectively, had the contemplated
stressed period been in place.
The three GSD Members with the
largest average daily VaR Charge
decreases in dollar amount during the
Impact Study period would have had
decreases of approximately $8.59
million, $7.93 million, and $7.24
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14191
million representing an average daily
decrease for such Members of 4.3%,
1.3%, and 2.9%, respectively. The three
GSD Members with the largest average
daily VaR Charge decreases as a
percentage of VaR Charges paid by such
Members during the Impact Study
period would have had an average daily
decrease of 4.3%, 4.0% and 3.4%,
respectively, had the contemplated
stressed period been in place.
Implementation Timeframe
Subject to approval by the
Commission, FICC would implement
the proposed rule changes by no later
than 60 Business Days after such
approval and would announce the
effective date of the proposed changes
by an Important Notice posted to its
website.
2. Statutory Basis
FICC believes this proposal is
consistent with the requirements of the
Act, and the rules and regulations
thereunder applicable to a registered
clearing agency. Specifically, FICC
believes that the proposed changes to
the QRM Methodology Documents
described above are consistent with
Section 17A(b)(3)(F) of the Act, for the
reasons described below.15
Section 17A(b)(3)(F) of the Act
requires, in part, that the rules of a
clearing agency be designed to assure
the safeguarding of securities and funds
which are in the custody or control of
the clearing agency or for which it is
responsible.16
FICC believes that the proposed
changes to the QRM Methodology
Documents described in Item II(A)1(1)
above to revise the description of the
stressed period used to calculate the
VaR Charge are designed to assure the
safeguarding of securities and funds
which are in the custody or control of
FICC or for which it is responsible,
consistent with Section 17A(b)(3)(F) of
the Act.17 As described above, FICC
believes these proposed changes would
provide FICC with more flexibility with
respect to the adjustment of the stressed
period and thus allow FICC to respond
to rapidly changing market conditions
more quickly and timely. FICC believes
that having more flexibility with respect
to this adjustment would enable FICC to
more accurately calculate the necessary
margin from members while continuing
to limit its exposure to members such
that, in the event of a member default,
FICC’s operations would not be
disrupted and non-defaulting members
15 15
U.S.C. 78q–1(b)(3)(F).
16 Id.
17 Id.
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would not be exposed to losses they
cannot anticipate or control. In this way,
these proposed changes are designed to
assure the safeguarding of securities and
funds which are in the custody and
control of FICC or for which it is
responsible, consistent with Section
17A(b)(3)(F) of the Act.18
FICC believes that the (i) proposed
changes to the floor parameter language
as described in Item II(A)1(2) above and
(ii) the proposed technical changes
described in Item II(A)1(3) above would
enhance the clarity of the GSD QRM
Methodology Document for FICC. As the
GSD QRM Methodology Document is
used by FICC Risk Management
personnel regarding the calculation of
margin requirements, it is therefore
important that FICC Risk Management
has a clear description of the calculation
of the margin methodology. Having a
clear description of the calculation of
the margin methodology would promote
an accurate and smooth functioning of
the margining process. Having an
accurate and smooth functioning of the
margining process would enable FICC to
more accurately calculate the necessary
margin from members and, as described
above, assure the safeguarding of
securities and funds which are in the
custody or control of FICC or for which
it is responsible, consistent with Section
17A(b)(3)(F) of the Act.19
Rule 17Ad–22(e)(4)(i) under the Act 20
requires a covered clearing agency to
establish, implement, maintain and
enforce written policies and procedures
reasonably designed to effectively
identify, measure, monitor, and manage
its credit exposures to participants and
those exposures arising from its
payment, clearing, and settlement
processes by maintaining sufficient
financial resources to cover its credit
exposure to each participant fully with
a high degree of confidence. FICC
believes that the proposed changes in
Item II(A)1(1) above are consistent with
the requirements of Rule 17Ad–
22(e)(4)(i) under the Act.21 As described
above, FICC believes these proposed
changes to revise the description of the
stressed period used to calculate the
VaR Charge would provide FICC with
more flexibility with respect to the
adjustment of the stressed period. FICC
believes that having more flexibility
with respect to the adjustment of the
stressed period would allow FICC to
respond to rapidly changing market
conditions more quickly and timely.
Having the ability to respond to rapidly
changing market conditions more
quickly and timely would in turn help
FICC better measure, monitor, and
manage its credit exposures to
participants and those exposures arising
from its payment, clearing, and
settlement processes. Moreover, the
added flexibility would allow FICC to
collect more accurate margin amounts
that would help offset the risks
presented to FICC by the changing
market conditions, thus help ensure that
FICC maintains sufficient financial
resources to cover its credit exposure to
each participant fully with a high degree
of confidence. Therefore, FICC believes
that the proposed changes described in
Item II(A)1(1) above are consistent with
the requirements of Rule 17Ad–
22(e)(4)(i) under the Act.22
Rule 17Ad–22(e)(6)(i) under the Act 23
requires a covered clearing agency to
establish, implement, maintain and
enforce written policies and procedures
reasonably designed to cover, if the
covered clearing agency provides
central counterparty services, 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. FICC believes that the proposed
changes in Item II(A)1(1) above are
consistent with the requirements of Rule
17Ad–22(e)(6)(i).24 Specifically, FICC
believes that the proposed changes to
replace the current detailed description
of the stressed period with a more
general description, as described above,
would provide FICC with more
flexibility to respond to rapidly
changing market conditions more
quickly and timely because FICC would
be able to make adjustments to the
stressed period without a rule change.
Having this flexibility would enable
FICC to better risk manage its credit
exposure to its members because FICC
would then be able to make appropriate
and timely adjustments to the stressed
period, as described above. Being able to
adjust the stressed period quickly and
timely would allow FICC to continue to
produce margin levels commensurate
with the risks and particular attributes
of each relevant product, portfolio, and
market. Therefore, FICC believes this
proposed change is consistent with Rule
17Ad–22(e)(6)(i) under the Act.25
Rule 17Ad–22(e)(6)(v) under the
Act 26 requires a covered clearing
22 Id.
18 Id.
23 17
19 Id.
24 Id.
20 17
CFR 240.17Ad–22(e)(4)(i).
25 Id.
21 Id.
VerDate Sep<11>2014
26 17
19:49 Mar 06, 2023
CFR 240.17Ad–22(e)(6)(i).
Jkt 259001
PO 00000
agency to establish, implement,
maintain and enforce written policies
and procedures reasonably designed to
cover, if the covered clearing agency
provides central counterparty services,
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. FICC believes that the
proposed changes in Item II(A)1(1)
above are consistent with the
requirements of Rule 17Ad–
22(e)(6)(v).27 Specifically, FICC believes
that the proposed changes to replace the
current detailed description of the
stressed period with a more general
description, as described above, would
provide FICC with more flexibility to
respond to rapidly changing market
conditions more quickly and timely
because FICC would be able to make
adjustments to the stressed period
without a rule change. Having this
flexibility would enable FICC to better
risk manage its credit exposure to its
members because FICC would then be
able to make appropriate and timely
adjustments to the stressed period, as
described above. Being able to adjust the
stressed period quickly and timely
would allow FICC to continue to
produce margin levels commensurate
with relevant product risk factors and
portfolio effects across products.
Therefore, FICC believes this proposed
change is consistent with Rule 17Ad–
22(e)(6)(v) under the Act.28
(B) Clearing Agency’s Statement on
Burden on Competition
FICC believes proposed changes
described in Item II(A)1(1) above may
have an impact on competition because
these changes could result in members
being assessed a higher margin than
they would have been assessed under
the current description of the stressed
period. When these proposed changes
result in a higher VaR Charge, they
could burden competition for members
that have lower operating margins or
higher costs of capital compared to
other members. However, the increase
in VaR Charge would be in direct
relation to the specific risks presented
by each member’s portfolio, and each
member’s margin requirement would
continue to be calculated with the same
parameters and at the same confidence
level for each member. Therefore,
members that have a similar portfolio,
regardless of the type of member, would
have similar impacts on their margin
27 Id.
CFR 240.17Ad–22(e)(6)(v).
Frm 00079
Fmt 4703
Sfmt 4703
28 Id.
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Federal Register / Vol. 88, No. 44 / Tuesday, March 7, 2023 / Notices
requirement amounts. As such, FICC
believes any burden on competition
imposed by the proposed changes
described in Item II(A)1(1) would not be
significant and, regardless of whether
such burden on competition could be
deemed significant, would be necessary
and appropriate, as permitted by
Section 17A(b)(3)(I) of the Act for the
reasons described in this filing and
further below.29
FICC believes any burden on
competition imposed by the proposed
changes described in Item II(A)1(1)
would not be significant. As the result
of the Impact Study indicates, if a
stressed period of 1.5 years had been in
place for GSD, the associated VaR
Charge increase at GSD would be
approximately $387 million (or 2.1%)
on average.
However, even if the burden on
competition imposed by the proposed
changes described in Item II(A)1(1) were
deemed significant, FICC believes that
any such burden on competition would
be necessary because, as described
above, the proposed changes would
provide FICC with more flexibility with
respect to the adjustment of the stressed
period and allow FICC to respond to
rapidly changing market conditions
more quickly and timely. Having more
flexibility with respect to this
calculation would thus help better
ensure that FICC calculates and collects
adequate margin from members and
thereby assure the safeguarding of
securities and funds which are in the
custody and control of FICC or for
which it is responsible, consistent with
Section 17A(b)(3)(F) of the Act.30
In addition, FICC believes the
proposed changes described in Item
II(A)1(1) are necessary to support FICC’s
compliance with Rules 17Ad–22(e)(4)(i),
(e)(6)(i), and (e)(6)(v) under the Act.31
Specifically, as described above, FICC
believes these proposed changes would
provide FICC with more flexibility with
respect to the adjustment of the stressed
period. Having more flexibility with
respect to these adjustments would
allow FICC to respond to rapidly
changing market conditions more
quickly and timely. Having the ability to
respond to rapidly changing market
conditions more quickly and timely
would in turn help FICC better measure,
monitor, and manage its credit
exposures to participants and those
exposures arising from its payment,
clearing, and settlement processes,
29 15
U.S.C. 78q–1(b)(3)(I).
U.S.C. 78q–1(b)(3)(F).
31 17 CFR 240.17Ad–22(e)(4)(i), (e)(6)(i), and
(e)(6)(v).
30 15
VerDate Sep<11>2014
19:49 Mar 06, 2023
Jkt 259001
consistent with the requirements of Rule
17ad–22(e)(4)(i) under the Act.32
FICC also believes these proposed
changes would enable FICC to be better
equipped to respond to rapidly
changing market conditions. FICC
believes having this flexibility would
help lead to a better risk management
practice because it would enable FICC
to adjust the stressed period in response
to fast changing market conditions.
Being able to adjust the stressed period
in response to fast changing market
conditions would enable FICC to
produce margin levels more
commensurate with the risks it faces as
a CCP and help FICC cover its credit
exposures to its participants, consistent
with the requirements of Rules 17Ad–
22(e)(6)(i) and (e)(6)(v) under the Act.33
FICC also believes that any burden on
competition that may be imposed by the
proposed changes described in Item
II(A)1(1) would be appropriate in
furtherance of the Act because, as
described above, these proposed
changes have been specifically designed
to assure the safeguarding of securities
and funds which are in the custody and
control of FICC or for which it is
responsible, as required by Section
17A(b)(3)(F) of the Act.34 As described
above, the proposed changes to revise
the description of the stressed period
used to calculate the VaR Charge would
also enable FICC to produce margin
levels commensurate with the risks and
particular attributes of each member’s
portfolio. Therefore, because the
proposed changes are designed to
provide FICC with an appropriate
measure of the risks presented by
members’ portfolios, FICC believes these
proposed changes are appropriately
designed to meet its risk management
goals and regulatory obligations.
FICC believes that the proposed
changes described in Item II(A)1(1)
above may also promote competition
because these changes could also result
in members being assessed a lower
margin than they would have been
assessed under the current description
of the stressed period, and thereby
could potentially lower operating costs
for members.35
With respect to the proposed changes
described in Items II(A)1(2) and
II(A)1(3) above to make clarifying and
technical changes to the GSD QRM
32 17
CFR 240.17Ad–22(e)(4)(i).
CFR 240.17Ad–22(e)(6)(i) and (e)(6)(v).
34 15 U.S.C. 78q–1(b)(3)(F).
35 As the result of the Impact Study indicates, if
FICC were to change the stressed period pursuant
to the proposed changes described in Item II(A)1(1),
some members would be assessed a lower margin
than they would have been assessed under the
current continuous one-year stressed period.
33 17
PO 00000
Frm 00080
Fmt 4703
Sfmt 4703
14193
Methodology Document, FICC does not
believe these proposed changes would
have any impact on competition
because these proposed changes would
only enhance the clarity of the GSD
QRM Methodology Document, which
would promote an accurate and smooth
functioning of the margining process at
FICC and would not affect the
substantive rights and obligations of
members.
(C) Clearing Agency’s Statement on
Comments on the Proposed Rule
Change Received From Members,
Participants, or Others
FICC has not received or solicited any
written comments relating to this
proposal. If any additional written
comments are received, they will be
publicly filed as an Exhibit 2 to this
filing, as required by Form 19b–4 and
the General Instructions thereto.
Persons submitting comments are
cautioned that, according to Section IV
(Solicitation of Comments) of the
Exhibit 1A in the General Instructions to
Form 19b–4, the Commission does not
edit personal identifying information
from comment submissions.
Commenters should submit only
information that they wish to make
available publicly, including their
name, email address, and any other
identifying information.
All prospective commenters should
follow the Commission’s instructions on
how to submit comments, available at
https://www.sec.gov/regulatory-actions/
how-to-submit-comments. General
questions regarding the rule filing
process or logistical questions regarding
this filing should be directed to the
Main Office of the SEC’s Division of
Trading and Markets at
tradingandmarkets@sec.gov or 202–
551–5777.
FICC reserves the right not to respond
to any comments received.
III. Date of Effectiveness of the
Proposed Rule Change, and Timing for
Commission Action
Within 45 days of the date of
publication of this notice in the Federal
Register or within such longer period
up to 90 days (i) as the Commission may
designate if it finds such longer period
to be appropriate and publishes its
reasons for so finding or (ii) as to which
the self-regulatory organization
consents, the Commission will:
(A) by order approve or disapprove
such proposed rule change, or
(B) institute proceedings to determine
whether the proposed rule change
should be disapproved.
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Federal Register / Vol. 88, No. 44 / Tuesday, March 7, 2023 / Notices
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:
• 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–2023–003 on the subject line.
Paper Comments
ddrumheller on DSK120RN23PROD with NOTICES1
• Send paper comments in triplicate
to Secretary, Securities and Exchange
Commission, 100 F Street NE,
Washington, DC 20549.
All submissions should refer to File
Number SR–FICC–2023–003. 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-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–
2023–003 and should be submitted on
or before March 28, 2023.
19:49 Mar 06, 2023
[FR Doc. 2023–04580 Filed 3–6–23; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
Electronic Comments
VerDate Sep<11>2014
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.36
Sherry R. Haywood,
Assistant Secretary.
Jkt 259001
[Release No. 34–97012; File No. SR–C2–
2023–006]
Self-Regulatory Organizations; Cboe
C2 Exchange, Inc.; Notice of Filing and
Immediate Effectiveness of a Proposed
Rule Change To Adopt a New Data
Product Called the Cboe One Options
Feed
March 1, 2023.
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 February
27, 2023, Cboe C2 Exchange, Inc.
(‘‘Exchange’’ or ‘‘C2’’) filed with the
Securities and Exchange Commission
(‘‘Commission’’) the proposed rule
change as described in Items I and II
below, which Items have been prepared
by the Exchange. The Commission is
publishing this notice to solicit
comments on the proposed rule change
from interested persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
Cboe C2 Exchange, Inc. (the
‘‘Exchange’’ or ‘‘C2 Options’’) proposes
to adopt a new data product called the
Cboe One Options Feed.
The text of the proposed rule change
is also available on the Exchange’s
website (https://markets.cboe.com/us/
options/regulation/rule_filings/ctwo/),
at the Exchange’s Office of the
Secretary, and at the Commission’s
Public Reference Room.
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission, the
Exchange 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
Exchange has prepared summaries, set
36 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
1 15
PO 00000
Frm 00081
Fmt 4703
Sfmt 4703
forth in sections A, B, and C below, of
the most significant aspects of such
statements.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
1. Purpose
The Exchange proposes to establish a
new market data product called the
Cboe One Options Feed.3 As described
more fully below, the Cboe One Options
Feed is a data feed that that will offer
top of book quotations and execution
information based on options orders
entered into the Exchange System and
its affiliated options exchanges, Cboe
Exchange, Inc. (‘‘Cboe Options’’), Cboe
BZX Exchange, Inc. (‘‘BZX Options’’)
and Cboe EDGX Exchange, Inc. (‘‘EDGX
Options’’) (collectively, the ‘‘Affiliates’’
and collectively with the Exchange, the
‘‘Cboe Options Exchanges’’) and for
which the Cboe Options Exchanges
report quotes under the OPRA Plan.4
Currently, the Exchange offers C2
Options Top Data feed, which is an
uncompressed data feed that offers topof-book quotations and last sale
information based on options orders
entered into the Exchange’s System. The
C2 Options Top Data feed benefits
investors by facilitating their prompt
access to real-time top-of-book
information contained in C2 Options
Top Data. The Exchange notes that C2
Options Top Data is ideal for market
participants requiring both quote and
trade data. The Exchange’s Affiliates
also offer similar top-of-book data.5
Particularly, each of the Exchange’s
Affiliates offer top-of-book quotation
and last sale information based on their
own quotation and trading activity that
is substantially similar to the
information provided by the Exchange
through the C2 Options Top Data.
3 The Exchange previously submitted the
proposed rule change on January 30, 2023 (SR–C2–
2023–005). See Securities Exchange Act Release No.
96886 (February 10, 2023), 88 FR 10159, (February
16, 2023) (SR–C2–2023–005). The Exchange is
withdrawing SR–C2–2023–005 and submitting this
filing to make clarifying, non-substantive changes to
more clearly reflect the obligations under the OPRA
Plan, which the Exchange believes will avoid
potential confusion, as well as address the
comments raised by another exchange group in a
comment letter received on February 23, 2023. See
Letter from Greg Ferrari, Vice President, U.S.
Options, Nasdaq Stock Market LLC, Nasdaq PHLX
LLC, Nasdaq BX, Inc., Nasdaq ISE, LLC, Nasdaq
GEMX, LLC, and Nasdaq MRX, LLC markets
(collectively ‘‘Nasdaq’’), to Vanessa Countryman,
Secretary Commission, dated February 23, 2023.
4 The Exchange understands that each of the Cboe
Options Exchanges will separately file substantially
similar proposed rule changes to implement Cboe
One Options Feed and its related fees.
5 See Cboe Data Services, LLC Fee Schedule,
EDGX Rule 21.15, and BZX Rule 21.15.
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Agencies
[Federal Register Volume 88, Number 44 (Tuesday, March 7, 2023)]
[Notices]
[Pages 14189-14194]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2023-04580]
=======================================================================
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-97001; File No. SR-FICC-2023-003]
Self-Regulatory Organizations; Fixed Income Clearing Corporation;
Notice of Filing of Proposed Rule Change To Revise the Description of
the Stressed Period Used To Calculate the Value-at-Risk Charge and Make
Other Changes
March 1, 2023.
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 February 17, 2023, Fixed Income Clearing Corporation (``FICC'')
filed with the Securities and Exchange Commission (``Commission'') the
proposed rule change as described in Items I, II and III below, which
Items have been prepared by the clearing agency. The Commission is
publishing this notice to solicit comments on the proposed rule change
from interested persons.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------
I. Clearing Agency's Statement of the Terms of Substance of the
Proposed Rule Change
The proposed rule change \3\ consists of amendments to the GSD
Methodology Document--GSD Initial Market Risk Margin Model (``GSD QRM
Methodology Document'') \4\ and the MBSD Methodology and Model
Operations Document--MBSD Quantitative Risk Model (``MBSD QRM
Methodology Document'',\5\ and collectively with the GSD QRM
Methodology Document, the ``QRM Methodology Documents'') in order to
revise the description of the stressed period used to calculate the VaR
Charge (as defined below). FICC is also proposing to amend the GSD QRM
Methodology Document in order to clarify the language describing the
floor parameters used for the calculation of the VaR Floor. In
addition, FICC is proposing to amend the QRM Methodology Documents to
make certain technical changes, as described in greater detail below.
---------------------------------------------------------------------------
\3\ Capitalized terms used herein and not defined shall have the
meaning assigned to such terms in the FICC's Government Securities
Division (``GSD'') Rulebook (``GSD Rules'') and FICC's Mortgage-
Backed Securities Division (``MBSD'') Clearing Rules (``MBSD
Rules'', and together with the GSD Rules, the ``Rules''), available
at https://www.dtcc.com/legal/rules-and-procedures.aspx.
\4\ The GSD QRM Methodology Document was filed as a confidential
exhibit in the rule filing and advance notice for GSD sensitivity
VaR. See Securities Exchange Act Release Nos. 83362 (June 1, 2018),
83 FR 26514 (June 7, 2018) (SR-FICC-2018-001) and 83223 (May 11,
2018), 83 FR 23020 (May 17, 2018) (SR-FICC-2018-801). The GSD QRM
Methodology has been subsequently amended. See Securities Exchange
Act Release Nos. 85944 (May 24, 2019), 84 FR 25315 (May 31, 2019)
(SR-FICC-2019-001), 90182 (October 14, 2020), 85 FR 66630 (October
20, 2020) (SR-FICC-2020-009), 93234 (October 1, 2021), 86 FR 55891
(October 7, 2021) (SR-FICC-2021-007), and 95605 (August 25, 2022),
87 FR 53522 (August 31, 2022) (SR-FICC-2022-005).
\5\ The MBSD QRM Methodology was filed as a confidential exhibit
in the rule filing and advance notice for MBSD sensitivity VaR. See
Securities Exchange Act Release Nos. 79868 (January 24, 2017), 82 FR
8780 (January 30, 2017) (SR-FICC-2016-007) and 79843 (January 19,
2017), 82 FR 8555 (January 26, 2017) (SR-FICC-2016-801). The MBSD
QRM Methodology has been amended. See Securities Exchange Act
Release Nos. 85944 (May 24, 2019), 84 FR 25315 (May 31, 2019) (SR-
FICC-2019-001), 90182 (October 14, 2020), 85 FR 66630 (October 20,
2020) (SR-FICC-2020-009), 92303 (June 30, 2021), 86 FR 35854 (July
7, 2021) (SR-FICC-2020-017) and 95070 (June 8, 2022), 87 FR 36014
(June 14, 2022) (SR-FICC-2022-002).
---------------------------------------------------------------------------
II. Clearing Agency's Statement of the Purpose of, and Statutory Basis
for, the Proposed Rule Change
In its filing with the Commission, the clearing agency included
statements concerning the purpose of and basis for the proposed rule
change and discussed any comments it received on the proposed rule
change. The text of these statements may be examined at the places
specified in Item IV below. The clearing agency has prepared summaries,
set forth in sections A, B, and C below, of the most significant
aspects of such statements.
(A) Clearing Agency's Statement of the Purpose of, and Statutory Basis
for, the Proposed Rule Change
1. Purpose
FICC has observed significant volatility in the U.S. government
securities market due to tightening monetary policy, increasing
inflation, and recession fears. The significant volatility has led to
greater risk exposures for FICC. In order to mitigate the increased
risk exposures, FICC has to quickly and timely respond to rapidly
changing market conditions. For example, in order to respond to rapidly
changing market conditions, FICC may need to quickly and timely adjust
the look-back period that FICC uses for purposes of calculating the VaR
Charge with an appropriate stressed period, as needed, to enable FICC
to calculate and collect adequate margin from members. Accordingly,
FICC is proposing to amend the QRM Methodology Documents by revising
the description of the stressed period used to calculate the VaR Charge
in order to enable FICC to quickly and timely adjust the look-back
period used for calculating the VaR Charge with an appropriate stressed
period, as needed. Adjustments to the look-back period could affect the
amount of the VaR Charge that GSD Members are assessed by either
increasing or decreasing such charge to reflect the level of risk the
activities of the GSD Members presented to FICC.
FICC is also proposing to amend the GSD QRM Methodology Document in
order to clarify the language describing the floor parameters used for
the calculation of the VaR Floor. In addition, FICC is proposing to
amend the QRM Methodology Documents to make certain technical changes.
FICC, through GSD and MBSD, serves as a central counterparty
(``CCP'') and provider of clearance and settlement services for the
U.S. government securities and mortgage-backed securities markets. A
key tool that FICC uses to manage its credit exposures to its members
is the daily collection of margin from each member. The aggregated
amount of all GSD and MBSD members' margin constitutes the GSD Clearing
Fund and MBSD Clearing Fund (collectively referred to herein as the
``Clearing Fund''), which FICC would be able to access should a
defaulted member's own margin be insufficient to satisfy losses to FICC
caused by the liquidation of that member's portfolio. Each member's
margin consists of a number of applicable components, including a
value-at-risk (``VaR'') charge (``VaR Charge'') designed to capture the
potential market price risk associated with the securities in a
member's portfolio. The VaR Charge is typically the largest component
of a member's margin requirement. The VaR Charge is designed to cover
FICC's projected liquidation losses with respect to a defaulted
member's portfolio at a 99% confidence level.
FICC calculates VaR Charge by using a methodology referred to as
the sensitivity approach. The sensitivity approach leverages external
vendor expertise in supplying the market risk attributes, which would
then be incorporated by FICC into the GSD and MBSD models to calculate
the VaR Charge. Specifically, FICC sources security-level risk
sensitivity data and
[[Page 14190]]
relevant historical risk factor time series from an external vendor for
all eligible securities. The sensitivity data is generated by a vendor
based on its econometric, risk and pricing models.
(1) Revise the Description of the Stressed Period Used To Calculate the
VaR Charge
The sensitivity approach provides FICC with the ability to adjust
the look-back period that FICC uses for purposes of calculating the VaR
Charge. In particular, the sensitivity approach leverages external
vendor data to incorporate a look-back period of 10 years, which allows
the GSD and MBSD models to capture periods of historical volatility. In
the event FICC observes that the 10-year look-back period does not
contain a sufficient number of stressed market conditions, FICC will
include an additional period of historically observed stressed market
conditions to the 10-year look-back period.
The QRM Methodology Documents currently describe the additional
stressed period as a configurable continuous period (typically one
year). In addition, the GSD QRM Methodology Document further specifies
the duration of the stressed period as one-year of stressed market
condition. To ensure the GSD and MBSD models are performing as
designed, FICC regularly reviews metrics from various assessments, such
as the proportion of failure (``POF'') test being used to determine
whether the number of member deficiencies, if any, are statistically
significant. While recent POF test results indicate that the GSD and
MBSD models still perform as designed, FICC has observed a number of
instances, for example in certain U.S. Treasury security tenors, where
market volatility produced price returns in excess of the 99%
confidence level calibration of the VaR models in recent months due to
heightened volatility in the market.
In order to provide FICC with more flexibility with respect to the
inclusion of sufficient number of stressed market conditions in the
look-back period so FICC can respond to rapidly changing market
conditions more quickly and timely, FICC is proposing to eliminate this
detailed description of the stressed period from Sections 2.10.1 (The
list of key parameters) and A4.5.16.1 (Stressed VaR Calculation) of the
GSD QRM Methodology Document, as well as Section 5.17.1 (Stressed VaR
Calculation) of the MBSD QRM Methodology Document, and replace it with
a more general description. Specifically, the proposed new description
of the stressed period would provide in Section A4.5.16.1 of the GSD
QRM Methodology Document and Section 5.17.1 of the MBSD QRM Methodology
Document that the ``stressed period'' shall be a period of time that
FICC may add, in its sole discretion, to the 10-year historical look-
back period that includes stressed market conditions that are not
otherwise captured in the look-back period. The proposed new
description would also provide that a stressed period, if added to the
look-back period, shall be no shorter than 6 months and no longer than
36 months, and comprised of either one continuous period specified by a
start date and an end date or comprised of more than one non-continuous
period. In addition, the proposed new description would provide that in
determining whether it is necessary to add a stressed period to the 10-
year historical look-back period and the appropriate length of the
added stressed period, FICC would review all relevant information
available to it at the time of such determination, including, for
example, (1) the nature of the stressed market conditions in the
current 10-year historical look-back period, (2) backtesting coverage
ratios, and (3) market volatility observed by FICC, in its sole
discretion. Furthermore, the proposed new description would provide
that changes to the stressed period shall be approved through FICC's
model governance process, and any current stressed period shall be
documented and published to FICC members at the time such stressed
period becomes effective.
FICC believes that having a more general description would enable
FICC to adjust the stressed period more quickly and timely because the
adjustment process, such as constructing a stressed period comprised of
more than one year's historical data that may not be continuous,\6\
would be more streamlined and not require a rule change.\7\ By being
able to quickly and timely make adjustments to the stressed period,
FICC would have the flexibility to respond to rapidly changing market
conditions more quickly and timely. Having the flexibility to respond
to rapidly changing market conditions more quickly and timely would in
turn help better ensure that FICC calculates and collects adequate
margin from members as well as risk manages its credit exposures to its
members.\8\
---------------------------------------------------------------------------
\6\ FICC believes constructing a longer than one-year stressed
period, or a stressed period that may not be continuous, would
enable FICC to (i) better cope with market volatility spikes by
increasing the calibrated volatility level of the VaR models, i.e.,
longer stressed periods generally result in higher calibrated
volatility levels, and (ii) capture a sufficient number of stressed
market conditions.
\7\ Pursuant to Section 806(e)(1) of Title VIII of the Dodd-
Frank Wall Street Reform and Consumer Protection Act and Rule 19b-
4(n)(1)(i) under the Act, if a change materially affects the nature
or level of risks presented by FICC, then FICC is required to file
an advance notice filing. 12 U.S.C. 5465(e)(1) and 17 CFR 240.19b-
4(n)(1)(i).
\8\ FICC is currently contemplating changing the stressed period
at GSD from one year to 1.5 year while keeping the current one-year
stressed period at MBSD unchanged.
---------------------------------------------------------------------------
Nonetheless, as described in the QRM Methodology Documents, the
look-back period would continue to be tracked in the monthly model
parameter report and any changes to the look-back period \9\ would
continue to be subject to DTCC's internal model governance process as
described in the Clearing Agency Model Risk Management Framework.\10\
---------------------------------------------------------------------------
\9\ The look-back period includes the stressed period, if any.
\10\ The Clearing Agency Model Risk Management Framework
(``Framework'') sets forth the model risk management practices that
FICC and its affiliates The Depository Trust Company (``DTC'') and
National Securities Clearing Corporation (``NSCC,'' and together
with FICC and DTC, the ``Clearing Agencies'') follow to identify,
measure, monitor, and manage the risks associated with the design,
development, implementation, use, and validation of quantitative
models. The Framework is filed as a rule of the Clearing Agencies.
See Securities Exchange Act Release Nos. 81485 (August 25, 2017), 82
FR 41433 (August 31, 2017) (File Nos. SR-DTC-2017-008; SR-FICC-2017-
014; SR-NSCC-2017-008), 88911 (May 20, 2020), 85 FR 31828 (May 27,
2020) (File Nos. SR-DTC-2020-008; SR-FICC-2020-004; SR-NSCC-2020-
008), 92380 (July 13, 2021), 86 FR 38140 (July 19, 2021) (File No.
SR-FICC-2021-006), 92381 (July 13, 2021), 86 FR 38163 (July 19,
2021) (File No. SR-NSCC-2021-008), 92379 (July 13, 2021), 86 FR
38143 (July 19, 2021) (File No. SR-DTC-2021-003), 94271 (February
17, 2022), 87 FR 10411 (February 24, 2022) (File No. SR-FICC-2022-
001), 94272 (February 17, 2022) 87 FR 10419 (February 24, 2022)
(File No. SR-NSCC-2022-001), and 94273 (February 17, 2022), 87 FR
10395 (February 24, 2022) (File No. SR-DTC-2022-001).
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(2) Clarify the Floor Parameter Language
The VaR Charge is subject to a minimum amount (the ``VaR Floor'')
that FICC employs as an alternative to the amount calculated by the VaR
model for portfolios where the VaR Floor \11\ is greater than the
model-based charge amount. A VaR Floor addresses the risk that the VaR
model may calculate too low a VaR Charge for certain portfolios where
the VaR model applies substantial risk offsets among long and short
positions in different classes of securities that have a high degree of
historical correlation. Because this high degree of historical price
correlation may not apply in future changing market conditions, FICC
applies a VaR Floor in order to protect FICC against such risk in the
event that FICC is
[[Page 14191]]
required to liquidate a large securities portfolio in stressed market
conditions.\12\
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\11\ See definition of ``VaR Charge'' in GSD Rule 1
(Definitions), supra note 3.
\12\ See Securities Exchange Act Release Nos. 83362 (June 1,
2018), 83 FR 26514 (June 7, 2018) (SR-FICC-2018-001) and 83223 (May
11, 2018), 83 FR 23020 (May 17, 2018) (SR-FICC-2018-801).
---------------------------------------------------------------------------
VaR Floor at GSD is determined by multiplying the absolute value of
the sum of the Net Long Positions and Net Short Positions of Eligible
Securities, grouped by product and remaining maturity, by a percentage
designated by FICC from time to time for such group. Currently, the GSD
Rules provide that for (i) U.S. Treasury and agency securities, such
percentage shall be a fraction, no less than 10%, of the historical
minimum volatility of a benchmark fixed income index (i.e., haircut
rate) for such group by product and remaining maturity and (ii)
mortgage-backed securities, such percentage shall be a fixed percentage
that is no less than 0.05%.\13\ However, the GSD QRM Methodology
Document specifies these percentages (referred to as floor parameters
therein) for government bond and MBS Pool as simply 10% and 5 Bps,
respectively.
---------------------------------------------------------------------------
\13\ Id.
---------------------------------------------------------------------------
To avoid inconsistency with the GSD Rules, FICC is proposing
clarifying changes to the floor parameter language in Section 2.10.1 of
the GSD QRM Methodology Document. Specifically, FICC is proposing to
revise the description of the floor parameter for government bond by
deleting the reference to 10% and adding language that state the
parameter is a percentage as designated by FICC from time to time
pursuant to the GSD Rules and applied to the haircut rate of the
respective government bonds. Similarly, for the description of the
floor parameter for MBS Pool, FICC is proposing to revise it by
deleting the reference to 5 Bps and adding language that state the
parameter is a percentage as designated by FICC from time to time
pursuant to the GSD Rules.
In addition, FICC is proposing to add a sentence making it clear
that the floor parameters are tracked in the monthly model parameter
report and that any future changes to the floor parameters would be
subject to DTCC's internal model governance process set forth in the
Clearing Agency Model Risk Management Framework.\14\
---------------------------------------------------------------------------
\14\ Supra note 10.
---------------------------------------------------------------------------
Lastly, consistent with the proposed changes to the floor
parameters described above, FICC is proposing to delete from the GSD
QRM Methodology Document the language in Sections 3.2.2 (Calculation of
haircut of Treasury and Agency bonds without sensitivity analytics
data) and 3.5 (Total VaR, Core Charge and Standalone VaR) that
references the floor parameters for government bond and MBS pool
positions being tentatively set to 10% and 0.05%, respectively.
(3) Technical Changes
FICC is proposing to make certain technical changes to the GSD QRM
Methodology Document. Specifically, FICC proposes to clarify in
Sections 1.1 (Purpose and scope), A4.5.16 (Stressed VaR), and A4.5.16.1
(Stressed VaR Calculation) of the GSD QRM Methodology Document that
``SVaR'' refers to sensitivity VaR and not stressed VaR. In addition,
FICC is also proposing to fix typographical errors in Sections 2.10.1
(The list of key parameters) and A4.5.16.1 (Stressed VaR Calculation)
of the GSD QRM Methodology Document.
Impact Study
FICC conducted an impact study for the period from January 2021 to
October 2022 (``Impact Study'') which reviewed the overall impact of
the contemplated change to the stressed period (i.e., changing the
current stressed period of one year (September 2008 to August 2009) to
a stressed period of 1.5 years (January 2008 to June 2009) on the GSD
VaR model backtesting coverage and VaR Charge amounts as well as the
effect on the GSD Members during the Impact Study period. The results
of the Impact Study indicates that, if a stressed period of 1.5 years
had been in place for GSD, the GSD's rolling 12-month VaR model
backtesting coverage ratio would have improved by 29 bps (from 98.52%
to 98.81%) as of October 2022 and the associated VaR Charge increase
for GSD would be approximately $387 million (or 2.1%) on average during
that period.
The three GSD Members with the largest average daily VaR Charge
increases in dollar amount during the Impact Study period would have
had increases of approximately $43.7 million, $43.24 million, and
$39.55 million representing an average daily increase for such Members
of 3.4%, 4.4%, and 2.8%, respectively. The three GSD Members with the
largest average daily VaR Charge increases as a percentage of VaR
Charges paid by such Members during the Impact Study period would have
had an average daily increase of 16.6%, 15.7% and 12.7%, respectively,
had the contemplated stressed period been in place.
The three GSD Members with the largest average daily VaR Charge
decreases in dollar amount during the Impact Study period would have
had decreases of approximately $8.59 million, $7.93 million, and $7.24
million representing an average daily decrease for such Members of
4.3%, 1.3%, and 2.9%, respectively. The three GSD Members with the
largest average daily VaR Charge decreases as a percentage of VaR
Charges paid by such Members during the Impact Study period would have
had an average daily decrease of 4.3%, 4.0% and 3.4%, respectively, had
the contemplated stressed period been in place.
Implementation Timeframe
Subject to approval by the Commission, FICC would implement the
proposed rule changes by no later than 60 Business Days after such
approval and would announce the effective date of the proposed changes
by an Important Notice posted to its website.
2. Statutory Basis
FICC believes this proposal is consistent with the requirements of
the Act, and the rules and regulations thereunder applicable to a
registered clearing agency. Specifically, FICC believes that the
proposed changes to the QRM Methodology Documents described above are
consistent with Section 17A(b)(3)(F) of the Act, for the reasons
described below.\15\
---------------------------------------------------------------------------
\15\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------
Section 17A(b)(3)(F) of the Act requires, in part, that the rules
of a clearing agency be designed to assure the safeguarding of
securities and funds which are in the custody or control of the
clearing agency or for which it is responsible.\16\
---------------------------------------------------------------------------
\16\ Id.
---------------------------------------------------------------------------
FICC believes that the proposed changes to the QRM Methodology
Documents described in Item II(A)1(1) above to revise the description
of the stressed period used to calculate the VaR Charge are designed to
assure the safeguarding of securities and funds which are in the
custody or control of FICC or for which it is responsible, consistent
with Section 17A(b)(3)(F) of the Act.\17\ As described above, FICC
believes these proposed changes would provide FICC with more
flexibility with respect to the adjustment of the stressed period and
thus allow FICC to respond to rapidly changing market conditions more
quickly and timely. FICC believes that having more flexibility with
respect to this adjustment would enable FICC to more accurately
calculate the necessary margin from members while continuing to limit
its exposure to members such that, in the event of a member default,
FICC's operations would not be disrupted and non-defaulting members
[[Page 14192]]
would not be exposed to losses they cannot anticipate or control. In
this way, these proposed changes are designed to assure the
safeguarding of securities and funds which are in the custody and
control of FICC or for which it is responsible, consistent with Section
17A(b)(3)(F) of the Act.\18\
---------------------------------------------------------------------------
\17\ Id.
\18\ Id.
---------------------------------------------------------------------------
FICC believes that the (i) proposed changes to the floor parameter
language as described in Item II(A)1(2) above and (ii) the proposed
technical changes described in Item II(A)1(3) above would enhance the
clarity of the GSD QRM Methodology Document for FICC. As the GSD QRM
Methodology Document is used by FICC Risk Management personnel
regarding the calculation of margin requirements, it is therefore
important that FICC Risk Management has a clear description of the
calculation of the margin methodology. Having a clear description of
the calculation of the margin methodology would promote an accurate and
smooth functioning of the margining process. Having an accurate and
smooth functioning of the margining process would enable FICC to more
accurately calculate the necessary margin from members and, as
described above, assure the safeguarding of securities and funds which
are in the custody or control of FICC or for which it is responsible,
consistent with Section 17A(b)(3)(F) of the Act.\19\
---------------------------------------------------------------------------
\19\ Id.
---------------------------------------------------------------------------
Rule 17Ad-22(e)(4)(i) under the Act \20\ requires a covered
clearing agency to establish, implement, maintain and enforce written
policies and procedures reasonably designed to effectively identify,
measure, monitor, and manage its credit exposures to participants and
those exposures arising from its payment, clearing, and settlement
processes by maintaining sufficient financial resources to cover its
credit exposure to each participant fully with a high degree of
confidence. FICC believes that the proposed changes in Item II(A)1(1)
above are consistent with the requirements of Rule 17Ad-22(e)(4)(i)
under the Act.\21\ As described above, FICC believes these proposed
changes to revise the description of the stressed period used to
calculate the VaR Charge would provide FICC with more flexibility with
respect to the adjustment of the stressed period. FICC believes that
having more flexibility with respect to the adjustment of the stressed
period would allow FICC to respond to rapidly changing market
conditions more quickly and timely. Having the ability to respond to
rapidly changing market conditions more quickly and timely would in
turn help FICC better measure, monitor, and manage its credit exposures
to participants and those exposures arising from its payment, clearing,
and settlement processes. Moreover, the added flexibility would allow
FICC to collect more accurate margin amounts that would help offset the
risks presented to FICC by the changing market conditions, thus help
ensure that FICC maintains sufficient financial resources to cover its
credit exposure to each participant fully with a high degree of
confidence. Therefore, FICC believes that the proposed changes
described in Item II(A)1(1) above are consistent with the requirements
of Rule 17Ad-22(e)(4)(i) under the Act.\22\
---------------------------------------------------------------------------
\20\ 17 CFR 240.17Ad-22(e)(4)(i).
\21\ Id.
\22\ Id.
---------------------------------------------------------------------------
Rule 17Ad-22(e)(6)(i) under the Act \23\ requires a covered
clearing agency to establish, implement, maintain and enforce written
policies and procedures reasonably designed to cover, if the covered
clearing agency provides central counterparty services, 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. FICC believes that the proposed changes
in Item II(A)1(1) above are consistent with the requirements of Rule
17Ad-22(e)(6)(i).\24\ Specifically, FICC believes that the proposed
changes to replace the current detailed description of the stressed
period with a more general description, as described above, would
provide FICC with more flexibility to respond to rapidly changing
market conditions more quickly and timely because FICC would be able to
make adjustments to the stressed period without a rule change. Having
this flexibility would enable FICC to better risk manage its credit
exposure to its members because FICC would then be able to make
appropriate and timely adjustments to the stressed period, as described
above. Being able to adjust the stressed period quickly and timely
would allow FICC to continue to produce margin levels commensurate with
the risks and particular attributes of each relevant product,
portfolio, and market. Therefore, FICC believes this proposed change is
consistent with Rule 17Ad-22(e)(6)(i) under the Act.\25\
---------------------------------------------------------------------------
\23\ 17 CFR 240.17Ad-22(e)(6)(i).
\24\ Id.
\25\ Id.
---------------------------------------------------------------------------
Rule 17Ad-22(e)(6)(v) under the Act \26\ requires a covered
clearing agency to establish, implement, maintain and enforce written
policies and procedures reasonably designed to cover, if the covered
clearing agency provides central counterparty services, 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. FICC believes that the proposed
changes in Item II(A)1(1) above are consistent with the requirements of
Rule 17Ad-22(e)(6)(v).\27\ Specifically, FICC believes that the
proposed changes to replace the current detailed description of the
stressed period with a more general description, as described above,
would provide FICC with more flexibility to respond to rapidly changing
market conditions more quickly and timely because FICC would be able to
make adjustments to the stressed period without a rule change. Having
this flexibility would enable FICC to better risk manage its credit
exposure to its members because FICC would then be able to make
appropriate and timely adjustments to the stressed period, as described
above. Being able to adjust the stressed period quickly and timely
would allow FICC to continue to produce margin levels commensurate with
relevant product risk factors and portfolio effects across products.
Therefore, FICC believes this proposed change is consistent with Rule
17Ad-22(e)(6)(v) under the Act.\28\
---------------------------------------------------------------------------
\26\ 17 CFR 240.17Ad-22(e)(6)(v).
\27\ Id.
\28\ Id.
---------------------------------------------------------------------------
(B) Clearing Agency's Statement on Burden on Competition
FICC believes proposed changes described in Item II(A)1(1) above
may have an impact on competition because these changes could result in
members being assessed a higher margin than they would have been
assessed under the current description of the stressed period. When
these proposed changes result in a higher VaR Charge, they could burden
competition for members that have lower operating margins or higher
costs of capital compared to other members. However, the increase in
VaR Charge would be in direct relation to the specific risks presented
by each member's portfolio, and each member's margin requirement would
continue to be calculated with the same parameters and at the same
confidence level for each member. Therefore, members that have a
similar portfolio, regardless of the type of member, would have similar
impacts on their margin
[[Page 14193]]
requirement amounts. As such, FICC believes any burden on competition
imposed by the proposed changes described in Item II(A)1(1) would not
be significant and, regardless of whether such burden on competition
could be deemed significant, would be necessary and appropriate, as
permitted by Section 17A(b)(3)(I) of the Act for the reasons described
in this filing and further below.\29\
---------------------------------------------------------------------------
\29\ 15 U.S.C. 78q-1(b)(3)(I).
---------------------------------------------------------------------------
FICC believes any burden on competition imposed by the proposed
changes described in Item II(A)1(1) would not be significant. As the
result of the Impact Study indicates, if a stressed period of 1.5 years
had been in place for GSD, the associated VaR Charge increase at GSD
would be approximately $387 million (or 2.1%) on average.
However, even if the burden on competition imposed by the proposed
changes described in Item II(A)1(1) were deemed significant, FICC
believes that any such burden on competition would be necessary
because, as described above, the proposed changes would provide FICC
with more flexibility with respect to the adjustment of the stressed
period and allow FICC to respond to rapidly changing market conditions
more quickly and timely. Having more flexibility with respect to this
calculation would thus help better ensure that FICC calculates and
collects adequate margin from members and thereby assure the
safeguarding of securities and funds which are in the custody and
control of FICC or for which it is responsible, consistent with Section
17A(b)(3)(F) of the Act.\30\
---------------------------------------------------------------------------
\30\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------
In addition, FICC believes the proposed changes described in Item
II(A)1(1) are necessary to support FICC's compliance with Rules 17Ad-
22(e)(4)(i), (e)(6)(i), and (e)(6)(v) under the Act.\31\ Specifically,
as described above, FICC believes these proposed changes would provide
FICC with more flexibility with respect to the adjustment of the
stressed period. Having more flexibility with respect to these
adjustments would allow FICC to respond to rapidly changing market
conditions more quickly and timely. Having the ability to respond to
rapidly changing market conditions more quickly and timely would in
turn help FICC better measure, monitor, and manage its credit exposures
to participants and those exposures arising from its payment, clearing,
and settlement processes, consistent with the requirements of Rule
17ad-22(e)(4)(i) under the Act.\32\
---------------------------------------------------------------------------
\31\ 17 CFR 240.17Ad-22(e)(4)(i), (e)(6)(i), and (e)(6)(v).
\32\ 17 CFR 240.17Ad-22(e)(4)(i).
---------------------------------------------------------------------------
FICC also believes these proposed changes would enable FICC to be
better equipped to respond to rapidly changing market conditions. FICC
believes having this flexibility would help lead to a better risk
management practice because it would enable FICC to adjust the stressed
period in response to fast changing market conditions. Being able to
adjust the stressed period in response to fast changing market
conditions would enable FICC to produce margin levels more commensurate
with the risks it faces as a CCP and help FICC cover its credit
exposures to its participants, consistent with the requirements of
Rules 17Ad-22(e)(6)(i) and (e)(6)(v) under the Act.\33\
---------------------------------------------------------------------------
\33\ 17 CFR 240.17Ad-22(e)(6)(i) and (e)(6)(v).
---------------------------------------------------------------------------
FICC also believes that any burden on competition that may be
imposed by the proposed changes described in Item II(A)1(1) would be
appropriate in furtherance of the Act because, as described above,
these proposed changes have been specifically designed to assure the
safeguarding of securities and funds which are in the custody and
control of FICC or for which it is responsible, as required by Section
17A(b)(3)(F) of the Act.\34\ As described above, the proposed changes
to revise the description of the stressed period used to calculate the
VaR Charge would also enable FICC to produce margin levels commensurate
with the risks and particular attributes of each member's portfolio.
Therefore, because the proposed changes are designed to provide FICC
with an appropriate measure of the risks presented by members'
portfolios, FICC believes these proposed changes are appropriately
designed to meet its risk management goals and regulatory obligations.
---------------------------------------------------------------------------
\34\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------
FICC believes that the proposed changes described in Item II(A)1(1)
above may also promote competition because these changes could also
result in members being assessed a lower margin than they would have
been assessed under the current description of the stressed period, and
thereby could potentially lower operating costs for members.\35\
---------------------------------------------------------------------------
\35\ As the result of the Impact Study indicates, if FICC were
to change the stressed period pursuant to the proposed changes
described in Item II(A)1(1), some members would be assessed a lower
margin than they would have been assessed under the current
continuous one-year stressed period.
---------------------------------------------------------------------------
With respect to the proposed changes described in Items II(A)1(2)
and II(A)1(3) above to make clarifying and technical changes to the GSD
QRM Methodology Document, FICC does not believe these proposed changes
would have any impact on competition because these proposed changes
would only enhance the clarity of the GSD QRM Methodology Document,
which would promote an accurate and smooth functioning of the margining
process at FICC and would not affect the substantive rights and
obligations of members.
(C) Clearing Agency's Statement on Comments on the Proposed Rule Change
Received From Members, Participants, or Others
FICC has not received or solicited any written comments relating to
this proposal. If any additional written comments are received, they
will be publicly filed as an Exhibit 2 to this filing, as required by
Form 19b-4 and the General Instructions thereto.
Persons submitting comments are cautioned that, according to
Section IV (Solicitation of Comments) of the Exhibit 1A in the General
Instructions to Form 19b-4, the Commission does not edit personal
identifying information from comment submissions. Commenters should
submit only information that they wish to make available publicly,
including their name, email address, and any other identifying
information.
All prospective commenters should follow the Commission's
instructions on how to submit comments, available at https://www.sec.gov/regulatory-actions/how-to-submit-comments. General
questions regarding the rule filing process or logistical questions
regarding this filing should be directed to the Main Office of the
SEC's Division of Trading and Markets at [email protected] or
202-551-5777.
FICC reserves the right not to respond to any comments received.
III. Date of Effectiveness of the Proposed Rule Change, and Timing for
Commission Action
Within 45 days of the date of publication of this notice in the
Federal Register or within such longer period up to 90 days (i) as the
Commission may designate if it finds such longer period to be
appropriate and publishes its reasons for so finding or (ii) as to
which the self-regulatory organization consents, the Commission will:
(A) by order approve or disapprove such proposed rule change, or
(B) institute proceedings to determine whether the proposed rule
change should be disapproved.
[[Page 14194]]
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 [email protected]. Please include
File Number SR-FICC-2023-003 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-FICC-2023-003. 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-2023-003 and should be submitted on
or before March 28, 2023.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\36\
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\36\ 17 CFR 200.30-3(a)(12).
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Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2023-04580 Filed 3-6-23; 8:45 am]
BILLING CODE 8011-01-P