Self-Regulatory Organizations; Fixed Income Clearing Corporation; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Amend the Clearing Agency Model Risk Management Framework, 46287-46290 [2023-15258]
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Federal Register / Vol. 88, No. 137 / Wednesday, July 19, 2023 / Notices
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
The foregoing rule change has become
effective pursuant to Section
19(b)(3)(A)(ii) of the Act 8 and Rule 19b–
4(f)(2) 9 thereunder.
At any time within 60 days of the
filing of the proposed rule change, the
Commission summarily may
temporarily suspend such rule change if
it appears to the Commission that such
action is necessary or appropriate in the
public interest, for the protection of
investors, or otherwise in furtherance of
the purposes of the Act. If the
Commission takes such action, the
Commission shall institute proceedings
to determine whether the proposed rule
change should be approved or
disapproved.
IV. Solicitation of Comments
Interested persons are invited to
submit written data, views, and
arguments concerning the foregoing,
including whether the proposed rule
change is consistent with the Act.
Comments may be submitted by any of
the following methods:
ddrumheller on DSK120RN23PROD 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–
MEMX–2023–13 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–MEMX–2023–13. 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
8 15
9 17
printing in the Commission’s Public
Reference Room, 100 F Street NE,
Washington, DC 20549, on official
business days between the hours of 10
a.m. and 3 p.m. Copies of the filing also
will be available for inspection and
copying at the principal office of the
Exchange. Do not include personal
identifiable information in submissions;
you should submit only information
that you wish to make available
publicly. We may redact in part or
withhold entirely from publication
submitted material that is obscene or
subject to copyright protection. All
submissions should refer to file number
SR–MEMX–2023–13 and should be
submitted on or before August 9, 2023.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.10
J. Matthew DeLesDernier,
Deputy Secretary.
[FR Doc. 2023–15261 Filed 7–18–23; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–97890; File No. SR–FICC–
2023–008]
Self-Regulatory Organizations; Fixed
Income Clearing Corporation; Notice of
Filing and Immediate Effectiveness of
Proposed Rule Change To Amend the
Clearing Agency Model Risk
Management Framework
July 13, 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 June 30,
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. FICC filed the
proposed rule change pursuant to
Section 19(b)(3)(A) of the Act 3 and Rule
19b–4(f)(4) thereunder.4 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 consists of
amends the Clearing Agency Model Risk
U.S.C. 78s(b)(3)(A)(ii).
CFR 240.19b–4(f)(2).
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10 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
3 15 U.S.C. 78s(b)(3)(A).
4 17 CFR 240.19b–4(f)(4).
1 15
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Management Framework (‘‘Framework’’)
of FICC and its affiliates National
Securities Clearing Corporation
(‘‘NSCC’’), a central counterparty,
together with FICC, the ‘‘CCPs,’’ and the
CCPs together with The Depository
Trust Company (‘‘DTC,’’) the ‘‘Clearing
Agencies’’).5 The Framework was
adopted by the Clearing Agencies to
support their compliance with Rule
17Ad–22(e) (the ‘‘Covered Clearing
Agency Standards’’) under the Act,6
and, in this regard, applies solely to
models 7 utilized by the Clearing
Agencies that are subject to the model
risk management requirements set forth
in Rules 17Ad–22(e)(4), (e)(6), and (e)(7)
under the Act.,8 as described in greater
detail below.9
5 The Framework sets forth the model risk
management practices that 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) (SR–DTC–2017–008, SR–FICC–
2017–014, SR–NSCC–2017–008) (‘‘2017 Notice’’);
88911 (May 20, 2020), 85 FR 31828 (May 27, 2020)
(SR–DTC–2020–008, SR–FICC–2020–004, SR–
NSCC–2020–008); 92379 (July 13, 2021), 86 FR
38143 (July 19, 2021) (SR–DTC–2021–013); 92381
(July 13, 2021), 86 FR 38163 (July 19, 2021) (SR–
NSCC–2021–008); 92380 (July 13, 2021), 86 FR
38140 (July 19, 2021) (SR–FICC–2021–006); 94273
(February 17, 2022), 87 FR 10395 (February 24,
2022) (SR–DTC–2022–001); 94272 (February 17,
2022), 87 FR 10419 (February 24, 2022) (SR–NSCC–
2022–001); and 94271 (February 17, 2022), 87 FR
10411 (February 24, 2022) (SR–FICC–2022–001)
(collectively, the ‘‘MRMF Filings’’).
6 17 CFR 240.17Ad–22(e). Each of DTC, NSCC
and FICC is a ‘‘covered clearing agency’’ as defined
in Rule 17Ad–22(a)(5) under the Act and must
comply with Rule 17Ad–22(e).
7 Pursuant to Section 3.1 (Model Inventory) of the
Framework, the Clearing Agencies have adopted the
following definition of ‘‘model’’: ‘‘[M]odel’’ refers to
a quantitative method, system, or approach that
applies statistical, economic, financial, or
mathematical theories, techniques, and
assumptions to process input data into quantitative
estimates. A ‘‘model’’ consists of three components:
(i) an information input component, which delivers
assumptions and data to the model; (ii) a processing
component, which transforms inputs into estimates;
and (iii) a reporting component, which translates
the estimates into useful business information. The
definition of model also covers quantitative
approaches whose inputs are partially or wholly
qualitative or based on expert judgment, provided
that the output is quantitative in nature. See 2017
Notice, supra note 9. See also Supervisory
Guidance on Model Risk Management, SR Letter
11–7 Attachment, dated April 4, 2011, issued by the
Board of Governors of the Federal Reserve System
and the Office of the Comptroller of the Currency,
available at https://www.federalreserve.gov/
supervisionreg/srletters/sr1107a1.pdf, page 3.
8 17 CFR 240.17Ad–22(e)(4), (e)(6) and (e)(7).
References to Rule 17Ad–22(e)(6) and compliance
therewith apply to the CCPs only and not to DTC
because DTC is not a central counterparty.
9 Capitalized terms used herein and not defined
shall have the meaning assigned to such terms in
the FICC Rules, available at https://www.dtcc.com/
legal/rules-and-procedures.aspx.
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Federal Register / Vol. 88, No. 137 / Wednesday, July 19, 2023 / Notices
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
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The proposed rule change of FICC
amends the Clearing Agency Model Risk
Management Framework (‘‘Framework’’)
of FICC and its affiliates National
Securities Clearing Corporation
(‘‘NSCC’’), a central counterparty, and
together with FICC, the ‘‘CCPs,’’ and the
CCPs together with The Depository
Trust Company (‘‘DTC,’’) the ‘‘Clearing
Agencies’’).10 The Framework was
adopted by the Clearing Agencies to
support their compliance with Rule
17Ad–22(e) (the ‘‘Covered Clearing
Agency Standards’’) under the Act,11
and, in this regard, applies solely to
models 12 utilized by the Clearing
Agencies that are subject to the model
risk management requirements set forth
in Rules 17Ad–22(e)(4), (e)(6), and (e)(7)
under the Act.13
The proposed rule change would
amend the Framework 14 to account for
10 The Framework sets forth the model risk
management practices that 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) (SR–DTC–2017–008, SR–FICC–
2017–014, SR–NSCC–2017–008) (‘‘2017 Notice’’);
88911 (May 20, 2020), 85 FR 31828 (May 27, 2020)
(SR–DTC–2020–008, SR–FICC–2020–004, SR–
NSCC–2020–008); 92379 (July 13, 2021), 86 FR
38143 (July 19, 2021) (SR–DTC–2021–013); 92381
(July 13, 2021), 86 FR 38163 (July 19, 2021) (SR–
NSCC–2021–008); 92380 (July 13, 2021), 86 FR
38140 (July 19, 2021) (SR–FICC–2021–006); 94273
(February 17, 2022), 87 FR 10395 (February 24,
2022) (SR–DTC–2022–001); 94272 (February 17,
2022), 87 FR 10419 (February 24, 2022) (SR–NSCC–
2022–001); and 94271 (February 17, 2022), 87 FR
10411 (February 24, 2022) (SR–FICC–2022–001)
(collectively, the ‘‘MRMF Filings’’).
11 17 CFR 240.17Ad–22(e).
12 Supra note 7.
13 Supra note 8.
14 Amending the Framework does not require any
changes to the Rules, By-Laws and Organization
Certificate of DTC (available at https://
www.dtcc.com/∼/media/Files/Downloads/legal/
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and implement a new model
performance monitoring and reporting
tool (i.e., the Model Health Index
(‘‘MHI’’)), to help the Clearing Agencies
assess a model’s overall health between
periodic validations, as described
below.
Background
The Framework outlines the
applicable regulatory requirements
mentioned above, describes the risks
that the Clearing Agencies’ model risk
management program are designed to
mitigate, and sets forth specific model
risk management practices and
requirements adopted by the Clearing
Agencies to help ensure compliance
with the Covered Clearing Agency
Standards. These practices and
requirements include, among other
things, the maintenance of a model
inventory (‘‘Model Inventory’’), a
process for rating model materiality and
complexity, processes for performing
model validations and resolving
findings identified during model
validation, and processes for model
performance monitoring, including
backtesting and sensitivity analyses.
The Framework also describes
applicable internal ownership and
governance requirements.15
FICC’s Model Risk Management
(‘‘MRM’’) group within the DTCC Group
Chief Risk Office is responsible for the
model risk management program of the
Clearing Agencies, including, but not
limited to, a periodic Model Validation
for each model subject to the
Framework that is approved for use in
production not less than annually (or
more frequently as may be contemplated
by such Clearing Agency’s established
risk management framework), including
each credit risk model,16 each liquidity
risk model,17 and each CCP’s margin
systems and related models,18 as
required by the risk management
rules/dtc_rules.pdf) (the ‘‘DTC Rules’’), the
Rulebook of the Government Securities Division of
FICC (available at https://www.dtcc.com/∼/media/
Files/Downloads/legal/rules/ficc_gov_rules.pdf) (the
‘‘GSD Rules’’), the Clearing Rules of the MortgageBacked Securities Division of FICC (available at
https://www.dtcc.com/∼/media/Files/Downloads/
legal/rules/ficc_mbsd_rules.pdf) (the ‘‘MBSD
Rules’’), or the Rules & Procedures of NSCC
(available at https://www.dtcc.com/∼/media/Files/
Downloads/legal/rules/nscc_rules.pdf) (the ‘‘NSCC
Rules,’’ and collectively with the DTC Rules, GSD
Rules, and MBSD Rules, the ‘‘Rules’’), because the
Framework is a standalone document. See MRMF
Filings, supra note 9.
15 See MRMF Filings, supra note 9, for additional
information on the contents of the Framework.
16 See 17 CFR 240.17A– 22(e)(4)(vii).
17 See 17 CFR 240.17Ad–22(e)(7)(vii).
18 See 17 CFR 240.17Ad–22(e)(6)(vii).
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standards described within the
Framework.
In addition to performing model
validations, as described above, the
Clearing Agencies monitor model
performance. Pursuant to Section 3.8 of
the Framework model performance
monitoring (‘‘MPM’’) is the process
evaluating an active model’s ongoing
performance. The model owner (‘‘Model
Owner’’) 19 is responsible for composing
an MPM plan (‘‘MPM Plan’’) for each
model as part of model development,
executing MPM activities according to
each model’s MPM Plan and reporting
MPM results to MRM. MRM is
responsible for providing oversight of
MPM activities by setting organizational
standards and providing critical
analysis for identifying model issues
and/or limitations, and escalating issues
pertaining to MPM to the Management
Risk Committee (‘‘MRC’’) and/or Board
Risk Committee (‘‘BRC’’) as necessary.
While the Clearing Agencies believe
that their existing model risk
assessment, performance monitoring
reports and other metrics continue to be
sufficient measures of the Clearing
Agencies’ model risk, the Clearing
Agencies propose to enhance their
model performance monitoring
processes with the addition of MHI, as
described below.
Proposed Rule Change
Pursuant to the proposed rule change,
the Clearing Agencies would update the
Framework to account for and
implement the MHI—a tool to assess a
model’s overall health between periodic
validations. As would be described in a
new section of the Framework, the MHI
would evaluate measurable indicators of
a model’s overall fitness (e.g.,
performance monitoring and findings
management), assess progress or
deterioration over time, and synthesize
all metrics into a model health rating
(i.e., an MHI score). An MHI score
would be calculated in the aggregate for
all models in the Model Inventory.
An MHI score would be calculated for
each model to facilitate not only an indepth look into a particular model as
needed but also its fitness for purpose
(e.g., legal entity, business unit, model
use, etc.). Indicators and factors
considered in calculating an MHI score
may be added or removed by a Clearing
Agency, in accordance with its internal
procedures, but the parameters and
rationale of any additions or removals
19 Pursuant to Section 3.1 (Model Inventory) of
the Framework, the person designated by the
applicable business area or support function to be
responsible for a particular model is recorded as the
Model Owner for such model by MRM in the Model
Inventory.
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would be reflected in written
procedures established by the
applicable Clearing Agency. Indicators
and factors that the Clearing Agencies
may use include, but are not limited to:
A. Model Grade: reflects the updated
model grade (‘‘Model Grade’’) 20 after
quarterly Risk Rating Assessment or
after periodic validation/annual review.
B. Approval Status: applies to models
that have not been approved but have
been provisionally approved for use (in
accordance with Section 3.6 (Model
Approval and Control) of the
Framework), or models rejected during
their periodic validation process that are
still in production but in the process of
retirement.
C. Number and Status of Findings:
• Number of Validation Findings—
represents the risk engendered by the
severity and number of findings
identified during a review; it is more
conservative than the validation
thresholds and posits that each finding
adds a layer of risk to the model.
• Number of Overdue Findings—
captures the marginal risk of findings
that remain outstanding beyond the
remediation timeframe determined
during validation.
• Number of Remediated Findings—
acknowledges the reduction in findings
risk and its positive contribution to
alleviating model health.
D. Model Performance Monitoring
Result: factors in updated model
performance which, if results reflect a
rating that may portend deterioration in
overall model health and trigger
escalation pursuant to a model’s MPM
Plan.
E. Compensating Control recognizes
the mitigating effect of controls in
reducing associated risks.
F. Model Dependencies: captures the
deterioration in upstream models that
may negatively impact the health of
individual and aggregate model risk of
downstream models; measured using
the upstream model’s most current
residual risk rating.
As mentioned above, an aggregate
MHI score would also be calculated
considering individual MHI scores of all
models in the Model Inventory. Such
aggregate MHI score would be computed
using such methodologies and/or factors
as the Clearing Agencies deem
appropriate from time to time to reflect
aggregate model health.
MHI scores and related information
would be reported to members of
20 As described in Section 3.3 (Model Validation)
of the Framework, a Model Grade outlines the
overall quality of the model developer’s efforts to
develop the model and reflects the extent to which
the model developer has effectively reduced model
risk during model development.
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management and the Board of Directors
(‘‘Board’’) of the applicable Clearing
Agency that perform responsibilities
regarding model risk management and
compliance with the Framework,
including the BRC, MRC and the Model
Risk Governance Council (‘‘MRGC’’).21
To effectuate this proposed change,
the Framework would be revised to add
a new Section 3.9 (Model Health Index),
as noted above, that would provide for
the MHI, as described above.
Separately, Section 1 (Executive
Summary) of the Framework would be
amended to list Section 3.9 as one of the
topics that is discussed within the
Framework, and section cross-references
in the Framework would be updated to
accommodate the addition of Section
3.9.
2. Statutory Basis
The Clearing Agencies believe that the
proposed rule change is consistent with
Section 17A(b)(3)(F) of the Act,22 as
well as Rules 17Ad–22(e)(4), (e)(6) and
(e)(7) thereunder,23 for the reasons
described below.
Section 17A(b)(3)(F) of the Act 24
requires, inter alia, 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. As described above, the
proposed rule change would revise the
Framework to account for and
implement the MHI, which would
enhance the Clearing Agencies’ ability
to monitor the usefulness of models
between periodic validations and
provide applicable reporting and
information to management and the
applicable Board of the Clearing
Agencies that perform responsibilities
regarding model risk management and
compliance with the Framework. By
modifying the Framework in this regard,
the proposed rule change supports the
Clearing Agencies’ performance of their
responsibilities under the Framework,
including but not limited to assuring
that models function as intended.
Enhanced monitoring of the models
between periodic validations further
supports the Clearing Agencies in their
safeguarding of securities and funds
which are in the custody or control of
the Clearing Agencies or for which they
are responsible; thus, promoting the
21 In accordance with Section 3.2 of the
Framework, the MRGC discusses and/or reviews
certain model risk related matters which could
result in advice and/or recommendation, which is
generally directed to the interested party of a given
model that brings the matter, as applicable.
22 15 U.S.C. 78q–1(b)(3)(F).
23 17 CFR 240.17Ad–22(e)(4), (e)(6) and (e)(7).
24 15 U.S.C. 78q–1(b)(3)(F).
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46289
ability of the Clearing Agencies to better
manage credit exposures and liquidity
risk that may impact the safeguarding of
those funds and securities.
Rule 17Ad–22(e)(4) under the Act,25
requires, inter alia, that a covered
clearing agency establish, implement,
maintain, and enforce written policies
and procedures reasonably designed to
manage risks associated with its credit
risk management models. As discussed
above, the proposed rule change would
revise the Framework to provide for the
MHI, which would enhance the Clearing
Agencies’ ability to monitor the
usefulness of models and provide
applicable reporting and information to
management and the applicable Board
of the Clearing Agencies that perform
responsibilities regarding model risk
management and compliance with the
Framework, which is designed, among
other things, to manage liquidity risks in
accordance Rule 17Ad–22(e)(4).26 By
enhancing the Framework in this regard,
the proposed rule change supports the
Clearing Agencies’ performance of their
responsibilities under the Framework,
including but not limited to assuring
that models developed function as
intended to support the Clearing
Agencies in identifying, measuring,
monitoring, and managing their
respective credit exposures to cover
these risks. Therefore, the Clearing
Agencies believe that the proposed
changes to the Framework are consistent
with Rule 17Ad–22(e)(4).27
Rule 17Ad–22(e)(6) under the Act,28
requires, inter alia, that a covered
clearing agency establish, implement,
maintain, and enforce written policies
and procedures reasonably designed to
manage risks associated with its margin
risk management models. As discussed
above, the proposed rule change would
revise the Framework to provide for the
MHI, which would enhance the Clearing
Agencies’ ability to monitor the
usefulness of models and provide
applicable reporting and information to
management and the applicable Board
of the Clearing Agencies that perform
responsibilities regarding model risk
management and compliance with the
Framework, which is designed, among
other things, to manage margin model
risks in accordance Rule 17Ad–
22(e)(6).29 By enhancing the Framework
in this regard, the proposed rule change
supports the Clearing Agencies’
25 17
CFR 240.17Ad–22(e)(4).
26 Id.
27 Id.
28 17 CFR 240.17Ad–22(e)(6). References to Rule
17Ad–22(e)(6) and compliance therewith apply to
the CCPs only and not to DTC because DTC is not
a central counterparty.
29 Id.
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performance of their responsibilities
under the Framework, including but not
limited to assuring that models
developed function as intended to
support the Clearing Agencies in
identifying, measuring, monitoring, and
managing their respective margin model
risks to cover these risks. Therefore, the
Clearing Agencies believe that the
proposed changes to the Framework are
consistent with Rule 17Ad–22(e)(6).30
Rule 17Ad–22(e)(7) under the Act 31
requires, inter alia, that a covered
clearing agency establish, implement,
maintain, and enforce written policies
and procedures reasonably designed to
manage risks associated with its
liquidity risk management models. As
discussed above, the proposed rule
change would revise the Framework to
provide for the MHI, which would
enhance the Clearing Agencies’ ability
to monitor the usefulness of models and
provide applicable reporting and
information to management and the
applicable Board of the Clearing
Agencies that perform responsibilities
regarding model risk management and
compliance with the Framework, which
is designed, among other things, to
manage liquidity risks in accordance
Rule 17Ad–22(e)(7).32 By enhancing the
Framework in this regard, the proposed
rule change supports the Clearing
Agencies’ performance of their
responsibilities under the Framework,
including but not limited to assuring
that models developed function as
intended to support the Clearing
Agencies in identifying, measuring,
monitoring, and managing their
respective liquidity risks to cover these
risks. Therefore, the Clearing Agencies
believe that the proposed changes to the
Framework are consistent with Rule
17Ad–22(e)(7).33
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(B) Clearing Agency’s Statement on
Burden on Competition
The Clearing Agencies do not believe
that the proposed rule change would
have any impact, or impose any burden,
on competition because the proposed
rule change simply modifies the
Framework governing the management
of model risk by the Clearing Agencies
to add a new model risk reporting tool,
as described above, and (a) would not
effectuate any changes to the Clearing
Agencies’ model risk management tools
as they apply to their respective
Members or Participants and (b) would
not have an effect with respect to the
30 Id.
31 17
obligations of participants utilizing
Clearing Agency services.
(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 written comments are
received, they would 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-submitcomments. General
questions regarding the rule filing
process or logistical questions regarding
this filing should be directed to the
Main Office of the Commission’s
Division of Trading and Markets at
tradingandmarkets@sec.gov or 202–
551–5777.
FICC reserves the right to not respond
to any comments received.
III. Date of Effectiveness of the
Proposed Rule Change, and Timing for
Commission Action
The foregoing rule change has become
effective pursuant to Section
19(b)(3)(A) 34 of the Act and paragraph
(f) 35 of Rule 19b–4 thereunder. At any
time within 60 days of the filing of the
proposed rule change, the Commission
summarily may temporarily suspend
such rule change if it appears to the
Commission that such action is
necessary or appropriate in the public
interest, for the protection of investors,
or otherwise in furtherance of the
purposes of the Act.
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–2023–008 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–2023–008. 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
a.m. and 3 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). Do
not include personal identifiable
information in submissions; you should
submit only information that you wish
to make available publicly. We may
redact in part or withhold entirely from
publication submitted material that is
obscene or subject to copyright
protection. All submissions should refer
to File Number SR–FICC–2023–008 and
should be submitted on or before
August 9, 2023.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.36
J. Matthew DeLesDernier,
Deputy Secretary.
[FR Doc. 2023–15258 Filed 7–18–23; 8:45 am]
BILLING CODE 8011–01–P
CFR 240.17Ad–22(e)(7).
32 Id.
34 15
U.S.C. 78s(b)(3)(A).
35 17 CFR 240.19b–4(f).
33 Id.
VerDate Sep<11>2014
Electronic Comments
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]]>Agencies
[Federal Register Volume 88, Number 137 (Wednesday, July 19, 2023)]
[Notices]
[Pages 46287-46290]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2023-15258]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-97890; File No. SR-FICC-2023-008]
Self-Regulatory Organizations; Fixed Income Clearing Corporation;
Notice of Filing and Immediate Effectiveness of Proposed Rule Change To
Amend the Clearing Agency Model Risk Management Framework
July 13, 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 June 30, 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. FICC filed the
proposed rule change pursuant to Section 19(b)(3)(A) of the Act \3\ and
Rule 19b-4(f)(4) thereunder.\4\ The Commission is publishing this
notice to solicit comments on the proposed rule change from interested
persons.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ 15 U.S.C. 78s(b)(3)(A).
\4\ 17 CFR 240.19b-4(f)(4).
---------------------------------------------------------------------------
I. Clearing Agency's Statement of the Terms of Substance of the
Proposed Rule Change
The proposed rule change consists of amends the Clearing Agency
Model Risk Management Framework (``Framework'') of FICC and its
affiliates National Securities Clearing Corporation (``NSCC''), a
central counterparty, together with FICC, the ``CCPs,'' and the CCPs
together with The Depository Trust Company (``DTC,'') the ``Clearing
Agencies'').\5\ The Framework was adopted by the Clearing Agencies to
support their compliance with Rule 17Ad-22(e) (the ``Covered Clearing
Agency Standards'') under the Act,\6\ and, in this regard, applies
solely to models \7\ utilized by the Clearing Agencies that are subject
to the model risk management requirements set forth in Rules 17Ad-
22(e)(4), (e)(6), and (e)(7) under the Act.,\8\ as described in greater
detail below.\9\
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\5\ The Framework sets forth the model risk management practices
that 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) (SR-DTC-2017-008, SR-FICC-2017-014, SR-NSCC-
2017-008) (``2017 Notice''); 88911 (May 20, 2020), 85 FR 31828 (May
27, 2020) (SR-DTC-2020-008, SR-FICC-2020-004, SR-NSCC-2020-008);
92379 (July 13, 2021), 86 FR 38143 (July 19, 2021) (SR-DTC-2021-
013); 92381 (July 13, 2021), 86 FR 38163 (July 19, 2021) (SR-NSCC-
2021-008); 92380 (July 13, 2021), 86 FR 38140 (July 19, 2021) (SR-
FICC-2021-006); 94273 (February 17, 2022), 87 FR 10395 (February 24,
2022) (SR-DTC-2022-001); 94272 (February 17, 2022), 87 FR 10419
(February 24, 2022) (SR-NSCC-2022-001); and 94271 (February 17,
2022), 87 FR 10411 (February 24, 2022) (SR-FICC-2022-001)
(collectively, the ``MRMF Filings'').
\6\ 17 CFR 240.17Ad-22(e). Each of DTC, NSCC and FICC is a
``covered clearing agency'' as defined in Rule 17Ad-22(a)(5) under
the Act and must comply with Rule 17Ad-22(e).
\7\ Pursuant to Section 3.1 (Model Inventory) of the Framework,
the Clearing Agencies have adopted the following definition of
``model'': ``[M]odel'' refers to a quantitative method, system, or
approach that applies statistical, economic, financial, or
mathematical theories, techniques, and assumptions to process input
data into quantitative estimates. A ``model'' consists of three
components: (i) an information input component, which delivers
assumptions and data to the model; (ii) a processing component,
which transforms inputs into estimates; and (iii) a reporting
component, which translates the estimates into useful business
information. The definition of model also covers quantitative
approaches whose inputs are partially or wholly qualitative or based
on expert judgment, provided that the output is quantitative in
nature. See 2017 Notice, supra note 9. See also Supervisory Guidance
on Model Risk Management, SR Letter 11-7 Attachment, dated April 4,
2011, issued by the Board of Governors of the Federal Reserve System
and the Office of the Comptroller of the Currency, available at
https://www.federalreserve.gov/supervisionreg/srletters/sr1107a1.pdf, page 3.
\8\ 17 CFR 240.17Ad-22(e)(4), (e)(6) and (e)(7). References to
Rule 17Ad-22(e)(6) and compliance therewith apply to the CCPs only
and not to DTC because DTC is not a central counterparty.
\9\ Capitalized terms used herein and not defined shall have the
meaning assigned to such terms in the FICC Rules, available at
https://www.dtcc.com/legal/rules-and-procedures.aspx.
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[[Page 46288]]
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
The proposed rule change of FICC amends the Clearing Agency Model
Risk Management Framework (``Framework'') of FICC and its affiliates
National Securities Clearing Corporation (``NSCC''), a central
counterparty, and together with FICC, the ``CCPs,'' and the CCPs
together with The Depository Trust Company (``DTC,'') the ``Clearing
Agencies'').\10\ The Framework was adopted by the Clearing Agencies to
support their compliance with Rule 17Ad-22(e) (the ``Covered Clearing
Agency Standards'') under the Act,\11\ and, in this regard, applies
solely to models \12\ utilized by the Clearing Agencies that are
subject to the model risk management requirements set forth in Rules
17Ad-22(e)(4), (e)(6), and (e)(7) under the Act.\13\
---------------------------------------------------------------------------
\10\ The Framework sets forth the model risk management
practices that 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) (SR-DTC-2017-008, SR-FICC-2017-014, SR-
NSCC-2017-008) (``2017 Notice''); 88911 (May 20, 2020), 85 FR 31828
(May 27, 2020) (SR-DTC-2020-008, SR-FICC-2020-004, SR-NSCC-2020-
008); 92379 (July 13, 2021), 86 FR 38143 (July 19, 2021) (SR-DTC-
2021-013); 92381 (July 13, 2021), 86 FR 38163 (July 19, 2021) (SR-
NSCC-2021-008); 92380 (July 13, 2021), 86 FR 38140 (July 19, 2021)
(SR-FICC-2021-006); 94273 (February 17, 2022), 87 FR 10395 (February
24, 2022) (SR-DTC-2022-001); 94272 (February 17, 2022), 87 FR 10419
(February 24, 2022) (SR-NSCC-2022-001); and 94271 (February 17,
2022), 87 FR 10411 (February 24, 2022) (SR-FICC-2022-001)
(collectively, the ``MRMF Filings'').
\11\ 17 CFR 240.17Ad-22(e).
\12\ Supra note 7.
\13\ Supra note 8.
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The proposed rule change would amend the Framework \14\ to account
for and implement a new model performance monitoring and reporting tool
(i.e., the Model Health Index (``MHI'')), to help the Clearing Agencies
assess a model's overall health between periodic validations, as
described below.
---------------------------------------------------------------------------
\14\ Amending the Framework does not require any changes to the
Rules, By-Laws and Organization Certificate of DTC (available at
https://www.dtcc.com/~/media/Files/Downloads/legal/rules/
dtc_rules.pdf) (the ``DTC Rules''), the Rulebook of the Government
Securities Division of FICC (available at https://www.dtcc.com/~/
media/Files/Downloads/legal/rules/ficc_gov_rules.pdf) (the ``GSD
Rules''), the Clearing Rules of the Mortgage-Backed Securities
Division of FICC (available at https://www.dtcc.com/~/media/Files/
Downloads/legal/rules/ficc_mbsd_rules.pdf) (the ``MBSD Rules''), or
the Rules & Procedures of NSCC (available at https://www.dtcc.com/~/
media/Files/Downloads/legal/rules/nscc_rules.pdf) (the ``NSCC
Rules,'' and collectively with the DTC Rules, GSD Rules, and MBSD
Rules, the ``Rules''), because the Framework is a standalone
document. See MRMF Filings, supra note 9.
---------------------------------------------------------------------------
Background
The Framework outlines the applicable regulatory requirements
mentioned above, describes the risks that the Clearing Agencies' model
risk management program are designed to mitigate, and sets forth
specific model risk management practices and requirements adopted by
the Clearing Agencies to help ensure compliance with the Covered
Clearing Agency Standards. These practices and requirements include,
among other things, the maintenance of a model inventory (``Model
Inventory''), a process for rating model materiality and complexity,
processes for performing model validations and resolving findings
identified during model validation, and processes for model performance
monitoring, including backtesting and sensitivity analyses. The
Framework also describes applicable internal ownership and governance
requirements.\15\
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\15\ See MRMF Filings, supra note 9, for additional information
on the contents of the Framework.
---------------------------------------------------------------------------
FICC's Model Risk Management (``MRM'') group within the DTCC Group
Chief Risk Office is responsible for the model risk management program
of the Clearing Agencies, including, but not limited to, a periodic
Model Validation for each model subject to the Framework that is
approved for use in production not less than annually (or more
frequently as may be contemplated by such Clearing Agency's established
risk management framework), including each credit risk model,\16\ each
liquidity risk model,\17\ and each CCP's margin systems and related
models,\18\ as required by the risk management standards described
within the Framework.
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\16\ See 17 CFR 240.17A- 22(e)(4)(vii).
\17\ See 17 CFR 240.17Ad-22(e)(7)(vii).
\18\ See 17 CFR 240.17Ad-22(e)(6)(vii).
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In addition to performing model validations, as described above,
the Clearing Agencies monitor model performance. Pursuant to Section
3.8 of the Framework model performance monitoring (``MPM'') is the
process evaluating an active model's ongoing performance. The model
owner (``Model Owner'') \19\ is responsible for composing an MPM plan
(``MPM Plan'') for each model as part of model development, executing
MPM activities according to each model's MPM Plan and reporting MPM
results to MRM. MRM is responsible for providing oversight of MPM
activities by setting organizational standards and providing critical
analysis for identifying model issues and/or limitations, and
escalating issues pertaining to MPM to the Management Risk Committee
(``MRC'') and/or Board Risk Committee (``BRC'') as necessary.
---------------------------------------------------------------------------
\19\ Pursuant to Section 3.1 (Model Inventory) of the Framework,
the person designated by the applicable business area or support
function to be responsible for a particular model is recorded as the
Model Owner for such model by MRM in the Model Inventory.
---------------------------------------------------------------------------
While the Clearing Agencies believe that their existing model risk
assessment, performance monitoring reports and other metrics continue
to be sufficient measures of the Clearing Agencies' model risk, the
Clearing Agencies propose to enhance their model performance monitoring
processes with the addition of MHI, as described below.
Proposed Rule Change
Pursuant to the proposed rule change, the Clearing Agencies would
update the Framework to account for and implement the MHI--a tool to
assess a model's overall health between periodic validations. As would
be described in a new section of the Framework, the MHI would evaluate
measurable indicators of a model's overall fitness (e.g., performance
monitoring and findings management), assess progress or deterioration
over time, and synthesize all metrics into a model health rating (i.e.,
an MHI score). An MHI score would be calculated in the aggregate for
all models in the Model Inventory.
An MHI score would be calculated for each model to facilitate not
only an in-depth look into a particular model as needed but also its
fitness for purpose (e.g., legal entity, business unit, model use,
etc.). Indicators and factors considered in calculating an MHI score
may be added or removed by a Clearing Agency, in accordance with its
internal procedures, but the parameters and rationale of any additions
or removals
[[Page 46289]]
would be reflected in written procedures established by the applicable
Clearing Agency. Indicators and factors that the Clearing Agencies may
use include, but are not limited to:
A. Model Grade: reflects the updated model grade (``Model Grade'')
\20\ after quarterly Risk Rating Assessment or after periodic
validation/annual review.
---------------------------------------------------------------------------
\20\ As described in Section 3.3 (Model Validation) of the
Framework, a Model Grade outlines the overall quality of the model
developer's efforts to develop the model and reflects the extent to
which the model developer has effectively reduced model risk during
model development.
---------------------------------------------------------------------------
B. Approval Status: applies to models that have not been approved
but have been provisionally approved for use (in accordance with
Section 3.6 (Model Approval and Control) of the Framework), or models
rejected during their periodic validation process that are still in
production but in the process of retirement.
C. Number and Status of Findings:
Number of Validation Findings--represents the risk
engendered by the severity and number of findings identified during a
review; it is more conservative than the validation thresholds and
posits that each finding adds a layer of risk to the model.
Number of Overdue Findings--captures the marginal risk of
findings that remain outstanding beyond the remediation timeframe
determined during validation.
Number of Remediated Findings--acknowledges the reduction
in findings risk and its positive contribution to alleviating model
health.
D. Model Performance Monitoring Result: factors in updated model
performance which, if results reflect a rating that may portend
deterioration in overall model health and trigger escalation pursuant
to a model's MPM Plan.
E. Compensating Control recognizes the mitigating effect of
controls in reducing associated risks.
F. Model Dependencies: captures the deterioration in upstream
models that may negatively impact the health of individual and
aggregate model risk of downstream models; measured using the upstream
model's most current residual risk rating.
As mentioned above, an aggregate MHI score would also be calculated
considering individual MHI scores of all models in the Model Inventory.
Such aggregate MHI score would be computed using such methodologies
and/or factors as the Clearing Agencies deem appropriate from time to
time to reflect aggregate model health.
MHI scores and related information would be reported to members of
management and the Board of Directors (``Board'') of the applicable
Clearing Agency that perform responsibilities regarding model risk
management and compliance with the Framework, including the BRC, MRC
and the Model Risk Governance Council (``MRGC'').\21\
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\21\ In accordance with Section 3.2 of the Framework, the MRGC
discusses and/or reviews certain model risk related matters which
could result in advice and/or recommendation, which is generally
directed to the interested party of a given model that brings the
matter, as applicable.
---------------------------------------------------------------------------
To effectuate this proposed change, the Framework would be revised
to add a new Section 3.9 (Model Health Index), as noted above, that
would provide for the MHI, as described above.
Separately, Section 1 (Executive Summary) of the Framework would be
amended to list Section 3.9 as one of the topics that is discussed
within the Framework, and section cross-references in the Framework
would be updated to accommodate the addition of Section 3.9.
2. Statutory Basis
The Clearing Agencies believe that the proposed rule change is
consistent with Section 17A(b)(3)(F) of the Act,\22\ as well as Rules
17Ad-22(e)(4), (e)(6) and (e)(7) thereunder,\23\ for the reasons
described below.
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\22\ 15 U.S.C. 78q-1(b)(3)(F).
\23\ 17 CFR 240.17Ad-22(e)(4), (e)(6) and (e)(7).
---------------------------------------------------------------------------
Section 17A(b)(3)(F) of the Act \24\ requires, inter alia, 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. As described above, the
proposed rule change would revise the Framework to account for and
implement the MHI, which would enhance the Clearing Agencies' ability
to monitor the usefulness of models between periodic validations and
provide applicable reporting and information to management and the
applicable Board of the Clearing Agencies that perform responsibilities
regarding model risk management and compliance with the Framework. By
modifying the Framework in this regard, the proposed rule change
supports the Clearing Agencies' performance of their responsibilities
under the Framework, including but not limited to assuring that models
function as intended. Enhanced monitoring of the models between
periodic validations further supports the Clearing Agencies in their
safeguarding of securities and funds which are in the custody or
control of the Clearing Agencies or for which they are responsible;
thus, promoting the ability of the Clearing Agencies to better manage
credit exposures and liquidity risk that may impact the safeguarding of
those funds and securities.
---------------------------------------------------------------------------
\24\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------
Rule 17Ad-22(e)(4) under the Act,\25\ requires, inter alia, that a
covered clearing agency establish, implement, maintain, and enforce
written policies and procedures reasonably designed to manage risks
associated with its credit risk management models. As discussed above,
the proposed rule change would revise the Framework to provide for the
MHI, which would enhance the Clearing Agencies' ability to monitor the
usefulness of models and provide applicable reporting and information
to management and the applicable Board of the Clearing Agencies that
perform responsibilities regarding model risk management and compliance
with the Framework, which is designed, among other things, to manage
liquidity risks in accordance Rule 17Ad-22(e)(4).\26\ By enhancing the
Framework in this regard, the proposed rule change supports the
Clearing Agencies' performance of their responsibilities under the
Framework, including but not limited to assuring that models developed
function as intended to support the Clearing Agencies in identifying,
measuring, monitoring, and managing their respective credit exposures
to cover these risks. Therefore, the Clearing Agencies believe that the
proposed changes to the Framework are consistent with Rule 17Ad-
22(e)(4).\27\
---------------------------------------------------------------------------
\25\ 17 CFR 240.17Ad-22(e)(4).
\26\ Id.
\27\ Id.
---------------------------------------------------------------------------
Rule 17Ad-22(e)(6) under the Act,\28\ requires, inter alia, that a
covered clearing agency establish, implement, maintain, and enforce
written policies and procedures reasonably designed to manage risks
associated with its margin risk management models. As discussed above,
the proposed rule change would revise the Framework to provide for the
MHI, which would enhance the Clearing Agencies' ability to monitor the
usefulness of models and provide applicable reporting and information
to management and the applicable Board of the Clearing Agencies that
perform responsibilities regarding model risk management and compliance
with the Framework, which is designed, among other things, to manage
margin model risks in accordance Rule 17Ad-22(e)(6).\29\ By enhancing
the Framework in this regard, the proposed rule change supports the
Clearing Agencies'
[[Page 46290]]
performance of their responsibilities under the Framework, including
but not limited to assuring that models developed function as intended
to support the Clearing Agencies in identifying, measuring, monitoring,
and managing their respective margin model risks to cover these risks.
Therefore, the Clearing Agencies believe that the proposed changes to
the Framework are consistent with Rule 17Ad-22(e)(6).\30\
---------------------------------------------------------------------------
\28\ 17 CFR 240.17Ad-22(e)(6). References to Rule 17Ad-22(e)(6)
and compliance therewith apply to the CCPs only and not to DTC
because DTC is not a central counterparty.
\29\ Id.
\30\ Id.
---------------------------------------------------------------------------
Rule 17Ad-22(e)(7) under the Act \31\ requires, inter alia, that a
covered clearing agency establish, implement, maintain, and enforce
written policies and procedures reasonably designed to manage risks
associated with its liquidity risk management models. As discussed
above, the proposed rule change would revise the Framework to provide
for the MHI, which would enhance the Clearing Agencies' ability to
monitor the usefulness of models and provide applicable reporting and
information to management and the applicable Board of the Clearing
Agencies that perform responsibilities regarding model risk management
and compliance with the Framework, which is designed, among other
things, to manage liquidity risks in accordance Rule 17Ad-22(e)(7).\32\
By enhancing the Framework in this regard, the proposed rule change
supports the Clearing Agencies' performance of their responsibilities
under the Framework, including but not limited to assuring that models
developed function as intended to support the Clearing Agencies in
identifying, measuring, monitoring, and managing their respective
liquidity risks to cover these risks. Therefore, the Clearing Agencies
believe that the proposed changes to the Framework are consistent with
Rule 17Ad-22(e)(7).\33\
---------------------------------------------------------------------------
\31\ 17 CFR 240.17Ad-22(e)(7).
\32\ Id.
\33\ Id.
---------------------------------------------------------------------------
(B) Clearing Agency's Statement on Burden on Competition
The Clearing Agencies do not believe that the proposed rule change
would have any impact, or impose any burden, on competition because the
proposed rule change simply modifies the Framework governing the
management of model risk by the Clearing Agencies to add a new model
risk reporting tool, as described above, and (a) would not effectuate
any changes to the Clearing Agencies' model risk management tools as
they apply to their respective Members or Participants and (b) would
not have an effect with respect to the obligations of participants
utilizing Clearing Agency services.
(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 written comments are received, they would 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-submitcomments. General questions
regarding the rule filing process or logistical questions regarding
this filing should be directed to the Main Office of the Commission's
Division of Trading and Markets at [email protected] or 202-
551-5777.
FICC reserves the right to not respond to any comments received.
III. Date of Effectiveness of the Proposed Rule Change, and Timing for
Commission Action
The foregoing rule change has become effective pursuant to Section
19(b)(3)(A) \34\ of the Act and paragraph (f) \35\ of Rule 19b-4
thereunder. At any time within 60 days of the filing of the proposed
rule change, the Commission summarily may temporarily suspend such rule
change if it appears to the Commission that such action is necessary or
appropriate in the public interest, for the protection of investors, or
otherwise in furtherance of the purposes of the Act.
---------------------------------------------------------------------------
\34\ 15 U.S.C. 78s(b)(3)(A).
\35\ 17 CFR 240.19b-4(f).
---------------------------------------------------------------------------
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-2023-008 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-2023-008. 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
a.m. and 3 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). Do not include
personal identifiable information in submissions; you should submit
only information that you wish to make available publicly. We may
redact in part or withhold entirely from publication submitted material
that is obscene or subject to copyright protection. All submissions
should refer to File Number SR-FICC-2023-008 and should be submitted on
or before August 9, 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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J. Matthew DeLesDernier,
Deputy Secretary.
[FR Doc. 2023-15258 Filed 7-18-23; 8:45 am]
BILLING CODE 8011-01-P
