[Federal Register Volume 88, Number 10 (Tuesday, January 17, 2023)]
[Notices]
[Page 2707]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2023-00656]


-----------------------------------------------------------------------

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-96624; File No. SR-NSCC-2022-802]


Self-Regulatory Organizations; National Securities Clearing 
Corporation; Notice of Extension of Review Period of Advance Notice 
Related to Certain Enhancements to the Gap Risk Measure and the VaR 
Charge

January 10, 2023.
    On December 2, 2022, the National Securities Clearing Corporation 
(``NSCC'') filed with the Securities and Exchange Commission 
(``Commission'') advance notice SR-NSCC-2022-802 (``Advance Notice'') 
pursuant to Section 806(e)(1) of Title VIII of the Dodd-Frank Wall 
Street Reform and Consumer Protection Act, entitled Payment, Clearing 
and Settlement Supervision Act of 2010 (``Clearing Supervision Act'') 
\1\ and Rule 19b-4(n)(1)(i) \2\ under the Securities Exchange Act of 
1934 (``Exchange Act'') \3\ to amend NSCC's Rules and Procedures to 
enhance the calculation of the volatility component of the Clearing 
Fund formula that utilizes a parametric Value-at-Risk (``VaR'') model 
(``VaR Charge''), specifically with respect to the Gap Risk Measure 
thereof.\4\ The Advance Notice was published for public comment in the 
Federal Register on December 21, 2022.\5\ The Commission received a 
comment regarding the changes proposed in the Advance Notice.\6\
---------------------------------------------------------------------------

    \1\ 12 U.S.C. 5465(e)(1).
    \2\ 17 CFR 240.19b-4(n)(1)(i).
    \3\ 15 U.S.C. 78a et seq.
    \4\ See Notice of Filing, infra note 5.
    \5\ Securities Exchange Act Release No. 96513 (Dec. 15, 2022), 
87 FR 78175 (Dec. 21, 2022) (File No. SR-NSCC-2022-802) (``Notice of 
Filing''). On December 2, 2022, NSCC also filed a related proposed 
rule change (SR-NSCC-2022-015) with the Commission pursuant to 
Section 19(b)(1) of the Exchange Act and Rule 19b-4 thereunder 
(``Proposed Rule Change''). 15 U.S.C. 78s(b)(1) and 17 CFR 240.19b-
4, respectively. In the Proposed Rule Change, which was published in 
the Federal Register on December 21, 2022, NSCC seeks approval of 
proposed changes to its rules necessary to implement the Advance 
Notice. Securities Exchange Act Release No. 96511 (Dec. 15, 2022), 
87 FR 78157 (Dec. 21, 2022) (File No. SR-NSCC-2022-015). The comment 
period for the related Proposed Rule Change filing will close on 
January 11, 2023.
    \6\ https://www.sec.gov/comments/sr-nscc-2022-802/srnscc2022802.htm. Since the proposal contained in the Advance 
Notice was also filed as a proposed rule change, all public comments 
received on the proposal are considered regardless of whether the 
comments are submitted on the Proposed Rule Change or the Advance 
Notice. Comments on the Proposed Rule Change are available at 
https://www.sec.gov/comments/sr-nscc-2022-015/srnscc2022015.htm.
---------------------------------------------------------------------------

    Section 806(e)(1)(G) of the Clearing Supervision Act provides that 
NSCC may implement the changes if it has not received an objection to 
the proposed changes within 60 days of the later of (i) the date that 
the Commission receives the Advance Notice or (ii) the date that any 
additional information requested by the Commission is received,\7\ 
unless extended as described below.
---------------------------------------------------------------------------

    \7\ 12 U.S.C. 5465(e)(1)(G).
---------------------------------------------------------------------------

    Pursuant to Section 806(e)(1)(H) of the Clearing Supervision Act, 
the Commission may extend the review period of an advance notice for an 
additional 60 days, if the changes proposed in the advance notice raise 
novel or complex issues, subject to the Commission providing the 
clearing agency with prompt written notice of the extension.\8\
---------------------------------------------------------------------------

    \8\ 12 U.S.C. 5465(e)(1)(H).
---------------------------------------------------------------------------

    Here, as the Commission has not requested any additional 
information, the date that is 60 days after NSCC filed the Advance 
Notice with the Commission is January 31, 2023. However, the Commission 
finds the issues raised by the Advance Notice complex because the 
proposal would revise the methodology by which NSCC determines the 
appropriate margin to capture the gap risk posed by a member's 
portfolio, including by making the gap risk measure additive as opposed 
to substitutive, expanding its application to the two largest positions 
instead of only the largest position, amending the scope of products 
subject to the gap risk measure, and changing the haircuts and 
methodology for determining the applicable haircuts.\9\ Therefore, the 
Commission finds it appropriate to extend the review period of the 
Advance Notice for an additional 60 days under Section 806(e)(1)(H) of 
the Clearing Supervision Act.\10\
---------------------------------------------------------------------------

    \9\ See Notice of Filing, infra note 5.
    \10\ 12 U.S.C. 5465(e)(1)(H).
---------------------------------------------------------------------------

    Accordingly, the Commission, pursuant to Section 806(e)(1)(H) of 
the Clearing Supervision Act,\11\ extends the review period for an 
additional 60 days so that the Commission shall have until April 1, 
2023 to issue an objection or non-objection to advance notice SR-NSCC-
2022-802.
---------------------------------------------------------------------------

    \11\ Id.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\12\
---------------------------------------------------------------------------

    \12\ 17 CFR 200.30-3(a)(94).
---------------------------------------------------------------------------

Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2023-00656 Filed 1-13-23; 8:45 am]
BILLING CODE 8011-01-P