[Federal Register Volume 90, Number 79 (Friday, April 25, 2025)]
[Notices]
[Pages 17486-17491]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2025-07104]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-102894; File No. SR-FICC-2025-008]
Self-Regulatory Organizations; Fixed Income Clearing Corporation;
Notice of Filing of Proposed Rule Change Concerning the Collection of
Intraday Margin
April 21, 2025.
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 April 15, 2025, 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.
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
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I. Clearing Agency's Statement of the Terms of Substance of the
Proposed Rule Change
The proposed rule change consists of amendments to FICC's
Government Securities Division (``GSD'') Rulebook (``GSD Rules'') and
Mortgage-Backed Securities Division (``MBSD'') Clearing Rules (``MBSD
Rules,'' and collectively with the GSD Rules, the ``Rules'') to address
recently adopted amendments to the Commission's Standards for Covered
Clearing Agencies (``CCAS Rules'') concerning the collection of
intraday margin.\3\
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\3\ Capitalized terms not defined herein shall have the meaning
assigned to such terms in the Rules, available at www.dtcc.com/legal/rules-and-procedures.
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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
[[Page 17487]]
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
Executive Summary of Proposed Changes
On October 25, 2024, the Commission adopted amendments to the CCAS
Rules to add new requirements related to the collection of intraday
margin by a covered clearing agency (``CCA'').\4\ Specifically, the
Commission amended Rule 17ad-22(e)(6)(ii) \5\ to establish new
requirements with respect to a CCA's policies and procedures regarding
the collection of intraday margin to: (i) include a new requirement to
monitor intraday exposures on an ongoing basis; (ii) modify the
preexisting reference to making intraday calls ``in defined
circumstances'' to making intraday calls ``as frequently as
circumstances warrant'' and identifying examples of such circumstances;
and (iii) require that a CCA document when it determines not to make an
intraday margin call pursuant to its written policies and
procedures.\6\ As described below, the proposed changes to the Rules
are designed to facilitate compliance with these requirements.
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\4\ Securities Exchange Act Release No. 101446 (Oct. 25, 2024),
89 FR 91000 (Nov. 18, 2024) (File No. S7-10-23) (``Adopting
Release,'' and the rules adopted therein referred to herein as
``CCAS Margin Rules'').
\5\ 17 CFR 240.17ad-22(e)(6)(ii).
\6\ See Adopting Release, supra note 4 at 91000.
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Background
FICC, through GSD and MBSD, serves as a central counterparty and
provider of clearance and settlement services for fixed income
transactions. GSD provides central counterparty services in U.S.
government securities, as well as repurchase and reverse repurchase
transactions involving U.S. government securities,\7\ and MBSD provides
such services to the U.S. mortgage-backed securities market. As part of
its market risk management strategy, FICC manages its credit exposure
to members by determining the appropriate Required Fund Deposit to the
GSD and MBSD Clearing Funds (collectively, the ``Clearing Fund'') and
by monitoring their sufficiency, as provided for in the Rules.\8\ The
Required Fund Deposit serves as each member's margin.
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\7\ GSD also clears and settles certain transactions on
securities issued or guaranteed by U.S. government agencies and
government sponsored enterprises.
\8\ See GSD Rule 4 (Clearing Fund and Loss Allocation) and MBSD
Rule 4 (Clearing Fund and Loss Allocation), supra note 3. FICC's
market risk management strategy is designed to comply with Rule
17ad-22(e)(4) under the Act, where these risks are referred to as
``credit risks.'' 17 CFR 240.17ad-22(e)(4).
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The objective of a member's Required Fund Deposit is to mitigate
potential losses to FICC associated with liquidating a member's
portfolio in the event FICC ceases to act for that member (hereinafter
referred to as a ``default'').\9\ The aggregate amount of all members'
Required Fund Deposits constitutes the Clearing Fund. FICC would access
the Clearing Fund should a defaulting member's own Required Fund
Deposit be insufficient to satisfy losses to FICC caused by the
liquidation of that member's portfolio.
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\9\ The Rules identify when FICC may cease to act for a member
and the types of actions FICC may take. For example, FICC may
suspend a firm's membership with FICC or prohibit or limit a
member's access to FICC's services in the event that member defaults
on a financial or other obligation to FICC. See GSD Rule 21
(Restrictions on Access to Services) and MBSD Rule 14 (Restrictions
on Access to Services), supra note 3.
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At GSD, each member is also responsible for the Clearing Fund
obligations arising from the activity of the member's indirect
participant customers submitted to FICC via the Sponsored Service and/
or the Agent Clearing Service. FICC's Sponsored Service permits GSD
members that are approved to be Sponsoring Members, to sponsor certain
institutional firms, referred to as ``Sponsored Members,'' into GSD
membership.\10\ FICC establishes and maintains a ``Sponsoring Member
Omnibus Account'' on its books in which it records the transactions of
the Sponsoring Member's Sponsored Members (``Sponsored Member
Trades'').\11\ Similarly, FICC's Agent Clearing Service permits GSD
members that are approved to be Agent Clearing Members to submit
activities of certain institutional firms, referred to as ``Executing
Firm Customers,'' into FICC for clearing and settlement. FICC
establishes and maintains an ``Agent Clearing Member Omnibus Account''
on its books in which it records the transactions of the Agent Clearing
Member's Executing Firm Customers (``Agent Clearing
Transactions'').\12\
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\10\ See GSD Rule 3A, supra note 3.
\11\ See GSD Rule 1 (definition of ``Sponsored Member Trades''),
supra note 3.
\12\ See GSD Rule 1 (definition of ``Agent Clearing
Transactions''), supra note 3.
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Both the Sponsoring Members and the Agent Clearing Members have the
option of segregating Sponsored Member Trades of a Sponsored Member and
Agent Clearing Transactions of an Executing Firm Customer, as
applicable, in separate accounts (i.e., Segregated Indirect Participant
Accounts), each such Sponsored Member and Executing Firm Customer being
referred to as a ``Segregated Indirect Participant.'' FICC manages its
credit exposure to Segregated Indirect Participants by determining the
appropriate Segregated Customer Margin Requirement and monitoring its
sufficiency, as provided for in the GSD Rules.\13\
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\13\ See GSD Margin Component Schedule, supra note 3.
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Pursuant to the Rules, each member's Required Fund Deposit amount
(and Segregated Customer Margin Requirement amount, to the extent
applicable) consists of a number of components, each of which is
calculated to address specific risks faced by FICC, as identified
within the Rules.\14\ At GSD, these components include the VaR Charge,
Blackout Period Exposure Adjustment, Backtesting Charge, Excess Capital
Premium, Holiday Charge, Intraday Supplemental Fund Deposit, Margin
Liquidity Adjustment Charge, Portfolio Differential Charge, and special
charge.\15\ At MBSD, these components include the VaR Charge,
Backtesting Charge, Excess Capital Premium, Holiday Charge, Intraday
Mark-to-Market Charge, Intraday VaR Charge, Margin Liquidity Adjustment
Charge, and special charge.\16\
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\14\ Supra note 3.
\15\ These margin components and the relevant defined terms are
currently located in the GSD Margin Component Schedule, supra note
3. FICC recently proposed changes to the GSD Rules to adopt a
Volatility Event Charge and an Intraday Mark-to-Market Charge. See
Securities Exchange Release Nos. 102532 (Mar. 5, 2025), 90 FR 11760
(Mar. 11, 2025) (SR-FICC-2025-003) and 102705 (Mar. 21, 2025) 90 FR
13965 (Mar. 27, 2025) (SR-FICC-2025-005), respectively.
\16\ These margin components and the relevant defined terms are
currently located in MBSD Rules 1 (Definitions), 3 (Ongoing
Membership Requirements) and 4 (Clearing Fund and Loss Allocation),
supra note 3.
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Overview of Intraday Monitoring and Margin Collection
Each GSD and MBSD member is required to meet its Required Fund
Deposit, which is based on the member's outstanding positions as well
as its intraday trading and settlement activity. Each GSD member with
Segregated Indirect Participant Account(s) is also required to meet its
Segregated Customer Margin Requirements, which is based on its
Segregated Indirect Participants' outstanding positions as well as
their intraday trading and settlement activity. FICC resizes a member's
Required Fund
[[Page 17488]]
Deposit (and Segregated Customer Margin Requirement, if applicable) at
least twice a day for GSD members and once a day for MBSD members. In
addition, FICC may call for additional margin on an intraday basis, as
needed. Specifically, GSD's Intraday Supplemental Fund Deposit and
MBSD's Intraday VaR Charge as well as Intraday Mark-to-Market Charge
are each designed to mitigate intraday exposure to GSD and MBSD,
respectively, that results from large fluctuations in the member's/
Segregated Indirect Participant's portfolio positions and prices that
are not otherwise covered by the member's recently collected Required
Fund Deposit/Segregated Customer Margin Requirement.\17\ Any such
amount must be satisfied within the timeframe specified by GSD and
MBSD.
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\17\ FICC recently proposed changes to the GSD Rules to adopt an
Intraday Mark-to-Market Charge. See Securities Exchange Release No.
102705 (Mar. 21, 2025) 90 FR 13965 (Mar. 27, 2025) (SR-FICC-2025-
005).
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Intraday market moves and positions are monitored by FICC on an
ongoing basis. FICC generally conducts intraday monitoring every 15
minutes at GSD and hourly at MBSD,\18\ unless extended by FICC to
address operational or other delays. For GSD, intraday monitoring is
conducted between 8:00 a.m. (New York time) and 4:30 p.m. (New York
time).\19\ For MBSD, intraday monitoring is conducted from 8:00 a.m.
(New York time) to 4:00 p.m. (New York time).
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\18\ FICC currently expects to increase the frequency of its
intraday monitoring at MBSD from hourly to a 15-minute increment
during fourth quarter of 2025.
\19\ On the last Business Day of each calendar month, the
intraday monitoring at GSD is extended from 4:30 p.m. (New York
time) to 5:00 p.m. (New York time).
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FICC reviews intraday snapshots of each member's portfolio to
determine whether the member has experienced an adverse risk exposure
that warrants FICC assessing an intraday margin. Through this filing,
FICC is providing additional clarity and transparency in the Rules
concerning FICC's processes for the ongoing monitoring, recalculation
and collection of Intraday Supplemental Fund Deposit at GSD and
Intraday VaR Charge as well as Intraday Mark-to-Market Charge at MBSD,
including circumstances in which FICC may determine not to collect such
a charge, to facilitate compliance with the newly adopted CCAS Margin
Rules.\20\ The proposed changes are described in detail below.
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\20\ See supra notes 4 and 6.
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Proposed Changes to the Rules
GSD Intraday Supplemental Fund Deposit and MBSD Intraday VaR Charge
Currently, FICC requires additional deposit to the Clearing Fund
from a member intraday pursuant to the provisions of the GSD Margin
Component Schedule \21\ as well as MBSD Rules 1 and 4.\22\ As provided
in Section 2a of GSD Rule 4 and Section 3a of MBSD Rule 4, pursuant to
procedures established by FICC, FICC recalculates intraday, each
Business Day, at the times established by FICC for this purpose, the
amount of the intraday VaR Charge applicable to each portfolio of a
member, based upon the open positions in such portfolio at a designated
time intraday, for purposes of establishing whether a member shall be
required to make payment of an Intraday Supplemental Fund Deposit or an
Intraday VaR Charge, as applicable. FICC has established procedures for
collection of an amount calculated in respect of a member's Intraday
Supplemental Fund Deposit or Intraday VaR Charge, as applicable,
including parameters regarding threshold amounts that require payment,
and the form and time by which payment is required to be made to FICC.
In addition, FICC reserves the right to require a member or members
generally to make additional Intraday Supplemental Fund Deposit or
Intraday VaR Charge, as applicable, if FICC determines it to be
necessary to protect itself and its members in response to factors such
as market conditions or financial or operational capabilities affecting
a member or members generally.
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\21\ The definition of Intraday Supplemental Fund Deposit and
related provisions are currently located in GSD Rule 1 and the GSD
Margin Component Schedule, supra note 3.
\22\ See the definition of Intraday VaR Charge in MBSD Rule 1
(Definitions) and related provision in MBSD Rule 4 (Clearing Fund
and Loss Allocation), supra note 3.
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In order to comply with the CCAS Margin Rules and provide
additional transparency in the Rules regarding the collection of
Intraday Supplemental Fund Deposit at GSD and Intraday VaR Charge at
MBSD, FICC is proposing the following clarification in the Rules.
Specifically for GSD, in Section 1 of the Margin Component
Schedule,\23\ FICC is proposing language that would make it clearer
that the calculation of margin, i.e., Required Fund Deposit Portion and
Segregated Customer Margin Requirements,\24\ would be performed more
frequently than twice daily if FICC deems it appropriate pursuant to
the Margin Component Schedule and subject to the provisions of GSD Rule
4.
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\23\ Supra note 3.
\24\ The term ``Required Fund Deposit Portion'' refers to the
amounts of Required Fund Deposit requirement calculated for each
Type of Account, other than Segregated Indirect Participants
Accounts, of a GSD member, and is defined in GSD Rule 1 to mean each
of the items listed in Section 2(a)(i)-(iv) of GSD Rule 4.
The term ``Segregated Customer Margin Requirement'' is defined
in GSD Rule 1 to mean the amount of cash or Eligible Clearing Fund
Securities that an Agent Clearing Member or Sponsoring Member is
required to deposit with FICC to support the obligations arising
from Transactions recorded in its Segregated Indirect Participants
Accounts. A Netting Member's Segregated Customer Margin Requirement
shall be the sum of the items listed in Section 2(a)(v) and (vi) of
GSD Rule 4. References to Segregated Customer Margin Requirement
``for'' or ``with respect to'' a particular Segregated Indirect
Participants Account or Segregated Indirect Participant (or similar
language) mean the portion of a Netting Member's Segregated Customer
Margin Requirement arising from such Account or Segregated Indirect
Participant. Supra note 3.
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For the ``Intraday Supplemental Fund Deposit'' definition in
Section 5 of the GSD Margin Component Schedule as well as Section 3a of
MBSD Rule 4, FICC is proposing to add language that makes it clearer
that the Intraday Supplemental Fund Deposit or Intraday VaR Charge, as
applicable, would be re-calculated intraday, each Business Day, at the
times and frequencies established by FICC for this purpose, which times
and frequencies shall be communicated to members on FICC's public
website. In addition, FICC is proposing to make it clearer that, for
purposes of establishing whether a member shall be required to make an
Intraday Supplemental Fund Deposit or Intraday VaR Charge, as
applicable, FICC would consider when certain risk thresholds are
breached or when the products cleared or markets served display
elevated volatility. FICC would also provide examples of elevated
volatility market conditions to include, but not be limited to, the
occurrence of sudden swings in U.S. Treasury yields or mortgage-backed
security spreads outside of historically observed market moves and/or
conditions contributing to intraday risk exposures to FICC that, in
aggregate, materially exceed intraday risk exposures observed under
normal market conditions. Furthermore, FICC is proposing to add
language that makes it clearer that FICC has procedures for ongoing
monitoring and collection of a member's Intraday Supplemental Fund
Deposit or Intraday VaR Charge, as applicable. The additional language
would provide that FICC shall communicate to members via its public
website parameters regarding threshold amounts that would require
payment of Intraday Supplemental Fund Deposit or Intraday VaR Charge,
as applicable, and
[[Page 17489]]
the form and time by which payment is required to be made to FICC.
Lastly, with respect to GSD only, FICC is proposing to add references
to Segregated Indirect Participant(s) in the third paragraph of the
``Intraday Supplemental Fund Deposit'' definition in Section 5 of the
GSD Margin Component Schedule to provide additional clarity and
consistency. To the extent applicable, the proposed changes in this
paragraph would also apply to MBSD's Intraday Mark-to-Market Charge, as
further described below.
To make it clear in the Rules that FICC has the discretion to waive
or reduce the amount of Intraday Supplemental Fund Deposit or Intraday
VaR Charge, FICC is proposing to add language in the ``Intraday
Supplemental Fund Deposit'' definition in Section 5 of the GSD Margin
Component Schedule and the ``Intraday VaR Charge'' definition in MBSD
Rule 1. Specifically, the additional language would provide that FICC
may determine not to collect an Intraday Supplemental Fund Deposit or
Intraday VaR Charge, as applicable, or may decrease the amount of the
Intraday Supplemental Fund Deposit or Intraday VaR Charge, as
applicable, in circumstances where FICC determines that the volatility-
based intraday exposure of the member and/or the breaches of the
threshold amount do not accurately reflect FICC's risk exposure to the
member. The additional language would provide that examples of
circumstances that FICC may consider with respect to the determination
in the previous sentence may include, but shall not be limited to, (i)
changes in portfolio composition result in the threshold amount not
being breached on a consistent or persistent basis, (ii) trades that
will be offset by trades submitted later in the day, (iii) the
threshold amount was breached due to the submission of erroneous trades
that are being corrected, or (iv) the threshold amount was breached due
to erroneous data inputs.
In addition, FICC would adopt new rules concerning FICC's authority
to waive the collection of an Intraday Supplemental Fund Deposit at GSD
or Intraday VaR Charge at MBSD, as applicable, in exigent
circumstances. Specifically, the proposed rule change would provide
that FICC may waive the collection of an Intraday Supplemental Fund
Deposit or Intraday VaR Charge, as applicable, in exigent circumstances
if FICC determines (i) that such a waiver is necessary to protect FICC,
its participants, investors and the public interest or (ii) it can
effectively address the risk exposure presented by the member without
the collection of the Intraday Supplemental Fund Deposit or Intraday
VaR Charge, as applicable.
Lastly, the additional language would provide that any waiver,
reduction, or determination not to collect an Intraday Supplemental
Fund Deposit or Intraday VaR Charge, as applicable, shall be approved,
documented and reviewed on a regular basis pursuant to FICC's
procedures. Pursuant to FICC's market risk management procedures,
FICC's Market Risk Management team monitors members' trading activity
and exposures on a 15-minute/hourly basis and identifies accounts that
exceed certain preestablished thresholds. These threshold breaches
trigger research, review and escalation actions for recommendations for
waiving, reducing, and/or determining not to collect an Intraday
Supplemental Fund Deposit or Intraday VaR Charge, as applicable. If a
waiver, reduction, and/or determination not to collect an Intraday
Supplemental Fund Deposit or Intraday VaR Charge, as applicable, is
recommended, this is escalated to designated members of FICC Market
Risk Management for approval and documentation in accordance with
specified escalation procedures.
The proposed change is intended to facilitate compliance with new
requirements in the CCAS Margin Rules that each CCA have policies and
procedures to document when the CCA determines not to make an intraday
call pursuant to its written policies and procedures.\25\
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\25\ See 17 CFR 240.17ad-22(e)(6)(ii)(D) and CCAS Margin Rules,
supra note 4.
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MBSD Intraday Mark-to-Market Charge
Currently, FICC requires additional deposit to the Clearing Fund
from an MBSD member intraday pursuant to the provisions of MBSD Rules 1
and 4.\26\ As provided in Section 3a of MBSD Rule 4, pursuant to
procedures established by FICC, FICC recalculates intraday, each
Business Day, at the times established by FICC for this purpose, the
amount of the Intraday Mark-to-Market Charge applicable to each
portfolio of an MBSD member based upon the open positions in such
portfolio at a designated time intraday, for purposes of establishing
whether an MBSD member shall be required to make an additional payment
to its Required Fund Deposit, i.e., Intraday Mark-to-Market Charge.
FICC has established procedures for collection of an amount calculated
in respect of an MBSD member's Intraday Mark-to-Market Charge,
including parameters regarding threshold amounts that require payment,
and the form and time by which payment is required to be made to FICC.
In addition, FICC reserves the right to require an MBSD member or
members generally to make additional Intraday Mark-to-Market Charge if
FICC determines it to be necessary to protect itself and its members in
response to factors such as market conditions or financial or
operational capabilities affecting an MBSD member or members generally.
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\26\ See the definition of Intraday Mark-to-Market Charge in
MBSD Rule 1 (Definitions) and related provision in MBSD Rule 4
(Clearing Fund and Loss Allocation), supra note 3.
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In order to comply with the CCAS Margin Rules and provide
additional transparency in the MBSD Rules regarding the collection of
Intraday Mark-to-Market Charge, FICC is proposing the following
clarification in the MBSD Rules.
In Section 3a of MBSD Rule 4, FICC is proposing to add language
that makes it clearer that the Intraday Mark-to-Market Charge would be
re-calculated intraday, each Business Day, at the times and frequencies
established by FICC for this purpose, which times and frequencies shall
be communicated to MBSD members on FICC's public website. In addition,
FICC is proposing to make it clearer that, for purposes of establishing
whether an MBSD member shall be required to make an Intraday Mark-to-
Market Charge, FICC would consider when certain risk thresholds are
breached or when the products cleared or markets served display
elevated volatility. Furthermore, FICC is proposing to add language
that makes it clearer that FICC has procedures for ongoing monitoring
and collection of an MBSD member's Intraday Mark-to-Market Charge.
In addition, in order to enhance the transparency in the MBSD Rules
regarding FICC's existing discretion to waive or change the Intraday
Mark-to-Market Charge at MBSD, FICC is proposing to add language in the
Intraday Mark-to-Market Charge definition in MBSD Rule 1 to provide
that all waivers and/or changes of the Intraday Mark-to-Market Charge
shall be approved, documented and reviewed on a regular basis pursuant
to FICC's procedures. The proposed change is intended to facilitate
compliance with new requirements in the CCAS Margin Rules that each CCA
have policies and procedures to document when the CCA determines not to
make an intraday call pursuant to its written policies and
procedures.\27\
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\27\ See 17 CFR 240.17ad-22(e)(6)(ii)(D) and CCAS Margin Rules,
supra note 4.
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Lastly, FICC is proposing a technical correction in the first
sentence of the
[[Page 17490]]
Intraday Mark-to-Market Charge definition in MBSD Rule 1. Specifically,
FICC is proposing to delete the reference to ``subsection (d)'' therein
and replace it with ``subsection (c).''
Implementation Timeframe
FICC expects to implement the proposed rule change by no later than
December 15, 2025, and would announce the effective date of the
proposed changes by an Important Notice posted to FICC's website.
2. Statutory Basis
FICC believes the proposed rule change is consistent with the
requirements of the Act and the rules and regulations thereunder
applicable to a registered clearing agency. Specifically, FICC believes
the proposed rule change is consistent with Section 17A(b)(3)(F) of the
Act \28\ and Rule 17ad-22(e)(6)(ii) promulgated thereunder \29\ for the
reasons described below.
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\28\ 15 U.S.C. 78q-1(b)(3)(F).
\29\ 17 CFR 240.17ad-22(e)(6)(ii).
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Section 17A(b)(3)(F) of Act requires, in part, that the rules of a
clearing agency be designed to promote the prompt and accurate
clearance and settlement of securities transactions, to assure the
safeguarding of securities and funds which are in the custody or
control of the clearing agency or for which it is responsible and, in
general, to protect investors and the public interest.\30\ FICC
believes the proposed change to provide additional transparency in the
Rules regarding the collection of intraday margin would provide clarity
in the Rules regarding the ongoing monitoring, calculation and
collection of the existing Intraday Supplemental Fund Deposit at GSD as
well as the Intraday VaR Charge and Intraday Mark-to-Market Charge at
MBSD. Specifically, the proposed change would enhance the Rules to more
clearly describe how FICC: (i) monitors its intraday exposures on an
ongoing basis; (ii) makes calls for intraday margin to include when
certain risk thresholds are breached or when the products cleared or
markets served display elevated volatility; and (iii) documents when it
determines to waive, reduce or not make an intraday margin call
pursuant to its written policies and procedures. FICC believes that
providing this additional transparency and clarity in the Rules would
promote the understanding of FICC's intraday margin processes by FICC's
members, market participants and the public. This, in turn, would help
members understand their potential obligations to FICC, particularly
with respect to intraday margin, so that they are better equipped and
able to satisfy such requirements when due. FICC uses the margin it
collects to mitigate potential losses to FICC (and through loss
allocation, to its members) associated with liquidating a defaulting
member's portfolio and to continue to effect the prompt and accurate
clearance and settlement of securities transactions in the event FICC
ceases to act for a member. As a result, FICC believes the proposed
rule change is designed to promote the prompt and accurate clearance
and settlement of securities transactions, to assure the safeguarding
of securities and funds which are in the custody or control of FICC or
for which it is responsible and, in general, to protect investors and
the public interest in accordance with the requirements of Section
17A(b)(3)(F) of Act.
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\30\ 15 U.S.C. 78q-1(b)(3)(F).
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The proposed change to make a technical correction to the MBSD
Rules would ensure that the Rules remain accurate and clear, which in
turn would enable all stakeholders to readily understand their rights
and obligations in connection with FICC's clearance and settlement of
securities transactions. Therefore, FICC believes that this proposed
change would also promote the prompt and accurate clearance and
settlement of securities transactions, consistent with Section
17A(b)(3)(F) of the Act.\31\
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\31\ Id.
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Rule 17ad-22(e)(6)(ii) under the Act requires FICC to establish,
implement, maintain and enforce written policies and procedures
reasonably designed to cover its credit exposures to its participants
by establishing a risk-based margin system that, among other things,
(i) monitors intraday exposures on an ongoing basis; (ii) includes the
authority and operational capacity to make intraday margin calls, as
frequently as circumstances warrant, including the following
circumstances: (1) when risk thresholds specified by the covered
clearing agency are breached; or (2) when the products cleared or
markets served display elevated volatility; and (iii) documents when
the covered clearing agency determines not to make an intraday call
pursuant to its written policies and procedures.\32\ FICC believes the
proposed change to provide additional transparency in the Rules
regarding the collection of intraday margin would provide clarity in
the Rules regarding the ongoing monitoring, calculation and collection
of the existing Intraday Supplemental Fund Deposit at GSD as well as
the Intraday VaR Charge and Intraday Mark-to-Market Charge at MBSD.
Specifically, the proposed change would enhance the Rules to more
clearly describe how FICC: (i) monitors its intraday exposures on an
ongoing basis; (ii) makes calls for intraday margin to include when
certain risk thresholds are breached or when the products cleared or
markets served display elevated volatility; and (iii) documents when it
determines to waive, reduce or not make an intraday margin call
pursuant to its written policies and procedures. Collectively, the
proposed change is designed to facilitate FICC's compliance with Rule
17ad-22(e)(6)(ii), and, accordingly, FICC believes that the proposed
change is consistent with the requirements of Rule 17ad-22(e)(6)(ii)
under the Act.\33\
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\32\ 17 CFR 240.17ad-22(e)(6)(ii).
\33\ Id.
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For the reasons set forth above, FICC believes the proposed change
is consistent with Section 17A(b)(3)(F) of the Act \34\ and Rule 17ad-
22(e)(6)(ii) thereunder.\35\
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\34\ 15 U.S.C. 78q-1(b)(3)(F).
\35\ 17 CFR 240.17ad-22(e)(6)(ii).
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(B) Clearing Agency's Statement on Burden on Competition
Section 17A(b)(3)(I) of Act requires that the rules of a clearing
agency do not impose any burden on competition not necessary or
appropriate in furtherance of the purposes of the Act.\36\ FICC does
not believe the proposed rule change would present any burden or have a
material impact on competition. The proposed changes are designed to
ensure that the Rules remain transparent, accurate and clear. In
addition, the proposed rule change is intended to facilitate FICC's
compliance with requirements of the Act and the rules and regulations
thereunder applicable to a registered clearing agency. Therefore, FICC
does not believe that the proposed rule change would impose any burden
on competition that is not necessary or appropriate in furtherance of
the purposes of the Act.
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\36\ 15 U.S.C. 78q-1(b)(3)(I).
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(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 will be
publicly filed as an Exhibit 2 to this filing, as required by Form 19b-
4 and the General Instructions thereto.
[[Page 17491]]
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 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 Commission'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.
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-2025-008 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-2025-008. 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
10:00 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). 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-2025-008 and should be
submitted on or before May 16, 2025.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\37\
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\37\ 17 CFR 200.30-3(a)(12).
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Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2025-07104 Filed 4-24-25; 8:45 am]
BILLING CODE 8011-01-P