78404 Federal Register / Vol. 88, No. 219 / Wednesday, November 15, 2023 / Notices 

14 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 985925 

(Sept. 28, 2023), 88 FR 68803 (Oct. 4, 2023) (File 

No. SR–FICC–2023–014) (‘‘Notice of Filing’’). 

4Capitalized terms not defined herein are defined 

in the GSD Rulebook (‘‘GSD Rules’’), available at 

https://www.dtcc.com/∼/media/Files/Downloads/ 

legal/rules/ficc_gov_rules.pdf, or the MBSD 

Rulebook (‘‘MBSD Rules’’), available at https://

www.dtcc.com/∼/media/Files/Downloads/legal/ 

rules/ficc_mbsd_rules.pdf. 

5 GSD and MBSD maintain separate sets of rules, 

margin models, and clearing funds. 

6See GSD Rule 4 and MBSD Rule 4, supra note 

4 (requiring members to make Required Fund 

Deposits to the GSD and MBSD Clearing Funds, as 

applicable, with the amount of each member’s 

deposit being determined by FICC in accordance 

with these rules). 

7The GSD Rules and MBSD Rules each 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 4. 

8See GSD Rule 4, Section 3 (Form of Deposit) and 

MBSD Rule 4, Section 3 (Form of Deposit), supra 

note 4. 

9See GSD Rule 1 and MBSD Rule 1 (defining 

what constitutes Eligible Clearing Fund Securities 

and the components thereof, which are Eligible 

Clearing Fund Agency Securities, Eligible Clearing 

Fund Mortgage-Backed Securities, and Eligible 

Clearing Fund Treasury Securities), supra note 4. 

10See GSD Rule 4, Section 3b and MBSD Rule 4, 

Section 3b, supra note 4 (referencing the 

applicability of haircuts and concentration limits to 

certain types of Eligible Clearing Fund Securities). 

11Notice of Filing, supra note 3, 88 FR at 68804. 

12 Id. 

13See Schedule of Haircuts for Eligible Clearing 

Fund Securities in the GSD Rules and MBSD Rules, 

supra note 4. The Schedule of Haircuts for Eligible 

Clearing Fund Securities in the GSD Rules and 

MBSD Rules was last modified in 2011 in order to 

harmonize with the increased haircuts on clearing 

fund collateral at the National Securities Clearing 

Corporation, an affiliate of FICC. See Securities 

Exchange Act Release No. 64488 (May 13, 2011), 76 

FR 29018 (May 19, 2011) (SR–FICC–2011–03). 

14Notice of Filing, supra note 3, 88 FR at 68804. 

FICC also filed excerpts from its internal market 

risk management procedures as Confidential 

Exhibit 3b to its filing. 

15 Id. 

16 Id. 

withhold entirely from publication 

submitted material that is obscene or 

subject to copyright protection. All 

submissions should refer to file number 

SR–NYSENAT–2023–25 and should be 

submitted on or before December 6, 

2023. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.14

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2023–25203 Filed 11–14–23; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–98882; File No. SR–FICC– 

2023–014] 

Self-Regulatory Organizations; Fixed 

Income Clearing Corporation; Order 

Approving Proposed Rule Change 

Relating to the GSD and MBSD 

Schedules of Haircuts for Eligible 

Clearing Fund Securities 

November 8, 2023. 

I. Introduction 

On September 22, 2023, Fixed Income 

Clearing Corporation (‘‘FICC’’) filed 

with the Securities and Exchange 

Commission (‘‘Commission’’) proposed 

rule change SR–FICC–2023–014 to 

modify the GSD and MBSD Schedules 

of Haircuts for Eligible Clearing Fund 

Securities, and to remove them and the 

related concentration limits from the 

respective Rules, and make other 

clarifying changes (‘‘Proposed Rule 

Change’’), pursuant to section 19(b)(1) of 

the Securities Exchange Act of 1934 

(‘‘Act’’) 1 and Rule 19b–4 thereunder.2

The Proposed Rule Change was 

published for comment in the Federal 

Register on October 4, 2023.3 The 

Commission has received no comments 

on the Proposed Rule Change. For the 

reasons discussed below, the 

Commission is approving the Proposed 

Rule Change.4

II. Background 

FICC is a central counterparty 

(‘‘CCP’’), which means it interposes 

itself as the buyer to every seller and 

seller to every buyer for the financial 

transactions it clears. FICC’s 

Government Securities Division 

(‘‘GSD’’) provides CCP services for the 

U.S. Government securities market, and 

FICC’s Mortgage Backed-Securities 

Division (‘‘MBSD’’) provides CCP 

services for the U.S. mortgage-backed 

securities markets.5 As such, FICC is 

exposed to the risk that one or more of 

its members may fail to make a payment 

or to deliver securities. 

A key tool that FICC uses to manage 

its credit exposures to its members is 

the daily collection of margin (referred 

to as ‘‘Required Fund Deposit’’ in the 

GSD and MBSD Rules) from each 

member.6 The aggregated amount of all 

GSD and MBSD members’ margin 

constitutes the GSD Clearing Fund and 

MBSD Clearing Fund. The objective of 

the GSD and MBSD Clearing Funds 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’’).7 FICC would be able to 

access the Clearing Fund should a 

defaulting member’s own margin be 

insufficient to satisfy losses to FICC 

caused by the liquidation of that 

member’s portfolio. 

A member may provide its required 

margin in the form of cash or an open 

account indebtedness secured by 

Eligible Clearing Fund Securities.8

Eligible Clearing Fund Securities are 

defined to include certain agency, 

mortgage-backed, and Treasury 

securities.9 These securities are valued 

based on the prior Business Day’s 

closing market price, less a haircut, and 

may be subject to a concentration 

limit.10 FICC states that haircuts are 

used to protect FICC and its members 

from price fluctuations, i.e., if FICC is 

required to liquidate collateral of an 

insolvent member and such collateral is 

worth less at the time of liquidation 

than when it is pledged to FICC.11 FICC 

also states that concentration limits are 

intended to reduce FICC’s risk by 

limiting the percentage of certain types 

of Eligible Clearing Fund Securities 

pledged by members to secure the 

Clearing Fund deposits, because when a 

member’s portfolio contains large net 

unsettled positions in a particular group 

of securities with a similar risk profile 

or in a particular asset type, such 

securities could present additional risk 

to FICC.12

Currently, collateral haircuts 

applicable to relevant security types and 

remaining maturity terms are specified 

as fixed percentages in the Schedule of 

Haircuts for Eligible Clearing Fund 

Securities in the GSD Rules and MBSD 

Rules.13 According to FICC and set forth 

in its internal risk management 

procedures, the sufficiency of collateral 

haircuts is evaluated through use of 

back-tests, stress-tests and market 

observations.14 Specifically, FICC 

conducts daily backtesting analysis by 

comparing the collateral haircut for each 

member in simulated liquidations with 

the member’s actual collateral held on 

deposit at FICC.15 FICC escalates any 

exceptions that it observes to assess the 

root cause and determine whether 

further analysis and/or review would be 

appropriate, taking into account 

whether a particular security may 

present inherent volatility and/or 

liquidity risks that could likely result in 

an erosion in the value of the security 

exceeding the applicable collateral 

haircut.16 On a quarterly basis, FICC 

reviews the composition of the Eligible 

Clearing Fund Securities that members 

have pledged to secure their Required 


ddrumheller on DSK120RN23PROD with NOTICES1
Federal Register / Vol. 88, No. 219 / Wednesday, November 15, 2023 / Notices 78405 

17 Id. at 68804–05. 

18 GSD Rule 4, Section 3b(b) and MBSD Rule 4, 

Section 3c(b), supra note 4. 

19Schedule of Haircuts for Eligible Clearing Fund 

Securities in GSD and MBSD Rules, supra note 4. 

20Notice of Filing, supra note 3, 88 FR at 68805; 

see also note 14 supra. 

21 Id. 

22 Id. 

23Notice of Filing, supra note 3, 88 FR at 68805. 

24 Id. 

25 Id. 

26 Id. 

27Specifically, FICC is proposing to delete 

subsections (a), (b) and (c) of Section 3b (Special 

Provisions Relating to Deposits of Eligible Clearing 

Fund Securities) in GSD Rule 4 and Section 3c 

(Special Provisions Relating to Deposits of Eligible 

Clearing Fund Securities) in MBSD Rule 4, 

respectively, to remove all haircuts and 

concentration limits from the Rules. FICC is also 

proposing to delete a sentence from Section 3b in 

GSD Rule 4 and Section 3c in MBSD Rule 4, 

respectively, that references haircuts set forth in the 

Rules, and add a general reference to applicable 

haircuts. 

28Notice of Filing, supra note 3, 88 FR at 68806 

and n. 8 (citing 12 U.S.C. 5465(e)(1) and 17 CFR 

240.19b–4(n)(1)(i)). 

29 Id. 

30 Id. 

Fund Deposits in order to assess the 

sufficiency of the collateral haircuts 

applied and whether any haircut 

changes would be needed, taking into 

account backtesting results, any 

instances where the simulated losses 

from available historical stress testing 

scenario dates have exceeded the 

collateral haircut values, and market 

conditions.17

In addition to collateral haircuts, FICC 

applies concentration limits to certain 

Eligible Clearing Fund Securities set 

forth in the GSD and MBSD Rules. 

Under these limits, no more than 20 

percent of a member’s Required Fund 

Deposit may be in the form of Eligible 

Clearing Fund Agency Securities that 

are of a single issuer and no member 

may post as eligible collateral Eligible 

Clearing Fund Agency Securities of 

which it is the issuer.18 In addition, any 

deposits of Eligible Clearing Fund 

Agency Securities or Eligible Clearing 

Fund Mortgage-Backed Securities in 

excess of 25 percent of a member’s 

Required Fund Deposit will be subject 

to a haircut that is twice the amount of 

the percentage noted in the haircut 

schedule, and a member may deposit 

Eligible Clearing Fund Mortgage-Backed 

Securities of which it is the issuer, 

however such securities will be subject 

to a premium haircut, with the initial 

haircut being 14 percent, and if a 

member also exceeds the 25 percent 

concentration limit, the haircut shall be 

21 percent.19

Changes to the collateral haircuts and 

concentration limits are subject to 

FICC’s internal governance process.20

According to FICC and based on its 

internal risk management procedures, if 

FICC determines that, based on the 

analyses that it performs, there is 

insufficient/excessive collateral haircut/ 

concentration due to an identifiable 

cause that affected multiple members 

and such cause would likely persist 

based on FICC’s assessment of market 

conditions, such outcome or result 

could cause FICC to amend the haircuts/ 

concentration limits in the haircut 

schedule.21 If FICC determines that a 

change to the haircut schedule is 

warranted, it would document the 

recommendation and rationale for the 

change at the time of such 

determination and obtain approval from 

an executive director or above with a 

notice to the risk management 

committee.22 Before making 

adjustments to the haircut schedule, 

FICC measures the potential impact of 

such adjustments to ensure any impact 

is both necessary and appropriate. 

III. Description of the Proposed Rule 

Change 

In the Notice of Filing, FICC states 

that it has observed that under volatile 

market conditions with elevated 

frequency and magnitude of securities 

price movements, the collateral value of 

Eligible Clearing Fund Securities may 

shift in a relatively short period of time 

and the current haircuts may not 

sufficiently account for the change in 

value.23 When the erosion in the value 

of the Eligible Clearing Fund Securities 

exceeds the relevant haircuts, FICC is 

exposed to increased risk of potential 

losses associated with liquidating a 

member’s portfolio in the event of a 

member default when the defaulting 

member’s own margin is insufficient to 

satisfy losses to FICC caused by the 

liquidation of that member’s portfolio.24

Similarly, when a member’s portfolio 

contains large net unsettled positions in 

a particular group of securities with a 

similar risk profile or in a particular 

asset type, such securities could present 

additional risk to FICC.25 The additional 

risk exposures associated with 

liquidating a member’s portfolio in the 

event of a member default could lead to 

an increase in the likelihood that FICC 

would need to mutualize losses among 

non-defaulting members during the 

liquidation process.26 However, any 

changes to the haircuts and/or 

concentration limits currently requires a 

proposed rule change to be filed with 

the Commission. 

Therefore, to provide FICC with more 

flexibility in adjusting the haircuts and 

concentration limits so FICC can 

respond to changing market conditions 

more promptly in order to mitigate the 

additional risk exposure, FICC is 

proposing to remove the GSD and 

MBSD Schedules of Haircuts for Eligible 

Clearing Fund Securities and 

concentration limits from the respective 

Rules, and to publish the haircuts and 

concentration limits in a haircut 

schedule on FICC’s website.27

In addition, FICC is proposing to add 

language in Section 3b in GSD Rule 4 

and Section 3c in MBSD Rule 4, 

respectively, that makes it clear that all 

Eligible Clearing Fund Securities 

pledged to secure Clearing Fund 

deposits shall, for collateral valuation 

purposes, be subject to a haircut and 

may be subject to a concentration limit. 

The proposed language would provide 

that FICC shall determine the applicable 

haircuts and any concentration limits 

from time to time in accordance with its 

internal policy and governance process, 

based on factors determined to be 

relevant by FICC, which may include, 

for example, backtesting results and 

FICC’s assessment of market conditions, 

in order to set appropriately 

conservative haircuts and/or 

concentration limits for the Eligible 

Clearing Fund Securities and minimize 

backtesting deficiency occurrences. The 

proposed language would also provide 

that the haircuts and any concentration 

limits prescribed by FICC shall be set 

forth in a haircut schedule that is 

published on FICC’s website. The 

proposed language would also state that 

it shall be the member’s responsibility 

to retrieve the haircut schedule, and that 

FICC would provide members with at a 

minimum one Business Day’s advance 

notice of any change in the haircut 

schedule. 

FICC states that the proposed change 

to move the haircuts and concentration 

limits from the Rules to the website 

would enable FICC to adjust the 

haircuts and concentration limits 

without undergoing a rule filing process 

(although it could still necessitate an 

advance notice under Title VIII of the 

Dodd-Frank Act, if a change materially 

affects the nature or level of risks 

presented by FICC).28 FICC states that 

by being able to make appropriate and 

timely adjustments to the haircuts and 

concentration limits, it would have the 

flexibility to respond to changing 

market conditions more promptly.29

Having the flexibility to respond to 

changing market conditions more 

promptly would in turn help better 

ensure that FICC collects sufficient 

margin from members as well as risk 

manages its credit exposures to its 

members.30


ddrumheller on DSK120RN23PROD with NOTICES1
78406 Federal Register / Vol. 88, No. 219 / Wednesday, November 15, 2023 / Notices 

31TIPS are a type of Treasury security issued by 

the U.S. government that are indexed to inflation 

such that the principal value of the security rises 

as inflation rises. 32Notice of Filing, supra note 3, 88 FR at 68806. 33 Id. Specifically, during the period from 

September 1, 2021 to August 31, 2022, with TIPS 

comprising less than 10 percent of the total 

collateral value across the GSD and MBSD divisions 

at FICC, FICC has observed 29 backtesting 

deficiencies at FICC, 26 at GSD and 3 at MBSD, 

where the collateral value that FICC attributed to 

the TIPS that were posted by members as margin 

(inclusive of the applicable current haircuts) was 

insufficient to cover the liquidation of such 

securities by FICC without incurring a loss. Id. The 

29 backtesting deficiencies represent a sum total of 

approximately $9.4 million across four days during 

the impact study period, less than 0.1% of the total 

collateral value at FICC on each of those days. Id. 

34 Id. FICC also stated that its review of TIPS 

haircuts at other registered clearing agencies 

demonstrate that FICC’s current haircut levels for 

TIPS are generally lower than the TIPS haircuts 

required by other clearing agencies and foreign 

CCPs, particularly with respect to maturity ranges 

of 10 years or longer. Id. (summarizing and citing 

various other clearing agency rules). 

35 Id. FICC also reflected the changes with respect 

to haircuts for TIPS on the haircut schedule filed 

as Exhibit 3c to the Notice of Filing, which would 

be posted to its website if the Proposed Rule Change 

were approved. 

36FICC filed this Impact Study as confidential 

Exhibit 3a to the Notice of Filing. 

37Notice of Filing, supra note 3, 88 FR at 68807 

(also providing a more detailed summary of the 

Impact Study). 

38 15 U.S.C. 78s(b)(2)(C). 

39 15 U.S.C. 78q–1(b)(3)(F). 

40 17 CFR 240.17Ad–22(e)(5) and (e)(23). 

41 15 U.S.C. 78q–1(b)(3)(F). 

42 Id. 

43 In addition, the Commission believes that the 

changes relating to the haircuts for TIPS would 

allow FICC to ensure that the haircut levels would 

be commensurate with the particular risk attributes 

of TIPS, and thereby assure the safeguarding of 

securities and funds that are in its custody or 

control. 

In its Notice of Filing, FICC also 

provides an overview regarding its 

changes to the categories relating to 

Treasury Inflation-Protected Securities 

(‘‘TIPS’’).31 FICC states that, as part of 

its daily backtesting regarding the 

adequacy of collateral haircuts, FICC 

has determined that in periods where 

the inflation rate fluctuates, the current 

haircut levels for TIPS have been 

inadequate to address the fluctuations 

from time to time.32 This is because 

TIPS are indexed to the inflation rate, 

and prices on TIPS move inversely to 

their yields, e.g., when the inflation rate 

increases, prices on TIPS decrease. 

When the decline in market value of 

TIPS exceeds the haircut for TIPS, FICC 

would be exposed to potential 

liquidation losses.33

Accordingly, FICC is planning to 

address haircuts for TIPS in a separate 

category, as opposed to as part of a 

category also including Treasury Bills, 

Notes, and Bonds, and to increase the 

haircut levels for TIPS to ensure that the 

haircut levels would be commensurate 

with the particular risk attributes of 

TIPS.34 FICC describes the new TIPS 

haircut categories as follows:35

Maturity Current 

(%) 

Proposed 

(%) 

TIPS ........................................................................ Zero to 1 year ........................................................ 2.0 2.0 

1 year to 2 years .................................................... 2.0 3.0 

2 years to 5 years .................................................. 3.0 5.0 

5 years to 10 years ................................................ 4.0 7.0 

10 years to 15 years .............................................. 6.0 7.0 

15 years or greater ................................................ 6.0 10.0 

FICC conducted an impact study for 

the period from September 1, 2021 

through August 31, 2022 (‘‘Impact 

Study’’).36 The results of the Impact 

Study indicate that, if the haircut 

changes for TIPS had been in place, all 

29 backtesting deficiencies would have 

been eliminated.37

IV. Discussion and Commission 

Findings 

Section 19(b)(2)(C) of the Act 38

directs the Commission to approve a 

proposed rule change of a selfregulatory organization if it finds that 

such proposed rule change is consistent 

with the requirements of the Act and 

rules and regulations thereunder 

applicable to such organization. After 

carefully considering the Proposed Rule 

Change, the Commission finds that the 

Proposed Rule Change is consistent 

with the requirements of the Act and the 

rules and regulations thereunder 

applicable to FICC. In particular, the 

Commission finds that the Proposed 

Rule Change is consistent with section 

17A(b)(3)(F) 39 of the Act and Rules 

17Ad–22(e)(5) and (e)(23), each 

promulgated under the Act.40

A. Consistency With Section 

17A(b)(3)(F) of the Act 

Section 17A(b)(3)(F) of the Act 41

requires that the rules of a clearing 

agency, such as FICC, be designed to, 

among other things, promote the prompt 

and accurate clearance and settlement of 

securities transactions and assure the 

safeguarding of securities and funds 

which are in the custody or control of 

the clearing agency or for which it is 

responsible.42 The Commission believes 

that the Proposed Rule Change is 

consistent with section 17A(b)(3)(F) of 

the Act for the reasons stated below. 

As stated in Part II supra, a key tool 

that FICC uses to manage its credit 

exposures to its members is the daily 

collection of margin from each member 

described above, and FICC applies 

haircuts to securities collected as 

margin to protect FICC and its members 

from price fluctuations, i.e., if FICC is 

required to liquidate collateral of an 

insolvent member and such collateral is 

worth less at the time of liquidation 

than when it is pledged to FICC. 

By moving the location where 

collateral haircuts and concentration 

limits are published from FICC’s Rules 

to its website, the Proposed Rule change 

would add flexibility for FICC to make 

timely adjustments to collateral haircuts 

and concentration limits during a time 

of potentially deteriorating market or 

other conditions, while preserving 

notice requirements to ensure that 

members are aware of risk management 

changes. This added flexibility should 

allow FICC to continue to ensure that it 

can address changing market conditions 

rapidly and ensure that it is collecting 

sufficient margin to cover its credit 

exposures to members and minimizing 

exposures from members with large 

collateral positions in a particular group 

of securities with a similar risk profile 

or in a particular asset type.43

By helping FICC to collect sufficient 

margin, the Proposed Rule Change 

would better ensure that, in the event of 

a member default, FICC’s operation of 

its critical clearance and settlement 

services would not be disrupted because 

of insufficient financial resources. 

Accordingly, the Proposed Rule Change 

should help FICC to continue providing 


ddrumheller on DSK120RN23PROD with NOTICES1
Federal Register / Vol. 88, No. 219 / Wednesday, November 15, 2023 / Notices 78407 

44 15 U.S.C. 78q–1(b)(3)(F). 

45 Id. 

46 Id. 

47 17 CFR 240.17Ad–22(e)(5). 

48 Id. 

49 17 CFR 240.17Ad–22(e)(23)(i) and (ii). 

50 Id. 

51 Id. 

52 15 U.S.C. 78q–1. 

53 15 U.S.C. 78s(b)(2). 

54 In approving the Proposed Rule Change, the 

Commission considered its impact on efficiency, 

competition, and capital formation. 15 U.S.C. 78c(f). 

55 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 15 U.S.C. 78a. 

3 17 CFR 240.19b–4. 

prompt and accurate clearance and 

settlement of securities transactions, 

consistent with section 17A(b)(3)(F) of 

the Act.44

Moreover, because the Proposed Rule 

Change would continue to ensure that 

FICC collects sufficient margin from 

members, it should also help minimize 

the likelihood that FICC would have to 

access the Clearing Fund, thereby 

limiting non-defaulting members’ 

exposure to mutualized losses. By 

helping to limit the exposure of FICC’s 

non-defaulting members to mutualized 

losses, the Proposed Rule Change 

should help FICC assure the 

safeguarding of securities and funds 

which are in its custody or control, 

consistent with section 17A(b)(3)(F) of 

the Act.45

Finally, the proposed clarifying 

changes should help to ensure that 

FICC’s Rules are clear to members. 

When members better understand their 

rights and obligations regarding the 

Rules, members are more likely to act in 

accordance with the Rules, which 

should promote the prompt and 

accurate clearance and settlement of 

securities transactions. As such, the 

proposed clarifying changes are 

consistent with section 17A(b)(3)(F) of 

the Act.46

B. Consistency With Rule 17Ad–22(e)(5) 

Rule 17Ad–22(e)(5) under the Act 47

requires, in part, a covered clearing 

agency to establish, implement, 

maintain and enforce written policies 

and procedures reasonably designed to 

set and enforce appropriately 

conservative haircuts and concentration 

limits if the covered clearing agency 

requires collateral to manage its or its 

participants’ credit exposure. As 

described in Part II supra, the proposed 

changes to move the collateral haircuts 

and concentration limits from FICC’s 

Rules should provide FICC with more 

flexibility to respond to changing 

market conditions because adjustments 

to the haircuts and concentration limits 

would no longer require a rule change. 

By being able to make appropriate and 

timely adjustments to the haircuts and 

concentration limits, FICC would have 

the flexibility to respond to changing 

market conditions more promptly. 

Specifically, FICC would have the 

ability to promptly set and enforce 

conservative collateral haircuts and 

concentration limits that are reflective 

of the current market conditions. In this 

way, the proposed changes to move the 

collateral haircuts and concentration 

limits from the Rules to the website 

should help FICC set and enforce 

appropriately conservative collateral 

haircuts and concentration limits, 

consistent with the requirements of Rule 

17Ad–22(e)(5) under the Act.48

C. Consistency With Rule 17Ad– 

22(e)(23) 

Rule 17Ad–22(e)(23)(i) and (ii) 49

under the Act requires each covered 

clearing agency to establish, implement, 

maintain, and enforce written policies 

and procedures reasonably designed to, 

among other things, publicly disclose all 

relevant rules and material procedures; 

and provide sufficient information to 

enable participants to identify and 

evaluate the risks, fees, and other 

material costs they incur by 

participating in the covered clearing 

agency. Based on its review of the 

record, and for the reasons described 

below, the Commission finds that the 

proposed changes, taken together, are 

consistent with the requirements of Rule 

17Ad–22(e)(23)(i) and (ii).50

By adopting rules that require FICC to 

provide prior notice through public 

disclosures on its website relating to 

information on collateral haircuts and 

concentration limits, FICC’s Rules 

would support the communication of 

information that its members may use to 

identify and evaluate the haircuts and 

concentration limits resulting from 

FICC’s processes. As such, the Proposed 

Rule Change is consistent with publicly 

disclosing all relevant rules and 

material procedures; and providing 

sufficient information to enable 

participants to identify and evaluate the 

risks, fees, and other material costs 

incurred with participation in the 

covered clearing agency. The 

Commission finds, therefore, that the 

Proposed Rule Change is consistent 

with the requirements of Rule 17Ad– 

22(e)(23)(i) and (ii) under the Act.51

IV. Conclusion 

On the basis of the foregoing, the 

Commission finds that the Proposed 

Rule Change is consistent with the 

requirements of the Act and in 

particular with the requirements of 

section 17A of the Act 52 and the rules 

and regulations promulgated 

thereunder. 

It is therefore ordered, pursuant to 

section 19(b)(2) of the Act 53 that 

proposed rule change SR–FICC–2023– 

014, be, and hereby is, approved.54

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.55

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2023–25106 Filed 11–14–23; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–98891; File No. SR–NYSE– 

2023–40] 

Self-Regulatory Organizations; New 

York Stock Exchange LLC; Notice of 

Filing and Immediate Effectiveness of 

Proposed Rule Change To Amend Rule 

7.31 

November 8, 2023. 

Pursuant to section 19(b)(1) 1 of the 

Securities Exchange Act of 1934 

(‘‘Act’’) 2 and Rule 19b–4 thereunder,3

notice is hereby given that on October 

31, 2023, New York Stock Exchange 

LLC (‘‘NYSE’’ or the ‘‘Exchange’’) filed 

with the Securities and Exchange 

Commission (the ‘‘Commission’’) the 

proposed rule change as described in 

Items I, II, and III below, which Items 

have been prepared by the selfregulatory organization. The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

change from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to amend 

Rule 7.31 to provide for the use of ALO 

Reserve Orders. The proposed rule 

change is available on the Exchange’s 

website at www.nyse.com, at the 

principal office of the Exchange, and at 

the Commission’s Public Reference 

Room. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

self-regulatory organization 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 


ddrumheller on DSK120RN23PROD with NOTICES1