8260 Federal Register / Vol. 89, No. 25 / Tuesday, February 6, 2024 / Notices 

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). 

5The MBSD QRM Methodology was filed as a 

confidential exhibit in the rule filing and advance 

notice for MBSD sensitivity VaR. See Securities 

Exchange Act Release Nos. 79868 (Jan. 24, 2017), 

82 FR 8780 (Jan. 30, 2017) (SR–FICC–2016–007) 

and 79843 (Jan. 19, 2017), 82 FR 8555 (Jan. 26, 

2017) (SR–FICC–2016–801) (collectively, ‘‘MBSD 

Margin Proxy Approval Order’’). The MBSD QRM 

Methodology has been amended. See Securities 

Exchange Act Release Nos. 85944 (May 24, 2019), 

84 FR 25315 (May 31, 2019) (SR–FICC–2019–001), 

90182 (Oct. 14, 2020), 85 FR 66630 (Oct. 20, 2020) 

(SR–FICC–2020–009), 92303 (Jun. 30, 2021), 86 FR 

35854 (Jul. 7, 2021) (SR–FICC–2020–017) (‘‘MBSD 

Minimum Margin Amount Approval Order’’), 95070 

(Jun. 8, 2022), 87 FR 36014 (Jun. 14, 2022) (SR– 

FICC–2022–002), and 97342 (Apr. 21, 2023), 88 FR 

25721 (Apr. 27, 2023) (SR–FICC–2023–003). 

6FICC has adopted a minimum margin amount 

into its MBSD margin methodology. The Minimum 

Margin Amount uses a dynamic haircut method 

TABLE 1—SUMMARY OF BURDEN ESTIMATES FOR RULE 11a–3 

Internal burden Wage rate Cost of 

internal burden 

CURRENTLY-APPROVED BURDEN ESTIMATES 

Recordkeeping Requirement ................................................. 1 hour .................................... $63/hr. (clerk) ........................ $63 

Respondents .......................................................................... 349 funds ............................... ................................................ 349 funds 

Total ................................................................................ 349 hours .............................. ................................................ $21,987 

Notice Requirement ............................................................... 1 hour .................................... $419/hr. (attorney) ................. $419 

2 hours .................................. $63/hr. (clerk) ........................ $126 

Respondents .......................................................................... 70 funds ................................. ................................................ 70 funds 

Total ................................................................................ 210 hours .............................. ................................................ $38,150 

Total Responses (Recordkeeping + Notice) ........... 419 ......................................... ................................................ ..............................

Total Burden (Recordkeeping + Notice) ................. 559 hours .............................. ................................................ $60,137 

UPDATED BURDEN ESTIMATES 

Recordkeeping Requirement ................................................. 1 hour .................................... $73/hr. (clerk) ........................ $73 

Respondents .......................................................................... 345 funds ............................... ................................................ 345 funds 

Total ................................................................................ 345 funds ............................... ................................................ $25,185 

Notice Requirement ............................................................... 1 hour .................................... $484/hr. (attorney) ................. $484 

2 hours .................................. $73/hr. (clerk) ........................ $146 

Respondents .......................................................................... 69 funds ................................. ................................................ 69 funds 

Total ................................................................................ 207 hours .............................. ................................................ $43,470 

Total Responses (Recordkeeping + Notice) ........... 414 ......................................... ................................................ ..............................

Total Burden (Recordkeeping + Notice) ................. 552 hours .............................. ................................................ $68,655 

The estimate of average burden hours 

is made solely for the purposes of the 

Paperwork Reduction Act, and is not 

derived from a comprehensive or even 

a representative survey or study of the 

costs of Commission rules and forms. 

Written comments are invited on: (a) 

whether the proposed collection of 

information is necessary for the proper 

performance of the functions of the 

Commission, including whether the 

information shall have practical utility; 

(b) the accuracy of the Commission’s 

estimate of the burden of the collection 

of information; (c) ways to enhance the 

quality, utility, and clarity of the 

information collected; and (d) ways to 

minimize the burden of the collection of 

information on respondents, including 

through the use of automated collection 

techniques or other forms of information 

technology. Consideration will be given 

to comments and suggestions submitted 

by April 8, 2024. 

An agency may not conduct or 

sponsor, and a person is not required to 

respond to, a collection of information 

under the PRA unless it displays a 

currently valid OMB control number. 

Please direct your written comments 

to: David Bottom, Chief Information 

Officer, Securities and Exchange 

Commission, c/o John Pezzullo, 100 F 

Street NE, Washington, DC 20549 or 

send an email to: PRA_Mailbox@

sec.gov. 

Dated: February 1, 2024. 

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2024–02358 Filed 2–5–24; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–99447; File No. SR–FICC– 

2024–001] 

Self-Regulatory Organizations; Fixed 

Income Clearing Corporation; Notice of 

Filing and Immediate Effectiveness of 

Proposed Rule Change To Amend 

Methodology Documents 

January 30, 2024. 

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 January 

23, 2024, 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 

primarily 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 

FICC is proposing to amend the 

MBSD Methodology and Model 

Operations Document—MBSD 

Quantitative Risk Model (‘‘MBSD QRM 

Methodology Document’’),5 in order to 

remove references to specific 

benchmarks used to calculate the 

minimum margin amount (‘‘Minimum 

Margin Amount’’) 6 and the alternative 


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Federal Register / Vol. 89, No. 25 / Tuesday, February 6, 2024 / Notices 8261 

based on observed to-be-announced (‘‘TBA’’) 

securities price moves and serves as a minimum 

MBSD value-at-risk (‘‘VaR’’) charge (‘‘VaR Charge’’) 

for net unsettled positions, calculated using the 

historical market price changes of certain 

benchmark TBA securities. See MBSD Minimum 

Margin Amount Approval Order, supra note 5. As 

defined in MBSD Rule 1 (Definitions), the term 

‘‘TBA’’ means a contract for the purchase or sale of 

mortgage-backed security to be delivered at an 

agreed-upon future date because as of the 

transaction date, the seller has not yet identified 

certain terms of the contract, such as the pool 

number and number of pools, to the buyer. Infra 

note 9. The term ‘‘VaR Charge’’ is defined in MBSD 

Rule 1 and means, with respect to each margin 

portfolio, a calculation of the volatility of specified 

net unsettled positions of a Clearing Member, as of 

the time of such calculation (with respect to the 

specified net unsettled positions as of the time of 

such calculation). Such volatility calculations shall 

be made in accordance with any generally accepted 

portfolio volatility model, including, but not 

limited to, any margining formula employed by any 

other clearing agency registered under Section 17A 

of the Act. Such calculation shall be made utilizing 

such assumptions (including confidence levels) and 

based on such historical data as FICC deems 

reasonable, and shall cover such range of historical 

volatility as FICC from time to time deems 

appropriate. To the extent that the primary source 

of such historical data becomes unavailable for an 

extended period of time, FICC shall utilize the 

Margin Proxy as an alternative volatility 

calculation. In its assessment of volatility, FICC 

shall calculate an additional bid-ask spread risk 

charge measured by multiplying the gross market 

value of each Net Unsettled Position by a basis 

point charge, where the applicable basis point 

charge shall be reviewed at least annually. If the 

volatility calculation is lower than the VaR Floor 

then the VaR Floor will be utilized as such Clearing 

Member’s VaR Charge. Infra note 9. 

7FICC has adopted procedures that would govern 

in the event that the vendor fails to provide risk 

analytics data used by FICC to calculate the MBSD 

VaR Charge. These procedures include the 

application of the Margin Proxy, which would be 

applied as an alternative volatility calculation for 

the MBSD VaR Charge (subject to the VaR Floor, as 

defined in MBSD Rule 1, infra note 9) if FICC 

determines that the data disruption would extend 

beyond five (5) business days. See MBSD Margin 

Proxy Approval Order, supra note 5. 

8The GSD QRM Methodology Document was 

filed as a confidential exhibit in the rule filing and 

advance notice for GSD sensitivity VaR. See 

Securities Exchange Act Release Nos. 83362 (Jun. 1, 

2018), 83 FR 26514 (Jun. 7, 2018) (SR–FICC–2018– 

001) and 83223 (May 11, 2018), 83 FR 23020 (May 

17, 2018) (SR–FICC–2018–801). The GSD QRM 

Methodology has been subsequently amended. See 

Securities Exchange Act Release Nos. 85944 (May 

24, 2019), 84 FR 25315 (May 31, 2019) (SR–FICC– 

2019–001), 90182 (Oct. 14, 2020), 85 FR 66630 (Oct. 

20, 2020) (SR–FICC–2020–009), 93234 (Oct. 1, 

2021), 86 FR 55891 (Oct. 7, 2021) (SR–FICC–2021– 

007), 95605 (Aug. 25, 2022), 87 FR 53522 (Aug. 31, 

2022) (SR–FICC–2022–005), and 97342 (Apr. 21, 

2023), 88 FR 25721 (Apr. 27, 2023) (SR–FICC– 

2023–003). 

9Capitalized terms used herein and not defined 

shall have the meaning assigned to such terms in 

the FICC’s Government Securities Division (‘‘GSD’’) 

Rulebook (‘‘GSD Rules’’) and FICC’s MortgageBacked Securities Division (‘‘MBSD’’) Clearing 

Rules (‘‘MBSD Rules’’, and together with the GSD 

Rules, the ‘‘Rules’’), available at www.dtcc.com/ 

legal/rules-and-procedures.aspx. 

10 17 CFR 240.24b–2. 

11For example, one of the benchmarks specified 

in the MBSD QRM Methodology Document for the 

GNMA program is GNMA I (i.e., MTGEGNSF Index 

from Bloomberg for GNMA I 30-Year current 

coupons), which is used to calculate the Margin 

Proxy; however, FICC has recently learned that 

GNMA I is no longer available due to diminishing 

trading volume. Accordingly, following the 

implementation of these proposed changes, FICC 

plans to replace GNMA I with GNMA II (i.e., 

MTGEG2SF Index from Bloomberg for GNMA II 30- 

Year current coupons) in the calculation of Margin 

Proxy. 

12Pursuant to Section 806(e)(1) of Title VIII of the 

Dodd-Frank Wall Street Reform and Consumer 

Protection Act and Rule 19b–4(n)(1)(i) under the 

Continued 

volatility calculation (‘‘Margin Proxy’’) 7

at MBSD. FICC would replace the 

references to specific benchmarks with 

a more general description. FICC is also 

proposing to make certain corrections 

and technical changes to the GSD 

Methodology Document—GSD Initial 

Market Risk Margin Model 8 (‘‘GSD 

QRM Methodology Document,’’ and 

together with the MBSD QRM 

Methodology Document, the ‘‘QRM 

Methodology Documents’’) and a 

clarification to the MBSD QRM 

Methodology Document, as described in 

greater detail below.9

FICC is requesting confidential 

treatment of the QRM Methodology 

Documents and has filed them 

separately with the Secretary of the 

Commission.10

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 purpose of this rule filing is to 

amend the QRM Methodology 

Documents to remove references to 

specific benchmarks used for the 

Minimum Margin Amount and Margin 

Proxy at MBSD. FICC would replace 

these references to specific benchmarks 

with a more general description. FICC is 

also proposing to make certain 

corrections and technical changes to the 

GSD QRM Methodology Document and 

a clarification to the MBSD QRM 

Methodology Document. 

Replacing References to Specific 

Benchmarks for Minimum Margin 

Amount and Margin Proxy of MBSD 

With a More General Description in the 

MBSD QRM Methodology Document 

The MBSD QRM Methodology 

Document provides the methodology by 

which FICC calculates the MBSD VaR 

Charge. The MBSD QRM Methodology 

Document specifies model inputs, 

parameters and assumptions, among 

other information. With respect to 

Minimum Margin Amount and Margin 

Proxy, the MBSD QRM Methodology 

Document refers to the specific 

benchmarks that are in use. FICC is 

proposing to remove the specific 

benchmark references and replace them 

with a more general description in order 

to provide FICC with more flexibility in 

updating the benchmarks. This is 

because FICC has observed that vendors 

may from time to time modify, suspend 

or discontinue benchmarks.11 Such 

occurrences do not happen frequently, 

however, because the references to the 

specific benchmarks are currently 

codified in the MBSD QRM 

Methodology Document, any changes or 

updates to the benchmarks would 

require a proposed rule change to be 

filed with the Commission. In order to 

provide FICC with more flexibility in 

updating the benchmarks to timely 

reflect changes and/or updates, FICC is 

proposing to replace references to 

specific benchmarks in the MBSD QRM 

Methodology Document with a more 

general description. 

Specifically, with respect to the 

Minimum Margin Amount calculation, 

FICC is proposing to remove the specific 

references to default benchmark TBA 

programs from the MBSD QRM 

Methodology and replacing it with 

language that FICC would designate 

daily benchmark TBA for each of the 

CONV30, CONV15, GNMA30, and 

GNMA15 programs based on the TBA 

with the largest gross settlement amount 

in the program. Similarly, with respect 

to the Margin Proxy calculation, FICC is 

proposing to remove the specific 

references to default benchmark TBAs 

as well as the corresponding reference 

current coupons and replacing them 

with language that FICC would 

designate daily benchmark TBAs for 

each of the CONV30, CONV15, 

GNMA30, and GNMA15 programs based 

on the TBA coupon rate closest to or 

identical with the then current coupon 

rate. By replacing references to specific 

benchmarks in the MBSD QRM 

Methodology Document with a more 

general description, FICC would no 

longer need to submit subsequent rule 

filings to make updates or changes to 

these benchmarks unless such changes 

require an advance notice.12


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Act, if a change materially affects the nature or level 

of risks presented by FICC, then FICC is required 

to file an advance notice filing. 12 U.S.C. 5465(e)(1) 

and 17 CFR 240.19b¶4(n)(1)(i). 

13The Clearing Agency Model Risk Management 

Framework (‘‘Framework’’) sets forth the model risk 

management practices that FICC and its affiliates 

The Depository Trust Company (‘‘DTC’’) and 

National Securities Clearing Corporation (‘‘NSCC,’’ 

and together with FICC and DTC, the ‘‘Clearing 

Agencies’’) follow to identify, measure, monitor, 

and manage the risks associated with the design, 

development, implementation, use, and validation 

of quantitative models. The Framework is filed as 

a rule of the Clearing Agencies. See Securities 

Exchange Act Release Nos. 81485 (Aug. 25, 2017), 

82 FR 41433 (Aug. 31, 2017) (SR–DTC–2017–008; 

SR–FICC–2017–014; SR–NSCC–2017–008), 88911 

(May 20, 2020), 85 FR 31828 (May 27, 2020) (SR– 

DTC–2020–008; SR–FICC–2020–004; SR–NSCC– 

2020–008), 92380 (Jul. 13, 2021), 86 FR 38140 (Jul. 

19, 2021) (SR–FICC–2021–006), 92381 (Jul. 13, 

2021), 86 FR 38163 (Jul. 19, 2021) (SR–NSCC–2021– 

008), 92379 (Jul. 13, 2021), 86 FR 38143 (Jul. 19, 

2021) (SR–DTC–2021–013), 94271 (Feb. 17, 2022), 

87 FR 10411 (Feb. 24, 2022) (SR–FICC–2022–001), 

94272 (Feb. 17, 2022) 87 FR 10419 (Feb. 24, 2022) 

(SR–NSCC–2022–001), 94273 (Feb. 17, 2022), 87 FR 

10395 (Feb. 24, 2022) (SR–DTC–2022–001), 97890 

(Jul. 13, 2023), 88 FR 46287 (Jul. 19, 2023) (SR– 

FICC–2023–008), 97892 (Jul. 13, 2023), 88 FR 46232 

(Jul. 19, 2023) (SR–NSCC–2023–006), and 97891 

(Jul. 13, 2023), 88 FR 46336 (Jul. 19, 2023) (SR– 

DTC–2023–006). 

14 In calculating the Minimum Margin Amount 

and the Margin Proxy, FICC partitions each MBSD 

member portfolio into four programs—CONV30, 

GNMA30, CONV15, and GNMA15. 

15 Id. 

16There is no anticipated impact from this 

proposal with respect to the Minimum Margin 

Amount from Jun. 2022 to May 2023. This is 

because under the proposal, with respect to the 

Minimum Margin Amount, GNMA I TBAs would be 

added as a potential benchmark TBA in addition to 

the currently existing default benchmark TBAs, i.e., 

GNMA II TBAs; however, since 2022, GNMA II 

TBAs have consistently exceeded GNMA I TBAs in 

terms of position exposures at MBSD, therefore, 

based on the gross settlement amounts, irrespective 

of the addition of GNMA I TBAs as a potential 

benchmark TBA, the benchmark TBA designated by 

FICC would still have been GNMA II TBAs. 

Therefore, there is no anticipated impact from this 

proposal on the Minimum Margin Amount from 

Jun. 2022 to May 2023. 

Nonetheless, as part of the key model 

construct, benchmarks are reviewed at 

least annually through FICC’s model 

validation process, and any changes to 

the benchmarks would continue to be 

subject to DTCC’s internal model 

governance process as described in the 

Clearing Agency Model Risk 

Management Framework.13

Under the proposal, FICC would 

delete references to specific benchmarks 

from the Minimum Margin Amount and 

the Margin Proxy sections of the MBSD 

QRM Methodology Document. With 

respect to the calculation of the 

Minimum Margin Amount, the MBSD 

QRM Methodology Document would 

provide that the risk factors are 

calculated based on the applicable 

benchmark TBA for each program,14

and each day, the benchmark TBA is 

designated by FICC based on the TBA 

with the largest gross settlement amount 

in the program. Similarly, the MBSD 

QRM Methodology Document would 

also provide that in calculating the 

Margin Proxy, the risk factors are 

calculated based on the benchmark TBA 

for each program,15 and each day, the 

benchmark TBA is designated by FICC 

based on the TBA coupon rate closest to 

or identical with the then current 

coupon rate. 

Certain Corrections and Technical 

Changes to the GSD QRM Methodology 

Document and a Clarification to the 

MBSD QRM Methodology Document 

FICC is proposing to make certain 

corrections and technical changes to the 

GSD QRM Methodology Document and 

a clarification to the MBSD QRM 

Methodology Document, as described in 

detail below. 

(1) GSD QRM Methodology Document 

FICC is proposing to make certain 

corrections and technical changes to the 

GSD QRM Methodology Document. 

Specifically, FICC would correct two 

typographical errors—one in the 

description of market risks associated 

with products cleared by GSD, and the 

other in the description of key 

assumptions for Blackout Period 

Exposure. FICC would also correct two 

grammatical errors—one in the 

description of market risks associated 

with products cleared by GSD and the 

other in the description of certain 

factors for VaR determination. 

Appendix 4 (Related Methodology for 

MBSD Sensitivity VaR) to the GSD QRM 

Methodology Document currently 

includes certain sections from the 

MBSD QRM Methodology Document 

with slightly different numbering 

sequences. In order to eliminate 

duplicity and prevent potential 

inconsistency with the MBSD QRM 

Methodology Document, FICC is 

proposing certain technical changes to 

remove Appendix 4 (Related 

Methodology for MBSD Sensitivity VaR) 

from the GSD QRM Methodology 

Document and update references thereto 

to directly refer to the relevant section 

name(s) in the MBSD QRM 

Methodology Document. FICC is also 

proposing an update to the reference of 

the MBSD QRM Methodology Document 

in the Bibliography section by removing 

the date from the title of the document. 

Removing the date from the title of this 

document in the Bibliography section of 

the MBSD QRM Methodology Document 

would help this reference from 

becoming stale or outdated as the MBSD 

QRM Methodology gets updated from 

time to time. 

(2) MBSD QRM Methodology Document 

FICC is proposing to make a 

clarification to the MBSD QRM 

Methodology Document. Specifically, in 

the section of the MBSD QRM 

Methodology Document that describes 

the calculation of Margin Proxy, FICC 

would add a sentence that describes 

FICC’s current practice when the 

current coupon rate used to determine 

the benchmark is missing, unavailable, 

or deemed unreliable. Specifically, the 

additional sentence would provide that 

if the current coupon rate is missing, 

unavailable, or deemed unreliable for a 

particular program, then FICC would 

use the latest available coupon rate to 

determine the benchmark TBA or obtain 

the current coupon rate from an 

alternative source. 

Impact Study 

FICC has conducted an impact study 

for the period from June 2022 to May 

2023 (‘‘Impact Study’’) assessing the 

change with respect to the Margin 

Proxy.16 The result of the Impact Study 

indicates that, if FICC had replaced 

GNMA I (i.e., MTGEGNSF Index from 

Bloomberg for GNMA I 30-Year current 

coupons) with GNMA II (i.e., 

MTGEG2SF Index from Bloomberg for 

GNMA II 30-Year current coupons) 

when calculating the Margin Proxy 

during the Impact Study period, the 

MBSD backtesting coverage ratio with 

respect to the Margin Proxy would 

largely remain unchanged, with a 0.1% 

decrease in coverage ratio. 

Specifically, if FICC had replaced 

GNMA I with GNMA II when 

calculating the MBSD Margin Proxy 

during the Impact Study period, the 

average daily aggregate Margin Proxy 

would have decreased $16.3 million (or 

approximately 0.29% of the average 

daily aggregate Margin Proxy). The 

average daily decrease in Margin Proxy 

per portfolio would have been 

approximately $213,000 (or 

approximately 0.29% of the average 

daily Margin Proxy per portfolio), with 

the largest daily dollar decrease of 

approximately $4.1 million (0.59% of 

the Margin Proxy for that day) and the 

largest percentage decrease of 2.07% (or 

approximately $1,900 decrease in 

Margin Proxy). 

2. Statutory Basis 

FICC believes this proposal is 

consistent with the requirements of the 

Act, and the rules and regulations 

thereunder applicable to a registered 

clearing agency. Specifically, FICC 


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17 15 U.S.C. 78q–1(b)(3)(F). 

18 Id. 

19 Id. 

20 Id. 

21 15 U.S.C. 78q–1(b)(3)(I). 

22 Id. 

23 15 U.S.C. 78q–1(b)(3)(F). 

24 15 U.S.C. 78q–1(b)(3)(I). 

believes that the proposed changes to 

the QRM Methodology Documents 

described above are consistent with 

Section 17A(b)(3)(F) of the Act, for the 

reasons described below.17

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

requires, in part, that the rules of a 

clearing agency be designed to assure 

the safeguarding of securities and funds 

which are in the custody or control of 

the clearing agency or for which it is 

responsible.18

FICC believes that amending the 

MBSD QRM Methodology Document to 

remove references to specific 

benchmarks used for the calculation of 

Minimum Margin Amount and Margin 

Proxy and replace them with a more 

general description as described above 

would enhance clarity and consistency 

for FICC. Specifically, the proposed 

changes would help ensure that the 

MBSD QRM Methodology Document 

(which has been filed confidentially) 

remains aligned with the slate of 

available benchmarks as it evolves over 

time. FICC believes that enhancing 

clarity and consistency with respect to 

changes to the aforementioned 

benchmarks would help ensure that 

FICC calculates and collects adequate 

margin from its Clearing Members. 

Collecting adequate margin from its 

Clearing Members would help FICC 

mitigate potential losses associated with 

liquidating a Clearing Member’s 

portfolio in the event of Clearing 

Member default. Therefore, in the event 

of Clearing Member default, the 

proposed changes would help to ensure 

that FICC’s operations would not be 

disrupted and non-defaulting Clearing 

Members would not be exposed to 

losses they cannot anticipate or control. 

In this way, the proposed changes to the 

aforementioned benchmarks would help 

assure the safeguarding of securities and 

funds which are in the custody or 

control of FICC or for which it is 

responsible, consistent with Section 

17A(b)(3)(F) of the Act.19

FICC believes that the proposed 

changes, which constitute certain 

corrections and technical changes to the 

GSD QRM Methodology Document and 

a clarification to the MBSD QRM 

Methodology Document, would enhance 

the clarity and accuracy of the QRM 

Methodology Documents for FICC. The 

QRM Methodology Documents are used 

by FICC risk management personnel 

regarding the calculation of margin 

requirements. Having clear and accurate 

QRM Methodology Documents would 

help facilitate the accurate and smooth 

functioning of the margining process at 

FICC. The changes referenced in this 

paragraph would promote such clarity 

and accuracy. This would in turn allow 

FICC risk management to charge 

members an appropriate level of margin. 

As such, FICC believes that enhancing 

the clarity and accuracy of the QRM 

Methodology Documents would assure 

the safeguarding of securities and funds 

which are in the custody or control of 

FICC or for which it is responsible, 

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

the Act.20

(B) Clearing Agency’s Statement on 

Burden on Competition 

FICC believes that the proposed 

changes to amend the MBSD QRM 

Methodology Document to remove 

references to specific benchmarks used 

for the calculation of Minimum Margin 

Amount and Margin Proxy and replace 

them with a more general description as 

described above could have an impact 

on competition. Specifically, FICC 

believes that the proposed changes 

could burden competition because 

changes to the benchmarks could 

potentially result in larger Required 

Fund Deposit amounts for some 

members than the amounts currently 

calculated. This is because the proposed 

changes would provide FICC the 

flexibility to timely update benchmarks 

without a rule filing, which in turn 

could lead to either higher or lower 

haircut rates being used when 

calculating the Minimum Margin 

Amount and/or Margin Proxy. Using 

higher haircut rates when calculating 

the Minimum Margin Amount and/or 

Margin Proxy could result in larger 

Required Fund Deposit amounts for 

some members than the amounts 

currently calculated. 

When the proposal results in a larger 

Required Fund Deposit for members, the 

proposed changes could burden 

competition for members that have 

lower operating margin or higher cost of 

capital compared to other members. 

Whether such burden on competition 

would be significant would depend on 

each member’s financial status and the 

specific risks presented by each 

member’s portfolio(s). Regardless of 

whether the burden on competition 

would be significant, FICC believes that 

any burden on competition imposed by 

the proposed changes would be both 

necessary and appropriate in 

furtherance of FICC’s efforts to mitigate 

risks and meet the requirements of the 

Act,21 as described in this filing and 

further below. 

FICC believes the above-described 

burden on competition that may be 

created by the proposed changes to 

amend the MBSD QRM Methodology 

Document to remove references to 

specific benchmarks used in the 

calculation of the Minimum Margin 

Amount and Margin Proxy and replace 

them with a more general description 

would be necessary in furtherance of the 

Act.22 As stated above, these proposed 

changes would provide FICC with more 

flexibility in updating these benchmarks 

without a rule filing. As such, the 

proposed changes would enhance 

clarity and consistency for FICC by 

helping to ensure that the MBSD QRM 

Methodology Document (which has 

been filed confidentially) stays aligned 

with the slate of available benchmarks 

as it evolves over time. FICC believes 

that enhancing clarity and consistency 

for FICC with respect to changes to the 

aforementioned benchmarks would help 

ensure that FICC calculates and collects 

adequate margin from its Clearing 

Members and would thereby assure the 

safeguarding of securities and funds 

which are in the custody or control of 

FICC or for which it is responsible, 

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

the Act.23

FICC also believes that the abovedescribed burden on competition that 

could be created by the proposed 

changes to amend the MBSD QRM 

Methodology Document to remove 

references to specific benchmarks used 

for the calculation of Minimum Margin 

Amount and Margin Proxy and replace 

them with a more general description 

would be appropriate in furtherance of 

the Act.24 FICC believes these proposed 

changes would be appropriate in 

furtherance of the Act because they have 

been designed to assure the safeguard of 

securities and funds which are in the 

custody or control of FICC or for which 

it is responsible. The proposal achieves 

this purpose by providing FICC 

additional flexibility when updating 

aforementioned benchmarks, thus 

ensuring that the MBSD QRM 

Methodology Document (which has 

been filed confidentially) remains 

aligned with the slate of available 

benchmarks as it evolves over time. 

Having a clear MBSD QRM 

Methodology Document would help 

facilitate the accurate and smooth 

functioning of the margining process at 

FICC and thereby assure the 

safeguarding of securities and funds 

which are in the custody or control of 

FICC or for which it is responsible, 


ddrumheller on DSK120RN23PROD with NOTICES1
8264 Federal Register / Vol. 89, No. 25 / Tuesday, February 6, 2024 / Notices 

25 15 U.S.C. 78q–1(b)(3)(F). 

26 15 U.S.C. 78s(b)(3)(A). 

27 17 CFR 240.19b–4(f). 28 17 CFR 200.30–3(a)(12). 

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

the Act.25

FICC does not believe the proposed 

corrections and technical changes to the 

GSD QRM Methodology Document and 

the proposed clarification to the MBSD 

QRM Methodology Document described 

above would have any impact on 

competition. These proposed changes 

would enhance QRM Methodology 

Documents by providing additional 

clarity and accuracy. The proposed 

changes referenced above would not 

advantage or disadvantage any 

particular member of FICC or unfairly 

inhibit access to FICC’s services. FICC 

therefore does not believe these 

proposed changes would have any 

impact, or impose any burden, on 

competition. 

(C) Clearing Agency’s Statement on 

Comments on the Proposed Rule 

Change Received from Members, 

Participants, or Others 

FICC has not received or solicited any 

written comments relating to this 

proposal. If any additional written 

comments are received, they will be 

publicly filed as an Exhibit 2 to this 

filing, as required by Form 19b–4 and 

the General Instructions thereto. 

Persons submitting comments are 

cautioned that, according to Section IV 

(Solicitation of Comments) of the 

Exhibit 1A in the General Instructions to 

Form 19b–4, the Commission does not 

edit personal identifying information 

from comment submissions. 

Commenters should submit only 

information that they wish to make 

available publicly, including their 

name, email address, and any other 

identifying information. 

All prospective commenters should 

follow the Commission’s instructions on 

how to submit comments, available at 

www.sec.gov/regulatory-actions/how-tosubmit-comments. General questions 

regarding the rule filing process or 

logistical questions regarding this filing 

should be directed to the Main Office of 

the SEC’s Division of Trading and 

Markets at tradingandmarkets@sec.gov 

or 202–551–5777. 

FICC reserves the right not to respond 

to any comments received. 

III. Date of Effectiveness of the 

Proposed Rule Change, and Timing for 

Commission Action 

The foregoing rule change has become 

effective pursuant to Section 

19(b)(3)(A) 26 of the Act and paragraph 

(f) 27 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: 

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– 

FICC–2024–001 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–2024–001. 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 (http://

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–2024–001 and 

should be submitted on or before 

February 27, 2024. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.28

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2024–02159 Filed 2–5–24; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Investment Company Act Release No. 

35122; File No. 812–15490] 

Diameter Credit Company, et al. 

AGENCY: Securities and Exchange 

Commission (‘‘Commission’’ or ‘‘SEC’’). 

ACTION: Notice. 

Notice of application for an order 

(‘‘Order’’) under sections 17(d) and 57(i) 

of the Investment Company Act of 1940 

(the ‘‘Act’’) and rule 17d–1 under the 

Act to permit certain joint transactions 

otherwise prohibited by sections 17(d) 

and 57(a)(4) of the Act and rule 17d–1 

under the Act. 

Summary of Application: Applicants 

request an order to permit certain 

business development companies 

(‘‘BDCs’’) and closed-end management 

investment companies to co-invest in 

portfolio companies with each other and 

with certain affiliated investment 

entities. 

Applicants: Diameter Credit 

Company, Diameter Principal Finance 

LLC, Diameter Principal Finance 

Partnership LP, Diameter Capital 

Partners LP, Diameter CLO Advisors 

LLC, Diameter Master Fund LP, 

Diameter Dislocation Master Fund LP, 

Diameter Dislocation Master Fund II LP, 

DCMALT LP, DCP IG Fund LP, 

Diameter Credit Funding I, Ltd., 

Diameter Credit Funding II, Ltd., 

Diameter Credit Funding III, Ltd., 

Diameter Credit Funding IV, Ltd., 

Diameter Capital CLO 1 Ltd., Diameter 

Capital CLO 2 Ltd., Diameter Capital 

CLO 3 Ltd., Diameter Capital CLO 4 

Ltd., Diameter Capital CLO 5 Ltd. 

Filing Dates: The application was 

filed on July 25, 2023, and amended on 

October 31, 2023. 

Hearing or Notification of Hearing: An 

order granting the requested relief will 

be issued unless the Commission orders 

a hearing. Interested persons may 

request a hearing on any application by 

emailing the SEC’s Secretary at 


ddrumheller on DSK120RN23PROD with NOTICES1