[Federal Register Volume 89, Number 25 (Tuesday, February 6, 2024)]
[Notices]
[Pages 8260-8264]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2024-02159]


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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.
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    \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).
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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

[[Page 8261]]

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\
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    \5\ The 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).
    \6\ FICC has adopted a minimum margin amount into its MBSD 
margin methodology. The Minimum Margin Amount uses a dynamic haircut 
method 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.
    \7\ FICC 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.
    \8\ The 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).
    \9\ Capitalized 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 Mortgage-
Backed 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.
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    FICC is requesting confidential treatment of the QRM Methodology 
Documents and has filed them separately with the Secretary of the 
Commission.\10\
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    \10\ 17 CFR 240.24b-2.
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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 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.
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    \11\ For 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.
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    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\

[[Page 8262]]

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\
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    \12\ Pursuant 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 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).
    \13\ The 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).
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    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.
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    \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.
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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.
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    \16\ There 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.
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    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

[[Page 8263]]

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\
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    \17\ 15 U.S.C. 78q-1(b)(3)(F).
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    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\
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    \18\ Id.
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    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\
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    \19\ Id.
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    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\
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    \20\ Id.
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(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.
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    \21\ 15 U.S.C. 78q-1(b)(3)(I).
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    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\
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    \22\ Id.
    \23\ 15 U.S.C. 78q-1(b)(3)(F).
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    FICC also believes that the above-described 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,

[[Page 8264]]

consistent with Section 17A(b)(3)(F) of the Act.\25\
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    \24\ 15 U.S.C. 78q-1(b)(3)(I).
    \25\ 15 U.S.C. 78q-1(b)(3)(F).
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    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-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 SEC's Division of Trading 
and Markets at <a href="/cdn-cgi/l/email-protection#e195938085888f86808f858c80938a849592a1928482cf868e97"><span class="__cf_email__" data-cfemail="2054524144494e47414e444d41524b455453605345430e474f56">[email protected]</span></a> 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.
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    \26\ 15 U.S.C. 78s(b)(3)(A).
    \27\ 17 CFR 240.19b-4(f).
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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

    <bullet> Use the Commission's internet comment form (https://www.sec.gov/rules/sro.shtml); or
    <bullet> Send an email to <a href="/cdn-cgi/l/email-protection#94e6e1f8f1b9f7fbf9f9f1fae0e7d4e7f1f7baf3fbe2"><span class="__cf_email__" data-cfemail="0775726b622a64686a6a626973744774626429606871">[email protected]</span></a>. Please include 
file number SR-FICC-2024-001 on the subject line.

Paper Comments

    <bullet> 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.
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    \28\ 17 CFR 200.30-3(a)(12).

    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


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