Federal Register / Vol. 86, No. 168 / Thursday, September 2, 2021 / Notices 49387 

1 12 U.S.C. 5465(e)(1). 

2 17 CFR 240.19b–4(n)(1)(i). 

3 15 U.S.C. 78a et seq. 

4FICC’s Government Securities Division (‘‘GSD’’) 

Rulebook (‘‘Rules’’) are available at http://

www.dtcc.com/legal/rules-and-procedures. 

5Securities Exchange Act Release No. 92019 (May 

27, 2021), 86 FR 29834 (June 3, 2021) (SR–FICC– 

2021–801) (‘‘Notice of Filing’’). 

6Amendment No. 1 made a correction to Exhibit 

5 of the filing. On May 12, 2021, FICC also filed 

a related proposed rule change (SR–FICC–2021– 

003) with the Commission pursuant to Section 

19(b)(1) of the Exchange Act and Rule 19b–4 

thereunder. 15 U.S.C. 78s(b)(1) and 17 CFR 

240.19b–4, respectively. The proposed rule change 

was published in the Federal Register on June 1, 

2021. Securities Exchange Act Release No. 92014 

(May 25, 2021), 86 FR 29334 (June 1, 2021) (SR– 

FICC–2020–003). On June 8, 2021, FICC filed 

Amendment No. 1 to the proposed rule change to 

make the same correction as regarding the Advance 

Notice. The proposed rule change, as amended by 

Amendment No. 1, is hereinafter referred to as the 

‘‘Proposed Rule Change.’’ In the Proposed Rule 

Change, FICC seeks approval of proposed changes 

to its rules necessary to implement the Advance 

Notice. On June 24, 2021, the Commission 

published a notice designating a longer period of 

time for Commission action and a longer period for 

public comment on the Proposed Rule Change. 

Securities Exchange Act Release No. 92185 (June 

15, 2021), 86 FR 33420 (June 24, 2021) (SR–FICC– 

2021–003). The Commission has received one 

comment in support of the Proposed Rule Change, 

available at https://www.sec.gov/comments/sr-ficc2021-003/srficc2021003.htm. Because the proposals 

contained in the Advance Notice and the Proposed 

Rule Change are the same, the Commission 

considered all public comments received on the 

proposal as applicable to both filings, regardless of 

whether the comments were submitted with respect 

to the Advance Notice or the Proposed Rule 

Change. 

7 17 CFR 200.30–3(a)(93). 

8 12 U.S.C. 5465(e)(1)(D). 

9See 12 U.S.C. 5465(e)(1)(E)(ii) and (G)(ii); see 

Memorandum from the Office of Clearance and 

Settlement, Division of Trading and Markets, titled 

‘‘Commission’s Request for Additional 

Information,’’ available at https://www.sec.gov/ 

rules/sro/ficc-an/2021/34-92019-memo-ficc.pdf. 

10A bilateral repo is one in which the cash lender 

and cash borrower directly exchange cash and 

securities. In the bilateral repo market, the parties 

specify the securities used as collateral. Therefore, 

a cash lender seeking to obtain a particular security 

would utilize the bilateral repo market. 

11See Rule 5, supra note 4. 

12See Rule 11, supra note 4. 

13A tri-party repo is one in which a clearing 

bank, acting as tri-party agent, provides to both the 

cash lender and the cash borrower certain 

operational, custodial, collateral management, and 

other services. In tri-party repo trading, both parties 

maintain accounts at a clearing bank, which 

facilitates the payment and delivery of cash and 

securities between the parties’ accounts. In contrast 

to the bilateral repo market and its use of specific 

collateral, the tri-party repo market is exclusively 

for general collateral repos, meaning that the parties 

agree to use any securities from a pre-approved 

basket of acceptable securities as collateral. In a 

general collateral repo, the cash lender is indifferent 

to the particular securities it receives as collateral, 

provided that the securities come from the preapproved basket of acceptable securities. 

14See Rule 20, supra note 4. 

15See Rule 1 (definitions of ‘‘GCF Repo 

Transaction’’ and ‘‘Generic CUSIP Number’’) and 

Rule 20, Section 2, supra note 4; Notice of Filing, 

supra note 5 at 29836. 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–92799; File No. SR–FICC– 

2021–801] 

Self-Regulatory Organizations; Fixed 

Income Clearing Corporation; Notice of 

Filing of Amendment No. 1 and Notice 

of No Objection to Advance Notice, as 

Modified by Amendment No. 1, To Add 

the Sponsored GC Service and Make 

Other Changes 

August 27, 2021. 

On May 12, 2021, Fixed Income 

Clearing Corporation (‘‘FICC’’) filed 

with the Securities and Exchange 

Commission (‘‘Commission’’) advance 

notice SR–FICC–2021–801 pursuant to 

Section 806(e)(1) of Title VIII of the 

Dodd-Frank Wall Street Reform and 

Consumer Protection Act, entitled 

Payment, Clearing and Settlement 

Supervision Act of 2010 (‘‘Clearing 

Supervision Act’’),1 and Rule 19b– 

4(n)(1)(i) 2 under the Securities 

Exchange Act of 1934 (‘‘Exchange 

Act’’) 3 to amend FICC’s Government 

Securities Division Rulebook 4 to add a 

new service that expands FICC’s 

existing Sponsored Service. The 

advance notice was published for public 

comment in the Federal Register on 

June 3, 2021.5 On June 8, 2021, FICC 

filed Amendment No. 1 to the advance 

notice, to correct an erroneous cross 

reference in the original filing.6 The 

advance notice, as modified by 

Amendment No. 1, is hereinafter 

referred to as the ‘‘Advance Notice.’’ On 

June 11, 2021, the Commission, by the 

Division of Trading and Markets, 

pursuant to delegated authority,7

requested additional information from 

FICC pursuant to Section 806(e)(1)(D) of 

the Act.8 The request for information 

tolled the Commission’s period of 

review of the Advance Notice until 60 

days from the date of the Commission’s 

receipt of the information requested 

from FICC, absent an additional 

information request.9 The Commission 

received the information requested from 

FICC on July 2, 2021. 

The Commission is publishing this 

notice to solicit comments on 

Amendment No. 1 from interested 

persons and, for the reasons discussed 

below, is hereby providing notice of no 

objection to the Advance Notice. 

I. The Advance Notice 

A. Background 

1. FICC Services for Repurchase 

Agreement (‘‘Repo’’) Transactions 

Repos involve a pair of securities 

transactions between two parties. The 

parties agree to the terms of the trade, 

including the securities, principal 

amount, interest rate, haircut, and tenor 

(i.e., date of maturity). The first 

transaction (the ‘‘Start Leg’’) consists of 

the sale of securities, in which one party 

(the ‘‘cash borrower’’) delivers 

securities, and in exchange, the other 

party (the ‘‘cash lender’’) delivers cash. 

At the Start Leg, the cash borrower 

typically delivers an amount of 

securities equal in value to the amount 

of cash received from the cash lender, 

plus a haircut. Repo durations range 

from one day (‘‘overnight’’) to a year or 

more, but are usually less than three 

months (‘‘term’’). The second 

transaction (the ‘‘End Leg’’) occurs on a 

date after that of the Start Leg and 

consists of the repurchase of securities, 

in which the obligations to deliver cash 

and securities are the reverse of the Start 

Leg. At the End Leg, the cash borrower 

typically delivers the amount of cash 

borrowed, plus interest, and the cash 

lender returns the securities. 

FICC serves as CCP and provides 

clearance and settlement services to 

facilitate both bilateral and tri-party 

repo transactions. FICC facilitates 

bilateral repos 10 in which all securities 

delivery obligations are made against 

full payment (‘‘delivery-versuspayment’’ or ‘‘DVP’’) (the ‘‘DVP 

Service’’). FICC generally novates and 

guarantees settlement of a trade upon 

validation of the trade details, which 

results in the legally binding and 

enforceable contract between FICC and 

the parties to the trade.11 On a daily 

basis, FICC aggregates and matches a 

member’s offsetting obligations resulting 

from the member’s trades, thereby 

netting the member’s total daily 

settlement obligations.12

FICC facilitates tri-party repos 13

through its General Collateral Finance 

(‘‘GCF’’) Repo® Service, which enables 

members to trade general collateral 

finance repos based on rate, term, and 

underlying product throughout the day 

on a blind basis.14 The Bank of New 

York Mellon operates the tri-party 

platform that facilitates trades 

conducted through the GCF Repo 

Service. FICC has established 

standardized, generic CUSIP Numbers 

exclusively for GCF Repo processing 

and to specify the acceptable types of 

underlying Fedwire book-entry eligible 

collateral, which include U.S. 

Treasuries, U.S. government agency 

securities, and certain mortgage-backed 

securities.15


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49388 Federal Register / Vol. 86, No. 168 / Thursday, September 2, 2021 / Notices 

16Securities Exchange Act Release No. 51896 

(June 21, 2005), 70 FR 36981 (June 27, 2005) (SR– 

FICC–2004–22). See Rule 3A, supra note 4. 

17 17 CFR 230.144A. 

18 15 U.S.C. 77a et seq. 

19See Rule 3A, Section 8, supra note 4. 

20See Rule 1 (definition of ‘‘Sponsoring Member 

Guaranty’’) and Rule 3A, Section 2(c), supra note 

4. 

21 Id. 

22See Notice of Filing, supra note 5 at 29836. A 

key difference between the bilateral and tri-party 

repo markets deals with the operational aspects of 

managing term repos. In the tri-party repo market, 

a clearing bank typically automatically selects 

securities from the cash borrower’s account to serve 

as collateral that satisfies the credit and liquidity 

criteria agreed between the parties. The clearing 

bank delivers securities against the simultaneous 

delivery of cash between the parties’ accounts at the 

clearing bank. The clearing bank manages the 

regular revaluation of collateral, variation 

margining, income payments on the collateral, and 

collateral substitutions. In the bilateral repo market, 

the parties themselves perform such collateral 

management and other administrative functions. 

23See Notice of Filing, supra note 5 at 29836. 

24The Bank of New York Mellon operates the triparty platform that would facilitate trades 

conducted through the Sponsored GC Service. 

25FICC would register a new series of Generic 

CUSIP Numbers for the Sponsored GC Service as 

follows: (i) U.S. Treasury Securities maturing in ten 

(10) years or less, (ii) U.S. Treasury Securities 

maturing in thirty (30) years or less, (iii) NonMortgage-Backed U.S. Agency Securities, (iv) 

Federal National Mortgage Association (‘‘Fannie 

Mae’’) and Federal Home Loan Mortgage 

Corporation (‘‘Freddie Mac’’) Fixed Rate MortgageBacked Securities, (v) Fannie Mae and Freddie Mac 

Adjustable Rate Mortgage-Backed Securities, (vi) 

Government National Mortgage Association 

(‘‘Ginnie Mae’’) Fixed Rate Mortgage-Backed 

Securities, (vii) Ginnie Mae Adjustable Rate 

Mortgage-Backed Securities, (viii) U.S. Treasury 

Inflation-Protected Securities (‘‘TIPS’’) and (ix) U.S. 

Treasury Separate Trading of Registered Interest 

and Principal of Securities (‘‘STRIPS’’). The 

purpose of registering a new series of Generic 

CUSIP Numbers specific to the Sponsored GC 

Service is to avoid any operational processing errors 

that could otherwise result if a trade intended for 

the Sponsored GC Service was inadvertently 

processed as a GCF Repo transaction or vice versa. 

Notice of Filing, supra note 5 at 29836. 

26FICC does not believe it would be efficient or 

appropriate to novate the Start Legs of Sponsored 

GC Trades, as that novation would unnecessarily 

complicate an already efficient process by requiring 

the parties to make significant operational and 

business changes to include FICC in the transaction 

chain. Since Sponsored GC Trades would only be 

between a Sponsored Member and its Sponsoring 

Member on a known (i.e., not blind) basis, all Start 

Leg obligations would settle between a single set of 

counterparties, negating any efficiency or reduced 

settlement risk that FICC’s novation would provide. 

See Notice of Filing, supra note 5 at 29836–37. 

27FICC similarly does not believe it would be 

appropriate for FICC to be in the transaction chain 

for each payment and delivery under a Sponsored 

GC Trade because inserting FICC in the middle of 

the payments and deliveries would require 

substantial changes in operational processes for 

both Sponsored Members and Sponsoring Members. 

FICC does not believe such operational changes are 

necessary since there can only be two pre-novation 

counterparties involved in the settlement of a 

Sponsored GC Trade (i.e., the Sponsoring Member 

and its Sponsored Member client). See id. 

2. Sponsored Membership 

In 2005, FICC established the 

Sponsored Service, allowing eligible 

members to sponsor their clients into a 

limited form of membership.16 A 

Sponsoring Member is permitted to 

submit to FICC, for comparison, 

novation, and netting, certain eligible 

securities transactions of its Sponsored 

Members. FICC requires each 

Sponsoring Member to establish an 

omnibus account at FICC (separate from 

its regular netting account) for 

Sponsored Member trading activity. 

Sponsored Members generally have to 

meet the definition of a qualified 

institutional buyer (‘‘QIB’’), as defined 

in Rule 144A 17 under the Securities Act 

of 1933.18

For operational and administrative 

purposes, FICC interacts solely with the 

Sponsoring Member as agent for 

purposes of the day-to-day satisfaction 

of its Sponsored Members’ obligations 

to and from FICC, including their 

securities and funds-only settlement 

obligations.19 Sponsoring Members are 

also responsible for providing FICC with 

a Sponsoring Member Guaranty, 

whereby the Sponsoring Member 

guarantees to FICC the payment and 

performance by its Sponsored Members 

of their obligations under the Rules.20

Although Sponsored Members are 

principally liable to FICC for their own 

settlement obligations under the Rules, 

the Sponsoring Member Guaranty 

requires the Sponsoring Member to 

satisfy those settlement obligations on 

behalf of a Sponsored Member if the 

Sponsored Member defaults and fails to 

perform its settlement obligations.21

B. Proposed Sponsored GC Service 

Currently, the Sponsored Service only 

facilitates trading in bilateral DVP repos, 

not tri-party repos. In the Advance 

Notice, FICC proposes to expand the 

Sponsored Service to accommodate triparty repo trading, which it believes 

would increase term repo activity 

within the Sponsored Service. FICC 

states that several market participants 

have indicated that they currently 

transact tri-party term repos outside of 

central clearing because they are not 

operationally equipped to perform the 

collateral management and other 

functions associated with term DVP 

repos.22 In particular, money market 

funds and other mutual funds generally 

prefer to use the tri-party repo market 

because a clearing bank administers 

collateral management and other 

functions, as described above.23

Therefore, FICC proposes to add the 

Sponsored GC Service, which would 

allow (but not require) Sponsoring 

Members and their Sponsored Members 

to trade general collateral repos with 

each other on the tri-party platform of 

a Sponsored GC Clearing Agent Bank 24

(each, a ‘‘Sponsored GC Trade’’). Such 

general collateral repos would involve 

the same asset classes that are currently 

available for members using the GCF 

Repo Service.25 Consistent with the GCF 

Repo Service, the Sponsored GC Service 

would also permit cash borrowers to 

make collateral substitutions. Sponsored 

GC Trades would settle in a manner 

similar to the way Sponsoring Members 

and Sponsored Members currently settle 

tri-party repos with each other outside 

of central clearing. 

Sponsored GC Service Structure 

Sponsored GC Trades would only be 

between a Sponsored Member and its 

Sponsoring Member. FICC would novate 

only the End Legs of Sponsored GC 

Trades. Consistent with the current 

settlement process of such tri-party 

repos outside of central clearing, the 

Start Legs of Sponsored GC Trades 

would continue to settle on a trade-fortrade basis on the tri-party platform of 

a Sponsored GC Clearing Agent Bank.26

Accrued repo interest on Sponsored 

GC Trades would be paid and collected 

by FICC on a daily basis. Additionally, 

if the market value of the securities 

collateral decreases from its market 

value at the Start Leg, the cash borrower 

would be required deliver to FICC 

additional securities (and/or cash) such 

that the market value of the total 

securities collateral remains at least 

equal to its market value at the Start 

Leg. Conversely, if the market value of 

the securities collateral increases from 

its value at the Start Leg, the cash lender 

would be required to deliver to FICC 

securities (and/or cash) such that the 

market value of the remaining securities 

collateral remains at least equal to its 

market value at the Start Leg. Such 

additional securities (and/or cash) must 

be delivered within the timeframe set 

forth in a proposed new schedule of 

Sponsored GC Trade timeframes set 

forth in the Rules. 

In order to facilitate settlement of 

securities and cash obligations, FICC 

would direct each party to a Sponsored 

GC Trade to make any payment or 

delivery due to FICC in respect of a 

Sponsored GC Trade (except for certain 

funds-only settlement obligations, as 

discussed below) directly to the relevant 

pre-novation counterparty. As a result, 

each transfer of securities and daily repo 

interest would be made directly 

between the Sponsored Member and its 

Sponsoring Member via the tri-party 

repo platform of a Sponsored GC 

Clearing Agent Bank.27


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28Each member’s margin consists of a number of 

applicable components. The VaR Charge is typically 

the largest component of a member’s margin 

requirement. The VaR Charge is designed to capture 

the potential market price risk associated with the 

securities in a member’s portfolio. The VaR Charge 

is designed to provide an estimate of FICC’s 

projected liquidation losses with respect to a 

defaulted member’s portfolio at a 99 percent 

confidence level. See Rule 1 (definition of ‘‘VaR 

Charge’’), supra note 4; Securities Exchange Act 

Release No. 83362 (June 1, 2018), 83 FR 26514 (June 

7, 2018) (SR–FICC–2018–001). 

29See Rule 3A, Section 10, supra note 4. 

30Specifically, these restrictions apply to 

Category 2 Sponsoring Members, which are other 

members that meet certain financial requirements 

as compared to Category 1 Sponsoring Members, 

which are bank netting members that are wellcapitalized with $5 billion in equity capital. See 

Rule 3A, Section 2(a), supra note 4. 

31See Rule 3A, Section 2(b), supra note 4. 

32See Rule 3A, Section 2(h), supra note 4. 

33This GC Interest Rate Mark would be calculated 

in the same manner as the GCF Interest Rate Mark 

is for GCF Repo transactions. For a detailed 

description of the calculation, see Notice of Filing, 

supra note 5 at 29837. 

34No other components of funds-only settlement 

would be necessary to apply to Sponsored GC 

Trades because, as described above, (i) all 

Sponsored GC Trades would novate after the 

settlement of the Start Legs of such trades (i.e., not 

during the Forward-Starting Period), (ii) mark-tomarket changes in the value of the securities 

transferred under Sponsored GC Trades would be 

managed by the Sponsored GC Clearing Agent Bank 

on FICC’s behalf (consistent with the manner in 

which GCF Repo transactions are currently 

processed), and (iii) the accrued repo interest on 

Sponsored GC Trades would be passed on a daily 

basis, as described above. 

35See Rule 3A, Section 14(c), supra note 4. See 

also Rule 22A, Section 2, supra note 4. 

36See Rule 3A, Section 11, supra note 4. 

37See Securities Exchange Act Release No. 80489 

(April 19, 2017), 82 FR 19120 (April 25, 2017) (SR– 

FICC–2017–008). 

38See id. 

39FICC designed the CCLF to meet the regulatory 

requirement for a covered clearing agency to 

measure, monitor, and manage its liquidity risk by 

maintaining sufficient liquid resources to effect 

same-day settlement of payment obligations in the 

event of a default of the participant family that 

would generate the largest aggregate payment 

obligation for the clearing agency in extreme but 

plausible market conditions. 17 CFR 240.17Ad– 

22(e)(7)(i); see Securities Exchange Act Release No. 

82090 (November 15, 2017), 82 FR 55427, 55430 

(November 21, 2017) (SR–FICC–2017–002); Rule 

22A, Section 2a, supra note 4. 

Market Risk Management 

FICC would manage its market risk 

with respect to Sponsored GC Trades 

similar to the manner in which FICC 

manages existing trades within the 

Sponsored Service. To mitigate market 

risk, FICC would calculate the Value at 

Risk (‘‘VaR’’) margin component (‘‘VaR 

Charge’’) 28 for each Sponsored Member 

based on its activity in the Sponsored 

Service, including its activity in the 

proposed Sponsored GC Service. The 

VaR Charge for the Sponsoring 

Member’s omnibus account for 

Sponsored Member trading activity 

would continue to be gross-margined as 

the sum of the individual VaR Charges 

for each Sponsored Member client.29

Additionally, FICC would assign a 

symbol to each Sponsored Member to 

facilitate FICC’s ability to surveil the 

Sponsored Member’s activity across its 

Sponsored GC Trades as well as its 

other Sponsored Member Trades within 

the existing Sponsored Service (both 

with the same Sponsoring Member and 

across Sponsoring Members, if 

applicable). In addition, FICC would 

apply certain heightened requirements 

that apply to certain Sponsoring 

Members within the Sponsored GC 

Service as well.30 For example, FICC 

may impose heightened financial 

requirements on these Sponsoring 

Members based on their anticipated 

activity and other factors,31 and FICC 

may limit such a Sponsoring Member’s 

activity if the sum of the VaR Charges 

of its omnibus and netting accounts 

exceeds its net capital.32

In addition, FICC would manage the 

mark-to-market risk associated with 

unaccrued repo interest on a Sponsored 

GC Trade through a proposed new 

interest rate mark component of fundsonly settlement.33 FICC would also 

apply an Interest Adjustment Payment 

to Sponsored GC Trades to account for 

overnight use of funds by the 

Sponsoring Member or Sponsored 

Member, as applicable, based on such 

party’s receipt from FICC of a Forward 

Mark Adjustment Payment (reflecting a 

GC Interest Rate Mark) on the previous 

business day.34

Liquidity Risk Management 

Currently, trades between a 

Sponsoring Member and its Sponsored 

Member do not independently create 

liquidity risk for FICC. Under its Rules, 

if a Sponsoring Member defaults, FICC 

may close out (that is, cash settle) the 

Sponsored Member trades of the 

defaulting Sponsoring Member.35

Similarly, if a Sponsored Member 

defaults, FICC may offset its settlement 

obligations to the Sponsoring Member 

against the Sponsoring Member’s 

obligations under the Sponsoring 

Member Guaranty to perform on behalf 

of its defaulting Sponsored Member.36

Thus, in both default scenarios, FICC 

bears no liquidity risk. 

As a result, to the extent a Sponsoring 

Member either (1) runs a matched book 

of Sponsored Member trades (i.e., enters 

into offsetting trades with its own 

Sponsored Members), or (2) simply 

enters into trades with its Sponsored 

Member (i.e., without entering into 

offsetting transactions), such activities 

do not increase FICC’s liquidity risk. 

FICC bears liquidity risk only when a 

Sponsoring Member enters into an 

offsetting trade in which a third-party 

member is the pre-novation 

counterparty. In that scenario, FICC is 

required to settle the obligations of a 

defaulting Sponsoring Member. 

Since Sponsored GC Trades would 

not involve third-party members, such 

trades would impact FICC’s liquidity 

risk in a similar manner to trades 

between a Sponsoring Member and its 

Sponsored Member in the current 

Sponsored Service. As a result, FICC 

proposes to manage the liquidity risk 

associated with Sponsored GC Trades in 

the same manner that it currently 

manages such risk for other trades 

between a Sponsoring Member and its 

Sponsored Member. 

C. Proposed Changes to Allocations 

Within the Capped Contingency 

Liquidity Facility (‘‘CCLF’’) 

1. CCLF Background 

On April 25, 2017, the Commission 

approved FICC’s adoption of the 

Clearing Agency Liquidity Risk 

Management Framework 

(‘‘Framework’’), which broadly 

describes FICC’s liquidity risk 

management strategy and objective to 

maintain sufficient liquid resources in 

order to meet the potential amount of 

funding required to settle outstanding 

transactions of a defaulting member 

(including affiliates) in a timely 

manner.37 The Framework identifies, 

among other things, each of the 

qualifying liquid resources available to 

FICC, including the CCLF.38 The CCLF 

is a rules-based, committed liquidity 

resource, designed to enable FICC to 

meet its cash settlement obligations in 

the event of a default of the member 

(including the member’s family of 

affiliated members) to which FICC has 

the largest exposure in extreme but 

plausible market conditions.39 FICC 

would activate the CCLF if, upon a 

member default, FICC determines that 

its non-CCLF liquidity resources would 

not generate sufficient cash to satisfy 

FICC’s payment obligations to its nondefaulting members. In simple terms, a 

CCLF repo is equivalent to a nondefaulting member financing FICC’s 

payment obligation under the original 

trade, thereby providing FICC with time 

to liquidate the securities underlying 

the original trade. More specifically, 

upon activating the CCLF, members 

would be called upon to enter into repo 

transactions (as cash lenders) with FICC 

(as cash borrower) up to a predetermined capped dollar amount, 

thereby providing FICC with sufficient 

liquidity to meet its payment 


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40FICC has determined that $15 billion is an 

appropriate amount for allocation to all members 

because the average member’s liquidity need from 

2015–2016 was approximately $7 billion, with a 

majority of members (approximately 85 percent) 

having liquidity needs less than $15 billion. See 

Securities Exchange Act Release No. 82090 

(November 15, 2017), 82 FR 55427, 55430 

(November 21, 2017) (SR–FICC–2017–002). 

41For example, a member that generates daily 

liquidity needs in the $15–$20 billion supplemental 

liquidity tier would incur a pro-rata share for the 

$15–$20 billion supplemental liquidity tier only. 

Another member that generates daily liquidity 

needs in the $20–$25 billion supplemental liquidity 

tier would incur a pro-rata share for both the $15– 

$20 and $20–$25 billion supplemental liquidity 

tiers. A third member that generates daily liquidity 

needs in the $65–$70 billion supplemental liquidity 

tier would incur a pro-rata share for every 

supplemental liquidity tier. Each member’s pro-rata 

share is based on the frequency with which the 

member generates daily liquidity needs in each 

supplemental liquidity tier. See Securities 

Exchange Act Release No. 80234 (March 14, 2017), 

82 FR 14401, 14404–05 (March 20, 2017) (SR– 

FICC–2017–002). 

42See Rule 3A, Section 8(b) and Rule 22A, 

Section 2a(b), supra note 4. 

43This limitation on offset is consistent with 

FICC’s approach of not offsetting the positions of 

two accounts of the same member for CCLF 

purposes. However, FICC notes an important 

difference between Sponsored Member trades and 

other FICC repo activity. See Notice of Filing, supra 

note 5 at 29842. Specifically, as mentioned above 

in Section I.A.2., the Sponsored Service requires a 

Sponsoring Member to maintain an omnibus 

account that is separate from its netting account. In 

contrast, for all other repo activity, members have 

the option to collapse all of their activity into a 

single participant account in order to achieve a 

similar netting benefit. Sponsoring Members do not 

have that option with respect to their Sponsored 

Member trades. Therefore, FICC believes this 

proposed change is necessary to ensure that a 

Sponsoring Member’s CCLF obligations are 

calculated in a manner that more closely aligns 

with the liquidity risk associated with Sponsored 

Member trades. Id. 

44For Sponsored GC Trades, this proposed 

change would ensure that FICC applies an 

appropriate CCLF obligation to a Sponsoring 

Member in the event a Sponsored GC Clearing 

Agent Bank allocates to a Sponsored GC Trade a 

different security than the security that underlies an 

offsetting Sponsored Member Trade. For example, 

a Sponsoring Member may enter into a Sponsored 

GC Trade on a Generic CUSIP Number and a 

separate offsetting Sponsored Member trade in a 

specific CUSIP Number. Although the specific 

CUSIP Number might also be an eligible security 

under the Generic CUSIP Number underlying the 

Sponsored GC Trade, the Sponsored GC Clearing 

Agent Bank could allocate to the Sponsored GC 

Trade a different eligible CUSIP Number from the 

list of eligible securities. FICC’s proposed change 

would offset these positions across the Sponsoring 

Member’s netting account and omnibus account to 

ensure that the CCLF obligation applicable to the 

Sponsoring Member accurately reflects the liquidity 

risk associated with those positions. 

obligations. For a non-defaulting 

member to whom FICC has a payment 

obligation disrupted by a member 

default, a CCLF repo would extinguish 

and replace the original trade that gave 

rise to FICC’s payment obligation. 

FICC determines the total size of the 

CCLF based on FICC’s potential cash 

settlement obligations that would result 

from the default of the member 

(including affiliates) presenting the 

largest liquidity need to FICC over a 

specified look-back period, plus an 

additional liquidity buffer. Under the 

proposal in the Advance Notice, FICC 

would not change the method by which 

it determines the total size of the CCLF. 

FICC uses a tiered approach to 

allocate the total size of the CCLF 

among its members to arrive at the 

amount of each member’s CCLF 

obligation. FICC allocates $15 billion of 

the total size of the CCLF among all 

members.40 FICC allocates the 

remainder of the total size of the CCLF 

among members that generate liquidity 

needs above the $15 billion threshold 

based on the frequency that such 

members generate daily liquidity needs 

over $15 billion across supplemental 

liquidity tiers in $5 billion increments. 

Specifically, FICC calculates a dollar 

amount for the CCLF obligation 

applicable to each supplemental 

liquidity tier. FICC allocates the CCLF 

obligation for each supplemental 

liquidity tier to members on a pro-rata 

basis corresponding to the number of 

times each member generates liquidity 

needs within each supplemental 

liquidity tier.41

2. Current CCLF Allocation 

Methodology for the Sponsored Service 

Currently, FICC does not impose a 

CCLF obligation on a Sponsoring 

Member to the extent the Sponsoring 

Member runs a matched book of 

Sponsored Member trades. This is 

because to determine a Sponsoring 

Member’s CCLF obligation, FICC nets all 

of the positions recorded in the 

Sponsoring Member’s omnibus account 

(regardless of whether they relate to the 

same Sponsored Member) and 

separately nets all of the positions in the 

Sponsoring Member’s netting account.42

As a result, to the extent a Sponsoring 

Member enters into perfectly offsetting 

Sponsored Member trades (i.e., the 

matched book scenario), the settlement 

obligations of those trades net out in the 

omnibus account and the netting 

account, with no resulting CCLF 

obligation for the Sponsoring Member. 

However, if a Sponsoring Member 

enters into a Sponsored Member trade 

without entering into an offsetting 

transaction, the Sponsoring Member is 

subject to CCLF obligations for the 

position of its Sponsored Member 

recorded in its omnibus account as well 

as its own position arising from the 

Sponsored Member trade recorded in its 

netting account. Although the positions 

in the Sponsoring Member’s omnibus 

account and netting account offset each 

other, FICC does not currently net such 

positions for CCLF purposes because 

CCLF allocations are determined at the 

participant account level.43 FICC 

believes the foregoing scenario should 

not contribute to the Sponsoring 

Member’s CCLF obligation because, as 

described above in Section I.B, such 

offsetting obligations do not present 

liquidity risk to FICC. 

3. Proposed CCLF Allocation 

Methodology for the Sponsored Service 

As described above, trades between a 

Sponsoring Member and its Sponsored 

Member do not independently create 

liquidity risk for FICC, and, therefore, 

FICC believes that such trades should 

not affect the Sponsoring Member’s 

CCLF obligation. To ensure that a 

Sponsoring Member’s CCLF obligation 

is calculated to reflect the lack of 

liquidity risk to FICC associated with 

Sponsored Member trades, FICC 

proposes to take into account, for CCLF 

calculation purposes, any offsetting 

settlement obligations between a 

Sponsoring Member’s netting account 

and its omnibus account. This proposed 

change would ensure that all Sponsored 

Member trades, whether perfectly offset 

by other Sponsored Member trades (i.e., 

the matched book scenario) or not, 

would be recognized for CCLF purposes 

as not affecting FICC’s liquidity risk. 

This proposed change would also apply 

to trades in the new Sponsored GC 

Service.44

Although, as noted above, the 

proposal in the Advance Notice would 

not affect the method by which FICC 

determines the total CCLF amount, 

FICC’s proposal to net offsetting trades 

between a Sponsoring Member and its 

Sponsored Member for CCLF 

calculation purposes would affect the 

allocation of CCLF obligations over $15 

billion to other members. Specifically, 

as described above, under the current 

Rules, if a Sponsoring Member enters 

into a Sponsored Member trade without 

entering into an offsetting transaction, 

the Sponsoring Member is subject to 

CCLF obligations for the position of its 

Sponsored Member recorded in its 

omnibus account as well as its own 

position arising from the Sponsored 

Member trade recorded in its netting 

account. Under the proposal, the 

Sponsoring Member would not incur 

CCLF obligations for such transactions. 

Therefore, a Sponsoring Member’s peak 

daily liquidity is currently higher than 

it would be under the proposal. This, in 

turn, may decrease the frequency with 

which a Sponsoring Member’s daily 

peak liquidity reaches into higher 

supplemental liquidity tiers. As a result, 


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45The proposals in the Advance Notice would 

not change FICC’s current methodology for 

calculating the total amount of the CCLF. 

46See 12 U.S.C. 5461(b). 

47 12 U.S.C. 5464(a)(2). 

48 12 U.S.C. 5464(b). 

49 12 U.S.C. 5464(c). 

50 17 CFR 240.17Ad–22. See Securities Exchange 

Act Release No. 68080 (October 22, 2012), 77 FR 

66220 (November 2, 2012) (S7–08–11). See also 

Securities Exchange Act Release No. 78961 

(September 28, 2016), 81 FR 70786 (October 13, 

2016) (S7–03–14) (‘‘Covered Clearing Agency 

Standards’’). FICC is a ‘‘covered clearing agency’’ as 

defined in Rule 17Ad–22(a)(5). 

51 17 CFR 240.17Ad–22. 

52 12 U.S.C. 5464(b). 

53 17 CFR 240.17Ad–22(e)(7) and (21). 

54 12 U.S.C. 5464(b). 

55FICC notes that the centrally cleared repo 

market has functioned well during periods of 

extreme market volatility, as evidenced during the 

Continued 

the pro-rata allocation of CCLF 

obligations among members with daily 

peak liquidity in those supplemental 

liquidity tiers would increase.45 When 

fewer members generate peak liquidity 

needs in a supplemental liquidity tier, 

the remaining members that generate 

peak liquidity in that tier bear a larger 

pro-rata share of the CCLF allocations 

for that tier. 

II. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the Advance Notice 

is consistent with the Clearing 

Supervision Act. Comments may be 

submitted by any of the following 

methods: 

Electronic Comments 

• Use the Commission’s internet 

comment form (http://www.sec.gov/ 

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include File Number SR– 

FICC–2020–802 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–2021–801. 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 (http://www.sec.gov/ 

rules/sro.shtml). Copies of the 

submission, all subsequent 

amendments, all written statements 

with respect to the advance notice that 

are filed with the Commission, and all 

written communications relating to the 

advance notice between the 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

provisions of 5 U.S.C. 552, will be 

available for website viewing and 

printing in the Commission’s Public 

Reference Room, 100 F Street NE, 

Washington, DC 20549, on official 

business days between the hours of 

10:00 a.m. and 3:00 p.m. Copies of such 

filings will also be available for 

inspection and copying at the principal 

office of FICC and FICC’s website at 

https://www.dtcc.com/legal. 

All comments received will be posted 

without change. Persons submitting 

comments are cautioned that we do not 

redact or edit personal identifying 

information from comment submissions. 

You should submit only information 

that you wish to make available 

publicly. All submissions should refer 

to File Number SR–FICC–2021–801 and 

should be submitted on or before 

September 17, 2021. 

III. Discussion and Commission 

Findings 

Although the Clearing Supervision 

Act does not specify a standard of 

review for an advance notice, the stated 

purpose of the Clearing Supervision Act 

is instructive: To mitigate systemic risk 

in the financial system and promote 

financial stability by, among other 

things, promoting uniform risk 

management standards for SIFMUs and 

strengthening the liquidity of SIFMUs.46

Section 805(a)(2) of the Clearing 

Supervision Act authorizes the 

Commission to prescribe regulations 

containing risk management standards 

for the payment, clearing, and 

settlement activities of designated 

clearing entities engaged in designated 

activities for which the Commission is 

the supervisory agency.47 Section 805(b) 

of the Clearing Supervision Act 

provides the following objectives and 

principles for the Commission’s risk 

management standards prescribed under 

Section 805(a): 48

• To promote robust risk 

management; 

• to promote safety and soundness; 

• to reduce systemic risks; and 

• to support the stability of the 

broader financial system. 

Section 805(c) provides, in addition, 

that the Commission’s risk management 

standards may address such areas as 

risk management and default policies 

and procedures, among others areas.49

The Commission has adopted risk 

management standards under Section 

805(a)(2) of the Clearing Supervision 

Act and Section 17A of the Exchange 

Act (the ‘‘Clearing Agency Rules’’).50

The Clearing Agency Rules require, 

among other things, each covered 

clearing agency to establish, implement, 

maintain, and enforce written policies 

and procedures that are reasonably 

designed to meet certain minimum 

requirements for its operations and risk 

management practices on an ongoing 

basis.51 As such, it is appropriate for the 

Commission to review advance notices 

against the Clearing Agency Rules and 

the objectives and principles of these 

risk management standards as described 

in Section 805(b) of the Clearing 

Supervision Act. As discussed below, 

the Commission believes the proposal in 

the Advance Notice is consistent with 

the objectives and principles described 

in Section 805(b) of the Clearing 

Supervision Act,52 and in the Clearing 

Agency Rules, in particular Rules 

17Ad–22(e)(7) and (21).53

A. Consistency With Section 805(b) of 

the Clearing Supervision Act 

1. Reducing Systemic Risks and 

Supporting the Stability of the Broader 

Financial System 

The Commission believes that the 

Advance Notice is consistent with the 

stated objectives and principles of 

Section 805(b) of the Clearing 

Supervision Act because the changes 

proposed in the Advance Notice are 

consistent with reducing systemic risks, 

supporting the stability of the broader 

financial system, promoting robust risk 

management, and promoting safety and 

soundness.54

The Commission believes that FICC’s 

proposal to add the Sponsored GC 

Service to the existing Sponsored 

Service is consistent with the principles 

of reducing systemic risk and 

supporting the stability of the broader 

financial system. As described above in 

Section I.B., FICC proposes to add the 

Sponsored GC Service to facilitate 

centrally cleared tri-party repo trading 

between a Sponsored Member and its 

Sponsoring Member within FICC’s 

Sponsored Service. The Sponsored GC 

Service is designed to enable a greater 

number of tri-party repo transactions to 

be eligible for FICC’s netting services 

and subject to FICC’s guaranteed 

settlement, novation, and risk 

management, which should help 

decrease the settlement and operational 

risk of such transactions relative to 

those made outside of central clearing. 

This risk reduction should, in turn, 

enhance the stability of the tri-party 

repo market.55 Furthermore, by enabling 


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unprecedented market volatility in March–April 

2020. See Notice of Filing, supra note 5 at 29835. 

56See Letter from Robert Toomey, Managing 

Director and Associate General Counsel, Securities 

Industry and Financial Markets Association (June 

18, 2021) at 2 (commenting that the proposed 

Sponsored GC Service should incentivize more 

central clearing of tri-party repos, thereby 

contributing to enhancing the capacity and 

resiliency of the repo market and mitigating the risk 

of a large-scale exit by institutional firms from the 

market in a stress scenario). The U.S. financial 

market experienced such a liquidity drain from the 

repo market in the 2007–2008 financial crisis when 

the bankruptcy of Lehman Brothers gave rise to 

concerns among cash provider institutional firms 

about the creditworthiness of their borrower 

counterparties. See Ben S. Bernanke, The Courage 

to Act: A Memoir of a Crisis and its Aftermath 397 

(2017) (discussing ‘‘the paralyzing uncertainty [on 

the part of repo lenders] about banks’ financial 

health’’ in 2007 and 2008). 

57 12 U.S.C. 5464(b). 

58 In reaching this conclusion, the Commission 

reviewed and analyzed an impact analysis filed by 

FICC, comparing the changes in CCLF allocations 

under the current Rules and under the proposal. As 

part of the Advance Notice, FICC filed Exhibit 3— 

FICC/GSD CCLF Allocations Impact Study. 

(Pursuant to 17 CFR 240.24b–2, FICC requested 

confidential treatment of Exhibit 3. 

59 12 U.S.C. 5464(b). 60 Id. 

FICC to provide CCP services covering 

a greater number of tri-party repo 

transactions, the Sponsored GC Service 

would enable FICC to control the 

liquidation of a greater number of 

positions in a member default scenario, 

which in turn, should help protect 

against the risk of a large-scale exit by 

institutional firms from the U.S. 

financial market in a stress scenario.56

Accordingly, the Commission believes 

that an increase in centrally cleared triparty repo activity via the Sponsored GC 

Service would help reduce systemic 

risks and support the stability of the 

broader financial system, consistent 

with Section 805(b) of the Act.57

The Commission also believes that 

FICC’s proposal to change the CCLF 

allocation methodology is consistent 

with the principles of reducing systemic 

risks and supporting the stability of the 

broader financial system. As discussed 

above in Section I.C., trades between a 

Sponsoring Member and its Sponsored 

Member do not independently create 

liquidity risk for FICC. However, under 

the current Rules, if a Sponsoring 

Member enters into a Sponsored 

Member trade without entering into an 

offsetting transaction, the Sponsoring 

Member is subject to CCLF obligations 

for the Sponsored Member’s position in 

the Sponsoring Member’s omnibus 

account as well as its own position 

arising from the Sponsored Member 

trade recorded in its netting account. 

Although the positions in the 

Sponsoring Member’s omnibus account 

and netting account offset each other, 

FICC does not currently net such 

positions for CCLF purposes because 

CCLF allocations are determined at the 

participant account level. FICC proposes 

to change the Rules to allow netting, for 

CCLF allocation purposes, of offsetting 

positions in a Sponsoring Member’s 

omnibus account and netting account. 

FICC designed this proposal to ensure 

that a Sponsoring Member’s CCLF 

obligation aligns more closely with the 

actual liquidity risk its trading activity 

presents to FICC. This, in turn, may 

decrease the frequency with which a 

Sponsoring Member’s daily peak 

liquidity needs reach into higher CCLF 

supplemental liquidity tiers, resulting in 

a larger pro-rata allocation of CCLF 

obligations among other members 

whose daily peak liquidity needs reach 

into those supplemental liquidity tiers. 

Based on the foregoing, FICC’s current 

CCLF allocation methodology subjects 

Sponsoring Members to CCLF 

obligations beyond the level of risk 

presented by their trading activity, 

essentially requiring those Sponsoring 

Members to partially subsidize the 

CCLF obligations of other members who 

would otherwise bear larger CCLF 

obligations under the proposal.58 As a 

result, Sponsoring Members must 

currently direct capital towards CCLF 

obligations that could otherwise be used 

to support the trading activity of their 

clients. 

FICC’s proposal to change the CCLF 

allocation methodology would result in 

a distribution of CCLF obligations that 

better aligns with the liquidity risk each 

member’s trading activity presents to 

FICC. Market stability is enhanced when 

market participants are incentivized to 

manage the actual risks presented by 

their trading activity. Accordingly, the 

Commission believes that FICC’s 

proposal to change the CCLF allocation 

methodology would help reduce 

systemic risk and support the stability 

of the broader financial system, 

consistent with Section 805(b) of the 

Act.59

2. Promoting Robust Risk Management 

and Safety and Soundness 

The Commission believes that FICC’s 

proposals in the Advance Notice are 

consistent with the objectives of 

promoting robust risk management and 

promoting safety and soundness at 

FICC. With respect to the proposed 

Sponsored GC Service, FICC would 

leverage its existing risk management 

tools to manage the risks associated 

with repos transacted. For example, 

FICC would manage its market risk with 

respect to Sponsored GC Trades similar 

to the manner in which FICC manages 

existing trades within the Sponsored 

Service. Specifically, FICC would 

calculate the VaR Charge for each 

Sponsored Member based on its activity 

in the Sponsored Service, including its 

activity in the proposed Sponsored GC 

Service. The VaR Charge for the 

Sponsoring Member’s omnibus account 

would continue to be the sum of the 

individual VaR Charges for each 

Sponsored Member client (i.e., grossmargined). Additionally, FICC would 

risk manage the mark-to-market risk 

associated with unaccrued repo interest 

on a Sponsored GC Trade through a 

proposed new interest rate mark, 

calculated in the same manner that FICC 

currently calculates the interest rate 

mark for GCF Repo transactions. 

Moreover, the Advance Notice 

includes a proposal for a new risk 

management feature for the Sponsored 

Service. Specifically, FICC would assign 

a symbol to each Sponsored Member to 

facilitate FICC’s ability to surveil the 

Sponsored Member’s activity across its 

Sponsored GC Trades as well as its 

other Sponsored Member Trades within 

the existing Sponsored Service. In 

addition, the new Sponsored GC Service 

would continue to apply certain 

heightened requirements on particular 

types of Sponsoring Members. The 

foregoing risk management measures 

would help FICC prevent and otherwise 

manage the risks presented by the 

potential default of a member within 

Sponsored GC Service. Accordingly, the 

Commission believes that the proposed 

Sponsored GC Service would promote 

robust risk management and safety and 

soundness at FICC, consistent with 

Section 805(b) of the Act.60

The Commission also believes that 

FICC’s proposals in the Advance Notice 

are consistent with the objective of 

promoting safety and soundness in the 

tri-party repo market. As discussed 

above, the Sponsored GC Service would 

make the risk-reducing benefits of 

central clearing available to a greater 

portion of trades in the tri-party repo 

market. Also, as described above in 

Section III.A.1., FICC’s proposed CCLF 

allocation methodology would reduce 

CCLF obligations for Sponsoring 

Members with respect to Sponsored 

Member trades entered into without 

offsetting (i.e., matched book) trades. As 

a result, the proposed CCLF allocation 

methodology would reduce costs for 

Sponsoring Members and thereby 

provide an additional incentive for 

eligible market participants to join the 

Sponsored Service and offer the 

Sponsored GC Service to a potentially 

broader segment of the tri-party market. 

By bringing a greater portion of tri-party 


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61 Id. 

62 17 CFR 240.17Ad–22(e)(7). 

63 Id. 

64 17 CFR 240.17Ad–22(e)(21). 

65 Id. 

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

2 17 CFR 240.19b–4. 

repo trades into central clearing, the 

proposals in the Advance Notice would 

help to decrease the settlement and 

operational risk present when such 

trades are conducted outside of central 

clearing. The Sponsored GC Service 

would thereby contribute to the stability 

of the tri-party repo market. 

Furthermore, the Sponsored GC Service 

would enable FICC to centralize and 

control the liquidation of a greater 

number of tri-party repo transactions in 

the event of a member default, which in 

turn, would help protect the tri-party 

repo market against the destabilizing 

risk of a large-scale exit by institutional 

firms from the U.S. financial market in 

a stress scenario. Accordingly, the 

Commission believes that the proposed 

Sponsored GC Service would promote 

safety and soundness in the tri-party 

repo market, consistent with Section 

805(b) of the Act.61

Additionally, the Commission also 

believes that FICC’s proposal to change 

the CCLF allocation methodology is 

consistent with the principle of 

promoting robust risk management. As 

described above in Section II.C., FICC’s 

proposal to change the CCLF allocation 

methodology would not impact FICC’s 

current methodology for determining 

the total amount of the CCLF. As a 

result, FICC would retain its current 

level of liquid resources. FICC’s 

proposal would only change the 

allocation of CCLF obligations among 

FICC’s members. As described above in 

this Section III.A.1., FICC’s proposed 

CCLF allocation methodology would 

result in a CCLF obligation for each 

member that better corresponds to the 

actual liquidity risk each member’s 

trading activity presents to FICC. 

Accordingly, the Commission believes 

FICC’s proposed CCLF allocation 

methodology would promote robust risk 

management because it would better 

align the costs for a member to 

participate in FICC with the level of risk 

the member’s trading activity presents 

to FICC, while still maintaining the 

same overall level of liquidity resources 

at FICC. 

B. Consistency With Rule 17Ad–22(e)(7) 

Rule 17Ad–22(e)(7) under the 

Exchange Act requires a covered 

clearing agency to establish, implement, 

maintain, and enforce written policies 

and procedures reasonably designed to 

effectively measure, monitor, and 

manage the liquidity risk that arises in 

or is borne by the covered clearing 

agency.62 As described above in Section 

I.C.3., FICC proposes to change the 

Rules to allow netting, for CCLF 

allocation purposes, of offsetting 

positions in a Sponsoring Member’s 

omnibus account and netting account. 

FICC’s proposal would not impact 

FICC’s current methodology for 

determining the total amount of the 

CCLF as a liquidity resource. As 

discussed above in Section III.A.1., FICC 

proposes to change the Rules regarding 

CCLF allocation to ensure that a 

Sponsoring Member’s CCLF obligation 

aligns more closely with the actual 

liquidity risk its trading activity 

presents to FICC. As a result, FICC’s 

proposed CCLF allocation methodology 

represents more efficient liquidity risk 

management than the current 

methodology. Accordingly, the 

Commission believes that FICC’s 

proposed CCLF allocation methodology 

is consistent with Rule 17Ad–22(e)(7).63

C. Consistency With Rule 17Ad– 

22(e)(21) 

Rule 17Ad–22(e)(21) under the 

Exchange Act requires a covered 

clearing agency to establish, implement, 

maintain, and enforce written policies 

and procedures reasonably designed to 

be efficient and effective in meeting the 

requirements of its participants and the 

markets it serves, including the clearing 

agency’s clearing and settlement 

arrangements and the scope of products 

cleared or settled.64 As described above 

in Section I.B., FICC’s current 

Sponsored Service does not 

accommodate the trading of tri-party 

repos. FICC proposes to expand the 

Sponsored Service to allow tri-party 

repo trading to meet the needs of market 

participants that currently transact triparty term repos outside of central 

clearing because they are not 

operationally equipped to perform the 

collateral management and other 

functions associated with term DVP 

repos. By expanding the Sponsored 

Service to facilitate tri-party repo 

trading, FICC seeks to provide a viable 

option for its members to transact term 

tri-party repos in central clearing. 

Sponsored GC Trades would settle in a 

manner similar to the way Sponsoring 

Members and Sponsored Members 

currently settle tri-party repos with each 

other outside of central clearing, thereby 

making it more operationally efficient 

for the parties to transact term repos 

with each other using FICC as the CCP. 

The Commission believes that the 

proposed Sponsored GC Service is 

consistent with Rule 17Ad–22(e)(21) 65

because it is responsive to the requests 

from FICC’s members for the ability to 

trade centrally cleared term tri-party 

repos in a manner that is efficient and 

effective in meeting the operational 

requirements of FICC’s members. 

IV. Conclusion 

It is therefore noticed, pursuant to 

Section 806(e)(1)(I) of the Clearing 

Supervision Act, that the Commission 

does not object to Advance Notice (SR– 

FICC–2021–801) and that FICC is 

authorized to implement the proposed 

change as of the date of this notice or 

the date of an order by the Commission 

approving Proposed Rule Change SR– 

FICC–2021–003, whichever is later. 

By the Commission. 

Vanessa A. Countryman, 

Secretary. 

[FR Doc. 2021–18950 Filed 9–1–21; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–92795; File Nos. SR–NYSE– 

2021–14, SR–NYSEAMER–2021–10, SR– 

NYSEArca–2021–13, SR–NYSECHX–2021– 

03, SR–NYSENAT–2021–04] 

Self-Regulatory Organizations; New 

York Stock Exchange LLC, NYSE 

American LLC, NYSE Arca, Inc., NYSE 

Chicago, Inc., and NYSE National, Inc.; 

Notice of Designation of a Longer 

Period for Commission Action on 

Proceedings To Determine Whether To 

Approve or Disapprove Proposed Rule 

Changes To Amend the Schedule of 

Wireless Connectivity Fees and 

Charges To Add Circuits for 

Connectivity Into and Out of the Data 

Center in Mahwah, New Jersey 

August 27, 2021. 

On February 12, 2021, New York 

Stock Exchange LLC, NYSE American 

LLC, NYSE Arca, Inc., NYSE Chicago, 

Inc., and NYSE National, Inc. 

(collectively, the ‘‘Exchanges’’) each 

filed with the Securities and Exchange 

Commission (‘‘Commission’’), pursuant 

to Section 19(b)(1) of the Securities 

Exchange Act of 1934 (‘‘Act’’) 1 and Rule 

19b–4 thereunder,2 a proposed rule 

change to (1) add circuits for 

connectivity into and out of the data 

center in Mahwah, New Jersey 

(‘‘Mahwah Data Center’’); (2) add 

services available to customers of the 

Mahwah Data Center that are not 

colocation Users; and (3) change the 

name of the Fee Schedule to ‘‘Mahwah 

Wireless, Circuits, and Non-Colocation 

Connectivity Fee Schedule.’’ The 


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