40176 Federal Register / Vol. 82, No. 163 / Thursday, August 24, 2017 / Notices 

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

2 17 CFR 240.19b–4. 

3Capitalized terms not defined herein are defined 

in the Rules, available at http://www.dtcc.com/∼/ 

media/Files/Downloads/legal/rules/nscc_rules.pdf. 

4The CNS Fails Charge is currently imposed by 

NSCC pursuant to Procedure XV, Section I.(A)(1)(f). 

Id. 

5When NSCC restricts a Member’s access to 

services generally, NSCC is said to have ‘‘ceased to 

act’’ for the Member. Rule 46 (Restrictions on 

Access to Services) sets out the circumstances 

under which NSCC may cease to act for a Member 

and the types of actions it may take. Supra note 3. 6See Exchange Act Release Nos. 80734 (May 19, 

2017), 82 FR 24177 (May 25, 2017) (SR–NSCC– 

2017–002) and 80731 (May 19, 2017), 82 FR 24174 

(May 25, 2017) (SR–NSCC–2017–801). 

POSTAL SERVICE 

Product Change—Priority Mail 

Express, Priority Mail, and First-Class 

Package Service Negotiated Service 

Agreement 

AGENCY: Postal ServiceTM. 

ACTION: Notice. 

SUMMARY: The Postal Service gives 

notice of filing a request with the Postal 

Regulatory Commission to add a 

domestic shipping services contract to 

the list of Negotiated Service 

Agreements in the Mail Classification 

Schedule’s Competitive Products List. 

DATES: Date of notice required under 39 

U.S.C. 3642(d)(1): August 24, 2017. 

FOR FURTHER INFORMATION CONTACT: 

Elizabeth A. Reed, 202–268–3179. 

SUPPLEMENTARY INFORMATION: The 

United States Postal Service® hereby 

gives notice that, pursuant to 39 U.S.C. 

3642 and 3632(b)(3), on August 18, 

2017, it filed with the Postal Regulatory 

Commission a Request of the United 

States Postal Service to Add Priority 

Mail Express, Priority Mail, & First-Class 

Package Service Contract 22 to 

Competitive Product List. Documents 

are available at www.prc.gov, Docket 

Nos. MC2017–177, CP2017–278. 

Stanley F. Mires, 

Attorney, Federal Compliance. 

[FR Doc. 2017–17888 Filed 8–23–17; 8:45 am] 

BILLING CODE 7710–12–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81439; File No. SR–NSCC– 

2017–015] 

Self-Regulatory Organizations; 

National Securities Clearing 

Corporation; Notice of Filing of 

Proposed Rule Change To Amend and 

Clarify a Margin Charge Relating to 

CNS Fails Position 

August 18, 2017 

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 August 

11, 2017, National Securities Clearing 

Corporation (‘‘NSCC’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change as described in Items I, II, and 

III below, which Items have been 

prepared by the clearing agency. The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

change from interested persons. 

I. Clearing Agency’s Statement of the 

Terms of Substance of the Proposed 

Rule Change 

The proposed rule change would 

amend provisions in NSCC’s Rules and 

Procedures (‘‘Rules’’) 3 regarding an 

existing margin charge that is applied 

when a Member fails to settle a Short 

Position or a Long Position by the 

applicable settlement date (‘‘CNS Fails 

Charge’’) and would clarify NSCC’s 

current practices with respect to the 

assessment and collection of the CNS 

Fails Charge. 

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 proposed rule change would (1) 

amend provisions in the Rules regarding 

the CNS Fails Charge, which NSCC 

currently imposes on each NSCC 

member (‘‘Member’’),4 as part of each 

Member’s Required Deposit to the NSCC 

Clearing Fund, which is due at the start 

of each business day, when all 

conditions to the application of the 

charge, as described below, are met, and 

(2) clarify NSCC’s current practices with 

respect to the assessment and collection 

of the CNS Fails Charge. 

(i) The Required Deposit and the CNS 

Fails Charge 

NSCC uses a risk-based margin 

methodology to assess Required 

Deposits from all Members. The 

Required Deposit is comprised of a 

number of risk-based component 

charges, including the CNS Fails 

Charge, which are calculated and 

assessed daily. The objective of the 

Required Deposit is to mitigate potential 

losses to NSCC associated with the 

liquidation of the Member’s portfolio if 

NSCC ceases to act for a Member.5

When a Member does not satisfy its 

obligation to either pay the net 

settlement proceeds or deliver the 

securities due by the applicable 

Settlement Date, NSCC, as a central 

counterparty, is exposed to credit and 

market risks. Such exposures generally 

increase when the Member’s risk of 

default increases, as reflected by the 

Member’s credit rating derived from the 

Credit Risk Rating Matrix.6 Therefore, in 

order to reduce the risk exposures to 

NSCC and to incentivize Members to 

satisfy their obligations relating to their 

outstanding trades on Settlement Date, 

NSCC currently calculates and collects 

the CNS Fails Charge from Members 

with Short Positions and/or Long 

Positions that did not settle on the 

Settlement Date (‘‘CNS Fails Positions’’). 

The amount of the CNS Fails Charge 

imposed on a Member varies based on 

the Member’s credit rating derived from 

the Credit Risk Rating Matrix to reflect 

the potential increase in credit risk from 

Members with higher risk of default. 

This proposed rule change would 

amend the Rules regarding the CNS 

Fails Charge. Specifically, where certain 

percentages are used to calculate the 

CNS Fails Charge for a Member, the 

proposed rule change would amend the 

Rules to include such specific 

percentages. In doing so, the proposed 

rule change would add transparency as 

well as clarify NSCC’s current practices 

with respect to the assessment and 

collection of this existing margin charge. 

(ii) Calculation of the CNS Fails Charge 

For a Member with CNS Fails 

Positions, the CNS Fails Charge is 

calculated by multiplying the Current 

Market Value for such Member’s 

aggregate CNS Fails Positions by a 

percentage. For a Member that is rated 

1 through 4 on the Credit Risk Rating 

Matrix, the CNS Fails Charge is 5 

percent of the Member’s aggregate CNS 

Fails Positions. For a Member that is 

rated 5 or 6 on the Credit Risk Rating 

Matrix, the CNS Fails Charge is 10 

percent of the Member’s aggregate CNS 

Fails Positions. For a Member that is 

rated 7 on the Credit Risk Rating Matrix, 

NSCC is currently charging such 

Member 20 percent of the Member’s 


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