[Federal Register Volume 82, Number 172 (Thursday, September 7, 2017)]
[Notices]
[Pages 42396-42399]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-18936]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-81511; File No. SR-FICC-2017-019]


Self-Regulatory Organizations; Fixed Income Clearing Corporation; 
Notice of Filing and Immediate Effectiveness of a Proposed Rule Change 
To Adopt the Interpretive Guidance With Respect to Watch List 
Consequences

August 31, 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 23, 2017, 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 primarily prepared 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)(1) 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)(1).
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I. Clearing Agency's Statement of the Terms of Substance of the 
Proposed Rule Change

    The proposed rule change would amend FICC's Government Securities 
Division (``GSD'') Rulebook (``GSD Rules'') and Mortgage-Backed 
Securities Division (``MBSD'') Clearing Rules (``MBSD Rules,'' and 
collectively with the GSD Rules, the ``Rules'') \5\ in order to adopt 
the Interpretive Guidance with Respect to Watch List Consequences 
(``Interpretive Guidance''), which would provide guidance to members of 
GSD and MBSD regarding placement on the Watch List and its impact on 
their respective Clearing Fund deposits as well as other consequences.
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    \5\ Capitalized terms not defined herein are defined in the GSD 
Rules, available at www.dtcc.com/~/media/Files/Downloads/legal/
rules/ficc_gov_rules.pdf, and the MBSD Rules, available at 
www.dtcc.com/~/media/Files/Downloads/legal/rules/
ficc_mbsd_rules.pdf.
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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 proposed rule change would add the Interpretive Guidance into 
the Rules, which will provide guidance to members of GSD and MBSD 
regarding the Watch List and its impact on their respective Clearing 
Fund deposits as well as other possible consequences.
(i) Background
    FICC occupies an important role in the securities settlement system 
by interposing itself through each of GSD and MBSD as a central 
counterparty

[[Page 42397]]

between members that are counterparties to transactions accepted for 
clearing by FICC, thereby reducing the risks faced by its members. 
FICC's ability to guarantee settlement of these transactions is 
dependent upon its risk management, which is the means by which it 
protects itself and its members from the risks inherent in the 
settlement process. The Watch List is one of the risk management tools 
that FICC uses to monitor default risks of its members on an ongoing 
basis.\6\ A member could be placed on the Watch List if its credit 
rating derived from the Credit Risk Rating Matrix is 5, 6 or 7,\7\ or 
if, based on FICC's consideration of relevant factors, it is deemed by 
FICC to pose a heightened risk to FICC and its members.\8\ Being placed 
on the Watch List may result in Clearing Fund-related consequences as 
well as other consequences under the Rules.
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    \6\ See Exchange Act Release Nos. 80734 (May 19, 2017), 82 FR 
24177 (May 25, 2017) (SR-FICC-2017-006), 80731 (May 19, 2017), 82 FR 
24174 (May 25, 2017) (SR-FICC-2017-804).
    \7\ The Credit Risk Rating Matrix generates credit ratings for 
relevant members based on a 7-point rating system, with ``1'' being 
the strongest credit rating and ``7'' being the weakest credit 
rating.
    \8\ Pursuant to GSD Rule 1, the term ``Watch List'' means ``at 
any time and from time to time, the list of Members whose credit 
ratings derived from the Credit Risk Rating Matrix are 5, 6 or 7, as 
well as members that, based on the Corporation's consideration of 
relevant factors, including those set forth in Section 12(d) of Rule 
3, are deemed by the Corporation to pose heightened risk to the 
Corporation and its Members.'' GSD Rule 1, Definitions.
    Pursuant to MBSD Rule 1, the term ``Watch List'' means ``at any 
time and from time to time, the list of Members whose credit ratings 
derived from the Credit Risk Rating Matrix are 5, 6 or 7, as well as 
Members that, based on the Corporation's consideration of relevant 
factors, including those set forth in Section 11(d) of Rule 3, are 
deemed by the Corporation to pose heightened risk to the Corporation 
and its Members.'' MBSD Rule 1, Definitions.
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(ii) Detailed Description of the Proposed Rule Change
    In order to provide members of GSD and MBSD guidance regarding 
placement on the Watch List and its impact on their respective Clearing 
Fund deposits and other consequences, FICC is proposing to adopt the 
Interpretive Guidance, as described below.
    FICC is also proposing to amend the ``Watch List'' definition in 
GSD Rule 1 (Definitions) and MBSD Rule 1 (Definitions), respectively, 
to add a footnote referring to the Interpretive Guidance for members' 
ease of reference when reviewing the Rules for Watch List implications. 
The proposed footnote would indicate to members that being placed on 
the Watch List may result in Clearing Fund-related consequences as well 
as other consequences under the Rules and would refer them to the 
Interpretive Guidance in the Rules.
A. Clearing Fund-Related Consequences for Members Placed on the Watch 
List
    As proposed, the Interpretive Guidance would provide details on 
Clearing Fund-related consequences for members of GSD and MBSD placed 
on the Watch List, including additional Clearing Fund deposits, 
restriction on withdrawal of Excess Clearing Fund Deposits, and non-
waiver of minimal Clearing Fund payment.
1. Additional Clearing Fund Deposits
    Pursuant to Section 12(e) of GSD Rule 3 \9\ and Section 11(e) of 
MBSD Rule 3,\10\ FICC may require a GSD Netting Member or an MBSD 
Clearing Member, as applicable, that has been placed on the Watch List 
to make and maintain a deposit to the GSD Clearing Fund or MBSD 
Clearing Fund, as applicable, over and above the amount determined in 
accordance with Section 2 of GSD Rule 4 and Section 2 of MBSD Rule 4, 
as applicable, or such higher amount as the FICC Board may deem 
necessary for the protection of FICC or other members.
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    \9\ Section 12(e) of GSD Rule 3, in relevant parts, states that 
``The Corporation may require a Netting Member that has been placed 
on the Watch List to make and maintain a deposit to the Clearing 
Fund over and above the amount determined in accordance with Section 
2 of Rule 4 (which additional deposit shall constitute a portion of 
the Netting Member's Required Fund Deposit), or such higher amount 
as the Board may deem necessary for the protection of the 
Corporation or other Members, which higher amount may include, but 
is not limited to, additional payments or deposits in any form to 
offset potential risk to the Corporation and its Members arising 
from activity submitted by such Member.'' GSD Rule 3, Ongoing 
Membership Requirements.
    \10\ Section 11(e) of MBSD Rule 3, in relevant parts, states 
that ``The Corporation may require a Clearing Member that has been 
placed on the Watch List to make and maintain a deposit to the 
Clearing Fund over and above the amount determined in accordance 
with Section 2 of Rule 4 (which additional deposit shall constitute 
a portion of the Clearing Member's Required Fund Deposit), or such 
higher amount as the Board may deem necessary for the protection of 
the Corporation or other Members, which higher amount may include, 
but is not limited to, additional payments or deposits in any form 
to offset potential risk to the Corporation and its Members arising 
from activity submitted by such Member.'' MBSD Rule 3, Ongoing 
Membership Requirements.
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    The determination of whether a member that is on the Watch List 
should be subject to an additional Clearing Fund deposit is based on 
factors determined to be relevant by FICC from time to time, including:
    a. The overall financial condition and financial stability or 
volatility of the GSD Netting Member or the MBSD Clearing Member, as 
applicable, which may include a review of the member's credit rating/
enhanced surveillance \11\ history and outlook. For example, FICC may 
require an additional Clearing Fund deposit from a member that is both 
rated a 7 on the Credit Risk Rating Matrix as well as under enhanced 
surveillance, or if the member's credit rating has deteriorated rapidly 
month over month.
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    \11\ FICC maintains an enhanced surveillance list for membership 
monitoring. The enhanced surveillance list is generally used when 
members are undergoing drastic and unexpected changes in their 
financial conditions or operational capabilities and thus are deemed 
by FICC to be of the highest risk level and/or warrant additional 
scrutiny due to FICC's ongoing concerns about these members.
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    b. The liquidity arrangement, if any, of the GSD Netting Member or 
the MBSD Clearing Member, as applicable. For example, FICC may require 
an additional Clearing Fund deposit from a member if FICC has concerns 
about the member's liquidity arrangement or if FICC determines that the 
member has insufficient liquidity resources when compared to the volume 
of the member's clearing activities at FICC.
    c. The Clearing Fund requirement history, transaction volume 
trends, simulated closeout results, stress test results, backtest 
results and outstanding positions of the GSD Netting Member or the MBSD 
Clearing Member, as applicable. For example, FICC may require an 
additional Clearing Fund deposit from a member that is on the Watch 
List if a review of the member's activity level indicates that FICC or 
its members could be exposed to losses from the member's activities.
    d. Adverse news reports and/or regulatory concerns relating to the 
GSD Netting Member or the MBSD Clearing Member, as applicable.
    e. Any additional concerns relating to the financial or operational 
condition of the GSD Netting Member or the MBSD Clearing Member, as 
applicable.
    Additionally, pursuant to Section 2(a) of MBSD Rule 4,\12\ FICC may 
impose an Intraday Mark-to-Market Charge on a MBSD Clearing Member that

[[Page 42398]]

experiences an adverse Intraday Mark-to-Market change that, among other 
things, exceeds certain Surveillance Thresholds. The Surveillance 
Thresholds are set by FICC based on an MBSD Clearing Member's rating as 
determined by the Credit Risk Rating Matrix and/or its Watch List 
status.
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    \12\ Section 2(a) of MBSD Rule 4, in relevant parts, states ``on 
any Business Day, a Clearing Member may become subject to an 
Intraday Mark-to-Market Charge,'' and the term ``Intraday Mark-to-
Market Charge'' as defined in MBSD Rule 1, in relevant parts, 
provides that ``the Corporation may, in its discretion, collect the 
Intraday Mark-to-Market Charge from a Clearing Member that 
experiences an adverse Intraday Mark-to-Market change that . . . 
exceeds a certain dollar threshold (``Surveillance Threshold'')'' 
and that ``the Surveillance Threshold is an amount between 
$1,000,000 and $50,000,000 that is set by the Corporation per 
Clearing Member based on a Clearing Member's rating as determined by 
the Credit Risk Rating Matrix and/or a Clearing Member's Watch List 
status.'' MBSD Rule 4, Clearing Fund and Loss Allocation.
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    Furthermore, pursuant to Section 2(g) of MBSD Rule 4,\13\ FICC may 
subject a MBSD Clearing Member to an intraday VaR Charge if the MBSD 
Clearing Member is on the Watch List; however, FICC does not currently 
collect a VaR Charge on an intraday basis from any MBSD Clearing 
Members.
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    \13\ Section 2(g) of MBSD Rule 4, in relevant parts, states 
``any VaR Charge may be collected on an intra-day basis,'' that 
``such intra-day VaR Charge amount shall be based upon certain 
parameter breaks defined by the Corporation from time to time'' and 
``qualitative factors including, but not limited to, Watch List 
status and internal rating will also be considered in the 
application of intraday VaR Charge.'' MBSD Rule 4, Clearing Fund and 
Loss Allocation.
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2. Restriction on Withdrawal of Excess Clearing Fund Deposits
    Pursuant to Section 9 of GSD Rule 4 \14\ and Section 9 of MBSD Rule 
4,\15\ FICC may retain some or all of the Excess Clearing Fund Deposit 
of a GSD Member or an MBSD Member, as applicable, who is on the Watch 
List.\16\ Nonetheless, FICC generally does not retain the Excess 
Clearing Fund Deposit of a Watch List member unless the member fails to 
pay the Required Fund Deposit within the required timeframes 
established by FICC, or if FICC has a concern that the member will not 
be able to satisfy its obligation to FICC.
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    \14\ Section 9 of GSD Rule 4, in relevant parts, states ``at the 
discretion of the Corporation, some or all of the Excess Clearing 
Fund Deposit may not be returned . . . if the Member is on the Watch 
List.'' GSD Rule 4, Clearing Fund and Loss Allocation.
    \15\ Section 9 of MBSD Rule 4, in relevant parts, states ``at 
the discretion of the Corporation, some or all of the Excess 
Clearing Fund Deposit may not be returned . . . if the Member is on 
the Watch List.'' MBSD Rule 4, Clearing Fund and Loss Allocation.
    \16\ Pursuant to Section 9 of GSD Rule 4, FICC may also retain 
some or all of the Excess Clearing Fund Deposits of a GSD Member if 
FICC determines that the GSD Member's anticipated Funds-Only 
Settlement Amounts or Net Settlement Positions in the near future 
may reasonably be expected to be materially different than those of 
the recent past. GSD Rules, supra note 5.
    Pursuant to Section 9 of MBSD Rule 4, FICC may also retain some 
or all of the Excess Clearing Fund Deposits of a MBSD Member if the 
MBSD Member has an outstanding payment obligation to FICC, if FICC 
determines that the MBSD Member's anticipated Cash Settlement 
Obligations, Pool Net Obligations or Transactions over the next 90 
calendar days may reasonably be expected to be materially different 
than during the prior 90 calendar days. MBSD Rules, supra note 5.
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3. Non-Waiver of Minimal Clearing Fund Payment
    Pursuant to Section 2(a) of GSD Rule 4 \17\ and Section 2(c) of 
MBSD Rule 4,\18\ a GSD Member or an MBSD Member, as applicable, is not 
required to make any payment to its Clearing Fund on a given day if the 
difference between the amount of the GSD Member's or the MBSD Member's, 
as applicable, Required Fund Deposit as reported on that day and the 
amount then on deposit towards satisfaction thereof is less than both 
(i) $250,000 and (ii) 25 percent of the amount then on deposit, 
provided that the GSD Member or the MBSD Member, as applicable, is not 
on the Watch List. As such, GSD Members and MBSD Members that are on 
the Watch List must satisfy all margin calls for their respective 
Clearing Funds regardless of the amount.
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    \17\ Section 2(a) of GSD Rule 4, in relevant parts, states that 
``A Netting Member's Required Fund Deposit shall be reported daily, 
and payment shall be due by the time specified in the Corporation's 
procedures; however, such payment shall not be due on a given day 
if: (a) The difference between the amount of a Member's Required 
Fund Deposit as reported on that day, and the amount then on deposit 
towards satisfaction thereof is less than both (i) $250,000, and 
(ii) 25 percent of the amount then on deposit; and (b) the Member is 
not on the Watch List. GSD Rule 4, Clearing Fund and Loss 
Allocation.
    \18\ Section 2(c) of MBSD Rule 4, in relevant parts, states that 
``A Clearing Member's Required Fund Deposit shall be reported daily, 
and payment shall be due by the time specified in the Corporation's 
procedures; however, such payment shall not be due on a given day 
if: (a) The difference between the amount of a Member's Required 
Fund Deposit as reported on that day and the amount then on deposit 
towards satisfaction thereof is less than both (i) $250,000, and 
(ii) 25 percent of the amount then on deposit from the Clearing 
Member; and (b) the Member is not on the Watch List.'' MBSD Rule 4, 
Clearing Fund and Loss Allocation.
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B. Other Consequences for GSD Netting Members Placed on the Watch List
    As proposed, the Interpretive Guidance would also describe other 
consequences that may affect GSD Netting Members placed on the Watch 
List.
    Pursuant to Section 12(e) of GSD Rule 3,\19\ if a GSD Netting 
Member is on the Watch List, FICC may (1) suspend the GSD Netting 
Member's right under the GSD Rules to collect a Credit Forward Mark 
Adjustment Payment during all or a portion of the time period that the 
GSD Netting Member is on the Watch List and/or (2) maintain possession 
of the securities and/or cash that comprise the GSD Netting Member's 
Collateral Allocation Entitlement as the result of its GCF Repo 
Transaction activity. Nonetheless, FICC generally does not retain these 
credits and/or entitlements unless the GSD Netting Member fails to pay 
the Required Fund Deposit within the required timeframes established by 
FICC, or if FICC has a concern that the GSD Netting Member will not be 
able to satisfy its obligation to FICC.
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    \19\ Section 12(e) of GSD Rule 3, in relevant parts, states that 
``as regards a Netting Member that has been placed on the Watch List 
by the Corporation, the Corporation may suspend, during all or a 
portion of the time period that such Member is on the Watch List, 
its right under these Rules to collect a Credit Forward Mark 
Adjustment Payment. Moreover, if a Netting Member on the Watch List 
has a Collateral Allocation Entitlement as the result of its GCF 
Repo Transaction activity, the Corporation may, in its sole 
discretion, maintain possession of the securities and/or cash that 
comprise such Collateral Allocation Entitlement.'' GSD Rule 3, 
Ongoing Membership Requirements.
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2. Statutory Basis
    Section 17A(b)(3)(F) of the Act requires, in part, that the Rules 
promote the prompt and accurate clearance and settlement of securities 
transactions.\20\ The proposed rule change would provide additional 
transparency to FICC members regarding placement on the Watch List and 
its impact on their respective Clearing Fund deposits as well as other 
consequences. The proposed rule change would also clarify FICC's 
current practices regarding the assessment, collection and withholding 
of related margin charges, credits and/or entitlements. Accordingly, 
the proposed rule change would ensure that the Rules are transparent 
and clear, which would enable all stakeholders to readily understand 
their respective rights and obligations in connection with FICC's 
clearance and settlement of securities transactions. Therefore, FICC 
believes that the proposed rule change would promote the prompt and 
accurate clearance and settlement of securities transactions, 
consistent with Section 17A(b)(3)(F) of the Act.
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    \20\ 15 U.S.C. 78q-1(b)(3)(F).
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    Rule 17Ad-22(e)(23)(i) under the Act requires, in part, that FICC 
establish, implement, maintain and enforce written policies and 
procedures reasonably designed to provide for publicly disclosing all 
relevant rules and material procedures.\21\ Rule 17Ad-22(e)(23)(ii) 
under the Act requires that FICC establish, implement, maintain and 
enforce written policies and procedures reasonably designed to provide 
sufficient information to enable participants to identify and evaluate 
the risks, fees, and other material costs they incur by participating 
in FICC.\22\ The proposed rule change enhances the transparency in the 
Rules by describing the impact that placement on the Watch List could 
have on members' respective Clearing Fund deposits and other

[[Page 42399]]

consequences. By doing so, the proposed rule change would provide for 
the public disclosure of the rules and procedures through which FICC 
assesses, collects and withholds certain margin charges, credits and/or 
entitlements from members on the Watch List. By providing information 
regarding the assessment, collection and withholding of certain margin 
charges and other consequences of the Watch List, the proposed rule 
change would also enable FICC's members to identify and evaluate the 
risks and material costs they incur by participating in FICC. As such, 
FICC believes the proposed rule change is consistent with Rule 17Ad-
22(e)(23)(i) and (ii) under the Act.\23\
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    \21\ 17 CFR 240.17Ad-22(e)(23)(i).
    \22\ 17 CFR 240.17Ad-22(e)(23)(ii).
    \23\ 17 CFR 240.17Ad-22(e)(23)(i), (ii).
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(B) Clearing Agency's Statement on Burden on Competition

    FICC does not believe that the proposed rule change would impact 
competition.\24\ The proposed rule change provides interpretive 
guidance with respect to existing Rules and would increase the 
transparency of the Rules regarding the Watch List and its impact on 
FICC members' respective Clearing Fund deposits and other consequences 
by clarifying FICC's current practices with respect to the assessment, 
collection and withholding of certain margin charges, credits and/or 
entitlements from members on the Watch List. The proposed rule change 
would not change such current practices. As such, FICC believes that 
the proposed rule change will not impact FICC members or have any 
impact on competition.
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    \24\ 15 U.S.C. 78q-1(b)(3)(I).
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(C) Clearing Agency's Statement on Comments on the Proposed Rule Change 
Received From Members, Participants, or Others

    Written comments relating to this proposed rule change have not 
been solicited or received. FICC will notify the Commission of any 
written comments received by FICC.

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) of the Act \25\ and paragraph (f) of Rule 19b-4 
thereunder.\26\ 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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    \25\ 15 U.S.C. 78s(b)(3)(A).
    \26\ 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 (http://www.sec.gov/rules/sro.shtml); or
    <bullet> Send an email to <a href="/cdn-cgi/l/email-protection#0a787f666f27696567676f647e794a796f69246d657c"><span class="__cf_email__" data-cfemail="e290978e87cf818d8f8f878c9691a2918781cc858d94">[email protected]</span></a>. Please include 
File Number SR-FICC-2017-019 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-2017-019. 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 Web site (http://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 Web site 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 the filing also will be available 
for inspection and copying at the principal office of FICC and on 
DTCC's Web site (http://dtcc.com/legal/sec-rule-filings.aspx). All 
comments received will be posted without change; the Commission does 
not edit personal identifying information from submissions. You should 
submit only information that you wish to make available publicly. All 
submissions should refer to File Number SR-FICC-2017-019 and should be 
submitted on or before September 28, 2017.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\27\
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    \27\ 17 CFR 200.30-3(a)(12).
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Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-18936 Filed 9-6-17; 8:45 am]
 BILLING CODE 8011-01-P


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