51892 Federal Register / Vol. 82, No. 215 / Wednesday, November 8, 2017 / Notices 

give the Commission written notice of its intent to 

file the proposed rule change, along with a brief 

description and the text of the proposed rule 

change, at least five business days prior to the date 

of filing of the proposed rule change, or such 

shorter time as designated by the Commission. The 

Exchange has satisfied this requirement. 

12 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 81667 

(September 21, 2017), 82 FR 45106 (September 27, 

2017) (SR–DTC–2017–016; SR–NSCC–2017–016; 

SR–FICC–2017–020) (‘‘Notice’’). 

4 Id. 

5 Id. at 45107. 

6Certain securities may not be priced daily, and 

others may only be priced once each business day. 

Id. 

7 Id. 

8 Id. 

9 Id. 

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. If the 

Commission takes such action, the 

Commission shall institute proceedings 

to determine whether the proposed rule 

change should be approved or 

disapproved. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s Internet 

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

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include File Number SR– 

NYSEArca–2017–126 on the subject 

line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE., 

Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–NYSEArca-2017–126. 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 the Exchange. 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–NYSEArca–2017–126 and 

should be submitted on or before 

November 29, 2017. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.12

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–24255 Filed 11–7–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–82006; File Nos. SR–DTC– 

2017–016; SR–NSCC–2017–016; SR–FICC– 

2017–020] 

Self-Regulatory Organizations; The 

Depository Trust Company; National 

Securities Clearing Corporation; Fixed 

Income Clearing Corporation; Order 

Approving Proposed Rule Changes To 

Adopt the Clearing Agency Securities 

Valuation Framework 

November 2, 2017. 

I. Introduction 

On September 8, 2017, The 

Depository Trust Company (‘‘DTC’’), 

National Securities Clearing Corporation 

(‘‘NSCC’’), and Fixed Income Clearing 

Corporation (‘‘FICC,’’ each a ‘‘Clearing 

Agency,’’ and together with DTC and 

NSCC, the ‘‘Clearing Agencies’’), filed 

with the Securities and Exchange 

Commission (‘‘Commission’’) proposed 

rule changes SR–DTC–2017–016, SR– 

NSCC–2017–016, and SR–FICC–2017– 

020, respectively, pursuant to Section 

19(b)(1) of the Securities Exchange Act 

of 1934 (‘‘Act’’) 1 and Rule 19b–4 

thereunder.2 The proposed rule changes 

were published for comment in the 

Federal Register on September 27, 

2017.3 The Commission did not receive 

any comment letters on the proposed 

rule changes. For the reasons discussed 

below, the Commission approves the 

proposed rule changes. 

II. Description of the Proposed Rule 

Changes 

The Clearing Agencies propose to 

adopt the Clearing Agency Securities 

Valuation Framework (‘‘Framework’’) of 

the Clearing Agencies, as described 

below. 

A. Overview of the Framework 

The Framework would address the 

manner in which the Clearing Agencies 

select and review ‘‘Pricing Vendors’’ 

and value securities that the Clearing 

Agencies process or otherwise hold. The 

proposed rule changes would set forth 

the securities valuation practices 

adopted by the Clearing Agencies for 

securities eligible for clearance and 

settlement processing by the applicable 

Clearing Agency; and in the case of 

FICC and NSCC, as central 

counterparties (‘‘CCPs’’), securities 

eligible to be held in their respective 

clearing funds.4

B. Selection of Pricing Vendors 

Each Clearing Agency would price 

securities for both end-of-day and 

intraday value primarily through pricing 

data supplied by third-party pricing 

vendors (‘‘Pricing Vendors’’).5 For most 

securities, Pricing Vendors would 

supply the Clearing Agencies with 

intraday pricing data on at least an 

hourly basis.6 Pricing Vendors would be 

selected by each Clearing Agency based 

on a review of their service, including, 

at a minimum, a review of Pricing 

Vendors’ securities coverage and a price 

quality check.7

The Framework would provide that 

each security be assigned a primary 

source Pricing Vendor (‘‘Primary Pricing 

Vendor’’) and a secondary source 

Pricing Vendor (‘‘Secondary Pricing 

Vendor’’).8 In the event that the Primary 

Pricing Vendor becomes unavailable, 

unreliable, or otherwise unusable with 

respect to a security, the Secondary 

Pricing Vendor would be designated as 

the replacement for the Primary Pricing 

Vendor with respect to such security.9

Each Clearing Agency would perform 

due diligence on each Pricing Vendor 

prior to engagement, and at least 

annually thereafter, to assess the 


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Federal Register / Vol. 82, No. 215 / Wednesday, November 8, 2017 / Notices 51893 

10 Id. 

11 Id. 

12 Id. 

13 Id. 

14 Id. 

15 Id. 

16 15 U.S.C. 78s(b)(2)(C). 

17 15 U.S.C. 78q–1(b)(3)(F). 

18 17 CFR 240.17Ad–22(e)(4)(i). 

19 17 CFR 240.17Ad–22(e)(6)(iv). 

20 15 U.S.C. 78q–1(b)(3)(F). 

21 DTC refers to its participants as ‘‘Participants,’’ 

while NSCC and FICC refer to their participants as 

‘‘Members.’’ These terms are defined in the rules of 

each of the Clearing Agencies. In this order, 

‘‘participant’’ or ‘‘participants’’ refers to both the 

Participants of DTC and the Members of FICC and 

NSCC. 

22 DTC: Disclosure under the Principles for 

Financial Market Infrastructures, available at http:// 

www.dtcc.com/legal/policy-and-compliance. 

23NSCC: Disclosure under the Principles for 

Financial Market Infrastructures, and FICC: 

Disclosure under the Principles for Financial 

Market Infrastructures, available at http://

www.dtcc.com/legal/policy-and-compliance. 

24 15 U.S.C. 78q–1(b)(3)(F). 

25 17 CFR 240.17Ad–22(e)(4)(i). 

reliability of such Pricing Vendor.10

Reliability of a Pricing Vendor would be 

determined by each Clearing Agency 

based on a range of factors, including 

whether such Pricing Vendor can 

provide accurate and timely pricing data 

with respect to each security.11

C. Monitoring and Pricing 

Each Clearing Agency would monitor 

and review each applicable Pricing 

Vendor’s pricing at least once each 

business day to determine (i) whether 

any security’s price has remained 

unchanged for an extended period; (ii) 

whether a security has been dropped 

from the Pricing Vendor’s file; and (iii) 

whether any other circumstances exist 

that may call into question the 

reliability of any security’s price.12

Each security’s end-of-day price 

would be date stamped, and each 

intraday price would be time and date 

stamped. Both end-of-day and intraday 

prices would be identified with a 

Pricing Vendor source.13 In the event 

that both a Primary Pricing Vendor and 

a Secondary Pricing Vendor become 

unavailable, unreliable, or otherwise 

unusable with respect to a security, the 

applicable Clearing Agency would 

assign such security its last available 

price.14 If pricing data for a security is 

unavailable from a Pricing Vendor, or if 

the last available price is deemed to be 

unreliable or unusable, the applicable 

Clearing Agency would establish a price 

for the security based on valuation 

models, where applicable, and in 

accordance with the policies and 

procedures that support the 

Framework.15

III. Discussion and Commission 

Findings 

Section 19(b)(2)(C) of the Act directs 

the Commission to approve a proposed 

rule change of a self-regulatory 

organization if it finds that such 

proposed rule change is consistent with 

the requirements of the Act and rules 

and regulations thereunder applicable to 

such organization.16 After carefully 

considering the proposed rule changes, 

the Commission finds that the proposed 

rule changes are consistent with the 

requirements of the Act and the rules 

and regulations thereunder applicable to 

the Clearing Agencies. Specifically, the 

Commission finds that the proposed 

rule changes are consistent with Section 

17A(b)(3)(F) of the Act 17 as well as 

Rules 17Ad–22(e)(4)(i) 18 and (e)(6)(iv) 19

under the Act. 

A. Consistency With Section 

17A(b)(3)(F) 

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

requires, in part, that the rules of a 

registered clearing agency be designed 

to promote prompt and accurate 

clearance and settlement, and assure the 

safeguarding of securities and funds 

which are in the custody or control of 

the Clearing Agencies or for which they 

are responsible.20

As described above, the Framework 

would describe the manner in which the 

Clearing Agencies select and review 

their Pricing Vendors, and how the 

Clearing Agencies value securities that 

the Clearing Agencies process or 

otherwise hold. By describing the 

Clearing Agencies’ Pricing Vendors 

selection process and securities 

valuation practices in a clear and 

comprehensive manner, the Framework 

is designed to provide (i) reliable 

sources of timely price data, and (ii) a 

sound valuation practice when pricing 

data is not readily available. In doing so, 

the Framework would help the Clearing 

Agencies to promptly and accurately 

value (i) the securities that the Clearing 

Agencies process for clearance and 

settlement purposes; (ii) for DTC, the 

available collateral for a participant’s 

net settlement obligation, which DTC 

monitors to help mitigate the credit risk 

that participants 21 present to DTC; 22

and (iii) for NSCC and FICC, the 

securities held in their respective 

clearing funds, which are maintained to 

help mitigate the credit risk that 

participants present to NSCC and FICC, 

as applicable.23 By establishing a 

framework for accurately valuing 

securities that the Clearing Agencies 

process and hold for risk management 

purposes, the Framework would better 

position the Clearing Agencies to 

continue their critical operations and 

services, promptly and accurately, and 

mitigate the risk of financial loss to the 

Clearing Agencies and their nondefaulting participants due to a 

participant default. 

Therefore, the Commission finds that 

the proposed rule changes are designed 

to help promote prompt and accurate 

clearance and settlement, and assure the 

safeguarding of securities and funds 

which are in the custody or control of 

the Clearing Agencies or for which they 

are responsible, consistent with Section 

17A(b)(3)(F) of the Act.24

B. Consistency With Rule 17Ad– 

22(e)(4)(i) 

Rule 17Ad–22(e)(4)(i) under the Act 

requires that each covered clearing 

agency establish, implement, maintain 

and enforce written policies and 

procedures reasonably designed to 

effectively identify, measure, monitor, 

and manage its credit exposures to 

participants and those arising from its 

payment, clearing, and settlement 

processes by maintaining sufficient 

financial resources to cover its credit 

exposure to each participant fully with 

a high degree of confidence.25

As described above, the Framework 

would describe how the Clearing 

Agencies select and review their Pricing 

Vendors, and how the Clearing Agencies 

price securities that the Clearing 

Agencies process or otherwise hold, 

even when pricing data becomes 

unavailable or unreliable. In doing so, 

the Framework would help ensure that 

each Clearing Agency uses (i) reliable 

sources of timely price data when 

pricing securities processed or 

otherwise held by the Clearing Agency 

and (ii) clear valuation procedures when 

pricing data is not readily available or 

reliable. The Framework would further 

provide that the prices provided by each 

Pricing Vendor would be reviewed at 

least daily, which would help ensure 

that prices are accurate and reliable. 

By codifying these aforementioned 

practices in the Framework, the 

Framework is designed to help ensure 

that securities are priced appropriately. 

By appropriately pricing securities, the 

Clearing Agencies can more accurately 

calculate the value of the securities that 

the Clearing Agencies monitor or held 

for risk management purposes, as 

described above. Based on the value of 

the securities, a Clearing Agency may 

require a participant to provide more 

financial resources or limit the 

participants’ activities pursuant to the 

Clearing Agency’s rules, in order to 

better manage the credit risk presented 


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51894 Federal Register / Vol. 82, No. 215 / Wednesday, November 8, 2017 / Notices 

26See the GSD Rulebook of FICC, Rule 4— 

Clearing Fund and Loss Allocation; the MBSD 

Clearing Rules of FICC, Rule 4—Clearing Fund and 

Loss Allocation; Rules and Procedures of NSCC, 

Procedure XV—Clearing Fund Formula and Other 

Matters; By-Laws and Organizational Certificate of 

DTC, Rule 4—Participants Fund and Participants 

Investment, available at http://dtcc.com/legal/rulesand-procedures. 

27 17 CFR 240.17Ad–22(e)(4)(i). 

28 17 CFR 240.17Ad–22(e)(6)(iv). 

29 Id. 

30 15 U.S.C. 78q–1(b)(3)(F). 

31 In approving the Proposed Rule Changes, the 

Commission considered the proposals’ impact on 

efficiency, competition, and capital formation. 15 

U.S.C. 78c(f). 

32 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

by the participant.26 Therefore, the 

Commission finds that the proposed 

rule changes are designed to help ensure 

that the Clearing Agencies maintain 

sufficient financial resources to cover 

their credit exposure to each participant 

with a high degree of confidence, 

consistent with Rule 17Ad–22(e)(4)(i) 

under the Act.27

C. Consistency With Rule 17Ad– 

22(e)(6)(iv) 

Rule 17Ad–22(e)(6)(iv) under the Act 

requires that each covered clearing 

agency that is a CCP to establish, 

implement, maintain and enforce 

written policies and procedures 

reasonably designed to cover its credit 

exposures to its participants by 

establishing a risk-based margin system 

that, at a minimum, uses reliable 

sources of timely price data and uses 

procedures and sound valuation models 

for addressing circumstances in which 

pricing data are not readily available or 

reliable.28

As described above, the Framework 

provides that NSCC and FICC, each a 

CCP, would perform due diligence on 

each Pricing Vendor prior to 

engagement, and at least annually 

thereafter, to assess the reliability of 

such Pricing Vendor. The Framework 

also describes how NSCC and FICC 

would select two Pricing Vendors for 

each security in case one becomes 

unavailable, unreliable, or otherwise 

unusable. In the event that both Primary 

and Secondary Pricing Vendors become 

unavailable, unreliable, or unusable, the 

Framework provides that NSCC and 

FICC would assign each affected 

security its last available price. The 

Framework would further provide that, 

if the last available price is unavailable, 

unreliable, or otherwise unusable for a 

security, NSCC and FICC would 

establish a price for that security based 

on valuation models (where applicable) 

and in accordance with the policies and 

procedures that support the Framework. 

By setting forth how NSCC and FICC 

would select Pricing Vendors that can 

provide timely and reliable pricing data, 

and how NSCC and FICC would price 

securities when pricing data is not 

readily available or reliable, the 

Commission finds that the proposed 

rule changes are consistent with Rule 

17Ad–22(e)(6)(iv) under the Act.29

III. Conclusion 

On the basis of the foregoing, the 

Commission finds that the proposed 

rule changes are consistent with the 

requirements of the Act and in 

particular with Section 17A(b)(3)(F) 30

of the Act and the rules and regulations 

thereunder. 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act, that 

proposed rule changes SR–DTC–2017– 

016, SR–NSCC–2017–016, or SR–FICC– 

2017–020 be, and hereby are, 

APPROVED.31

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.32

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–24257 Filed 11–7–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–82003; File No. SR– 

NASDAQ–2017–113] 

Self-Regulatory Organizations; The 

Nasdaq Stock Market LLC; Notice of 

Filing and Immediate Effectiveness of 

Proposed Rule Change To Amend the 

Exchange’s Fees at Rule 7058 

November 2, 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 October 

20, 2017, The Nasdaq Stock Market LLC 

(‘‘Nasdaq’’ or ‘‘Exchange’’) filed with the 

Securities and Exchange Commission 

(‘‘SEC’’ or ‘‘Commission’’) the proposed 

rule change as described in Items I, II, 

and III, below, which Items have been 

prepared by the Exchange. The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

change from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to amend the 

Exchange’s fees at Rule 7058 to: (i) Offer 

to waive fees under this Rule for 30 days 

for any new, prospective, or returning 

purchaser of either QView or the 

Latency Optics add-on service; and (ii) 

remove language offering a subscription 

to TradeInfo for up to five users at no 

additional cost to subscribers of the 

Latency Optics add-on service. 

The text of the proposed rule change 

is available on the Exchange’s Web site 

at http://nasdaq.cchwallstreet.com/, at 

the principal office of the Exchange, and 

at the Commission’s Public Reference 

Room. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

Exchange 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 

Exchange has prepared summaries, set 

forth in sections A, B, and C below, of 

the most significant aspects of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to amend its 

fees at Rule 7058 to: (i) Offer to waive 

fees under this Rule for 30 days for any 

new, prospective, or returning 

purchaser of either QView or the 

Latency Optics add-on service; and (ii) 

remove language offering a subscription 

to TradeInfo for up to five users at no 

additional cost to subscribers of the 

Latency Optics add-on service, along 

with conforming changes. The purposes 

of the proposed changes are to: (i) 

Encourage new, prospective, and 

returning purchasers of either QView or 

the Latency Optics add-on service to 

examine these products more closely 

and thereby increase the number of 

customers for this product; and (ii) 

remove a rarely used fee provision in 

order to render the Latency Optics 

subscription easier to administer. 

Current Products 

QView 

QView is a web-based tool designed 

to provide a subscribing member with 

the ability to track its trading activity on 

the Exchange through both real-time 

and historical order and execution 

summaries, available on a daily or a 

monthly basis. The QView dashboard 

allows the member to view a summary 

of its executions and open orders, 


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