Document ID: SEC-2009-1060-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; National Securities Clearing Corporation; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Modify Haircuts Applied to Eligible Clearing Fund Securities
Posted Date: 2009-07-28T04:00Z

[Federal Register: July 28, 2009 (Volume 74, Number 143)]
[Notices]               
[Page 37275-37277]
From the Federal Register Online via GPO Access [wais.access.gpo.gov]
[DOCID:fr28jy09-85]                         

[[Page 37275]]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-60368; File No. SR-NSCC-2009-05]

 
Self-Regulatory Organizations; National Securities Clearing 
Corporation; Notice of Filing and Immediate Effectiveness of Proposed 
Rule Change To Modify Haircuts Applied to Eligible Clearing Fund 
Securities

July 22, 2009.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act''),\1\ notice is hereby given that on July 10, 2009, the 
National Securities Clearing Corporation (``NSCC'') filed with the 
Securities and Exchange Commission (``Commission'') the proposed rule 
change described in Items I, II, and III below, which items have been 
prepared primarily by NSCC. The Commission is publishing this notice to 
solicit comments on the proposed rule change from interested parties.
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    \1\ 15 U.S.C. 78s(b)(1).
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The purpose of the proposed rule change is to modify the haircuts 
applied to Eligible Clearing Fund Securities.\2\
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    \2\ NSCC Rule 1 (Definitions and Descriptions) defines Eligible 
Clearing Fund Securities and its components which are Eligible 
Clearing Fund Treasury Securities, Eligible Clearing Fund Agency 
Securities, and Eligible Clearing Fund Mortgage-Backed Securities.
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II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, NSCC 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. NSCC has prepared summaries, set forth in sections (A), 
(B), and (C) below, of the most significant aspects of these 
statements.\3\
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    \3\ The Commission has modified the text of the summaries 
prepared by NSCC.
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(A) Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    Under NSCC's Rules and Procedures, Members are required to make 
deposits to the Clearing Fund with the amount of each Member's required 
deposit being established by NSCC in accordance with one or more 
formulas (``Required Deposit''). A Member may satisfy its Required 
Deposit with a cash deposit, and NSCC may permit a portion of the 
Member's Required Deposit (with the exception of the deposit of a 
Mutual Fund/Insurance Services Member) to be evidenced by an open 
account indebtedness secured by Eligible Clearing Fund Securities. 
Eligible Clearing Fund Securities consist of certain Treasury, Agency, 
and mortgage-backed securities.
    NSCC's Rules and Procedures permit NSCC to fund settlement by 
pledging Clearing Fund deposits as collateral for loans. NSCC maintains 
a committed borrowing facility for this purpose. Due to elevated 
volatility experienced in the financial markets, collateral haircuts 
imposed on NSCC under the borrowing facility have increased. Therefore, 
NSCC is required to make corresponding increases in Clearing Fund 
collateral haircuts to maintain alignment with this facility.
    NSCC proposes to modify Procedure XV (Clearing Fund Formula and 
Other Matters) to update the correlating range of haircuts applied to 
the types of Eligible Clearing Fund Securities. In general, NSCC 
proposes to increase the haircuts for: (i) Interest bearing Treasuries 
with terms greater than 10 years but less than 15 years from 5 percent 
to a 6 percent and (ii) zero coupon Treasury and Agency securities from 
2 to 10 percent based on term to 5 to 12 percent based on term. A 
complete listing of the haircut schedule, showing modifications, is as 
follows:
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[GRAPHIC] [TIFF OMITTED] TN28JY09.028

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    NSCC believes that the proposed rule change is consistent with the 
requirements of Section 17A of the Act \4\ and the rules and 
regulations thereunder applicable to NSCC because the proposed rule 
change should facilitate the prompt and accurate clearance and 
settlement of securities transactions by adjusting NSCC's haircut 
levels on Clearing Fund collateral and facilitating NSCC's ability to 
ensure adequate collateral levels are maintained to facilitate 
settlement in the event of a participant default.
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    \4\ 15 U.S.C. 78q-1.
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(B) Self-Regulatory Organization's Statement on Burden on Competition

    NSCC does not believe that the proposed rule change will have any 
impact on or impose any burden on competition.

(C) Self-Regulatory Organization's Statement on Comments on the 
Proposed Rule Change Received From Members, Participants, or Others

    No written comments relating to the proposed rule change have been 
solicited or received. NSCC will notify the Commission of any written 
comments received by NSCC.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    The foregoing rule change has become effective upon filing pursuant 
to Section 19(b)(3)(A)(iii) of the Act \5\ and Rule 19b-4(f)(4) \6\ 
thereunder because the proposed rule change effects a change in an 
existing service of NSCC that (i) does not adversely affect the 
safeguarding of securities or funds in the custody or control of NSCC 
or for which it is responsible and (ii) does not significantly affect 
the respective rights of the clearing agency or persons using the 
service. At any time within sixty days of the filing of such rule 
change, the Commission may summarily abrogate 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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    \5\ 15 U.S.C. 78s(b)(3)(A)(iii).
    \6\ 17 CFR 240.19b-4(f)(4).
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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

     Use the Commission's Internet comment form (http://
www.sec.gov/rules/sro.shtml) or
     Send an e-mail to rule-comments@sec.gov. Please include 
File Number SR-NSCC-2009-05 on the subject line.

Paper Comments

     Send paper comments in triplicate to Elizabeth M. Murphy, 
Secretary, Securities and Exchange Commission, 100 F Street, NE., 
Washington, DC 20549-1090.

All submissions should refer to File Number SR-NSCC-2009-05. This file 
number should be included on the subject line if e-mail 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 inspection and 
copying in the Commission's Public Reference Section, 100 F Street, 
NE., Washington, DC 20549, on official business days between the hours 
of 10 a.m. and 3 p.m. Copies of such filings also will be available for 
inspection and copying at the principal office of NSCC and on NSCC's 
Web site at http://www.dtcc.com/legal/rule_filings/nscc/2009.php. 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-NSCC-2009-05 and should be 
submitted on or before August 18, 2009.
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    \7\ 17 CFR 200.30-3(a)(12).

    For the Commission by the Division of Trading and Markets, 
pursuant to delegated authority.\7\
Elizabeth M. Murphy,
Secretary.
[FR Doc. E9-17935 Filed 7-27-09; 8:45 am]

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