82 FR 19120 - Self-Regulatory Organizations; The Depository Trust Company; National Securities Clearing Corporation; Fixed Income Clearing Corporation; Notice of Filings of Proposed Rule Changes, as Modified by Amendments No. 1, To Adopt the Clearing Agency Liquidity Risk Management Framework

SECURITIES AND EXCHANGE COMMISSION

Federal Register Volume 82, Issue 78 (April 25, 2017)

[Federal Register Volume 82, Number 78 (Tuesday, April 25, 2017)]
[Notices]
[Pages 19120-19124]
From the Federal Register Online  [www.thefederalregister.org]
[FR Doc No: 2017-08286]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-80489; File No. SR-DTC-2017-004; SR-NSCC-2017-005; SR-
FICC-2017-008]


Self-Regulatory Organizations; The Depository Trust Company; 
National Securities Clearing Corporation; Fixed Income Clearing 
Corporation; Notice of Filings of Proposed Rule Changes, as Modified by 
Amendments No. 1, To Adopt the Clearing Agency Liquidity Risk 
Management Framework

April 19, 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 April 6, 2017, The Depository Trust Company (``DTC''), National 
Securities Clearing Corporation (``NSCC''), and Fixed Income Clearing 
Corporation (``FICC'', and together with DTC and NSCC, the ``Clearing 
Agencies''), filed with the Securities and Exchange Commission 
(``Commission'') the proposed rule changes. On April 13, 2017, the 
Clearing Agencies filed Amendments No. 1 to the proposed rule changes, 
which made technical corrections to the Table of Contents in the 
Exhibit 5s. The proposed rule changes, as modified by Amendments No. 1 
(hereinafter, collectively ``Proposed Rule Changes''), are described in 
Items I and II below, which Items have been prepared primarily by the 
Clearing Agencies. The Commission is publishing this notice to solicit 
comments on the Proposed Rule Changes from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Clearing Agencies' Statements of the Terms of Substance of the 
Proposed Rule Changes

    The Proposed Rule Changes would adopt the Clearing Agency Liquidity 
Risk Management Framework (``Framework'') of the Clearing Agencies, 
described below. The Framework would apply to both of FICC's divisions, 
the Government Securities Division (``GSD'') and the Mortgage-Backed 
Securities Division (``MBSD''). The Framework would be maintained by 
the Clearing Agencies in compliance with Rule 17Ad-22(e)(7)(i), (ii), 
and (iv) through (ix) under the Act, as described below.\3\
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    \3\ 17 CFR 240.17Ad-22(e)(7)(i), (ii), and (iv) through (ix). 
The Commission adopted amendments to Rule 17Ad-22, including the 
addition of new section 17Ad-22(e), on September 28, 2016. See 
Securities Exchange Act Release No. 78961 (September 28, 2016), 81 
FR 70786 (October 13, 2016) (S7-03-14). Each of the Clearing 
Agencies is a ``covered clearing agency'' as defined in Rule 17Ad-
22(a)(5), and must comply with new section (e) of Rule 17Ad-22 by 
April 11, 2017.
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    Although the Clearing Agencies would consider the Framework to be a 
rule, the Proposed Rule Changes do not require any changes to the 
Rules, By-laws and Organization Certificate of DTC (``DTC Rules''), the 
Rulebook of GSD (``GSD Rules''), the Clearing Rules of MBSD (``MBSD 
Rules''), or the Rules & Procedures of NSCC (``NSCC Rules''), as the 
Framework would be a standalone document.\4\
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    \4\ Capitalized terms not defined herein are defined in the DTC 
Rules, GSD Rules, MBSD Rules, or NSCC Rules, as applicable, 
available at http://dtcc.com/legal/rules-and-procedures.
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II. Clearing Agencies' Statements of the Purpose of, and Statutory 
Basis for, the Proposed Rule Changes

    In their filings with the Commission, the Clearing Agencies 
included statements concerning the purpose of and basis for the 
Proposed Rule Changes and discussed any comments they received on the 
Proposed Rule Changes. The text of these statements may be examined at 
the places specified in Item IV below. The Clearing Agencies have 
prepared summaries, set forth in sections A, B, and C below, of the 
most significant aspects of such statements.

(A) Clearing Agencies' Statements of the Purpose of, and Statutory 
Basis for, the Proposed Rule Changes

1. Purpose
    The Clearing Agencies are proposing to adopt the Framework, which 
would set forth the manner in which the Clearing Agencies measure, 
monitor and

[[Page 19121]]

manage the liquidity risks that arise in or are borne by each of the 
Clearing Agencies, including (i) the manner in which the Clearing 
Agencies would deploy liquidity tools to meet their settlement 
obligations on an ongoing and timely basis and (ii) each applicable 
Clearing Agency's use of intraday liquidity. The Framework would apply 
to the liquidity risk management of each of the Clearing Agencies.
    The Framework would be owned and managed by the Liquidity Product 
Risk Unit (``LPRU'').\5\ The Framework would outline the regulatory 
requirements that apply to each Clearing Agency with respect to 
liquidity risk management, and then would describe how the Clearing 
Agencies each meet those requirements. Because the regulatory 
requirements, liquidity risks, and liquidity resources that apply to or 
are available to each Clearing Agency are different, the Framework 
would separately describe the liquidity resources and related risk 
management tools available to each Clearing Agency and, with respect to 
FICC, to GSD and MBSD.
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    \5\ The parent company of the Clearing Agencies is The 
Depository Trust & Clearing Corporation (``DTCC''). DTCC operates on 
a shared services model with respect to the Clearing Agencies. Most 
corporate functions are established and managed on an enterprise-
wide basis pursuant to intercompany agreements under which it is 
generally DTCC that provides a relevant service to a Clearing 
Agency.
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    The Framework would describe each Clearing Agency's liquidity risk 
management strategy and objectives, which, for FICC and NSCC, is to 
maintain sufficient liquid resources in order to meet the potential 
amount of funding required to settle outstanding transactions of a 
defaulting Member, or affiliated family (``Affiliated Family'') of 
Members, in a timely manner.\6\ DTC's liquidity management strategy and 
controls are designed to maintain sufficient available liquid resources 
to complete system-wide settlement on each business day with a high 
degree of confidence notwithstanding the failure to settle of a 
Participant or Affiliated Family of Participants. The Framework would 
also state that DTC operates on a fully collateralized basis.
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    \6\ FICC and NSCC refer to their participants as ``Members,'' 
while DTC refers to its participants as ``Participants.'' These 
terms are defined in the rules of each of the Clearing Agencies. 
Supra note 4. In this filing ``participant'' or ``participants'' 
refers to both the Members of FICC and NSCC and the Participants of 
DTC.
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    The Framework would address how each of the Clearing Agencies meets 
its requirement to hold qualifying liquid resources, as such term is 
defined in Rule 17Ad-22(a)(14) under the Act,\7\ sufficient to meet its 
minimum liquidity resource requirement in each relevant currency for 
which it has payment obligations owed to its Members or Participants, 
as applicable. The Framework would also describe the manner in which 
each of FICC and NSCC measures the sufficiency of their respective 
qualifying liquid resources through daily liquidity studies, across a 
range of stress scenarios. With respect to DTC, the Framework would set 
forth that DTC's structural features, including the Collateral Monitor, 
Net Debit Cap, and Participants Fund, limit the liquidity requirements 
in default scenarios.
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    \7\ 17 CFR 240.17Ad-22(a)(14).
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    The Framework would identify each of the qualifying liquid 
resources available to each Clearing Agency, including both GSD and 
MBSD. Such qualifying liquid resources include, for example, (1) 
deposits to the Clearing Agencies' respective Clearing Funds, or, for 
DTC, its Participants Fund, made by participants pursuant to the 
respective rules,\8\ (2) for DTC and NSCC, an annual committed credit 
facility,\9\ (3) for NSCC, its Members' Supplemental Liquidity 
Deposits,\10\ and (4) for GSD and MBSD, a rule-based Capped Contingency 
Liquidity Facility (``CCLF'') program.\11\ The Framework would also 
state that the Clearing Agencies may have access to other available 
resources that may not meet the definition of qualifying liquid 
resources.
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    \8\ DTC Rule 4 (Participants Fund and Participants Investment), 
FICC/GSD Rule 4 (Clearing Fund and Loss Allocation), FICC/MBSD Rule 
4 (Clearing Fund and Loss Allocation), NSCC Rule 4 (Clearing Fund). 
Supra note 4.
    \9\ See Securities Exchange Act Release No. 77750 (April 29, 
2016), 81 FR 27181 (May 5, 2016) (SR-DTC-2016-801, SR-NSCC-2016-
801).
    \10\ NSCC Rule 4A (Supplemental Liquidity Deposits). Supra note 
4.
    \11\ MBSD Rule 17, Section 2a (Procedures for When the 
Corporation Ceases to Act). Supra note 4. FICC/GSD has filed a 
proposed rule change and related advance notice to adopt a CCLF 
program. See Securities Exchange Act Release No. 80234 (March 14, 
2017), 82 FR 14401 (March 20, 2017) (SR-FICC-2017-002) and 
Securities Exchange Act Release No. 80191 (March 9, 2017), 82 FR 
13876 (March 15, 2017) (SR-FICC-2017-802). Upon Commission approval 
of this proposed rule change, FICC/GSD's CCLF program will become a 
qualifying liquid resource of FICC/GSD.
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    The Framework would describe how FICC and NSCC perform daily 
liquidity studies to measure the sufficiency of their available liquid 
resources to meet the cash settlement obligations of their largest 
Affiliated Family, in compliance with the requirements under Rule 17Ad-
22(e)(7)(vi)(A) under the Act.\12\ The Framework would describe the 
manner in which daily liquidity studies are performed for both FICC and 
NSCC, including the assumptions used to determine each participant's 
total liquidity need. The Framework would state that FICC and NSCC 
liquidity sufficiency testing is performed daily with respect to three 
types of scenarios--(1) normal market scenarios, as a baseline 
reference point to assess other stress assumptions, (2) stressed, 
extreme but plausible scenarios, and (3) the same stressed, extreme but 
plausible scenarios applied under severely adverse market conditions 
that could coincide with the default of a participant. The Framework 
would describe the manner in which scenarios reflecting these three 
sets of conditions are developed and selected for testing. The 
Framework would describe how liquidity testing reporting is escalated 
on at least a monthly basis, and how these results are used to evaluate 
the adequacy of the liquidity resources of FICC or NSCC.
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    \12\ 17 CFR 240.17Ad-22(e)(7)(vi)(A). Supra note 3.
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    The Framework would describe how the tools available to DTC under 
the DTC Rules (e.g., Collateral Monitor and Net Debit Cap) \13\ allow 
it to regularly test the sufficiency of liquid resources on an intraday 
and end-of-day basis and adjust to stressed circumstances during a 
settlement day to protect itself and Participants against liquidity 
exposure under normal and stressed market conditions.
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    \13\ ``Collateral Monitor'' and ``Net Debit Cap'' are defined in 
DTC Rule 1, Section 1 (Definitions), and their calculations are 
further provided for in the DTC Settlement Service Guide of the DTC 
Rules. Supra note 4.
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    The Framework would describe how the Clearing Agencies undertake 
due diligence with respect to their liquidity providers, and conduct 
testing with those providers at least annually. The Framework would 
describe how the Clearing Agencies review the limits of outstanding 
investments and collateral held (if applicable) of each Clearing 
Agency's investment counterparties, and conduct formal reviews of the 
reliability of its qualified liquid resource providers in extreme but 
plausible market conditions.
    The Framework would describe how the Clearing Agencies address 
foreseeable liquidity shortfalls that would not be covered by their 
existing liquid resources, including through modifications to those 
existing liquid resources, for example, and would describe how their 
existing qualified liquid resources may be replenished. The Framework 
would state that the Clearing Agencies' liquidity risk models are 
subject to independent model validation on at least an annual basis. 
Finally, the Framework would describe the manner in which Clearing 
Agency liquidity risks are assessed and escalated through liquidity 
risk

[[Page 19122]]

management controls that include a statement of risk tolerances that 
are specific to liquidity risk (``Liquidity Risk Tolerance 
Statement''), and an operational risk profile of LPRU, which contains 
consolidated risk and control data. The Liquidity Risk Tolerance 
Statement is reviewed by management within the LPRU annually, and is 
escalated to the Risk Committee of the Boards for review and approval 
at least annually.
2. Statutory Basis
    The Clearing Agencies believe that the Proposed Rule Changes are 
consistent with the requirements of the Act and the rules and 
regulations thereunder applicable to a registered clearing agency. In 
particular, the Clearing Agencies believe that the Framework is 
consistent with Section 17A(b)(3)(F) of the Act \14\ and the 
subsections cited below of Rule 17Ad-22(e)(7),\15\ each promulgated 
under the Act, for the reasons described below.
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    \14\ 15 U.S.C. 78q-1(b)(3)(F).
    \15\ 17 CFR 240.17Ad-22(e)(7). Supra note 3.
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    Section 17A(b)(3)(F) of the Act requires, in part, that the rules 
of the Clearing Agencies be designed to promote the prompt and accurate 
clearance and settlement of securities transactions, and to assure the 
safeguarding of securities and funds which are in the custody or 
control of the Clearing Agencies or for which they are responsible.\16\ 
As described above, the Framework would describe how the Clearing 
Agencies have developed and carry out a liquidity risk management 
strategy such that, with respect to FICC and NSCC, they maintain liquid 
resources sufficient to meet the potential amount of funding required 
to settle outstanding transactions of a defaulting Member or Affiliated 
Family in a timely manner, and with respect to DTC, it maintains 
sufficient available liquid resources to complete system-wide 
settlement on each business day, with a high degree of confidence and 
notwithstanding the failure to settle of the Participant or Affiliated 
Family of Participants with the largest settlement obligation. As such, 
the Clearing Agencies' liquidity risk management strategies address the 
Clearing Agencies' maintenance of sufficient liquid resources, which 
allow them to continue the prompt and accurate clearance and settlement 
of securities and can continue to assure the safeguarding of securities 
and funds which are in their custody or control or for which they are 
responsible notwithstanding the default of a Member of an Affiliated 
Family. Therefore, the Clearing Agencies believe the Framework, which 
describes how the Clearing Agencies carry out these strategies, is 
consistent with the requirements of Section 17A(b)(3)(F) of the 
Act.\17\
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    \16\ 15 U.S.C. 78q-1(b)(3)(F).
    \17\ Id.
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    Rule 17Ad-22(e)(7) under the Act, which requires, in part, that 
each covered clearing agency establish, implement, maintain and enforce 
written policies and procedures reasonably designed to, among other 
things effectively measure, monitor, and manage the liquidity risks 
that arise in or are borne by the covered clearing agency, including 
measuring, monitoring, and managing its settlement and funding flows on 
an ongoing and timely basis, and its use of intraday liquidity.\18\ The 
Clearing Agencies believe that the Framework is designed to meet the 
requirements of the following subsections of Rule 17Ad-22(e)(7), cited 
below, for the reasons described below.\19\
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    \18\ 17 CFR 240.17Ad-22(e)(7). Supra note 3.
    \19\ Id.
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    Rule 17Ad-22(e)(7)(i) under the Act requires that a covered 
clearing agency maintain sufficient liquid resources at the minimum in 
all relevant currencies to effect same-day and, where appropriate, 
intraday and multiday settlement of payment obligations with a high 
degree of confidence under a wide range of foreseeable stress scenarios 
that includes, but is not limited to, the default of the participant 
family that would generate the largest aggregate payment obligation for 
the covered clearing agency in extreme but plausible market 
conditions.\20\ As described above, the Framework would describe how 
the Clearing Agencies have developed and carry out a liquidity risk 
management strategy such that, with respect to FICC and NSCC, they 
maintain liquid resources sufficient to meet the potential amount of 
funding required to settle outstanding transactions of a defaulting 
Member or Affiliated Family in a timely manner, and with respect to 
DTC, it maintains sufficient available liquid resources to complete 
system-wide settlement on each business day, with a high degree of 
confidence and notwithstanding the failure to settle of the Participant 
or Affiliated Family of Participants with the largest settlement 
obligation. The Framework would also describe how FICC and NSCC perform 
daily liquidity studies, which are designed to measure the sufficiency 
of their available liquid resources to meet the cash settlement 
obligations of their largest Affiliated Family in a number of 
scenarios, including (1) normal market conditions, as a baseline 
reference point to assess other stress assumptions, (2) stressed, 
extreme but plausible scenarios, and (3) the same stressed, extreme but 
plausible scenarios applied under severely adverse market conditions 
that could coincide with the default of a participant. The Framework 
would also describe how DTC's risk management tools allow DTC to 
regularly test the sufficiency of its liquid resources on an intraday 
and end-of-day basis and adjust to stressed circumstances during the 
settlement day to protect itself and Participants against liquidity 
exposure under normal and stressed market conditions. The Framework 
would also identify each of the qualified liquid resources being held 
by the Clearing Agencies in all relevant currencies. As such, the 
Clearing Agencies believe the Framework is consistent with Rule 17Ad-
22(e)(7)(i).\21\
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    \20\ 17 CFR 240.17Ad-22(e)(7)(i). Supra note 3.
    \21\ Id.
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    Rule 17Ad-22(e)(7)(ii) under the Act requires that a covered 
clearing agency hold qualifying liquid resources sufficient to meet the 
minimum liquidity resource requirement under Rule 17Ad-22(e)(7)(i) in 
each relevant currency for which the covered clearing agency has 
payment obligations owed to clearing members.\22\ As described above, 
the Framework would identify each of the resources being held by each 
of the Clearing Agencies in all relevant currencies, which meet the 
definition of ``qualified liquid resources'' set forth in Rule 17Ad-
22(e)(14).\23\ Therefore, the Clearing Agencies believe the Framework 
supports the Clearing Agencies' compliance with Rule 17Ad-22(e)(7)(ii) 
by identifying the qualified liquid resources, as such term is defined 
in the Act, being held by each of the Clearing Agencies.\24\
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    \22\ 17 CFR 240.17Ad-22(e)(7)(ii). Supra note 3.
    \23\ 17 CFR 240.17Ad-22(e)(14). Supra note 3.
    \24\ 17 CFR 240.17Ad-22(e)(7)(ii). Supra note 3.
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    Rule 17Ad-22(e)(7)(iv) under the Act requires that a covered 
clearing agency undertake due diligence to confirm that it has a 
reasonable basis to believe each of its liquidity providers, whether or 
not such liquidity provider is a clearing member, has (A) sufficient 
information to understand and manage the liquidity provider's liquidity 
risks; and (B) the capacity to perform as required under its 
commitments to provide liquidity to the covered clearing agency.\25\ 
Further, Rule 17Ad-22(e)(7)(v) under the Act requires that a covered 
clearing agency maintain and test with each liquidity

[[Page 19123]]

provider, to the extent practicable, the covered clearing agency's 
procedures and operational capacity for accessing each type of relevant 
liquid resource under Rule 17Ad-22(e)(7)(i) at least annually.\26\ The 
Framework would describe how the Clearing Agencies undertake due 
diligence with respect to their liquidity providers, as reasonably 
necessary in order to validate each such provider has sufficient liquid 
resources, understands its liquidity obligations, and has the capacity 
to perform on those obligations. These reviews, as described in the 
Framework, would also include a credit analysis of each liquidity 
provider. Further, the Framework would describe annual testing of the 
DTC and NSCC committed credit facility, which is conducted to confirm 
the lenders are operationally able to perform their commitments and are 
familiar with the drawdown process. Therefore, the Clearing Agencies 
believe the Framework is consistent with Rules 17Ad-22(e)(7)(iv) and 
(v) under the Act, because it would describe the Clearing Agencies' due 
diligence practices with respect to their liquidity providers, and the 
annual testing conducted with respect to the DTC and NSCC committed 
credit facility.\27\
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    \25\ 17 CFR 240.17Ad-22(e)(7)(iv). Supra note 3.
    \26\ 17 CFR 240.17Ad-22(e)(7)(v). Supra note 3.
    \27\ 17 CFR 240.17Ad-22(e)(7)(iv) and (v). Supra note 3.
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    Rule 17Ad-22(e)(7)(vi) under the Act requires that a covered 
clearing agency determine the amount and regularly test the sufficiency 
of the liquid resources held for purposes of meeting the minimum liquid 
resource requirement under Rule 17Ad-22(e)(7)(i) by, at a minimum: (A) 
Conducting stress testing of its liquid resources at least once each 
day using standard and predetermined parameters and assumptions; (B) 
conducting a comprehensive analysis on at least a monthly basis of the 
existing stress testing scenarios, models, and underlying parameters 
and assumptions used in evaluating liquidity needs and resources, and 
considering modifications to ensure they are appropriate for 
determining the clearing agency's identified liquidity needs and 
resources in light of current and evolving market conditions; (C) 
conducting a comprehensive analysis of the scenarios, models, and 
underlying parameters and assumptions used in evaluating liquidity 
needs and resources more frequently than monthly when the products 
cleared or markets served display high volatility or become less 
liquid, when the size or concentration of positions held by the 
clearing agency's participants increases significantly, or in other 
appropriate circumstances described in such policies and procedures; 
and (D) reporting the results of its analyses under Rule 17Ad-
22(e)(7)(vi)(B) and (C) to appropriate decision makers at the covered 
clearing agency, including but not limited to, its risk management 
committee or board of directors, and using these results to evaluate 
the adequacy of and adjust its liquidity risk management methodology, 
model parameters, and any other relevant aspects of its liquidity risk 
management framework.\28\
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    \28\ 17 CFR 240.17Ad-22(e)(7)(vi). Supra note 3.
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    As described above, the Framework would describe the daily 
liquidity studies performed by FICC and NSCC to measure the sufficiency 
of its available liquid resources, including the manner in which these 
studies are performed, and the assumptions used to determine each 
participant's total liquidity need. The Framework would describe the 
manner in which scenarios are developed and selected for testing, and 
how FICC and NSCC continuously evaluate these scenarios to affirm that 
they continue to be appropriate, and to determine if they should be 
modified. The Framework would also describe how liquidity testing 
reporting is escalated on at least a monthly basis to the management 
committee responsible for oversight of risk management matters, and how 
these results are used to evaluate the adequacy of the liquidity 
resources of FICC or NSCC. With respect to DTC, the Framework would 
describe how DTC relies on the tools available under the DTC Rules 
(e.g., the Net Debit Cap and the Collateral Monitor) to regularly test 
the sufficiency of the liquid resources on an intraday and end-of-day 
basis and adjust to stressed circumstances during a settlement day to 
protect DTC and Participants against liquidity exposure under normal 
and stressed market conditions. Therefore, the Clearing Agencies 
believe the Framework is consistent with Rule 17Ad-22(e)(7)(vi) under 
the Act.\29\
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    \29\ Id.
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    Rule 17Ad-22(e)(7)(vii) under the Act requires that a covered 
clearing agency perform a model validation of its liquidity risk models 
not less than annually or more frequently as may be contemplated by the 
covered clearing agency's risk management framework established 
pursuant to Rule 17Ad-22(e)(3).\30\ The Framework would describe how 
the Clearing Agencies' liquidity risk models are subject to independent 
model validations on at least an annual basis. As such, the Clearing 
Agencies believe the Framework is consistent with Rule 17Ad-
22(e)(7)(vii).\31\
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    \30\ 17 CFR 240.17Ad-22(e)(7)(vii). Supra note 3.
    \31\ Id.
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    Rule 17Ad-22(e)(7)(viii) under the Act requires that a covered 
clearing agency address foreseeable liquidity shortfalls that would not 
be covered by the covered clearing agency's liquid resources and seek 
to avoid unwinding, revoking, or delaying the same-day settlement of 
payment obligations.\32\ As described above, the Framework would 
describe how each of the Clearing Agencies addresses a foreseeable same 
day liquidity shortfall through, for example, modification to its 
existing liquid resources. For example, DTC may address a liquidity 
shortfall through appropriate adjustment to the Net Debit Cap 
reductions, as provided under the DTC Rules.\33\ Therefore, the 
Clearing Agencies believe the Framework is consistent with Rule 17Ad-
22(e)(7)(viii) under the Act because it would describe how each of the 
Clearing Agencies would address foreseeable liquidity shortfalls.\34\
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    \32\ 17 CFR 240.17Ad-22(e)(7)(viii). Supra note 3.
    \33\ Supra note 13.
    \34\ 17 CFR 240.17Ad-22(e)(7)(viii). Supra note 3.
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    Rule 17Ad-22(e)(7)(ix) under the Act requires that a covered 
clearing agency describe the covered clearing agency's process to 
replenish any liquid resources that the clearing agency may employ 
during a stress event.\35\ The Framework would describe how the 
Clearing Agencies' qualified liquid resources may be replenished in 
accordance with the respective rules of the Clearing Agencies. For 
example, the Framework would describe how the Clearing Agencies may use 
proceeds that may be available from the liquidation of a defaulting 
participant's portfolio (including the sale of collateral used to 
secure a borrowing) to repay liquidity borrowings, thus replenishing 
the relevant Clearing Agency's liquid resources. Therefore, the 
Clearing Agencies believe the Framework is consistent with Rule 17Ad-
22(e)(7)(ix) under the Act because it would describe the Clearing 
Agencies' process for replenishing liquid resources as permitted under 
their respective rules.\36\
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    \35\ 17 CFR 240.17Ad-22(e)(7)(ix). Supra note 3.
    \36\ Id.
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    (B) Clearing Agencies' Statements on Burden on Competition
    None of the Clearing Agencies believe that the Framework would have 
any impact, or impose any burden, on competition because the Proposed 
Rule Changes reflect the existing framework that the Clearing Agencies 
employ to manage liquidity risk, and would not effectuate any changes 
to the Clearing

[[Page 19124]]

Agencies' liquidity risk management tools as they currently apply to 
their respective Members or Participants.

(C) Clearing Agencies' Statements on Comments on the Proposed Rule 
Changes Received From Members, Participants, or Others

    The Clearing Agencies have not solicited or received any written 
comments relating to this proposal. The Clearing Agencies will notify 
the Commission of any written comments received by the Clearing 
Agencies.

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

    Within 45 days of the date of publication of this notice in the 
Federal Register or within such longer period up to 90 days (i) as the 
Commission may designate if it finds such longer period to be 
appropriate and publishes its reasons for so finding or (ii) as to 
which the clearing agency consents, the Commission will:
    (A) by order approve or disapprove such Proposed Rule Changes, or
    (B) institute proceedings to determine whether the Proposed Rule 
Changes should be disapproved.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views and 
arguments concerning the foregoing, including whether the Proposed Rule 
Changes are 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 [email protected]. Please include 
File Number SR-DTC-2017-004, SR-NSCC-2017-005, or SR-FICC-2017-008 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-DTC-2017-004, SR-NSCC-
2017-005, or SR-FICC-2017-008. One of these file numbers 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 Changes that are filed with the 
Commission, and all written communications relating to the Proposed 
Rule Changes 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 Clearing Agencies, 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-DTC-2017-004, SR-NSCC-2017-
005, or SR-FICC-2017-008, and should be submitted on or before May 16, 
2017.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\37\
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    \37\ 17 CFR 200.30-3(a)(12).
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Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-08286 Filed 4-24-17; 8:45 am]
 BILLING CODE 8011-01-P