82 FR 32030 - Self-Regulatory Organizations; The Depository Trust Company; Fixed Income Clearing Corporation; National Securities Clearing Corporation; Notice of Filings of Proposed Rule Changes To Adopt the Clearing Agency Model Risk Management Framework
SECURITIES AND EXCHANGE COMMISSION Federal Register Volume 82, Issue 131 (July 11, 2017)
Federal Register Volume 82, Issue 131 (July 11, 2017)
| Page Range | 32030-32035 | |
| FR Document | 2017-14425 |
[Federal Register Volume 82, Number 131 (Tuesday, July 11, 2017)] [Notices] [Pages 32030-32035] From the Federal Register Online [www.thefederalregister.org] [FR Doc No: 2017-14425] ----------------------------------------------------------------------- SECURITIES AND EXCHANGE COMMISSION [Release No. 34-81074; File Nos. SR-DTC-2017-008; SR-FICC-2017-014; SR- NSCC-2017-008] Self-Regulatory Organizations; The Depository Trust Company; Fixed Income Clearing Corporation; National Securities Clearing Corporation; Notice of Filings of Proposed Rule Changes To Adopt the Clearing Agency Model Risk Management Framework July 5, 2017. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934, as [[Page 32031]] amended (``Act'') \1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that on June 20, 2017, The Depository Trust Company (``DTC''), Fixed Income Clearing Corporation (``FICC''), and National Securities Clearing Corporation (``NSCC,'' and together with FICC, the ``Central Counterparties'' or ``CCPs,'' and together with DTC and FICC, the ``Clearing Agencies'') filed with the Securities and Exchange Commission (``Commission'') the proposed rule changes as described in Items I, II and III 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. --------------------------------------------------------------------------- \1\ 15 U.S.C. 78s(b)(1). \2\ 17 CFR 240.19b-4. --------------------------------------------------------------------------- I. Clearing Agencies' Statements of the Terms of Substance of the Proposed Rule Changes The proposed rule changes would adopt the Clearing Agency Model Risk Management Framework (``Framework'') of Clearing Agencies, described below. The Framework would be maintained by the Clearing Agencies in compliance with Rule 17Ad-22(e)(4)(i), (e)(4)(vii), (e)(6)(iii), (e)(6)(vi), (e)(6)(vii), and (e)(7)(vii), under the Act, as described below.\3\ --------------------------------------------------------------------------- \3\ 17 CFR 240.17Ad-22(e)(4)(i), (e)(4)(vii), (e)(6)(iii), (e)(6)(vi), (e)(6)(vii), and (e)(7)(vii). Each of DTC, NSCC and FICC is a ``covered clearing agency'' as defined in Rule 17Ad-22(a)(5), and must comply with subsection (e) of Rule 17Ad-22. References to Rule 17Ad-22(e)(6) and its subparagraphs cited herein, and compliance therewith, apply to FICC and NSCC only and do not apply to DTC. --------------------------------------------------------------------------- Although the Clearing Agencies would consider the Framework to be a rule, the proposed rule changes do not require any changes to the DTC Rules, By-laws and Organizational Certificate (``DTC Rules''), the Rulebook of the Government Securities Division of FICC (``GSD Rules''), the Clearing Rules of the Mortgage-Backed Securities Division of FICC (``MBSD Rules''), or the Rules & Procedures of NSCC (``NSCC Rules''), as the Framework would be a standalone document.\4\ --------------------------------------------------------------------------- \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. --------------------------------------------------------------------------- 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 formalize the Framework in order to facilitate compliance with Rule 17Ad-22(e)(4)(i), (e)(4)(vii), (e)(6)(iii), (e)(6)(vi), (e)(6)(vii), and (e)(7)(vii) under the Act.\5\ The Framework would set forth the model risk management practices adopted by the Clearing Agencies, which have been designed to assist the Clearing Agencies in identifying, measuring, monitoring, and managing the risks associated with the design, development, implementation, use, and validation of quantitative models. The Framework would be owned and managed by the Clearing Agencies' risk management area generally responsible for model validation (``Model Validation'') \6\ and control matters, the DTCC Model Validation and Control Group (``MVC''), on behalf of each Clearing Agency, with review and oversight by senior management and the Boards, as described below.\7\ --------------------------------------------------------------------------- \5\ Supra note 3. \6\ ``Model Validation'' has the meaning set forth in Rule 17Ad- 22(a)(9) under the Act, which provides that ``Model validation means an evaluation of the performance of each material risk management model used by a covered clearing agency (and the related parameters and assumptions associated with such models), including initial margin models, liquidity risk models, and models used to generate clearing or guaranty fund requirements, performed by a qualified person who is free from influence from the persons responsible for the development or operation of the models or policies being validated.'' See Rule 17Ad-22(a)(9), supra note 3. \7\ 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. --------------------------------------------------------------------------- The Framework would provide that (i) any change to the Framework must be approved by the Boards or such committees as may be delegated authority by the Boards from time to time pursuant to their charters, (ii) MVC shall review this Framework no less frequently than annually, and (iii) any and all changes to this Framework are subject to regulatory review and approval. The Framework would (i) articulate the Clearing Agencies' model risk management framework; and (ii) describe the Clearing Agencies' model risk reporting and escalation processes. The Clearing Agencies have adopted the following definition for the term ``model'': ``[M]odel'' refers to a quantitative method, system, or approach that applies statistical, economic, financial, or mathematical theories, techniques, and assumptions to process input data into quantitative estimates. A ``model'' consists of three components: An information input component, which delivers assumptions and data to the model; a processing component, which transforms inputs into estimates; and a reporting component, which translates the estimates into useful business information. The definition of ``model'' also covers quantitative approaches whose inputs are partially or wholly qualitative or based on expert judgment, provided that the output is quantitative in nature.\8\ --------------------------------------------------------------------------- \8\ See Supervisory Guidance on Model Risk Management, SR Letter 11-7, dated April 4, 2011, issued by the Board of Governors of the Federal Reserve System and the Office of the Comptroller of the Currency, at 3. The term ``Model Risk,'' as defined in the Framework, would refer to the potential for adverse consequences from decisions based on incorrect or misused Model outputs and reports,\9\ and primarily occurring due to (i) fundamental errors in the design/development of Models; (ii) incorrect Model input or assumptions; (iii) erroneous implementation of Models; (iv) unauthorized and/or incorrect changes to Models; (v) changes in market conditions rendering existing Models unfit for their intended purpose; and (vi) misuse of or overreliance on Models. The Framework is designed to minimize the Clearing Agencies' potential for financial loss, inaccurate financial or regulatory reporting, misaligned business strategies, and/or damage to their respective reputations resulting from a failure to properly manage Model Risk. --------------------------------------------------------------------------- \9\ Id. --------------------------------------------------------------------------- Any model developed for use by any of the Clearing Agencies and meeting the above definition for the term ``Model'' would be subject to tracking within each Clearing Agency's Model inventory (``Model Inventory''). The Framework would describe how a Model Inventory survey is conducted at least annually across the Clearing Agencies to confirm the Model Inventory is current. During this survey period, all Clearing Agency business areas and support functions that intend to develop models for Clearing Agency use would submit a list of their planned models to MVC in order for MVC to review and assess whether such [[Page 32032]] planned models meet the definition of ``Model'' under the Framework. The Framework would outline how MVC would assign a materiality/ complexity index rating to each Model when it is added to a Model Inventory, which rating would impact the Model's validation in terms of prioritization and approval authority. All Model materiality/complexity index assignments would be reviewed at least annually by MVC, as well as by the committee specifically created by the Clearing Agencies to address Model Risk governance matters, the DTCC Model Risk Governance Committee (``MRGC''). The Framework would describe the initial and periodic validation protocols that would be applicable to all Models in the Model Inventory. As required by regulatory requirements, all Model Validations would be performed by qualified persons who are free from influence from the persons responsible for the development or operation of the Models being validated. MVC, which is responsible for performing all Model Validations, is functionally separate from all Clearing Agency areas that develop or operate Models. The head of MVC directly reports to the head of the DTCC Group Chief Risk Office, rather than to anyone that is in charge of developing or operating Models for the Clearing Agencies. Each new Model would undergo a full Model Validation (unless provisionally approved, as discussed below) pursuant to which MVC would verify that the Model is performing as expected in accordance with its design objectives and business purpose. The full Model Validation standards for any new Model would include, but not be limited to, the following core Model Validation activities:Evaluation of the Model development documentation and testing; evaluation of Model theory and assumptions, and identification of potential limitations; evaluation of data inputs and parameters; review of numerical implementation including replication for certain key Model components, which would vary from Model to Model; independent testing: sensitivity analysis, stress testing, and benchmarking, as appropriate; and evaluation of Model outputs, Model performance, and back testing. Full Model Validation would be applied under the following circumstances: (i) For all new Models prior to their use in production; (ii) during periodic Model Validations (as described below); and (iii) when Model changes are made that require independent Model Validation (as further described below). All Models approved for use in production would also be subject to periodic Model Validations for purposes of confirming that the Models continue to operate as intended, identifying any deficiencies that would call into question the continuing validity of any such Model's original approval and evaluating whether the Model and its prior validation remain valid within the dynamics of current market conditions. In this regard, the Framework would describe that MVC would perform a Model Validation for each Clearing Agency Model approved for use in production not less than annually (or more frequently as may be contemplated by such Clearing Agency's established risk management framework), including each credit risk Model,\10\ liquidity risk Model,\11\ and in the case of FICC and NSCC, as central counterparties, on their margin systems and related Models.\12\ --------------------------------------------------------------------------- \10\ Rule 17Ad-22(e)(4)(vii). See supra note 3. \11\ Rule 17Ad-22(e)(7)(vii). See supra note 3. \12\ Rule 17Ad-22(e)(6)(vi) and (vii). See supra note 3. --------------------------------------------------------------------------- Periodic Model Validations would follow full Model Validation standards. In certain cases, MVC may determine extra Model Validation activities are warranted based on previous Model Validation work and findings, changes in market conditions, or because performance monitoring of a particular Model warrants extra validation. Occasionally, an active Model may require changes in either structure or technique. Details for any Model change request would be provided to MVC for review and a determination of whether full Model Validation is required. The Framework would outline the approval process applicable to all new Models. The DTCC Quantitative Risk Management Financial Engineering Unit, which is functionally separate from MVC, would be responsible for developing, testing, and signing-off on new Clearing Agency Models and enhancements to existing Clearing Agency Models before submitting any such Model to MVC for Model Validation and approval. All new Clearing Agency Models, and all material changes to existing Clearing Agency Models, would undergo Model Validation by MVC and be approved prior to business use. In cases where such Model's materiality is ``Medium'' or ``High,'' such Model Validation would be reviewed by the MRGC and recommended by the MRGC to the Clearing Agencies' management level committee responsible for model risk management matters, the Management Risk Committee (``MRC''), for approval. The Framework would provide that provisional approvals with respect to new Clearing Agency Models and material changes to existing Clearing Agency Models may be issued to allow a Model to be published for urgent business use prior to MVC's Model Validation thereof. Provisional approval requests for a Model along with appropriate control measures would be presented by the applicable DTCC personnel responsible for the development or operation of the Model \13\ to MVC and the MRGC for review. Models may be provisionally approved by MVC for a limited period, not to exceed six months unless also approved by the MRGC. MVC would track all such provisional approvals and oversee compliance with control measures and provisional approval periods. --------------------------------------------------------------------------- \13\ Such personnel would be defined in the Framework as ``Model Owners.'' --------------------------------------------------------------------------- Each periodic Model Validation would be presented to the MRGC for its review, and its recommendation for approval to the MRC. The Framework would provide that MRC approval must be obtained in order for any such periodic validation to be deemed complete. All findings that result from a new Model Validation, a change Model Validation, a periodic Model Validation, or in connection with implementation of a new Model or Model change, would be centrally tracked by MVC. The status of findings resolution for approved Models would be reported to the MRGC on a monthly basis. Where there is a finding related to Model implementation errors, the applicable Model Owner would report such findings/incidents in accordance with the policies and procedures of the Operational Risk Management unit (``ORM'') within the Group Chief Risk Office. If an adverse Model Validation finding cannot be resolved, the Model Owner would work with MVC and ORM to submit the finding for risk acceptance in accordance with ORM policies and procedures. In addition to periodic validation, MVC would be responsible for Model performance monitoring and for each Clearing Agency's backtesting process, which would be integral parts of each [[Page 32033]] Clearing Agency's model risk management framework.\14\ --------------------------------------------------------------------------- \14\ Model performance monitoring is the process of (i) evaluating an active Model's ongoing performance based on theoretical tests, (ii) monitoring the Model's parameters through the use of threshold indicators, and/or (iii) backtesting using actual historical data/realizations to test a Value at Risk (``VaR'') Model's predictive power. --------------------------------------------------------------------------- As part of Model performance monitoring, on at least a monthly basis, sensitivity analysis would be performed by MVC on each of the CCP's margin Model, the key parameters and assumptions for backtesting would be reviewed, and modifications would be considered to ensure the CCP's backtesting practices are appropriate for determining the adequacy of the applicable CCP's margin resources. MVC would prepare Model performance monitoring reports on a monthly basis. Model performance monitoring, which includes review of risk- based Models used to calculate margin requirements and relevant parameters/threshold indicators, sensitivity analysis, and model backtesting results would be subject to review by the MRGC, which will escalate serious performance concerns to the MRC. In circumstances where the products cleared or the markets served by a CCP display high volatility or become less liquid, or when the size or concentration of positions held by the applicable CCP's Members increases or decreases significantly, such sensitivity analysis and review of key model parameters and assumptions would be conducted more frequently than monthly. VaR and Clearing Fund requirement (``CFR'') coverage backtesting for the CCPs would be performed by MVC on a daily basis or more frequently.\15\ CFR coverage would be backtested on an overall basis and for individual Members and families of affiliated Members. DTC backtesting would be performed by MVC on a daily basis for collateral group \16\ Collateral Monitor coverage, collateral group level haircut \17\ coverage and Security-level haircut coverage. --------------------------------------------------------------------------- \15\ VaR Model backtesting tests Model performance at a specified confidence level, while the CFR backtest tests margin sufficiency in case of a Member default. \16\ A DTC Participant with multiple accounts may group its accounts into ``families'' (i.e., ``collateral groups'') and instruct DTC to allocate a specified portion of its overall Collateral Monitor and Net Debit Cap to each family. All accounts that a Participant designates as belonging to a common collateral group share a single Collateral Monitor and single Net Debit Cap. See Securities Exchange Act Release No. 38201 (January 23, 1997), 62 FR 4561 (January 30, 1997) (SR-DTC-96-17). \17\ A haircut represents a percentage decrease applied to a Security's Market Value solely for purposes of determining the Collateral Value of the Security. See DTC Settlement Service Guide, available at http://www.dtcc.com/~/media/Files/Downloads/legal/ service-guides/Settlement.pdf, at 5. --------------------------------------------------------------------------- Thresholds for all backtests would be established for the rolling 12-month period coverage computed as the number of instances without deficiency over the total number of backtest instances, where deficiency is defined as the loss amount that exceeds the measure being tested (i.e., VaR, CFR, Collateral Monitor, or haircut rate). Thresholds would be set as follows: ------------------------------------------------------------------------ Threshold Applicable to Backtesting risk metrics (%) ------------------------------------------------------------------------ CCPs............................. Overall CFR Coverage.... 99 VaR Model Coverage...... 99 Member Level CFR 99 Coverage. Family Level CFR 99 Coverage. DTC.............................. Collateral Group 99 Collateral Monitor Coverage. Collateral Group Level 99 Haircut Coverage. Security-Level Haircut 95 Coverage. ------------------------------------------------------------------------ The CFR coverage thresholds have been set to meet applicable regulatory requirements that require a CCP to cover its credit exposure to its participants by establishing a risk-based margin system that, among other things calculates margin sufficient to cover its potential future exposure to participants in the interval between the last margin collection and the close out of positions following a participant default.\18\ The collateral group Collateral Monitor coverage threshold, among other controls, has been set to support the requirement that DTC maintain sufficient financial resources to cover its credit exposures to each participant fully with a high degree of confidence.\19\ The ``VaR Model Coverage'', ``Collateral Group Level Haircut Coverage'', and ``Security-Level Haircut Coverage'' have been set and are designed for Model performance monitoring purposes. --------------------------------------------------------------------------- \18\ See 17 CFR 240.17Ad-22(e)(6)(iii). 17 CFR 240.17Ad- 22(a)(13) defines the term ``potential future exposure'' to mean the maximum exposure estimated to occur at a future point in time with an established single-tailed confidence level of at least 99 percent with respect to the estimated distribution of future exposure. \19\ See 17 CFR 240.17Ad-22(e)(4)(i). See supra note 3. --------------------------------------------------------------------------- The MRGC would be the primary forum for MVC's regular reporting of Model Validation activities and material Model Risks identified through regular Model performance monitoring. Reports and recommendations with respect to Model Risk management would be made to the MRC. Periodic reporting to the Risk Committee of the Clearing Agencies' Boards (``BRC'') with regard to Model Risk matters may include: Updates of Model Validation findings and the status of annual validations. Updates on significant Model Risk matters, and on compliance matters with respect to Model Risk policies and procedures (including the Framework). Escalation of Model Risk matters as set forth in the market risk tolerance statement, which establishes the Clearing Agencies' Model Risk tolerances (``Market Risk Tolerance Statement''), and subsequent, regular updates with respect thereto. On at least a monthly basis, the key metrics relating to Model backtesting would be reviewed by the Market and Liquidity Risk Management unit within the Group Chief Risk Office and MVC, and reported to the MRC. Threshold breaches would be reviewed by the Managing Directors within the Financial Risk Management area (including the Market and Liquidity Risk Management unit) of the Group Chief Risk Office, and in the case of CFR Coverage breaches by the CCPs and Collateral Group Collateral Monitor Coverage by DTC, escalated to the BRC in accordance with the Market Risk Tolerance Statement. The Managing Director of the Market and Liquidity Risk Management unit within the Group Chief Risk Office would be responsible for reviewing the Market Risk Tolerance Statement on at least an annual basis. The BRC would review and approve the Market Risk Tolerance Statement at least annually. [[Page 32034]] With respect to any proposed change to any backtesting methodology, prior to implementation thereof (and before any reporting thereof in any management and regulatory report), a description of the proposed change and impact study results would be presented to the MRGC for review and approval. If the impact study results reflect that implementation of the methodology would negatively impact any existing risk tolerance threshold range, such results would be escalated by the MRGC to the MRC, and subsequently to the BRC, for approval prior to implementation. All Model performance concerns would be escalated by MVC to the MRGC, including Model performance enhancement concerns. The MRGC may further recommend certain such matters for further escalation to the MRC and/or the BRC. 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, DTC believes that the Framework is consistent with Section 17A(b)(3)(F) of the Act,\20\ as well as Rule 17Ad-22(e)(4)(i), (e)(4)(vii) and (e)(7)(vii) thereunder,\21\ for the reasons described below. FICC and NSCC believe that the Framework is consistent with Section 17A(b)(3)(F) of the Act,\22\ as well as Rule 17Ad-22(b)(4) \23\ and Rule 17Ad-22(e)(4)(vii), (e)(6)(iii), (e)(6)(vi), (e)(6)(vii) and (e)(7)(vii) thereunder,\24\ for the reasons described below. --------------------------------------------------------------------------- \20\ 15 U.S.C. 78q-1(b)(3)(F). \21\ Supra note 3. \22\ 15 U.S.C. 78q-1(b)(3)(F). \23\ 17 CFR 240.17Ad-22(b)(4). See supra note 3. \24\ Supra note 3. --------------------------------------------------------------------------- Section 17A(b)(3)(F) of the Act \25\ requires, inter alia, that the rules of a clearing agency be designed to promote the prompt and accurate clearance and settlement of securities transactions. As described in greater detail above, the Framework would describe the process by which the Clearing Agencies identify, measure, monitor, and manage the risks associated with the design, development, implementation, use, and validation of quantitative models. The quantitative models covered by the Framework would be applied by the Clearing Agencies, as applicable, to evaluate and address their respective risk exposures associated with their settlement activity and allow them to continue the prompt and accurate clearance and settlement of securities. In this regard, the Framework would facilitate their ability to develop models that would be applied to evaluate and address risk exposure, and allow them to continue the prompt and accurate clearance and settlement of securities. Therefore, the Clearing Agencies believe that the Framework is consistent with the requirements of Section 17A(b)(3)(F) of the Act.\26\ --------------------------------------------------------------------------- \25\ 15 U.S.C. 78q-1(b)(3)(F). \26\ Id. --------------------------------------------------------------------------- Rule 17Ad-22(b)(4) under the Act \27\ requires, inter alia, that a covered clearing agency that is a central counterparty establish, implement, maintain, and enforce policies and procedures reasonably designed to provide for an annual Model Validation consisting of evaluating the performance of the clearing agency's margin models and the related parameters and assumptions associated with such models by a qualified person who is free from influence from the persons responsible for the development or operation of the models being validated. As described in the Framework and as described above, MVC is an area that is functionally separate from all areas within NSCC and FICC that develop and operate models. Pursuant to the Framework, MVC would perform a Model Validation on all approved margin systems and related Models for NSCC and FICC, not less than annually. Therefore, NSCC and FICC believe the Framework is consistent with Rule 17Ad- 22(b)(4) under the Act.\28\ --------------------------------------------------------------------------- \27\ Supra note 21. \28\ Id. --------------------------------------------------------------------------- Rule 17Ad-22(e)(4)(i) \29\ under the Act requires, inter alia, that a covered clearing agency establish, implement, maintain and enforce written policies and procedures reasonably designed to maintain sufficient financial resources to cover its credit exposure to each participant fully with a high degree of confidence. The collateral group Collateral Monitor coverage threshold has been set to support the requirement that DTC maintain sufficient financial resources to cover its credit exposures to each participant fully with a high degree of confidence by using the threshold, established as discussed above, of 99 percent, and therefore, DTC believes that the Framework is consistent with Rule 17Ad-22(e)(4)(i) under the Act.\30\ --------------------------------------------------------------------------- \29\ 17 CFR 240.17Ad-22(e)(4) (in particular, 17 CFR 240.17Ad- 22(e)(4)(i)). See supra note 3. \30\ Id. --------------------------------------------------------------------------- Rule 17Ad-22(e)(4)(vii) \31\ and (e)(7)(vii) \32\ under the Act requires, inter alia, that a covered clearing agency establish, implement, maintain and enforce written policies and procedures reasonably designed to perform Model Validations on its credit risk models and liquidity risk models not less than annually or more frequently as may be contemplated by the clearing agency's risk management framework established pursuant to Rule 17Ad-22(e)(3).\33\ As discussed above, the Framework would describe the Clearing Agencies' Model Risk validation process, which would be performed not less than annually on its credit risk models and liquidity risk models. Therefore, the Clearing Agencies believe that the Framework is consistent with Rule 17Ad-22(e)(4)(vii) \34\ and (e)(7)(vii) \35\ under the Act. --------------------------------------------------------------------------- \31\ 17 CFR 240.17Ad-22(e)(4) (in particular, 17 CFR 240.17Ad- 22(e)(4)(vii)). See supra note 3. \32\ 17 CFR 240.17Ad-22(e)(7) (in particular, 17 CFR 240.17Ad- 22(e)(7)(vii)). See supra note 3. \33\ 17 CFR 240.17Ad-22(e)(3). See supra note 3. \34\ Supra note 30. \35\ Supra note 31. --------------------------------------------------------------------------- Rule 17Ad-22(e)(6)(iii) under the Act \36\ requires that a covered clearing agency that is a central counterparty 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, inter alia, calculates margin sufficient to cover its potential future exposure \37\ to participants in the interval between the last margin collection and the close out of positions following a participant default. As discussed above, the CFR coverage thresholds have been set at 99 percent. Therefore, NSCC and FICC believe that the Framework is consistent with Rule 17Ad-22(e)(6)(iii) under the Act.\38\ --------------------------------------------------------------------------- \36\ 17 CFR 240.17Ad-22(e)(6) (in particular, 17 CFR 240.17Ad- 22(e)(6)(iii)). See supra note 3. \37\ 17 CFR 240.17Ad-22(a)(13) defines the term ``potential future exposure'' to mean the maximum exposure estimated to occur at a future point in time with an established single-tailed confidence level of at least 99 percent with respect to the estimated distribution of future exposure. \38\ Supra note 33. --------------------------------------------------------------------------- Rule 17Ad-22(e)(6)(vi) under the Act \39\ requires, inter alia, that a covered clearing agency that is a central counterparty establish, implement, maintain and enforce written policies and procedures reasonably designed to (a) conduct backtests of its margin model at least once each day using standard predetermined parameters and assumptions, (b) conduct a sensitivity analysis of its margin model and a review of its parameters and assumptions for backtesting on at least a monthly basis, and consider modifications to ensure the backtesting practices are appropriate for determining the adequacy of such [[Page 32035]] central counterparty's margin resources, (c) conduct a sensitivity analysis of its margin model and a review of its parameters and assumptions for backtesting more frequently than monthly during periods of time when the products cleared or markets served display high volatility or become less liquid, or when the size or concentration of positions held by such central counterparty's participants increases or decreases significantly and (d) report the results of its analyses under (b) and (c) to appropriate decision makers at the central counterparty, including but not limited to, its risk management committee or Board, and using these results to evaluate the adequacy of and adjust its margin methodology, model parameters, and any other relevant aspects of its credit risk management framework. As discussed above, the Framework would provide that (a) the CCPs would perform VaR and CFR backtesting on a daily basis, (b) as part of Model performance monitoring, on at least a monthly basis, sensitivity analysis would be performed by MVC on each of the margin Models of the CCPs, the key parameters and assumptions for backtesting would be reviewed, and modifications would be considered to ensure the applicable CCP's backtesting practices are appropriate for determining the adequacy of the applicable CCP's margin resources, (c) MVC would, in circumstances where the products cleared or the markets served by the applicable CCP display high volatility or become less liquid, or when the size or concentration of positions held by the applicable CCP's Members increases or decreases significantly, sensitivity analysis and review of key model parameters and assumptions would be conducted more frequently than monthly, and (d) each CCP would report the results of its analyses under (b) and (c) to key decision makers, including but not limited to the MRC and/or BRC, as discussed above. Therefore NSCC and FICC believe the Framework is consistent with Rule 17Ad- 22(e)(6)(vi) under the Act.\40\ --------------------------------------------------------------------------- \39\ 17 CFR 240.17Ad-22(e)(6) (in particular, 17 CFR 240.17Ad- 22(e)(6)(vi)). See supra note 3. \40\ Id. --------------------------------------------------------------------------- Rule 17Ad-22(e)(6)(vii) under the Act \41\ requires, inter alia, that a covered clearing agency that is a central counterparty establish, implement, maintain and enforce written policies and procedures reasonably designed to perform Model Validations on its margin system and related models not less than annually or more frequently as may be contemplated by the clearing agency's risk management framework established pursuant to Rule 17Ad-22(e)(3).\42\ As discussed above, the Framework would describe the Model Risk validation processes of the CCPs, which would be performed not less than annually on their margin system and related models. Therefore, NSCC and FICC believe that the Framework is consistent with Rule 17Ad-22(e)(6)(vii) under the Act.\43\ --------------------------------------------------------------------------- \41\ 17 CFR 240.17Ad-22(e)(6) (in particular, 17 CFR 240.17Ad- 22(e)(6)(vii)). See supra note 3. \42\ Supra note 32. \43\ Supra note 40. --------------------------------------------------------------------------- (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 model risk, and would not effectuate any changes to the Clearing Agencies' model 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-2017-008, SR-FICC-2017-014, or SR-NSCC-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- 008, SR-FICC-2017-014, or SR-NSCC-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-2017-008, SR-FICC-2017-014, or SR-NSCC-2017-008 and should be submitted on or before August 1, 2017. --------------------------------------------------------------------------- \44\ 17 CFR 200.30-3(a)(12). For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.\44\ Eduardo A. Aleman, Assistant Secretary. [FR Doc. 2017-14425 Filed 7-10-17; 8:45 am] BILLING CODE 8011-01-P
![32030 Federal Register / Vol. 82, No. 131 / Tuesday, July 11, 2017 / Notices
Additionally, the Exchange believes offered by competing market centers.25 All submissions should refer to File
that its proposed rounding of a buy Moreover, there is no barrier to other Number SR–IEX–2017–22. This file
(sell) Market Maker Peg Order in a Pilot exchanges adopting the same repricing number should be included on the
Security that would be priced at an functionality. subject line if email is used. To help the
increment other than $0.05 up (down) to With regard to intra-market Commission process and review your
the nearest permissible increment, as competition, the Exchange does not comments more efficiently, please use
well as to cancel such orders if the believe that the method of repricing only one method. The Commission will
rounding methodology results in a Market Maker Peg Orders will result in post all comments on the Commission’s
Market Maker Peg Order being priced to any burden on intra-market competition Internet Web site (http://www.sec.gov/
a price below $0.05, is consistent with that is not necessary or appropriate in rules/sro.shtml). Copies of the
the protection of investors and the furtherance of the purposes of the Act. submission, all subsequent
public interest in that it enables the To the contrary, as described in the amendments, all written statements
Exchange to comply with the Tick Pilot Statutory Basis section, the Exchange’s with respect to the proposed rule
Plan. Further, the Exchange believes it proposed method of repricing is change that are filed with the
is also consistent with the protection of designed in the interest of ensuring that Commission, and all written
investors and the public interest to market makers using Market Maker Peg communications relating to the
cancel or reject (as applicable) a Market Orders will be in the same position as proposed rule change between the
Maker Peg Order that would otherwise market makers updating their own Commission and any person, other than
be priced at a price exceeding its limit quotes, as well as other market those that may be withheld from the
price because such price would not be participants using displayed orders. public in accordance with the
consistent with the market maker’s provisions of 5 U.S.C. 552, will be
C. Self-Regulatory Organization’s
instructions. available for Web site viewing and
Statement on Comments on the
Lastly, the Exchange believes that the printing in the Commission’s Public
Proposed Rule Change Received From
proposed conforming rule change to Reference Room, 100 F Street NE.,
Members, Participants, or Others
Rule 11.510(c)(1) is consistent with the Washington, DC 20549, on official
protection of investors and the public Written comments were neither business days between the hours of
interest in that it is designed to provide solicited nor received. 10:00 a.m. and 3:00 p.m. Copies of the
clarity to market participants regarding III. Date of Effectiveness of the filing also will be available for
Market Maker Peg Order repricing Proposed Rule Change and Timing for inspection and copying at the principal
methodology, and make the Exchange’s Commission Action office of the Exchange. All comments
rule more clear and explicit. received will be posted without change;
Within 45 days of the date of the Commission does not edit personal
B. Self-Regulatory Organization’s publication of this notice in the Federal identifying information from
Statement on Burden on Competition Register or within such longer period (i) submissions. You should submit only
IEX does not believe that the as the Commission may designate up to information that you wish to make
proposed rule change will result in any 90 days of such date if it finds such available publicly. All submissions
burden on competition that is not longer period to be appropriate and should refer to File Number SR–IEX–
necessary or appropriate in furtherance publishes its reasons for so finding or 2017–22, and should be submitted on or
of the purposes of the Act. Specifically, (ii) as to which the Exchange consents, before August 1, 2017.
the Exchange believes that the proposal the Commission shall: (a) By order
approve or disapprove such proposed For the Commission, by the Division of
will enhance the Exchange’s Trading and Markets, pursuant to delegated
competitiveness by providing market rule change, or (b) institute proceedings authority.26
makers on IEX with a means to offer to determine whether the proposed rule
Eduardo A. Aleman,
liquidity even in circumstances where change should be disapproved.
Assistant Secretary.
they are not willing to quote at the IV. Solicitation of Comments [FR Doc. 2017–14429 Filed 7–10–17; 8:45 am]
inside market. Based on informal
Interested persons are invited to BILLING CODE 8011–01–P
discussion with market participants that
submit written data, views, and
serve as market maker on other trading
arguments concerning the foregoing,
centers, the Exchange believes that this SECURITIES AND EXCHANGE
including whether the proposed rule
functionality will be appealing to COMMISSION
change is consistent with the Act.
potential market makers, and therefore
Comments may be submitted by any of
will make it more likely that market [Release No. 34–81074; File Nos. SR–DTC–
the following methods: 2017–008; SR–FICC–2017–014; SR–NSCC–
participants will choose to become
registered market makers on the Electronic Comments 2017–008]
Exchange. This may, in turn, increase • Use the Commission’s Internet Self-Regulatory Organizations; The
the extent of liquidity available on IEX comment form (http://www.sec.gov/ Depository Trust Company; Fixed
and increase its ability to compete with rules/sro.shtml); or Income Clearing Corporation; National
other execution venues to attract orders • Send an email to rule-comments@ Securities Clearing Corporation;
that are seeking liquidity. The Exchange sec.gov. Please include File Number SR– Notice of Filings of Proposed Rule
further notes that the Market Maker Peg IEX–2017–22 on the subject line. Changes To Adopt the Clearing
Order, as proposed, is substantially
mstockstill on DSK30JT082PROD with NOTICES
Paper Comments Agency Model Risk Management
similar to equivalent order types offered
Framework
by other market centers, including Bats, • Send paper comments in triplicate
Nasdaq, and EDGX, and therefore will to Secretary, Securities and Exchange July 5, 2017.
not impair market participants or other Commission, 100 F Street NE., Pursuant to Section 19(b)(1) of the
market centers from competing, but Washington, DC 20549–1090. Securities Exchange Act of 1934, as
would in fact allow the Exchange to
compete with existing functionality 25 See supra note 9. 26 17 CFR 200.30–3(a)(12).
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![Federal Register / Vol. 82, No. 131 / Tuesday, July 11, 2017 / Notices 32031
amended (‘‘Act’’) 1 and Rule 19b–4 received on the proposed rule changes. risk management framework; and (ii)
thereunder,2 notice is hereby given that The text of these statements may be describe the Clearing Agencies’ model
on June 20, 2017, The Depository Trust examined at the places specified in Item risk reporting and escalation processes.
Company (‘‘DTC’’), Fixed Income IV below. The Clearing Agencies have The Clearing Agencies have adopted
Clearing Corporation (‘‘FICC’’), and prepared summaries, set forth in the following definition for the term
National Securities Clearing Corporation sections A, B, and C below, of the most ‘‘model’’:
(‘‘NSCC,’’ and together with FICC, the significant aspects of such statements. ‘‘[M]odel’’ refers to a quantitative method,
‘‘Central Counterparties’’ or ‘‘CCPs,’’ system, or approach that applies statistical,
(A) Clearing Agencies’ Statements of the
and together with DTC and FICC, the economic, financial, or mathematical
Purpose of, and Statutory Basis for, the
‘‘Clearing Agencies’’) filed with the theories, techniques, and assumptions to
Proposed Rule Changes process input data into quantitative
Securities and Exchange Commission
(‘‘Commission’’) the proposed rule 1. Purpose estimates. A ‘‘model’’ consists of three
changes as described in Items I, II and components: An information input
The Clearing Agencies are proposing component, which delivers assumptions and
III below, which Items have been to formalize the Framework in order to data to the model; a processing component,
prepared primarily by the Clearing facilitate compliance with Rule 17Ad– which transforms inputs into estimates; and
Agencies. The Commission is 22(e)(4)(i), (e)(4)(vii), (e)(6)(iii), a reporting component, which translates the
publishing this notice to solicit (e)(6)(vi), (e)(6)(vii), and (e)(7)(vii) under estimates into useful business information.
comments on the proposed rule changes the Act.5 The Framework would set The definition of ‘‘model’’ also covers
from interested persons. forth the model risk management quantitative approaches whose inputs are
partially or wholly qualitative or based on
I. Clearing Agencies’ Statements of the practices adopted by the Clearing
expert judgment, provided that the output is
Terms of Substance of the Proposed Agencies, which have been designed to quantitative in nature.8
Rule Changes assist the Clearing Agencies in
identifying, measuring, monitoring, and The term ‘‘Model Risk,’’ as defined in
The proposed rule changes would managing the risks associated with the the Framework, would refer to the
adopt the Clearing Agency Model Risk design, development, implementation, potential for adverse consequences from
Management Framework (‘‘Framework’’) use, and validation of quantitative decisions based on incorrect or misused
of Clearing Agencies, described below. models. The Framework would be Model outputs and reports,9 and
The Framework would be maintained owned and managed by the Clearing primarily occurring due to (i)
by the Clearing Agencies in compliance Agencies’ risk management area fundamental errors in the design/
with Rule 17Ad–22(e)(4)(i), (e)(4)(vii), generally responsible for model development of Models; (ii) incorrect
(e)(6)(iii), (e)(6)(vi), (e)(6)(vii), and validation (‘‘Model Validation’’) 6 and Model input or assumptions; (iii)
(e)(7)(vii), under the Act, as described control matters, the DTCC Model erroneous implementation of Models;
below.3 Validation and Control Group (‘‘MVC’’), (iv) unauthorized and/or incorrect
Although the Clearing Agencies on behalf of each Clearing Agency, with changes to Models; (v) changes in
would consider the Framework to be a review and oversight by senior market conditions rendering existing
rule, the proposed rule changes do not management and the Boards, as Models unfit for their intended purpose;
require any changes to the DTC Rules, described below.7 and (vi) misuse of or overreliance on
By-laws and Organizational Certificate The Framework would provide that (i) Models. The Framework is designed to
(‘‘DTC Rules’’), the Rulebook of the any change to the Framework must be minimize the Clearing Agencies’
Government Securities Division of FICC approved by the Boards or such potential for financial loss, inaccurate
(‘‘GSD Rules’’), the Clearing Rules of the committees as may be delegated financial or regulatory reporting,
Mortgage-Backed Securities Division of authority by the Boards from time to misaligned business strategies, and/or
FICC (‘‘MBSD Rules’’), or the Rules & time pursuant to their charters, (ii) MVC damage to their respective reputations
Procedures of NSCC (‘‘NSCC Rules’’), as shall review this Framework no less resulting from a failure to properly
the Framework would be a standalone frequently than annually, and (iii) any manage Model Risk.
document.4 and all changes to this Framework are Any model developed for use by any
II. Clearing Agencies’ Statements of the subject to regulatory review and of the Clearing Agencies and meeting
Purpose of, and Statutory Basis for, the approval. The Framework would (i) the above definition for the term
Proposed Rule Changes articulate the Clearing Agencies’ model ‘‘Model’’ would be subject to tracking
within each Clearing Agency’s Model
In their filings with the Commission, 5 Supra note 3. inventory (‘‘Model Inventory’’). The
the Clearing Agencies included 6 ‘‘Model Validation’’ has the meaning set forth in Framework would describe how a
statements concerning the purpose of Rule 17Ad–22(a)(9) under the Act, which provides Model Inventory survey is conducted at
and basis for the proposed rule changes that ‘‘Model validation means an evaluation of the
least annually across the Clearing
and discussed any comments they performance of each material risk management
model used by a covered clearing agency (and the Agencies to confirm the Model
1 15
related parameters and assumptions associated with Inventory is current. During this survey
U.S.C. 78s(b)(1). such models), including initial margin models,
2 17
period, all Clearing Agency business
CFR 240.19b–4. liquidity risk models, and models used to generate
3 17 CFR 240.17Ad–22(e)(4)(i), (e)(4)(vii), clearing or guaranty fund requirements, performed
areas and support functions that intend
(e)(6)(iii), (e)(6)(vi), (e)(6)(vii), and (e)(7)(vii). Each by a qualified person who is free from influence to develop models for Clearing Agency
of DTC, NSCC and FICC is a ‘‘covered clearing from the persons responsible for the development use would submit a list of their planned
agency’’ as defined in Rule 17Ad–22(a)(5), and must or operation of the models or policies being models to MVC in order for MVC to
mstockstill on DSK30JT082PROD with NOTICES
comply with subsection (e) of Rule 17Ad–22. validated.’’ See Rule 17Ad–22(a)(9), supra note 3.
References to Rule 17Ad–22(e)(6) and its 7 The parent company of the Clearing Agencies is
review and assess whether such
subparagraphs cited herein, and compliance The Depository Trust & Clearing Corporation
therewith, apply to FICC and NSCC only and do not (‘‘DTCC’’). DTCC operates on a shared services 8 See Supervisory Guidance on Model Risk
apply to DTC. model with respect to the Clearing Agencies. Most Management, SR Letter 11–7, dated April 4, 2011,
4 Capitalized terms not defined herein are defined corporate functions are established and managed on issued by the Board of Governors of the Federal
in the DTC Rules, GSD Rules, MBSD Rules, or an enterprise-wide basis pursuant to intercompany Reserve System and the Office of the Comptroller
NSCC Rules, as applicable, available at http:// agreements under which it is generally DTCC that of the Currency, at 3.
dtcc.com/legal/rules-and-procedures. provides a relevant service to a Clearing Agency. 9 Id.
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![Federal Register / Vol. 82, No. 131 / Tuesday, July 11, 2017 / Notices 32035
central counterparty’s margin resources, agency’s risk management framework Electronic Comments
(c) conduct a sensitivity analysis of its established pursuant to Rule 17Ad– • Use the Commission’s Internet
margin model and a review of its 22(e)(3).42 As discussed above, the comment form (http://www.sec.gov/
parameters and assumptions for Framework would describe the Model rules/sro.shtml); or
backtesting more frequently than Risk validation processes of the CCPs, • Send an email to rule-comments@
monthly during periods of time when which would be performed not less than sec.gov. Please include File Number SR–
the products cleared or markets served annually on their margin system and DTC–2017–008, SR–FICC–2017–014, or
display high volatility or become less related models. Therefore, NSCC and SR–NSCC–2017–008 on the subject line.
liquid, or when the size or FICC believe that the Framework is
concentration of positions held by such consistent with Rule 17Ad–22(e)(6)(vii) Paper Comments
central counterparty’s participants under the Act.43 • Send paper comments in triplicate
increases or decreases significantly and
(B) Clearing Agencies’ Statements on to Secretary, Securities and Exchange
(d) report the results of its analyses
Burden on Competition Commission, 100 F Street NE.,
under (b) and (c) to appropriate decision
Washington, DC 20549.
makers at the central counterparty,
None of the Clearing Agencies believe • All submissions should refer to File
including but not limited to, its risk
that the Framework would have any Number SR–DTC–2017–008, SR–FICC–
management committee or Board, and
impact, or impose any burden, on 2017–014, or SR–NSCC–2017–008. One
using these results to evaluate the
adequacy of and adjust its margin competition because the proposed rule of these file numbers should be
methodology, model parameters, and changes reflect the existing framework included on the subject line if email is
any other relevant aspects of its credit that the Clearing Agencies employ to used.
risk management framework. As manage model risk, and would not To help the Commission process and
discussed above, the Framework would effectuate any changes to the Clearing review your comments more efficiently,
provide that (a) the CCPs would perform Agencies’ model risk management tools please use only one method. The
VaR and CFR backtesting on a daily as they currently apply to their Commission will post all comments on
basis, (b) as part of Model performance respective Members or Participants. the Commission’s Internet Web site
monitoring, on at least a monthly basis, (http://www.sec.gov/rules/sro.shtml).
(C) Clearing Agencies’ Statements on
sensitivity analysis would be performed Copies of the submission, all subsequent
Comments on the Proposed Rule
by MVC on each of the margin Models amendments, all written statements
Changes Received From Members,
of the CCPs, the key parameters and with respect to the proposed rule
Participants, or Others
assumptions for backtesting would be changes that are filed with the
reviewed, and modifications would be The Clearing Agencies have not Commission, and all written
considered to ensure the applicable solicited or received any written communications relating to the
CCP’s backtesting practices are comments relating to this proposal. The proposed rule changes between the
appropriate for determining the Clearing Agencies will notify the Commission and any person, other than
adequacy of the applicable CCP’s Commission of any written comments those that may be withheld from the
margin resources, (c) MVC would, in received by the Clearing Agencies. public in accordance with the
circumstances where the products provisions of 5 U.S.C. 552, will be
cleared or the markets served by the III. Date of Effectiveness of the available for Web site viewing and
applicable CCP display high volatility or Proposed Rule Changes, and Timing for printing in the Commission’s Public
become less liquid, or when the size or Commission Action Reference Room, 100 F Street NE.,
concentration of positions held by the Washington, DC 20549 on official
applicable CCP’s Members increases or Within 45 days of the date of business days between the hours of
decreases significantly, sensitivity publication of this notice in the Federal 10:00 a.m. and 3:00 p.m. Copies of the
analysis and review of key model Register or within such longer period filing also will be available for
parameters and assumptions would be up to 90 days (i) as the Commission may inspection and copying at the principal
conducted more frequently than designate if it finds such longer period office of the Clearing Agencies and on
monthly, and (d) each CCP would report to be appropriate and publishes its DTCC’s Web site (http://dtcc.com/legal/
the results of its analyses under (b) and reasons for so finding or (ii) as to which sec-rule-filings.aspx). All comments
(c) to key decision makers, including the clearing agency consents, the received will be posted without change;
but not limited to the MRC and/or BRC, Commission will: the Commission does not edit personal
as discussed above. Therefore NSCC and (A) By order approve or disapprove identifying information from
FICC believe the Framework is such proposed rule changes, or submissions. You should submit only
consistent with Rule 17Ad–22(e)(6)(vi) (B) institute proceedings to determine information that you wish to make
under the Act.40 whether the proposed rule changes available publicly. All submissions
Rule 17Ad–22(e)(6)(vii) under the should be disapproved. should refer to File Number SR–DTC–
Act 41 requires, inter alia, that a covered 2017–008, SR–FICC–2017–014, or SR–
clearing agency that is a central IV. Solicitation of Comments NSCC–2017–008 and should be
counterparty establish, implement, submitted on or before August 1, 2017.
maintain and enforce written policies Interested persons are invited to
submit written data, views and For the Commission, by the Division of
and procedures reasonably designed to Trading and Markets, pursuant to delegated
arguments concerning the foregoing,
mstockstill on DSK30JT082PROD with NOTICES
perform Model Validations on its authority.44
margin system and related models not including whether the proposed rule
changes are consistent with the Act. Eduardo A. Aleman,
less than annually or more frequently as Assistant Secretary.
may be contemplated by the clearing Comments may be submitted by any of
the following methods: [FR Doc. 2017–14425 Filed 7–10–17; 8:45 am]
40 Id. BILLING CODE 8011–01–P
41 17 42 Supra note 32.
CFR 240.17Ad–22(e)(6) (in particular, 17
CFR 240.17Ad–22(e)(6)(vii)). See supra note 3. 43 Supra note 40. 44 17 CFR 200.30–3(a)(12).
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Document Created: 2018-11-14 10:21:35
Document Modified: 2018-11-14 10:21:35
| Category | Regulatory Information | |
| Collection | Federal Register | |
| sudoc Class | AE 2.7: GS 4.107: AE 2.106: | |
| Publisher | Office of the Federal Register, National Archives and Records Administration | |
| Section | Notices | |
| FR Citation | 82 FR 32030 |
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