[Federal Register Volume 85, Number 238 (Thursday, December 10, 2020)]
[Notices]
[Pages 79541-79548]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2020-27087]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-90568; File No. SR-FICC-2020-017]


Self-Regulatory Organizations; Fixed Income Clearing Corporation; 
Notice of Filing of Proposed Rule Change To Modify the Calculation of 
the MBSD VaR Floor To Incorporate a Minimum Margin Amount

December 4, 2020.
    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 November 20, 2020, Fixed Income Clearing Corporation (``FICC'') 
filed with the Securities and Exchange Commission (``Commission'') the 
proposed rule change as described in Items I, II and III below, which 
Items have been prepared by the clearing agency.\3\ The Commission is 
publishing this notice to solicit comments on the proposed rule change 
from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ On November 27, 2020, FICC filed this proposed rule change 
as an advance notice (SR-FICC-2020-804) with the Commission pursuant 
to Section 806(e)(1) of Title VIII of the Dodd-Frank Wall Street 
Reform and Consumer Protection Act entitled the Payment, Clearing, 
and Settlement Supervision Act of 2010, 12 U.S.C. 5465(e)(1), and 
Rule 19b-4(n)(1)(i) under the Act, 17 CFR 240.19b-4(n)(1)(i). A copy 
of the advance notice is available at http://www.dtcc.com/legal/sec-rule-filings.aspx.
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I. Clearing Agency's Statement of the Terms of Substance of the 
Proposed Rule Change

    The proposed rule change of Fixed Income Clearing Corporation 
(``FICC'') is attached hereto as Exhibit 5 and consists of a proposal 
to modify the calculation of the VaR Floor (as defined below) and the 
corresponding description in the FICC Mortgage-Backed Securities 
Division (``MBSD'') Clearing Rules (``MBSD Rules'') \4\ to incorporate 
a ``Minimum Margin Amount'' as described in greater detail below.
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    \4\ Capitalized terms not defined herein are defined in the MBSD 
Rules, available at http://www.dtcc.com/~/media/Files/Downloads/
legal/rules/ficc_mbsd_rules.pdf.
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    The proposed rule change would necessitate changes to the 
Methodology and Model Operations Document--MBSD Quantitative Risk Model 
(the ``QRM Methodology''), which is attached hereto as Exhibit 5.\5\ 
FICC is requesting confidential treatment of this document and has 
filed it separately with the Secretary of the Commission.\6\
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    \5\ Because FICC requested confidential treatment, the QRM 
Methodology was filed separately with the Secretary of the 
Commission as part of proposed rule change SR-FICC-2016-007 (the 
``VaR Filing''). See Securities Exchange Act Release No. 79868 
(January 24, 2017), 82 FR 8780 (January 30, 2017) (SR-FICC-2016-007) 
(``VaR Filing Approval Order''). FICC also filed the VaR Filing 
proposal as an advance notice pursuant to Section 806(e)(1) of the 
Payment, Clearing, and Settlement Supervision Act of 2010 (12 U.S.C. 
5465(e)(1)) and Rule 19b-4(n)(1)(i) under the Act (17 CFR 240.19b-
4(n)(1)(i)), with respect to which the Commission issued a Notice of 
No Objection. See Securities Exchange Act Release No. 79843 (January 
19, 2017), 82 FR 8555 (January 26, 2017) (SR-FICC-2016-801). The QRM 
Methodology has been amended following the VaR Filing Approval 
Order. See Securities Exchange Act Release Nos. 85944 (May 24, 
2019), 84 FR 25315 (May 31, 2019) (SR-FICC-2019-001) and 90182 
(October 14, 2020) 85 FR 66630 (October 20, 2020) (SR-FICC-2020-
009).
    \6\ 17 CFR 240.24b-2.
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II. Clearing Agency's Statement of the Purpose of, and Statutory Basis 
for, the Proposed Rule Change

    In its filing with the Commission, the clearing agency included 
statements concerning the purpose of and basis for the proposed rule 
change and discussed any comments it received on the proposed rule 
change. The text of these statements may be examined at the places 
specified in Item IV below. The clearing agency has prepared summaries, 
set forth in sections A, B, and C below, of the most significant 
aspects of such statements.
(A) Clearing Agency's Statement of the Purpose of, and Statutory Basis 
for, the Proposed Rule Change
1. Purpose
    The purpose of the proposed rule change is to modify the 
calculation of the VaR Floor and the corresponding description in the 
MBSD Rules to incorporate a Minimum Margin Amount.
    The proposed changes would necessitate changes to the QRM

[[Page 79542]]

Methodology. The proposed changes are described in detail below.
(i) Overview of The Required Fund Deposit and Clearing Fund Calculation
    A key tool that FICC uses to manage market risk is the daily 
calculation and collection of Required Fund Deposits from Clearing 
Members. The Required Fund Deposit serves as each Clearing Member's 
margin. The aggregate of all Clearing Members' Required Fund Deposits 
constitutes the Clearing Fund of MBSD, which FICC would access should a 
defaulting Clearing Member's own Required Fund Deposit be insufficient 
to satisfy losses to FICC caused by the liquidation of that Clearing 
Member's portfolio.
    The objective of a Clearing Member's Required Fund Deposit is to 
mitigate potential losses to FICC associated with liquidation of such 
Clearing Member's portfolio in the event that FICC ceases to act for 
such Clearing Member (hereinafter referred to as a ``default''). 
Pursuant to the MBSD Rules, each Clearing Member's Required Fund 
Deposit amount currently consists of the greater of (i) The Minimum 
Charge or (ii) the sum of the following components: the VaR Charge, the 
Deterministic Risk Component, a special charge (to the extent 
determined to be appropriate), and, if applicable, the Backtesting 
Charge, Holiday Charge and Intraday Mark-to-Market Charge.\7\ Of these 
components, the VaR Charge typically comprises the largest portion of a 
Clearing Member's Required Fund Deposit amount.
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    \7\ MBSD Rule 4 Section 2, supra, note 4.
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    The VaR Charge is calculated using a risk-based margin methodology 
that is intended to capture the market price risk associated with the 
securities in a Clearing Member's portfolio. The VaR Charge provides an 
estimate of the projected liquidation losses at a 99% confidence level. 
The methodology is designed to project the potential gains or losses 
that could occur in connection with the liquidation of a defaulting 
Clearing Member's portfolio, assuming that a portfolio would take three 
days to hedge or liquidate in normal market conditions. The projected 
liquidation gains or losses are used to determine the amount of the VaR 
Charge, which is calculated to cover projected liquidation losses at 
99% confidence level.\8\
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    \8\ Unregistered Investment Pool Clearing Members are subject to 
a VaR Charge with a minimum targeted confidence level assumption of 
99.5 percent. See MBSD Rule 4, Section 2(c), supra note 4.
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    On January 24, 2017, the Commission approved FICC's VaR Filing to 
make certain enhancements to the MBSD value-at-risk (``VaR'') margin 
calculation methodology including the VaR Charge.\9\ The VaR Filing 
amended the definition of VaR Charge to, among other things, 
incorporate the VaR Floor.\10\ The VaR Floor is a calculation using a 
percentage of gross notional value of a Clearing Member's portfolio and 
is used as an alternative to the VaR Charge amount calculated by the 
VaR model for Clearing Members' portfolios where the VaR Floor 
calculation is greater than the VaR model-based calculation. The VaR 
Floor currently addresses the risk that the VaR model may calculate too 
low a VaR Charge for certain portfolios where the VaR model applies 
substantial risk offsets among long and short positions in different 
classes of mortgage-backed securities that have a high degree of 
historical price correlation. FICC applies the VaR Floor at the 
Clearing Member portfolio level. The VaR Floor is calculated by 
multiplying the market value of a Clearing Member's gross unsettled 
positions by a designated percentage that is no less than 0.05% and no 
greater than 0.30%.\11\ FICC informs Clearing Members of the applicable 
percentage utilized by the VaR Floor by an Important Notice issued no 
later than 10 Business Days prior to the implementation of such 
percentage.\12\ The percentage currently designated by FICC is 
0.10%.\13\
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    \9\ See VaR Filing Approval Order, supra note 5.
    \10\ The term ``VaR Floor'' is defined within the definition of 
VaR Charge. See MBSD Rule 1, supra note 4.
    \11\ The VaR Floor calculation and percentages are described 
within the definition of VaR Charge. See MBSD Rule 1, supra note 4.
    \12\ See definition of VaR Charge, MBSD Rule 1, supra note 4.
    \13\ See FICC-MBSD Important Notice MBS761-19, dated November 5, 
2019 (notifying Clearing Members that the designated VaR Floor 
percentage is 0.10%).
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    FICC's VaR model did not respond effectively to the recent levels 
of market volatility and economic uncertainty, and the VaR Charge 
amounts that were calculated using the profit and loss scenarios 
generated by FICC's VaR model did not achieve a 99% confidence level 
for the period beginning in March 2020 through the beginning of April 
2020. FICC's VaR model calculates the risk profile of each Clearing 
Member's portfolio by applying certain representative risk factors to 
measure the degree of responsiveness of a portfolio's value to the 
changes of these risk factors. COVID-19 market volatility, borrower 
protection programs, home price outlook, and the Federal Reserve Bank 
of New York (``FRBNY'') authority to buy and sell mortgage-backed 
securities have created uncertainty in forward rates, origination/
refinance pipelines, voluntary/involuntary mortgage prepayments, and 
supply/demand dynamics that are not reflected in the FICC VaR 
historical data set and the FICC VaR model incorporates this historical 
data to calibrate the volatilities of the risk factors and the 
correlations between risk factors. During this period, the market 
uncertainty and FRBNY purchases led to market price changes that 
exceeded the VaR model's projections which yielded insufficient VaR 
Charges--particularly for higher coupon TBAs \14\ where current TBA 
market prices may reflect higher mortgage prepayment risk than implied 
by the VaR model's historical risk factor data in the lookback period.
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    \14\ The vast majority of agency mortgage-backed securities 
trading occurs in a forward market, on a ``to-be-announced'' or 
``TBA'' basis. In a TBA trade, the seller of MBS agrees on a sale 
price, but does not specify which particular securities will be 
delivered to the buyer on settlement day. Instead, only a few basic 
characteristics of the securities are agreed upon, such as the 
mortgage-backed security program, maturity, coupon rate and the face 
value of the bonds to be delivered. This TBA trading convention 
enables a heterogeneous market consisting of thousands of different 
mortgage-backed security pools backed by millions of individual 
mortgages to be reduced--for trading purposes--to a series of liquid 
contracts.
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    In addition, the VaR Floor did not effectively address the risk 
that the VaR model calculated too low a VaR Charge for all portfolios 
during the recent market volatility and economic uncertainty. The VaR 
Floor is currently designed specifically to account for substantial 
risk offsets among long and short positions in different classes of 
mortgage-backed securities that have a high degree of historical price 
correlation. The recent market volatility and economic uncertainty 
resulted in a variance between historical price changes and observed 
market price changes resulting in TBA price changes significantly 
exceeding those implied by the VaR model risk factors as indicated by 
backtesting data.
    FICC employs daily backtesting to determine the adequacy of each 
Clearing Member's Required Fund Deposit.\15\ FICC compares the Required 
Fund Deposit for each Clearing Member with the simulated liquidation 
gains/losses using the actual positions in the Clearing Member's 
portfolio, and the actual historical security returns. During the 
recent market volatility and economic uncertainty, the VaR Charges and 
the Required Fund Deposits yielded backtesting deficiencies beyond 
FICC's

[[Page 79543]]

risk tolerance.\16\ FICC proposes to introduce a Minimum Margin Amount 
into the VaR Floor to enhance the MBSD VaR model performance and 
improve the backtesting coverage during periods of heightened market 
volatility and economic uncertainty. FICC believes that this proposal 
will increase the margin back-testing performance during periods of 
heightened market volatility by maintaining a VaR Charge that is 
appropriately calibrated to the current market price volatility.
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    \15\ For backtesting comparisons, FICC uses the Required Fund 
Deposit amount, without regard to the actual collateral posted by 
the Clearing Member.
    \16\ MBSD's monthly backtesting coverage ratios for Required 
Fund Deposit was 86.6% in March 2020 and 94.2% in April 2020.
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(ii) Proposed Rule Change to Incorporate the Minimum Margin Amount in 
the VaR Floor
    FICC is proposing to introduce a new calculation called the 
``Minimum Margin Amount'' to complement the existing VaR Floor 
calculation in the MBSD Rules. The Minimum Margin Amount would enhance 
backtesting coverage when there are potential VaR model performance 
challenges particularly when TBA price changes significantly exceed 
those implied by the VaR model risk factors as observed during March 
and April 2020.
    The Minimum Margin Amount would be defined in the MBSD Rules as a 
minimum volatility calculation for specified net unsettled positions, 
calculated using the historical market price changes of such benchmark 
TBA securities determined by FICC. The definition would state that the 
Minimum Margin Amount would cover such range of historical market price 
moves and parameters as FICC from time to time deems appropriate using 
a look-back period of no less than one year and no more than three 
years.
    FICC would set the range of historical market price moves and 
parameters from time to time in accordance with FICC's model risk 
management practices and governance set forth in the Clearing Agency 
Model Risk Management Framework (``Model Risk Management 
Framework'').\17\ Under the proposed changes to the QRM Methodology, 
the Minimum Margin Amount would be computed through a dynamic haircut 
method that is based on observed TBA price moves that would provide a 
more reliable estimate for the portfolio risk level when current market 
conditions deviate from historical observations. The Minimum Margin 
Amount would also improve the responsiveness of the VaR model to a 
volatile market because it would have a shorter look back period from 
the VaR model.
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    \17\ See Securities Exchange Act Release Nos. 81485 (August 25, 
2017), 82 FR 41433 (August 31, 2017) (SR-DTC-2017-008; SR-FICC-2017-
014; SR-NSCC-2017-008); 84458 (October 19, 2018), 83 FR 53925 
(October 25, 2018) (SR-DTC-2018-009; SR-FICC-2018-010; SR-NSCC-2018-
009) and 88911 (May 20, 2020), 85 FR 31828 (May 27, 2020) (SR-DTC-
2020-008; SR-FICC-2020-004; SR-NSCC-2020-008) (``Model Risk 
Management Framework Filings''). The Model Risk Management Framework 
sets forth the model risk management practices adopted by FICC, 
National Securities Clearing Corporation, and The Depository Trust 
Company. The Model Risk Management Framework is designed to help 
identify, measure, monitor, and manage the risks associated with the 
design, development, implementation, use, and validation of 
quantitative models. The Model Risk Management Framework describes 
(i) governance of the Model Risk Management Framework; (ii) key 
terms; (iii) model inventory procedures; (iv) model validation 
procedures; (v) model approval process; and (vi) model performance 
procedures.
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    The MBSD Rules currently define the VaR Floor as an amount 
designated by FICC that is determined by multiplying the sum of the 
absolute values of a Clearing Member's Long Positions and Short 
Positions, at market value, by a percentage designated by FICC that is 
no less than 0.05% and no greater than 0.30%.\18\ FICC is proposing to 
revise the definition of the VaR Floor to incorporate the Minimum 
Margin Amount such that the VaR Floor would be the greater of (i) the 
VaR Floor Percentage Amount and (ii) the Minimum Margin Amount.
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    \18\ See definition of VaR Charge, MBSD Rule 1, supra note 4.
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    The ``VaR Floor Percentage Amount'' would be an amount derived 
using the current VaR Floor percentage calculation in the MBSD Rules: 
an amount designated by FICC that is determined by multiplying the sum 
of the absolute values of a Clearing Member's Long Positions and Short 
Positions, at market value, by a percentage designated by FICC that is 
no less than 0.05% and no greater than 0.30%. As with the existing VaR 
Floor percentage, FICC would determine the percentage within this range 
to be applied based on factors including but not limited to a review 
performed at least annually of the impact of the VaR Floor parameter at 
different levels within the range to the backtesting performance and to 
Clearing Members' margin charges. The VaR Floor percentage currently in 
place is 0.10%.
    Likewise, as with the existing VaR Floor percentage, FICC would 
inform Clearing Members of the applicable percentage used in the VaR 
Floor Percentage Amount by Important Notice issued no later than 10 
Business Days prior to implementation of such percentage. This rule 
change is not proposing to change the VaR Floor percentage or the 
manner in which this component is calculated.
    The proposed Minimum Margin Amount would modify the VaR Floor to 
also cover circumstances where the market price volatility implied by 
the current VaR Charge calculation and the VaR Floor Percentage Amount 
is lower than market price volatility from corresponding price changes 
of the proposed TBA securities benchmarks observed during the lookback 
period. The proposed TBA securities benchmarks to be used in to 
calculate the Minimum Margin Amount in the QRM Methodology would be 
Federal National Mortgage Association (``Fannie Mae'') and Federal Home 
Loan Mortgage Corporation (``Freddie Mac'') conventional 30-year 
mortgage-backed securities (``CONV30''), Government National Mortgage 
Association (``Ginnie Mae'') 30-year mortgage-backed securities 
(``GNMA30''), Fannie Mae and Freddie Mac conventional 15-year mortgage-
backed securities (``CONV15''), and Ginnie Mae 15-year mortgage-backed 
securities (``GNMA15''). These benchmarks were selected because they 
represent the majority of the trading volumes in the market.\19\ This 
proposal would allow offsetting between short and long positions within 
TBA securities benchmarks given that the TBAs aggregated in each 
benchmark exhibit similar risk profiles and can be netted together to 
calculate the Minimum Margin Amount that will cover the observed market 
price changes for each portfolio.
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    \19\ FICC plans to map 10-year and 20-year TBA to the 
corresponding 15-year TBA security benchmark. As of August 31, 2020, 
20-year TBAs account for less than 0.5%, and 10-year TBAs account 
for less than 0.1%, of the positions in MBSD clearing portfolios. In 
the QRM Methodology, these TBAs are not selected as separate TBA 
security benchmarks due to the limited trading volumes in the 
market. FICC will continue to monitor the position exposures in MBSD 
and determine if a modification to the QRM Methodology may be 
required.
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    FICC is proposing to modify the QRM Methodology to specify that the 
Minimum Margin Amount would be calculated per Clearing Member portfolio 
as follows: (i) risk factors would be calculated using historical 
market prices of benchmark TBA securities and (ii) each Clearing 
Member's portfolio exposure would be calculated on a net position 
across all products and for each securitization program (i.e., CONV30, 
GNMA30, CONV15 and GNMA15). The Minimum Margin Amount would be 
calculated by multiplying a ``base risk factor'' (described below) by 
the absolute value of the Clearing Member's net position across all 
products, plus the sum of each risk factor spread to the base risk 
factor

[[Page 79544]]

multiplied by the absolute value of its corresponding position.
    Pursuant to the QRM Methodology, FICC calculates an outright risk 
factor for GNMA30 and CONV30. The base risk factor for a portfolio for 
the Minimum Margin Amount would be based on whether GNMA30 or CONV30 
constitutes the larger absolute net market value in each Clearing 
Member's portfolio. If GNMA30 constitute the larger absolute net market 
value in the portfolio, the base risk factor would be equal to the 
outright risk factor for GNMA30. If CONV30 constitute the larger 
absolute new market value in the portfolio, the base risk factor would 
be equal to the outright risk factor for the CONV30.\20\ GNMA30 and 
CONV30 are used as the baseline programs for determining the base risk 
factors because those programs constitute the majority part of the TBA 
market and the majority of positions in MBSD portfolios.
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    \20\ To illustrate the Minimum Margin Amount calculation, 
consider an example where a Clearing Member has a portfolio with a 
net long position across all products of $2 billion and CONV30 
constitutes the larger absolute net market value in its portfolio as 
between GNMA30 and CONV30. Assume that the outright risk factor for 
CONV30 is 0.0096. Further assume the Clearing Member has a net short 
position of $30 million in CONV15, and the corresponding risk factor 
spread to the base risk factor is 0.006; a net short position of 
$500 million in GNMA30, and the corresponding risk factor spread is 
0.005; and a net long position of $120 million in GNMA15, and the 
corresponding risk factor spread is 0.007. In order to generate the 
Minimum Margin Amount, FICC would multiply the base risk factor by 
the absolute value of the Clearing Member's net position across all 
products, plus the sum of each risk factor spread of the subsequent 
products multiplied by absolute value of the position for the 
respective product (i.e., ([base risk factor]*ABS[portfolio net 
position]) + ([CONV15 spread risk factor] * ABS[CONV15 net 
position]) + ([GNMA30 spread risk factor] * ABS[GNMA30 net 
position]) + ([GNMA15 Spread Risk Factor] * ABS[GNMA15 net 
position])). The resulting Minimum Margin Amount would be $22.72 
million.
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    The proposed benchmark TBA securities, historical market price 
moves and parameters to be used to calculate the Minimum Margin Amount 
would be determined by FICC from time to time in accordance with FICC's 
model risk management practices and governance set forth in the 
Clearing Agency Model Risk Management Framework.\21\
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    \21\ See Model Risk Management Framework, supra note 17.
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    FICC is proposing to introduce the Minimum Margin Amount to 
complement the VaR Floor during market conditions when the TBA prices 
are driven by factors outside of those implied by the VaR model. The 
Minimum Margin Amount would use observable TBA prices and would be 
calculated with a shorter lookback period than the VaR model so it 
would be more responsive to current market conditions. This proposal 
provides a more transparent and market price sensitive approach than 
alternatives, such as a VaR model parameter adjustment and VaR model 
add-on, would provide to Clearing Members.\22\
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    \22\ A VaR model parameter adjustment or a VaR model add-on 
would be implemented by estimating how much the VaR model should be 
modified to correspond to the current market price volatility. A 
parameter adjustment would be a modification to one or more VaR 
model risk factors while an add-on would be a percentage adjustment 
to the calculated VaR.
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    The lookback period of the Minimum Margin Amount is intended to be 
shorter than the lookback period used for the VaR model, which is 10 
years, plus, to the extent applicable, one stressed period.\23\ The 
lookback period of the Minimum Margin Amount would be between one to 
three years. Consistent with the VaR methodology outlined in the QRM 
Methodology and pursuant to the model performance monitoring required 
under the Model Risk Management Framework,\24\ the lookback period 
would be analyzed to evaluate its sensitivity and impact to the model 
performance under four distinctive market regimes, epitomized by recent 
observations: (i) Calm markets where the VaR coverage is above 99% 
(e.g. 2018); (ii) moderately volatile markets or external mortgage 
market events (e.g. summer 2013; summer 2019); (iii) at the beginning 
of extreme market volatility (e.g., 2007; COVID-19 in March), and (iv) 
post extreme market stress and mean-reverting to `normal' market 
conditions. The lookback parameter in general affects (i) whether and 
how the floor will be invoked; (ii) the peak level of margin increase 
or the degree of procyclicality; and (iii) how quickly the margin will 
fall back to pre-stress levels. The lookback parameter update is 
intended to be an infrequent event and would typically happen only when 
there is a market regime change. The decision to update the lookback 
parameter would be based on the above-mentioned sensitivity analysis 
with considerations to the impacts to both the VaR Charges and the 
backtesting performance. The shorter lookback would more accurately 
reflect recent market conditions and would provide more responsiveness 
to market condition changes. The initial default lookback period for 
the Minimum Margin Amount calculation would be two years but may be 
adjusted as set forth above in accordance with FICC's model risk 
management practices and governance set forth in the Model Risk 
Management Framework.\25\
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    \23\ FICC maintains the ability to include an additional period 
of historically observed stressed market conditions to a 10-year 
look-back period if FICC observes that (1) the results of the model 
performance monitoring are not within FICC's 99th percentile 
confidence level or (2) the 10-year look-back period does not 
contain sufficient stressed market conditions.
    \24\ The Model Risk Management Framework provides that all 
models undergo ongoing model performance monitoring and backtesting 
which 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 VaR 
model's predictive power. See Model Risk Management Framework 
Filings, supra note 17.
    \25\ See Model Risk Management Framework, supra note 17.
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    The Model Risk Management Framework would also require FICC to 
conduct model performance reviews of the Minimum Margin Amount 
methodology.\26\ Specifically, FICC would monitor each Clearing 
Member's Required Fund Deposit and the aggregate Clearing Fund 
requirements versus the requirements calculated by the Minimum Margin 
Amount. In order to apply the risk management principles and model 
performance monitoring required under the Model Risk Management 
Framework, FICC's current model risk management practices would provide 
for a review of the robustness of the Required Fund Deposit inclusive 
of the Minimum Margin Amount by comparing the results versus the three-
day profit and loss of each Clearing Member's margin portfolio based on 
actual market price moves. If the backtesting results of Required Fund 
Deposit inclusive of the Minimum Margin Amount did not meet FICC's 99% 
confidence level, FICC could consider adjustments to the Minimum Margin 
Amount, including changing the look-back period (as discussed above) 
and/or applying a historical stressed period to the Minimum Margin 
Amount calibration, as appropriate. Any adjustment to the Minimum 
Margin Amount calibration would be subject to the model risk management 
practices and governance process set forth in the Model Risk Management 
Framework.\27\
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    \26\ See note 24.
    \27\ See Model Risk Management Framework, supra note 17.
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A. Proposed MBSD Rule Changes
    In connection with incorporating the Minimum Margin Amount, FICC 
would modify the MBSD Rules to:
     Add a definition of ``Minimum Margin Amount'' and define 
it as a minimum volatility calculation for specified net unsettled 
positions of a Clearing Member, calculated using the historical market 
price changes of such benchmark TBA securities determined

[[Page 79545]]

by FICC. The definition would specify that the Minimum Margin Amount 
shall cover such range of historical market price moves and parameters 
as the Corporation from time to time deems appropriate using a look-
back period of no less than one year and no more than three years;
     add a definition of ``VaR Floor Percentage Amount'' which 
would be defined substantially the same as the current calculation for 
the VaR Floor percentage with non-substantive modifications to reflect 
that the calculated amount is a separate defined term; and
     move the defined term VaR Floor out of the definition of 
VaR Charge and define it as the greater of (i) the VaR Floor Percentage 
Amount and (ii) the Minimum Margin Amount.

B. Proposed QRM Methodology Changes

    In connection with incorporating the Minimum Margin Amount, FICC 
would modify the QRM Methodology to:
     Describe how the Minimum Margin Amount, as defined in the 
MBSD Rules, would be calculated, including
     establishing CONV30, GNMA30, CONV15 and GNMA15 as proposed 
TBA securities benchmarks for purposes of the calculation and 
calculating risk factors using historical market prices of such 
benchmark TBA securities;
     using a dynamic haircut method that allows offsetting 
between short and long positions within a program and among different 
programs; and
     multiplying a ``base risk factor'' (based on whether 
GNMA30 or CONV30 constitutes the larger absolute net market value in 
each Clearing Member's portfolio) by the absolute value of the Clearing 
Member's net position across all products, plus the sum of each risk 
factor spread to the base risk factor multiplied by the absolute value 
of its corresponding position;
     describe the developmental evidence and impacts to 
backtesting performance and margin charges relating to Minimum Margin 
Amount; and
     make certain technical changes to the QRM Methodology to 
re-number sections and tables, and update certain section titles as 
necessary, to add a new section that describes the proposed Minimum 
Margin Amount and the selection of benchmarks.
C. Impact Studies
    FICC performed an impact study on Clearing Members' portfolios for 
the period beginning February 3, 2020 through June 30, 2020 (``Impact 
Study Period'). If the proposed rule changes had been in place during 
the Impact Study Period compared to the existing MBSD Rules:
     Aggregate average daily aggregate VaR Charges would have 
increased by approximately $2.2 billion or 42%; and
     aggregate average daily Backtesting Charges would have 
decreased by approximately $450 million or 53%.
    Impact studies also indicated that if the proposed rule changes had 
been in place, overall margin backtesting coverage (based on 12-month 
trailing backtesting) would have increased from approximately 99.3% to 
99.6% through January 31, 2020 and approximately 97.3% to 98.5% through 
June 30, 2020.

D. Impacts to Clearing Members Over the Impact Study Period

    On average, at the Clearing Member level, the Minimum Margin Amount 
would have increased the VaR Charge by $27 million over the Impact 
Study Period. The largest percent increase in VaR Charge for any 
Clearing Member would have been 146%, or $22 million. The largest 
dollar increase for any Clearing Member would have been $333 million, 
or 37% increase in the VaR Charge. The top 10 Clearing Members based on 
the size of their VaR Charges would have contributed 69.3% of the 
aggregate VaR Charges during the Impact Study Period had the Minimum 
Margin Amount been in place. The same Clearing Members would have 
contributed to 54% of the increase resulting from the Minimum Margin 
Amount during the Impact Study Period.
    The portfolios that would have observed large percent increases 
were largely made up with concentrations in higher coupon TBAs and GNMA 
positions. However, no Clearing Members would have triggered the Excess 
Capital Premium charge \28\ due to the increase in Required Fund 
Deposits resulting from the Minimum Margin Amount during the Impact 
Study Period.
---------------------------------------------------------------------------

    \28\ Excess Capital Premium is assessed when the Clearing 
Member's VaR Charge exceeds the Excess Capital it maintains.
---------------------------------------------------------------------------

(iii) Implementation Timeframe
    FICC would implement the proposed changes no later than 20 Business 
Days after the later of the approval of the proposed rule change and no 
objection to the related advance notice \29\ by the Commission. FICC 
would announce the effective date of the proposed changes by Important 
Notice posted to its website.
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    \29\ Supra note 3.
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2. Statutory Basis
    FICC believes that this proposal is consistent with the 
requirements of the Act and the rules and regulations thereunder 
applicable to a registered clearing agency. Specifically, FICC believes 
that this proposal is consistent with Section 17A(b)(3)(F) of the Act 
\30\ and Rules 17Ad-22(e)(4)(i) and (e)(6)(i), each promulgated under 
the Act,\31\ for the reasons described below.
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    \30\ 15 U.S.C. 78q-1(b)(3)(F).
    \31\ 17 CFR 240.17Ad-22(e)(4), (e)(6) and (e)(23)(ii).
---------------------------------------------------------------------------

    Section 17A(b)(3)(F) of the Act requires, in part, that the MBSD 
Rules be designed to assure the safeguarding of securities and funds 
which are in the custody or control of the clearing agency or for which 
it is responsible.\32\ FICC believes the proposed changes are designed 
to assure the safeguarding of securities and funds which are in its 
custody or control or for which it is responsible because they are 
designed to enable FICC to better limit its exposure to Clearing 
Members in the event of a Clearing Member default, as described below.
---------------------------------------------------------------------------

    \32\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------

    The Required Fund Deposits are made up of risk-based components (as 
margin) that are calculated and assessed daily to limit FICC's credit 
exposures to Clearing Members. FICC is proposing changes to the MBSD 
Rules and QRM Methodology that are designed to more effectively measure 
and address risk characteristics in situations where the risk factors 
used in the VaR method do not adequately predict TBA prices. The 
proposed changes above would adjust the VaR Floor to help ensure that 
FICC collects adequate margin from its Clearing Members, particularly 
in periods of high market volatility and economic uncertainty. During 
these periods, the existing VaR model has been shown to be inadequate 
based on backtesting performances. Backtesting percentages covering 
such periods indicate the risk that VaR Charges will be insufficient to 
manage risk in the event of a Clearing Member's default. FICC pays 
particular attention to Clearing Members with backtesting deficiencies 
that bring the results for that Clearing Member below the 99% 
confidence target to determine if there is an identifiable cause of 
repeat backtesting deficiencies. During the recent period of market 
volatility and economic uncertainty, there were numerous repeated 
backtesting deficiencies. The Minimum Margin Amount, to be defined in 
the MBSD Rules and further incorporated in the QRM Methodology as 
described herein, is a proposed targeted response to enhance the MBSD 
VaR model

[[Page 79546]]

performance and improve the backtesting coverage during periods of 
heightened market volatility and economic uncertainty.
    As a result of the recent market volatility and economic 
uncertainty, FICC's VaR model did not achieve a 99% confidence level 
for all Clearing Members in March and April 2020. The Minimum Margin 
Amount is intended to allow the VaR Charge to be more responsive during 
market conditions when the VaR model projections do not closely 
correspond with observed market price changes. Backtesting studies 
indicate that aggregate average daily aggregate VaR Charges would have 
increased by approximately $2.2 billion or 42%, average aggregate daily 
Backtesting Charges would have decreased by approximately $450 million 
or 53% during the Impact Study Period and the overall margin 
backtesting coverage (based on 12-month trailing backtesting) would 
have improved from approximately 97.3% to 98.5% through June 30, 2020 
if the Minimum Margin Amount calculation had been in place. Improving 
the overall backtesting coverage level would help FICC ensure that it 
maintains an appropriate level of margin to address its risk management 
needs.
    The use of the Minimum Margin Amount would reduce risk by allowing 
FICC to calculate the exposure in each portfolio using the risk spread 
based on observed TBA price moves of TBA positions within each 
portfolio. As reflected by backtesting studies during the Impact Study 
Period, using observed market prices of such benchmark TBA securities 
to set risk exposure would provide a more reliable estimate than the 
FICC VaR historical data set for the portfolio risk level when current 
market conditions deviate from historical observations. This proposal 
would allow offsetting between short and long positions within TBA 
securities benchmarks given that the TBAs aggregated in each benchmark 
exhibit similar risk profiles and can be netted together to calculate 
the Minimum Margin Amount that will cover the observed market price 
changes for each portfolio. Adding the Minimum Margin Amount to the VaR 
Floor would help to ensure that the risk exposure during periods of 
market volatility and economic uncertainty is adequately captured in 
the VaR Charges. FICC believes that would help to ensure that FICC 
continues to accurately calculate and assess margin and in turn, 
collect sufficient margin from its Clearing Members and better enable 
FICC to limit its exposures that could be incurred when liquidating a 
portfolio.
    FICC believes the proposed technical changes to the QRM Methodology 
described above would enhance the clarity of the QRM Methodology for 
FICC. Having a clear and accurate methodology document, which describes 
how the Minimum Margin Amount would be calculated and the selection of 
benchmarks, that the Minimum Margin Amount would be included within the 
calculation of the VaR Charges and the developmental evidence and 
impacts to backtesting performance and margin charges, would help to 
ensure that FICC continues to accurately calculate and assess margin 
and in turn, collect sufficient margin from its Clearing Members and 
better enable FICC to limit its exposures that could be incurred when 
liquidating a portfolio.
    By better enabling FICC to limit its exposure to Clearing Members, 
the proposed changes to the MBSD Rules and QRM Methodology are designed 
to better ensure that, in the event of a Clearing Member default, FICC 
would have adequate margin from the defaulting Clearing Member and non-
defaulting Clearing Members would not be exposed to losses they cannot 
anticipate or control. Therefore, the proposed changes would be 
designed to assure the safeguarding of securities and funds which are 
in the custody or control of FICC or for which it is responsible, 
consistent with Section 17A(b)(3)(F) of the Act.\33\
---------------------------------------------------------------------------

    \33\ Id.
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    Rule 17Ad-22(e)(4)(i) under the Act \34\ requires a covered 
clearing agency to establish, implement, maintain and enforce written 
policies and procedures reasonably designed to effectively identify, 
measure, monitor, and manage its credit exposures to participants and 
those exposures arising from its payment, clearing, and settlement 
processes by maintaining sufficient financial resources to cover its 
credit exposure to each participant fully with a high degree of 
confidence. As described above, FICC believes that the proposed changes 
would enable it to better identify, measure, monitor, and, through the 
collection of Clearing Members' Required Fund Deposits, manage its 
credit exposures to Clearing Members by maintaining sufficient 
resources to cover those credit exposures fully with a high degree of 
confidence. More specifically, as indicated by backtesting studies, 
implementation of a Minimum Margin Amount by changing the MBSD Rules 
and QRM Methodology as described herein would allow FICC to limit its 
credit exposures to Clearing Members in the event that the current VaR 
model yields too low a VaR Charge for such portfolios and improve 
backtesting performance. As indicated by the backtesting studies, 
aggregate average daily aggregate VaR Charges would have increased by 
approximately $2.2 billion or 42%, average aggregate daily Backtesting 
Charges would have decreased by approximately $450 million or 53% 
during the Impact Study Period and the overall margin backtesting 
coverage (based on 12-month trailing backtesting) would have improved 
from approximately 97.3% to 98.5% through June 30, 2020 if the Minimum 
Margin Amount calculation had been in place. By identifying and 
providing for appropriate VaR Charges, adding the Minimum Margin Amount 
to the VaR Floor would help to ensure that the risk exposure during 
periods of market volatility and economic uncertainty is adequately 
identified, measured and monitored. As a result, FICC believes that the 
proposal would enhance FICC's ability to effectively identify, measure 
and monitor its credit exposures and would enhance its ability to 
maintain sufficient financial resources to cover its credit exposure to 
each participant fully with a high degree of confidence, consistent 
with the requirements of Rule 17Ad-22(e)(4)(i) of the Act.\35\
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    \34\ See 17 CFR 240.17Ad-22(e)(4)(i).
    \35\ Id.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(6)(i) under the Act \36\ requires a covered 
clearing agency to establish, implement, maintain and enforce written 
policies and procedures reasonably designed to cover its credit 
exposures to its participants by establishing a risk-based margin 
system that, at a minimum, considers, and produces margin levels 
commensurate with, the risks and particular attributes of each relevant 
product, portfolio, and market. FICC believes that the proposed changes 
to adjust the VaR Floor to include the Minimum Margin Amount by 
changing the MBSD Rules and QRM Methodology as described herein are 
consistent with the requirements of Rule 17Ad-22(e)(6)(i) cited above. 
The Required Fund Deposits are made up of risk-based components (as 
margin) that are calculated and assessed daily to limit FICC's credit 
exposures to Clearing Members. FICC is proposing changes that are 
designed to more effectively measure and address risk characteristics 
in situations where the risk factors used in the VaR method do not 
adequately predict TBA prices. As reflected in backtesting studies, 
FICC believes the proposed changes would appropriately

[[Page 79547]]

limit FICC's credit exposure to Clearing Members in the event that the 
VaR model yields too low a VaR Charge in such situations. Such 
backtesting studies indicate that aggregate average daily aggregate VaR 
Charges would have increased by approximately $2.2 billion or 42%, 
aggregate average daily Backtesting Charges would have decreased by 
approximately $450 million or 53% during the Impact Study Period and 
the overall margin backtesting coverage (based on 12-month trailing 
backtesting) would have improved from approximately 97.3% to 98.5% 
through June 30, 2020 if the Minimum Margin Amount calculation had been 
in place. By identifying and providing for appropriate VaR Charges, 
adding the Minimum Margin Amount to the VaR Floor would help to ensure 
that margin levels are commensurate with the risk exposure of each 
portfolio during periods of market volatility and economic uncertainty. 
The proposed changes would therefore allow FICC to continue to produce 
margin levels commensurate with the risks and particular attributes of 
each relevant product, portfolio, and market. As such, FICC believes 
that the proposed changes are consistent with the requirements of Rule 
17Ad-22(e)(6)(i) of the Act.\37\
---------------------------------------------------------------------------

    \36\ See 17 CFR 240.17Ad-22(e)(6)(i).
    \37\ Id.
---------------------------------------------------------------------------

(B) Clearing Agency's Statement on Burden on Competition
    FICC believes the proposed rule changes to modify the VaR Floor to 
incorporate a Minimum Margin Amount as described above could impose a 
burden on competition. As a result of the incorporation of the Minimum 
Margin Amount, Clearing Members may experience increases in their 
Required Fund Deposits. An impact study during the Impact Study Period 
indicates that on average each Clearing Member would have had an 
increase in VaR Charge of approximately 42%. Impact studies also 
indicate that the proposed changes could impact each Clearing Member in 
a different manner compared to other Clearing Members depending on the 
products in such Clearing Member's portfolio. Clearing Members with 
higher percentages of higher coupon TBAs in their portfolios, are more 
likely to be impacted by the proposed changes. Such increases could 
burden Clearing Members that have lower operating margins or higher 
costs of capital than other Clearing Members. It is not clear whether 
the burden on competition would necessarily be significant because it 
would depend on whether the affected Clearing Members were similarly 
situated in terms of business type and size. Regardless of whether the 
burden on competition is significant, FICC believes that any burden on 
competition would be necessary and appropriate in furtherance of the 
purposes of the Act.
    Specifically, FICC believes that the proposed rule changes would be 
necessary in furtherance of the Act, as described in this filing and 
further below. FICC believes that the above described burden on 
competition that may be created by the proposed changes to incorporate 
a Minimum Margin Amount in the VaR Floor is necessary, because the MBSD 
Rules must be designed to assure the safeguarding of securities and 
funds that are in FICC's custody or control or which it is responsible, 
consistent with Section 17A(b)(3)(F). As described above, FICC believes 
that the use of the Minimum Margin Amount would reduce risk by allowing 
FICC to calculate the exposure in each portfolio using the risk spread 
based on observed TBA price moves of TBA positions within each 
portfolio and provide a more reliable estimate than the FICC VaR 
historical data set for the portfolio risk level when current market 
conditions deviate from historical observations. Accurately calculating 
and assessing margin and in turn, collecting sufficient margin from its 
Clearing Members would better enable FICC to limit its exposures that 
could be incurred when liquidating a portfolio. By better enabling FICC 
to limit its exposure to Clearing Members, the proposed changes to the 
MBSD Rules and QRM Methodology are designed to better ensure that, in 
the event of a Clearing Member default, FICC would have adequate margin 
from the defaulting Clearing Member and non-defaulting Clearing Members 
would not be exposed to losses they cannot anticipate or control. 
Therefore, the proposed changes would be designed to assure the 
safeguarding of securities and funds which are in the custody or 
control of FICC or for which it is responsible, consistent with Section 
17A(b)(3)(F) of the Act.
    FICC also believes these proposed changes are necessary to support 
FICC's compliance with Rules 17Ad-22(e)(4)(i) and Rule 17Ad-22(e)(6)(i) 
under the Act,\38\ which require FICC to establish, implement, maintain 
and enforce written policies and procedures reasonably designed to (x) 
effectively identify, measure, monitor, and manage its credit exposures 
to participants and those arising from its payment, clearing, and 
settlement processes, including by maintaining sufficient financial 
resources to cover its credit exposure to each participant fully with a 
high degree of confidence and (y) cover its credit exposures to its 
participants by establishing a risk-based margin system that, at a 
minimum, considers, and produces margin levels commensurate with, the 
risks and particular attributes of each relevant product, portfolio, 
and market.
---------------------------------------------------------------------------

    \38\ 17 CFR 240.17Ad-22(e)(4)(i), (e)(6)(i).
---------------------------------------------------------------------------

    As described above, FICC believes that implementing the Minimum 
Margin Amount into the VaR Floor would allow FICC to more effectively 
measure and address risk characteristics in situations where the risk 
factors used in the VaR method do not adequately predict TBA prices, 
particularly in periods of high volatility and economic uncertainty. 
FICC's existing VaR model did not respond effectively to the recent 
levels of market volatility and economic uncertainty, and the VaR 
Charge amounts that were calculated using the profit and loss scenarios 
generated by FICC's VaR model did not achieve a 99% confidence level 
beginning in mid-March 2020. In addition, the VaR Floor did not 
effectively address the risk that the VaR model calculated too low a 
VaR Charge for all portfolios. As reflected in backtesting studies 
during the Impact Study Period, FICC believes the proposed changes 
would appropriately cover FICC's credit exposure to Clearing Members 
with a high degree of confidence in the event that the VaR model yields 
too low a VaR Charge in such situations. The proposed rule changes 
would limit FICC's exposure to Clearing Members by ensuring that each 
Clearing Member has an appropriate minimum VaR Charge in the event that 
the VaR model yields too low a VaR Charge for such portfolios. By 
identifying and providing for appropriate VaR Charges, adding the 
Minimum Margin Amount to the VaR Floor would help to ensure that margin 
levels are commensurate with the risk exposure of each portfolio during 
periods of market volatility and economic uncertainty. Therefore, FICC 
believes that these proposed changes would allow FICC to effectively 
identify, measure, monitor, and manage its credit exposures to Clearing 
Members and better limit FICC's credit exposures to Clearing Members by 
maintaining sufficient financial resources to cover its credit exposure 
to each Clearing Member fully with a high degree of confidence and 
producing margin levels commensurate with, the risks and particular 
attributes of each relevant product and portfolio, consistent with the 
requirements of

[[Page 79548]]

Rules 17Ad-22(e)(4)(i) and Rule 17Ad-22(e)(6)(i) under the Act. \39\
---------------------------------------------------------------------------

    \39\ Id.
---------------------------------------------------------------------------

    FICC also believes that the above described burden on competition 
that could be created by the proposed changes would be appropriate in 
furtherance of the Act because such changes have been appropriately 
designed to assure the safeguarding of securities and funds which are 
in the custody or control of FICC or for which it is responsible, as 
described in detail above. The proposed change to incorporate the 
Minimum Margin Amount would enable FICC to produce margin levels more 
commensurate with the risks and particular attributes of each Clearing 
Member's portfolio. Any increase in Required Fund Deposit as a result 
of such proposed changes for a particular Clearing Member would be in 
direct relation to the specific risks presented by such Clearing 
Members' portfolio, and each Clearing Member's Required Fund Deposit 
would continue to be calculated with the same parameters and at the 
same confidence level. Therefore, Clearing Members with portfolios that 
present similar risks, regardless of the type of Clearing Member, would 
have similar impacts on their Required Fund Deposit amounts. In 
addition, the proposed changes would improve the risk-based margining 
methodology that FICC employs to set margin requirements and better 
limit FICC's credit exposures to its Clearing Members. Impact studies 
indicate that the proposed methodology would result in backtesting 
coverage that more appropriately addresses the risks presented by each 
portfolio. Therefore, because the proposed changes are designed to 
provide FICC with a more appropriate and complete measure of the risks 
presented by Clearing Members' portfolios, FICC believes the proposals 
are appropriately designed to meet its risk management goals and its 
regulatory obligations.
    Therefore, FICC does not believe that the proposed changes would 
impose any burden on competition that is not necessary or appropriate 
in furtherance of the Act.\40\
---------------------------------------------------------------------------

    \40\ 15.U.S.C. 78q-1(b)(3)(I).
---------------------------------------------------------------------------

(C) Clearing Agency's Statement on Comments on the Proposed Rule Change 
Received From Members, Participants, or Others
    Written comments relating to the proposed rule changes have not 
been solicited or received. FICC will notify the Commission of any 
written comments received by FICC.

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

    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 self-regulatory organization consents, the Commission will:
    (A) By order approve or disapprove such proposed rule change, or
    (B) institute proceedings to determine whether the proposed rule 
change should be disapproved.
    The proposal shall not take effect until all regulatory actions 
required with respect to the proposal are completed.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Act. Comments may be submitted by any of 
the following methods:

Electronic Comments

     Use the Commission's internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to rule-comments@sec.gov. Please include 
File Number SR-FICC-2020-017 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-FICC-2020-017. This file 
number should be included on the subject line if email is used. To help 
the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's internet website (http://www.sec.gov/rules/sro.shtml). 
Copies of the submission, all subsequent amendments, all written 
statements with respect to the proposed rule change that are filed with 
the Commission, and all written communications relating to the proposed 
rule change between the Commission and any person, other than those 
that may be withheld from the public in accordance with the provisions 
of 5 U.S.C. 552, will be available for website viewing and printing in 
the Commission's Public Reference Room, 100 F Street NE, Washington, DC 
20549 on official business days between the hours of 10:00 a.m. and 
3:00 p.m. Copies of the filing also will be available for inspection 
and copying at the principal office of FICC and on DTCC's website 
(http://dtcc.com/legal/sec-rule-filings.aspx). All comments received 
will be posted without change. Persons submitting comments are 
cautioned that we do not redact or edit personal identifying 
information from comment submissions. You should submit only 
information that you wish to make available publicly. All submissions 
should refer to File Number SR-FICC-2020-017 and should be submitted on 
or before December 31, 2020.
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    \41\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\41\
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2020-27087 Filed 12-9-20; 8:45 am]
BILLING CODE 8011-01-P


