[Federal Register Volume 82, Number 144 (Friday, July 28, 2017)]
[Notices]
[Page 35196]
[FR Doc No: 2017-15917]

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DEPARTMENT OF ENERGY

Federal Energy Regulatory Commission

[Docket Nos. EL17-81-000; QF83-118-002]

Covanta Marion, Inc.; Notice of Petition for Enforcement

    Take notice that on July 21, 2017, Covanta Marion, Inc., filed a
Petition for Enforcement, pursuant to section 210(h)(2)(B) of the
Public Utility Regulatory Policies Act of 1978 (PURPA), requesting the
Federal Energy Regulatory Commission (Commission) to exercise its
authority and initiate enforcement action against the Public Utility
Commission of Oregon (OPUC) to remedy OPUC's alleged improper
implementation of PURPA.
    Any person desiring to intervene or to protest this filing must
file in accordance with Rules 211 and 214 of the Commission's Rules of
Practice and Procedure (18 CFR 385.211, 385.214). Protests will be
considered by the Commission in determining the appropriate action to
be taken, but will not serve to make protestants parties to the
proceeding. Any person wishing to become a party must file a notice of
intervention or motion to intervene, as appropriate. Such notices,
motions, or protests must be filed on or before the comment date. On or
before the comment date, it is not necessary to serve motions to
intervene or protests on persons other than the Applicant.
    The Commission encourages electronic submission of protests and
interventions in lieu of paper using the eFiling link at http://www.ferc.gov. Persons unable to file electronically should submit an
original and 5 copies of the protest or intervention to the Federal
Energy Regulatory Commission, 888 First Street NE., Washington, DC
20426.
    This filing is accessible on-line at http://www.ferc.gov, using the
``eLibrary'' link and is available for review in the Commission's
Public Reference Room in Washington, DC. There is an ``eSubscription''
link on the Web site that enables subscribers to receive email
notification when a document is added to a subscribed docket(s). For
assistance with any FERC Online service, please email
<EMAIL_ADDRESS>or call<PHONE_NUMBER> (toll free). For
TTY, call<PHONE_NUMBER>.
    Comment Date: 5:00 p.m. Eastern Time on August 11, 2017.

    Dated: July 24, 2017.
Kimberly D. Bose,
Secretary.
[FR Doc. 2017-15917 Filed 7-27-17; 8:45 am]
 BILLING CODE 6717-01-P


[Federal Register: December 2, 2009 (Volume 74, Number 230)]
[Notices]
[Page 63149]
[DOCID:fr02de09-35]

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DEPARTMENT OF ENERGY

Federal Energy Regulatory Commission

[Docket Nos. PR08-30-000, PR08-30-001, PR07-12-003, PR07-12-004]

Enterprise Texas Pipeline, LLC Notice of Offer of Settlement

November 24, 2009.
    Take notice that on November 23, 2009, Enterprise Texas Pipeline,
LLC (Enterprise Texas) filed an Offer of Settlement in the above-
docketed proceedings. Included in its filing was a request to shorten
the period for filing initial and reply comments in response to the
Settlement. We are shortening the date for filing initial comments to
and including December 3, 2009. Reply comments should be filed on or
before December 14, 2009.

Kimberly D. Bose,
Secretary.
[FR Doc. E9-28795 Filed 12-1-09; 8:45 am]

BILLING CODE 6717-01-P


[Federal Register Volume 78, Number 233 (Wednesday, December 4, 2013)]
[Notices]
[Pages 72911-72914]
[FR Doc No: 2013-29036]

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DEPARTMENT OF HOMELAND SECURITY

Federal Emergency Management Agency

[Docket ID FEMA-2013-0002; Internal Agency Docket No. FEMA-B-1362]

Changes in Flood Hazard Determinations

AGENCY: Federal Emergency Management Agency, DHS.

ACTION: Notice.

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SUMMARY: This notice lists communities where the addition or
modification of Base Flood Elevations (BFEs), base flood depths,
Special Flood Hazard Area (SFHA) boundaries or zone designations, or
the regulatory floodway (hereinafter referred to as flood hazard
determinations), as shown on the Flood Insurance Rate Maps (FIRMs), and
where applicable, in the supporting Flood Insurance Study (FIS)
reports, prepared by the Federal Emergency Management Agency (FEMA) for
each community, is appropriate because of new scientific or technical
data. The FIRM, and where applicable, portions of the FIS report, have
been revised to reflect these flood hazard determinations through
issuance of a Letter of Map Revision (LOMR), in accordance with Title
44, Part 65 of the Code of Federal Regulations (44 CFR Part 65). The
LOMR will be used by insurance agents and others to calculate
appropriate flood insurance premium rates for new buildings and the
contents of those buildings. For rating purposes, the currently
effective community number is shown in the table below and must be used
for all new policies and renewals.

DATES: These flood hazard determinations will become effective on the
dates listed in the table below and revise the FIRM panels and FIS
report in effect prior to this determination for the listed
communities.
    From the date of the second publication of notification of these
changes in a newspaper of local circulation, any person has ninety (90)
days in which to request through the community that the Deputy
Associate Administrator for Mitigation reconsider the changes. The
flood hazard determination information may be changed during the 90-day
period.

ADDRESSES: The affected communities are listed in the table below.
Revised flood hazard information for each community is available for
inspection at both the online location and the respective community map
repository address listed in the table below. Additionally, the current
effective FIRM and FIS report for each community are accessible online
through the FEMA Map Service Center at www.msc.fema.gov for comparison.
    Submit comments and/or appeals to the Chief Executive Officer of
the community as listed in the table below.

FOR FURTHER INFORMATION CONTACT: Luis Rodriguez, Chief, Engineering
Management Branch, Federal Insurance and Mitigation Administration,
FEMA, 500 C Street SW., Washington, DC 20472,<PHONE_NUMBER>, or
(email<EMAIL_ADDRESS>or visit the FEMA Map Information
eXchange (FMIX) online at www.floodmaps.fema.gov/fhm/fmx_main.html.

SUPPLEMENTARY INFORMATION: The specific flood hazard determinations are
not described for each community in this notice. However, the online
location and local community map repository address where the flood
hazard determination information is available for inspection is
provided.
    Any request for reconsideration of flood hazard determinations must
be submitted to the Chief Executive Officer of the community as listed
in the table below.
    The modifications are made pursuant to section 201 of the Flood
Disaster Protection Act of 1973, 42 U.S.C. 4105, and are in accordance
with the National Flood Insurance Act of 1968, 42 U.S.C. 4001 et seq.,
and with 44 CFR Part 65.
    The FIRM and FIS report are the basis of the floodplain management
measures that the community is required either to adopt or to show
evidence of having in effect in order to qualify or remain qualified
for participation in the National Flood Insurance Program (NFIP).
    These flood hazard determinations, together with the floodplain
management criteria required by 44 CFR 60.3, are the minimum that are
required. They should not be construed to mean that the community must
change any existing ordinances that are more stringent in their
floodplain management requirements. The community may at any time enact
stricter requirements of its own or pursuant to policies established by
other Federal, State, or regional entities. The flood hazard
determinations are in accordance with 44 CFR 65.4.
    The affected communities are listed in the following table. Flood
hazard determination information for each community is available for
inspection at both the online location and the respective community map
repository address listed in the table below. Additionally, the current
effective FIRM and FIS report for each community are accessible online
through the FEMA Map Service Center at www.msc.fema.gov for comparison.

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                                                      Chief executive                       Online location of
        State and county         Location and  case     officer  of       Community map       letter of  map          Effective date of       Community
                                         No.             community          repository           revision               modification             No.
--------------------------------------------------------------------------------------------------------------------------------------------------------
Arizona:
    Maricopa...................  City of Peoria (12- The Honorable Bob  9875 North 85th    http://               March 7, 2014.............       040050
                                  09-3053P).          Barrett, Mayor,    Avenue, Peoria,    www.msc.fema.gov/
                                                      City of Peoria,    AZ 85345.          lomc.
                                                      9875 North 85th
                                                      Avenue, Peoria,
                                                      AZ 85345.
    Maricopa...................  City of Phoenix     The Honorable      200 West           http://               March 7, 2014.............       040051
                                  (12-09-3053P).      Greg Stanton,      Washington         www.msc.fema.gov/
                                                      Mayor, City of     Street, 5th        lomc.
                                                      Phoenix, 200       Floor, Phoenix,
                                                      West Washington    AZ 85003.
                                                      Street, 5th
                                                      Floor, Phoenix,
                                                      AZ 85003.

    Maricopa...................  City of Goodyear    The Honorable      119 North          http://               February 21, 2014.........       040046
                                  (13-09-0919P).      Georgia Lord,      Litchfield Road,   www.msc.fema.gov/
                                                      Mayor, City of     Goodyear, AZ       lomc.
                                                      Goodyear, 190      85338.
                                                      North Litchfield
                                                      Road, Goodyear,
                                                      AZ 85338.
    Maricopa...................  Unincorporated      The Honorable Max  Flood Control      http://               February 21, 2014.........       040037
                                  Areas of Maricopa   Wilson,            District of        www.msc.fema.gov/
                                  County (13-09-      Chairman,          Maricopa County,   lomc.
                                  0919P).             Maricopa County    2801 West
                                                      Board of           Durango Street,
                                                      Supervisors, 301   Phoenix, AZ
                                                      West Jefferson,    85009.
                                                      10th Floor,
                                                      Phoenix, AZ
                                                      85003.
Colorado:
    El Paso....................  City of Colorado    The Honorable      30 South Nevada    http://               January 17, 2014..........       080060
                                  Springs (13-08-     Steve Bach,        Avenue, Colorado   www.msc.fema.gov/
                                  0369P).             Mayor, City of     Springs, CO        lomc.
                                                      Colorado           80903.
                                                      Springs, 30
                                                      South Nevada
                                                      Avenue, Colorado
                                                      Springs, CO
                                                      80903.
    El Paso....................  Unincorporated      The Honorable      Regional Building  http://               January 17, 2014..........       080059
                                  areas of El Paso    Dennis Hisey,      Department, 101    www.msc.fema.gov/
                                  County (13-08-      Chairperson,       West Costilla      lomc.
                                  0369P).             Board of El Paso   Street, Colorado
                                                      County             Springs, CO
                                                      Commissioners,     80903.
                                                      200 South
                                                      Cascades Avenue,
                                                      Suite 100,
                                                      Colorado
                                                      Springs, CO
                                                      80903.
    El Paso....................  City of Manitou     The Honorable      City Hall, 606     http://               January 17, 2014..........       080063
                                  Springs (13-08-     Marc A. Snyder,    Manitou Avenue,    www.msc.fema.gov/
                                  0369P).             Mayor, City of     Manitou Springs,   lomc.
                                                      Manitou Springs,   Colorado, 80829.
                                                      606 Manitou
                                                      Avenue, Manitou
                                                      Springs, CO
                                                      80829.
Idaho:
    Bannock....................  Unincorporated      The Honorable      Bannock County     http://               December 13, 2013.........       160009
                                  Areas of Bannock    Karl E.            Office of          www.msc.fema.gov/
                                  County (13-10-      Anderson,          Planning and       lomc.
                                  0060P).             Chairman,          Development, 130
                                                      Bannock County     North 6th
                                                      Commissioners,     Avenue, Suite C,
                                                      624 East Center    Pocatello, ID
                                                      Street,            83201.
                                                      Pocatello, ID
                                                      83201.
    Bannock....................  City of Pocatello   The Honorable      911 North 7th      http://               December 13, 2013.........       160012
                                  (13-10-0060P).      Brian S. Blad,     Avenue,            www.msc.fema.gov/
                                                      Mayor, City of     Pocatello, ID      lomc.
                                                      Pocatello, 911     83201.
                                                      North 7th
                                                      Avenue,
                                                      Pocatello, ID
                                                      83201.
    Custer.....................  Unincorporated      The Honorable      County             http://               January 17, 2014..........       160211
                                  Areas of Custer     Wayne Butts,       Courthouse, 801    www.msc.fema.gov/
                                  County (13-10-      Chairman, Custer   East Main          lomc.
                                  0157P).             County Board of    Street, Challis,
                                                      Commissioners,     ID 83226.
                                                      Post Office Box
                                                      385, Challis, ID
                                                      83226.
    Ada........................  City of Meridian    The Honorable      Public Works       http://               February 18, 2014.........       160180
                                  (13-10-1349P).      Dave Case,         Department, 33     www.msc.fema.gov/
                                                      Chairman, Ada      East Broadway      lomc.
                                                      County Board of    Avenue,
                                                      Commissioners,     Meridian, ID
                                                      200 West Front     83642.
                                                      Street, Boise,
                                                      ID 83702.
    Ada........................  Unincorporated      The Honorable      Public Works       http://               February 18, 2014.........       160001
                                  Areas of Ada        Tammy de Weerd,    Department, 33     www.msc.fema.gov/
                                  County (13-10-      Mayor, City of     East Broadway      lomc.
                                  1349P).             Meridian, 33       Avenue,
                                                      East Broadway      Meridian, ID
                                                      Avenue, Suite      83642.
                                                      300, Meridian,
                                                      ID 83642.
Indiana: LaGrange..............  Unincorporated      The Honorable Jac  114 West Michigan  http://               November 21, 2013.........       180125
                                  Areas of LaGrange   Price,             Street,            www.msc.fema.gov/
                                  (13-05-7473P).      President,         LaGrange, IN       lomc.
                                                      LaGrange County    46761.
                                                      Board of
                                                      Commissioners,
                                                      LaGrange County
                                                      Annex Building,
                                                      114 West
                                                      Michigan Street,
                                                      LaGrange, IN
                                                      46761.
Illinois: Kane.................  Unincorporated      The Honorable      Kane County        http://               January 8, 2014...........       170896
                                  Areas of Kane       Chris Lauzen,      Government         www.msc.fema.gov/
                                  County (13-05-      Kane County        Center Building    lomc.
                                  6235P).             Board Chairman,    A, Water
                                                      719 Batavia        Resources
                                                      Avenue, Building   Department, 719
                                                      A, Geneva, IL      Batavia Avenue,
                                                      60134.             Geneva, IL 60134.
Iowa: Black Hawk...............  City of Cedar       The Honorable Jon  220 Clay Street,   http://               November 18, 2013.........       190017
                                  Falls (13-07-       Crews, Mayor,      Cedar Falls, IA    www.msc.fema.gov/
                                  1063P).             City of Cedar      50613.             lomc.
                                                      Falls, 220 Clay
                                                      Street, Cedar
                                                      Falls, IA 50613.

Kansas: Johnson................  City of Overland    The Honorable      8500 Santa Fe      http://               March 5, 2014.............       200174
                                  Park (13-07-        Carl Gerlach,      Drive, Overland    www.msc.fema.gov/
                                  1416P).             Mayor, City of     Park, KS 66212.    lomc.
                                                      Overland Park,
                                                      8500 Santa Fe
                                                      Drive, Overland
                                                      Park, KS 66212.
Massachusetts: Hampden.........  City of Holyoke     The Honorable      City Hall, 536     http://               December 19, 2013.........       250142
                                  (13-01-2049P).      Alex B. Morse,     Dwight Street,     www.msc.fema.gov/
                                                      Mayor, City of     Holyoke, MA        lomc.
                                                      Holyoke, 536       01040.
                                                      Dwight Street,
                                                      Holyoke, MA
                                                      01040.
Michigan:
    Wayne......................  Township of Canton  Mr. Phil LaJoy,    1150 South Canton  http://               January 13, 2014..........       260219
                                  (13-05-6153P).      Town of Canton     Center Road,       www.msc.fema.gov/
                                                      Supervisor, 1150   Canton, MI 48188.  lomc.
                                                      South canton
                                                      Center Road,
                                                      Canton, MI 48188.
    Midland....................  City of Midland     The Honorable      333 West           http://               February 4, 2014..........       260140
                                  Fields (13-05-      Maureen Donker,    Ellsworth          www.msc.fema.gov/
                                  3953P).             Mayor, City of     Street, Midland,   lomc.
                                                      Midland Fields,    MI 48640.
                                                      333 West
                                                      Ellsworth
                                                      Street, Midland,
                                                      MI 48640.
    Oakland....................  City of Troy (13-   The Honorable Dan  500 West Big       http://               January 28, 2014..........       260180
                                  05-4457P).          Slater, Mayor,     Beaver Road,       www.msc.fema.gov/
                                                      City of Troy,      Troy, MI 48084.    lomc.
                                                      500 West Big
                                                      Beaver Road,
                                                      Troy, MI 48084.
Missouri:
    Franklin...................  Unincorporated      The Honorable      209 West           http://               January 9, 2014...........       290136
                                  Areas of Franklin   Thomas Leasor,     Washington         www.msc.fema.gov/
                                  County (13-07-      Mayor, City of     Street,            lomc.
                                  0553P).             Sullivan, 210      Sullivan, MO
                                                      West Washington    63080.
                                                      Street,
                                                      Sullivan, MO
                                                      63080.
    Franklin...................  City of Sullivan    The Honorable      8 North Church     http://               January 9, 2014...........       290493
                                  (13-07-0553P).      John               Street, Suite B,   www.msc.fema.gov/
                                                      Griesheimer,       Union, MO 63084.   lomc.
                                                      Presiding
                                                      Commissioner,
                                                      Franklin County
                                                      Commission, 400
                                                      East Locust
                                                      Street, Suite
                                                      206, Union, MO
                                                      63084.
    St. Louis..................  City of             The Honorable Bob  690 Chesterfield   http://               December 17, 2013.........       290896
                                  Chesterfield (13-   Nation, Mayor,     Parkway West,      www.msc.fema.gov/
                                  07-1008P).          City of            Chesterfield, MO   lomc.
                                                      Chesterfield,      63017.
                                                      690 Chesterfield
                                                      Parkway West,
                                                      Chesterfield, MO
                                                      63017.
    Lincoln....................  City of Moscow      The Honorable      P.O. Box 36,       http://               January 30, 2014..........       290546
                                  Mills (13-07-       Andrew             Moscow Mills, MO   www.msc.fema.gov/
                                  1368P).             Teschendorf,       63362.             lomc.
                                                      Mayor, City of
                                                      Moscow Mills,
                                                      P.O. Box 36,
                                                      Moscow Mills, MO
                                                      63362.
    Lincoln....................  Unincorporated      Mr. Dan Colbert,   250 West Collage,  http://               January 30, 2014..........       290869
                                  Areas of Lincoln    Presiding          Troy, MO 63379.    www.msc.fema.gov/
                                  County (13-07-      Commissioner,                         lomc.
                                  1368P).             Lincoln County,
                                                      201 Main Street,
                                                      Troy, MO 63379.
    Lincoln....................  City of Troy (13-   The Honorable      800 Cap-Au-Gris    http://               January 30, 2014..........       290641
                                  07-1363P).          March Cross,       Street, Troy, MO   www.msc.fema.gov/
                                                      Mayor, City of     63379.             lomc.
                                                      Troy, 800 Cap-Au-
                                                      Gris Street,
                                                      Troy, MO 63379.
    Lincoln....................  Unincorporated      Mr. Dan Colbert,   250 West Collage,  http://               January 30, 2014..........       290869
                                  Areas of Lincoln    Presiding          Troy, MO 63379.    www.msc.fema.gov/
                                  County (13-07-      Commissioner,                         lomc.
                                  1363P).             Lincoln County,
                                                      201 Main Street,
                                                      Troy, MO 63379.
Minnesota: Dakota..............  City of Lakeville   The Honorable      20195 Holyoke      http://               February 14, 2014.........       270107
                                  (13-05-7174).       Matt Little,       Avenue,            www.msc.fema.gov/
                                                      Mayor, City of     Lakeville, MN      lomc.
                                                      Lakeville, 20195   55044.
                                                      Holyoke Avenue,
                                                      Lakeville, MN
                                                      55044.
Nebraska:
    Saunders...................  Unincorporated      The Honorable      433 North          http://               February 14, 2014.........       310195
                                  Areas of Saunders   Doris Karloff,     Chestnut Street,   www.msc.fema.gov/
                                  County (12-07-      Chair, Saunders    Wahoo, NE 68066.   lomc.
                                  3332P).             County Board,
                                                      433 North
                                                      Chestnut Street,
                                                      Wahoo, NE 68066.

    Saunders...................  City of Wahoo (12-  The Honorable      605 North          http://               February 14, 2014.........       310204
                                  07-3332P).          Janet A. Jonas,    Broadway, Wahoo,   www.msc.fema.gov/
                                                      Mayor, City of     NE 68066.          lomc.
                                                      Wahoo, 605 North
                                                      Broadway, Wahoo,
                                                      NE 68066.
Ohio:
    Stark......................  City of Louisville  The Honorable      215 South Mill     http://               March 13, 2014............       390516
                                  (13-05-2237P).      Patricia A.        Street,            www.msc.fema.gov/
                                                      Fallot, Mayor,     Louisville, OH     lomc.
                                                      City of            44641.
                                                      Louisville, 215
                                                      South Mill
                                                      Street,
                                                      Louisville, OH
                                                      44641.
    Greene.....................  City of             The Honorable      1368 Research      http://               January 16, 2014..........       390876
                                  Beavercreek (13-    Vicki Giambrone,   Park Drive,        www.msc.fema.gov/
                                  05-4635P).          Mayor, City of     Beavercreek, OH    lomc.
                                                      Beavercreek,       45432.
                                                      1368 Research
                                                      Park Drive,
                                                      Beavercreek, OH
                                                      45432.
    Cuyahoga...................  City of Middelburg  The Honorable      15700 Bagley       http://               February 20, 2014.........       390117
                                  Heights (13-05-     Garry W. Starr,    Road, Middleburg   www.msc.fema.gov/
                                  5766P).             Mayor, City of     Heights, OH        lomc.
                                                      Middleburg         44130.
                                                      Heights, 15700
                                                      Bagley Road,
                                                      Middleburg
                                                      Heights, OH
                                                      44130.
Oregon:
    Jackson....................  City Medford (13-   The Honorable      411 West 8th       http://               February 11, 2014.........       410096
                                  10-0459P).          Gary Wheeler,      Street, Medford,   www.msc.fema.gov/
                                                      Mayor, City of     OR 97501.          lomc.
                                                      Medford, 411
                                                      West 8th Street,
                                                      Medford, OR
                                                      97501.
    Benton.....................  Unincorporated      The Honorable      408 Southwest      http://               November 29, 2013.........       410008
                                  Areas, Of Benton    Annabelle          Monroe Avenue,     www.msc.fema.gov/
                                  County (13-10-      Jaramillo,         Suite 111,         lomc.
                                  0260P).             Chair, Benton      Corvallis, OR
                                                      County Board of    97333.
                                                      Commissioners,
                                                      205 Northwest
                                                      5th Street,
                                                      Corvallis, OR
                                                      97333.
    Benton.....................  City of Philomath   The Honorable      City Hall, 980     http://               November 29, 2013.........       410011
                                  (13-10-0260P).      Rocky Sloan,       Applegate          www.msc.fema.gov/
                                                      Mayor, City of     Street,            lomc.
                                                      Philomath, 980     Philomath, OR
                                                      Applegate          97370.
                                                      Street,
                                                      Philomath, OR
                                                      97370.
Washington: Pierce.............  City of Puyallup    The Honorable      333 South          http://               November 20, 2013.........       530144
                                  (13-10-0154P).      Rick Hansen,       Meridian,          www.msc.fema.gov/
                                                      Mayor, City of     Puyallup, WA       lomc.
                                                      Puyallup, 333      98371.
                                                      South Meridian,
                                                      Puyallup, WA
                                                      98371.
Wisconsin:
    Waukesha...................  Unincorporated      Mr. Dan Vrakas,    515 West Moreland  http://               January 7, 2014...........       550476
                                  Areas of Waukesha   Waukesha County    Boulevard, Room    www.msc.fema.gov/
                                  County (13-05-      Executive, 515     230, Waukesha,     lomc.
                                  1048P).             West Moreland      WI 53188.
                                                      Boulevard, Room
                                                      320, Waukesha,
                                                      WI 53188.
    Brown......................  Village of          The Honorable      2828 Allouez       http://               February 6, 2014..........       550627
                                  Bellevue (13-05-    Craig Beyl,        Avenue,            www.msc.fema.gov/
                                  5752P).             Village            Bellevue, WI       lomc.
                                                      President,         54311.
                                                      Village of
                                                      Bellevue, 2828
                                                      Allouez Avenue,
                                                      Bellevue, WI
                                                      54311.
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(Catalog of Federal Domestic Assistance No. 97.022, ``Flood
Insurance.'')

    Dated: November 20, 2013.
Roy E. Wright,
Deputy Associate Administrator for Mitigation, Department of Homeland
Security, Federal Emergency Management Agency.
[FR Doc. 2013-29036 Filed 12-3-13; 8:45 am]
BILLING CODE 9110-12-P


[Federal Register Volume 88, Number 81 (Thursday, April 27, 2023)]
[Notices]
[Pages 25721-25725]
[FR Doc No: 2023-08827]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-97342; File No. SR-FICC-2023-003]

Self-Regulatory Organizations; Fixed Income Clearing Corporation;
Order Granting Proposed Rule Change To Revise the Description of the
Stressed Period Used To Calculate the Value-at-Risk Charge and Make
Other Changes

April 21, 2023.
    On February 17, 2023, the Fixed Income Clearing Corporation
(``FICC'') filed with the Securities and Exchange Commission
(``Commission'') the proposed rule change SR-FICC-2023-003 pursuant to
Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act'') \1\
and Rule 19b-4 thereunder.\2\ The proposed rule change was published
for comment in the Federal Register on March 7, 2023.\3\ The Commission
has received no comments regarding the proposed rule change. For the
reasons discussed below, the Commission is approving the proposed rule
change.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ Securities Exchange Act Release No. 97001 (Mar. 1, 2023), 88
FR 14189 (Mar. 7, 2023) (File No. SR-FICC-2023-003) (``Notice'').
---------------------------------------------------------------------------

I. Description of the Proposed Rule Change

    FICC operates two divisions: the Government Securities Division
(``GSD'') and the Mortgage Backed Securities Division (``MBSD''). GSD
provides trade comparison, netting, risk management, settlement, and
central counterparty services for the U.S. Government securities
market. MBSD provides the same services for the U.S. mortgage-backed
securities market. GSD and MBSD maintain separate sets of rules, margin
models, and clearing funds.
    A key tool that FICC uses to manage its credit exposures to its
members is the daily collection of margin from each member. A member's
margin is designed to mitigate potential losses associated with
liquidation of the member's portfolio in the event of that member's
default. The aggregated amount of all GSD and MBSD members' margin
constitutes the GSD Clearing Fund and MBSD Clearing Fund, which FICC
would be able to access should a defaulted member's own margin be
insufficient to satisfy losses to FICC caused by the liquidation of
that member's portfolio. Each member's margin consists of a number of
applicable components, including a the value-at-risk (``VaR'') charge
(``VaR Charge'') designed to capture the potential market price risk
associated with the securities in a member's portfolio. The VaR Charge
is typically the largest component of a member's margin requirement.
The VaR Charge is designed to cover FICC's projected liquidation losses
with respect to a defaulted member's portfolio at a 99% confidence
level.
    FICC states that it has observed significant volatility in the U.S.
government securities market due to tightening monetary policy,
increasing inflation, and recession fears, and that this volatility has
led to greater risk exposures for FICC.\4\ FICC represents that, in
order to mitigate the increased risk exposures, FICC has to quickly and
timely respond to rapidly changing market conditions.\5\ For example,
in order to respond to rapidly changing market conditions, FICC states
that it may need to quickly adjust the look-back period that FICC uses
for purposes of calculating the VaR Charge with an appropriate stressed
period, as needed, to enable FICC to calculate and collect adequate
margin from members.\6\
---------------------------------------------------------------------------

    \4\ See Notice, supra note 3, 88 FR at 14189.
    \5\ Id.
    \6\ Id.
---------------------------------------------------------------------------

    Accordingly, FICC is proposing to amend the GSD Quantitative Risk
Management (``QRM'') Methodology Document--GSD Initial Market Risk
Margin Model (``GSD QRM Methodology Document'') \7\ and the MBSD
Methodology and Model Operations Document--MBSD Quantitative Risk Model
(``MBSD QRM Methodology Document,'' \8\ and collectively with the GSD
QRM Methodology Document, the ``QRM Methodology Documents'') to revise
the description of the stressed period used to calculate the VaR Charge
in order to help FICC quickly and timely adjust the look-back period
used for calculating the VaR Charge with an appropriate stressed
period, as needed. FICC states that adjustments to the look-back period
could affect the amount of the VaR Charge that members are assessed by
either increasing or decreasing such charge to reflect the level of
risk the activities of the members presented to FICC.\9\ FICC is also
proposing to amend the GSD QRM Methodology Document to clarify the
language describing the parameters used to calculate the VaR Floor.\10\
Finally, FICC is proposing to

amend the GSD QRM Methodology Document to make certain technical
changes described in greater detail below.
---------------------------------------------------------------------------

    \7\ FICC filed an excerpt of the GSD QRM Methodology Document
showing the proposed changes as a confidential exhibit to this
proposed rule change, pursuant to 17 CFR 240.24-b2. FICC originally
filed the GSD QRM Methodology Document confidentially as part of a
previous proposed rule change and advance notice approved by the
Commission regarding FICC's GSD sensitivity VaR. See Securities
Exchange Act Release Nos. 83362 (Jun. 1, 2018), 83 FR 26514 (Jun. 7,
2018) (SR-FICC-2018-001) and 83223 (May 11, 2018), 83 FR 23020 (May
17, 2018) (SR-FICC-2018-801). The GSD QRM Methodology Document has
been subsequently amended. See Securities Exchange Act Release Nos.
85944 (May 24, 2019), 84 FR 25315 (May 31, 2019) (SR-FICC-2019-001),
90182 (Oct. 14, 2020), 85 FR 66630 (Oct. 20, 2020) (SR-FICC-2020-
009), 93234 (Oct. 1, 2021), 86 FR 55891 (Oct. 7, 2021) (SR-FICC-
2021-007), and 95605 (Aug. 25, 2022), 87 FR 53522 (Aug. 31, 2022)
(SR-FICC-2022-005).
    \8\ FICC filed an excerpt of the MBSD QRM Methodology Document
showing the proposed changes as a confidential exhibit to this
proposed rule change, pursuant to 17 CFR 240.24-b2. FICC originally
filed the MBSD QRM Methodology Document confidentially as part of a
previous proposed rule change and advance notice approved by the
Commission regarding FICC's MBSD sensitivity VaR. See Securities
Exchange Act Release Nos. 79868 (Jan. 24, 2017), 82 FR 8780 (Jan.
30, 2017) (SR-FICC-2016-007) and 79843 (Jan. 19, 2017), 82 FR 8555
(Jan. 26, 2017) (SR-FICC-2016-801). The MBSD QRM Methodology
Document has been subsequently amended. See Securities Exchange Act
Release Nos. 85944 (May 24, 2019), 84 FR 25315 (May 31, 2019) (SR-
FICC-2019-001), 90182 (Oct. 14, 2020), 85 FR 66630 (Oct. 20, 2020)
(SR-FICC-2020-009), 92303 (Jun. 30, 2021), 86 FR 35854 (Jul. 7,
2021) (SR-FICC-2020-017) and 95070 (Jun. 8, 2022), 87 FR 36014 (Jun.
14, 2022) (SR-FICC-2022-002).
    \9\ See Notice, supra note 3, 88 FR at 14189.
    \10\ Capitalized terms used herein and not defined shall have
the meaning assigned to such terms in the FICC's GSD Rulebook (``GSD
Rules'') and MBSD Clearing Rules (``MBSD Rules''), available at
http://www.dtcc.com/legal/rules-and-procedures.aspx.
---------------------------------------------------------------------------

A. Revising the Description of the Stressed Period Used To Calculate
the VaR Charge

    FICC calculates VaR Charge by using a methodology referred to as
the sensitivity approach. The sensitivity approach allows FICC to
adjust the look-back period that FICC uses for purposes of calculating
the VaR Charge. In particular, the sensitivity approach leverages
external vendor data \11\ to incorporate a look-back period of 10
years, which allows the GSD and MBSD models to capture periods of
historical volatility. In the event FICC observes that the 10-year
look-back period does not contain a sufficient number of stressed
market events, FICC will include an additional period of historically
observed stressed market events to the 10-year look-back period.\12\
---------------------------------------------------------------------------

    \11\ FICC states that the sensitivity approach leverages
external vendor expertise in supplying the market risk attributes,
which would then be incorporated by FICC into the GSD and MBSD
models to calculate the VaR Charge. Specifically, FICC sources
security-level risk sensitivity data and relevant historical risk
factor time series from an external vendor for all eligible
securities. The sensitivity data is generated by a vendor based on
its econometric, risk, and pricing models. See Notice, supra note 3,
88 FR at 14189-90.
    \12\ See Notice, supra note 3, 88 FR at 14190.
---------------------------------------------------------------------------

    The QRM Methodology Documents currently describe the additional
stressed period as a configurable continuous period (typically one
year). The GSD QRM Methodology Document further specifies the duration
of the stressed period as one-year of stressed market events. FICC
states that it regularly reviews metrics from various assessments to
ensure the GSD and MBSD models are performing as designed.
    In order to provide FICC with more flexibility with respect to the
inclusion of sufficient number of stressed market events in the look-
back period so FICC can respond to rapidly changing market conditions
more quickly and timely, FICC is proposing to eliminate this detailed
description of the stressed period from the GSD QRM Methodology
Document (in Sections 2.10.1 (The list of key parameters) and A<IP_ADDRESS>
(Stressed VaR Calculation)), as well as the MBSD QRM Methodology
Document (Section 5.17.1 (Stressed VaR Calculation)), and replace it
with a more general description. Specifically, the proposed new
description of the stressed period would provide in the GSD QRM
Methodology Document (Section A<IP_ADDRESS>) and the MBSD QRM Methodology
Document (Section 5.17.1) that the ``stressed period'' shall be a
period of time that FICC may add, in its sole discretion, to the 10-
year historical look-back period that includes stressed market events
that are not otherwise captured in the look-back period.
    The proposed new description would also provide that a stressed
period, if added to the look-back period, shall be no shorter than 6
months and no longer than 36 months, and comprised of either one
continuous period specified by a start date and an end date or
comprised of more than one non-continuous period. FICC states that it
is currently contemplating changing the stressed period at GSD from one
year to 1.5 years while keeping the current one-year stressed period at
MBSD unchanged.\13\
---------------------------------------------------------------------------

    \13\ Id.
---------------------------------------------------------------------------

    In addition, the proposed new description would provide that, when
determining whether it is necessary to add a stressed period to the 10-
year historical look-back period (and the appropriate length of an
added stressed period), FICC would review all relevant information
available to it at the time of such determination, including, for
example, (1) the nature of the stressed market events in the current
10-year historical look-back period, (2) backtesting coverage ratios,
and (3) market volatility observed by FICC. Further, the proposed new
description would provide that changes to the stressed period shall be
approved through FICC's model governance process set forth in the
Clearing Agency Model Risk Management Framework (``Framework''),\14\
and any current stressed period shall be documented and published to
FICC members at the time such stressed period becomes effective.\15\
---------------------------------------------------------------------------

    \14\ The Framework sets forth the model risk management
practices that FICC and its affiliates The Depository Trust Company
(``DTC'') and National Securities Clearing Corporation (``NSCC,''
and together with FICC and DTC, the ``Clearing Agencies'') follow to
identify, measure, monitor, and manage the risks associated with the
design, development, implementation, use, and validation of
quantitative models. The Framework is filed as a rule of the
Clearing Agencies. See Securities Exchange Act Release Nos. 81485
(Aug. 25, 2017), 82 FR 41433 (Aug. 31, 2017) (File Nos. SR-DTC-2017-
008; SR-FICC-2017-014; SR-NSCC-2017-008), 88911 (May 20, 2020), 85
FR 31828 (May 27, 2020) (File Nos. SR-DTC-2020-008; SR-FICC-2020-
004; SR-NSCC-2020-008), 92380 (Jul. 13, 2021), 86 FR 38140 (Jul. 19,
2021) (File No. SR-FICC-2021-006), 92381 (Jul. 13, 2021), 86 FR
38163 (Jul. 19, 2021) (File No. SR-NSCC-2021-008), 92379 (Jul. 13,
2021), 86 FR 38143 (Jul. 19, 2021) (File No. SR-DTC-2021-003), 94271
(Feb. 17, 2022), 87 FR 10411 (Feb. 24, 2022) (File No. SR-FICC-2022-
001), 94272 (Feb. 17, 2022) 87 FR 10419 (Feb. 24, 2022) (File No.
SR-NSCC-2022-001), and 94273 (Feb. 17, 2022), 87 FR 10395 (Feb. 24,
2022) (File No. SR-DTC-2022-001).
    \15\ See Notice, supra note 3, 88 FR at 14190.
---------------------------------------------------------------------------

    FICC believes that having a more general description would enable
FICC to adjust the stressed period more quickly and timely because the
adjustment process, such as constructing a stressed period comprised of
more than one year's historical data that may not be continuous,\16\
would be more streamlined and not require a rule change.\17\ By being
able to quickly and timely make adjustments to the stressed period,
FICC states that it would have the flexibility to respond to rapidly
changing market conditions more quickly and timely, which would, in
turn, help better ensure that FICC calculates and collects adequate
margin from members and risk manages its credit exposures to its
members.\18\ The look-back period would continue to be tracked in the
monthly model parameter report, pursuant to the QRM Methodology
Documents, and any changes to the look-back period \19\ would continue
to be subject to the internal model governance process of the
Depository Trust and Clearing Corporation (``DTCC''), as described in
the Framework.\20\
---------------------------------------------------------------------------

    \16\ FICC believes constructing a longer than one-year stressed
period, or a stressed period that may not be continuous, would
enable FICC to (i) better cope with market volatility spikes by
increasing the calibrated volatility level of the VaR models, i.e.,
longer stressed periods generally result in higher calibrated
volatility levels, and (ii) capture a sufficient number of stressed
market events. Id.
    \17\ Pursuant to Section 806(e)(1) of Title VIII of the Dodd-
Frank Wall Street Reform and Consumer Protection Act and Rule 19b-
4(n)(1)(i) under the Act, if a change materially affects the nature
or level of risks presented by FICC, then FICC is required to file
an advance notice filing. 12 U.S.C. 5465(e)(1) and 17 CFR 240.19b-
4(n)(1)(i).
    \18\ See Notice, supra note 3, 88 FR at 14190.
    \19\ The look-back period includes the stressed period, if any.
Id.
    \20\ See supra note 14.
---------------------------------------------------------------------------

    FICC conducted an impact study for the period from January 2021 to
October 2022 (``Impact Study''), which reviewed the overall impact of
the contemplated change to the stressed period (i.e., changing the
current stressed period of one year (September 2008 to August 2009) to
a stressed period of 1.5 years (January 2008 to June 2009) on the GSD
VaR model backtesting coverage and VaR Charge amounts, as well as the
effect on the GSD Members during the Impact Study period. The results
of the Impact Study indicate that, if a stressed period of 1.5 years
had been in place for GSD,\21\ the GSD's rolling 12-month VaR model
backtesting coverage ratio would have improved by 29 bps (from 98.52%

to 98.81%) as of October 2022 and the associated VaR Charge increase
for GSD would be approximately $387 million (or 2.1%) on average during
that period.\22\
---------------------------------------------------------------------------

    \21\ As noted above, FICC states that it is currently
contemplating changing the stressed period at GSD from one year to
1.5 years while keeping the current one-year stressed period at MBSD
unchanged. See Notice, supra note 3, 88 FR at 14190.
    \22\ FICC filed a summary of the Impact Study as confidential
Exhibit 3 to this proposed rule change. Exhibit 3 provides more
granular data concerning these results, including comparisons of the
GSD VaR model backtesting coverage ratios for the current stressed
period against the contemplated 1.5 year stressed period on a
monthly basis, as well as comparisons of member-level VaR Charge
amounts under those two stressed periods. FICC requested
confidential treatment of Exhibit 3 pursuant to 17 CFR 240.24-b2.
---------------------------------------------------------------------------

    The Impact Study further indicated that the three GSD Members with
the largest average daily VaR Charge increases in dollar amount during
the Impact Study period would have had increases of approximately $43.7
million, $43.24 million, and $39.55 million, representing an average
daily increase for such Members of 3.4%, 4.4%, and 2.8%, respectively.
The three GSD Members with the largest average daily VaR Charge
increases as a percentage of VaR Charges paid by such Members during
the Impact Study period would have had an average daily increase of
16.6%, 15.7% and 12.7%, respectively, had the contemplated stressed
period been in place.
    The three GSD Members with the largest average daily VaR Charge
decreases in dollar amount during the Impact Study period would have
had decreases of approximately $8.59 million, $7.93 million, and $7.24
million representing an average daily decrease for such Members of
4.3%, 1.3%, and 2.9%, respectively. The three GSD Members with the
largest average daily VaR Charge decreases as a percentage of VaR
Charges paid by such Members during the Impact Study period would have
had an average daily decrease of 4.3%, 4.0% and 3.4%, respectively, had
the contemplated stressed period been in place.

B. Clarifying the VaR Floor Parameter Language

    The VaR Charge is subject to a minimum amount (the ``VaR Floor'')
that FICC employs as an alternative to the amount calculated by the VaR
model for portfolios where the VaR Floor \23\ is greater than the
model-based charge amount. A VaR Floor 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 securities that have a high degree of
historical correlation. Because this high degree of historical price
correlation may not apply in future changing market conditions, FICC
applies a VaR Floor to protect FICC against such risk in the event that
FICC is required to liquidate a large securities portfolio in stressed
market conditions.\24\
---------------------------------------------------------------------------

    \23\ See definition of ``VaR Charge'' in GSD Rule 1
(Definitions), supra note 10.
    \24\ See Securities Exchange Act Release Nos. 83362 (Jun. 1,
2018), 83 FR 26514 (Jun. 7, 2018) (SR-FICC-2018-001) and 83223 (May
11, 2018), 83 FR 23020 (May 17, 2018) (SR-FICC-2018-801).
---------------------------------------------------------------------------

    VaR Floor at GSD is determined by multiplying the absolute value of
the sum of the Net Long Positions and Net Short Positions of Eligible
Securities, grouped by product and remaining maturity, by a percentage
designated by FICC from time to time for such group. Currently, the GSD
Rules provide that for (i) U.S. Treasury and agency securities, such
percentage shall be a fraction, no less than 10%, of the historical
minimum volatility of a benchmark fixed income index (i.e., haircut
rate) for such group by product and remaining maturity and (ii)
mortgage-backed securities, such percentage shall be a fixed percentage
that is no less than 0.05%.\25\ However, the GSD QRM Methodology
Document specifies these percentages (referred to as floor parameters
therein) for government bond and MBS Pool as simply 10% and 5 Bps,
respectively.
---------------------------------------------------------------------------

    \25\ See definition of ``VaR Charge'' in GSD Rule 1
(Definitions), supra note 10.
---------------------------------------------------------------------------

    To avoid inconsistency with the GSD Rules, FICC is proposing
clarifying changes to the floor parameter language in Section 2.10.1 of
the GSD QRM Methodology Document. Specifically, FICC is proposing to
revise the description of the floor parameter for government bond by
deleting the reference to 10% and adding language that state the
parameter is a percentage as designated by FICC from time to time
pursuant to the GSD Rules and applied to the haircut rate of the
respective government bonds. Similarly, for the description of the
floor parameter for MBS Pool, FICC is proposing to revise it by
deleting the reference to 5 Bps and adding language that state the
parameter is a percentage as designated by FICC from time to time
pursuant to the GSD Rules.
    In addition, FICC is proposing to add a sentence making it clear
that the floor parameters are tracked in the monthly model parameter
report and that any future changes to the floor parameters would be
subject to DTCC's internal model governance process set forth in the
Framework.\26\
---------------------------------------------------------------------------

    \26\ See supra note 14.
---------------------------------------------------------------------------

    Lastly, consistent with the proposed changes to the floor
parameters described above, FICC is proposing to delete from the GSD
QRM Methodology Document the language in Sections 3.2.2 (Calculation of
haircut of Treasury and Agency bonds without sensitivity analytics
data) and 3.5 (Total VaR, Core Charge and Standalone VaR) that
references the floor parameters for government bond and MBS pool
positions being tentatively set to 10% and 0.05%, respectively.

C. Technical Changes

    FICC is proposing to make certain technical changes to the GSD QRM
Methodology Document. Specifically, FICC proposes to clarify in
Sections 1.1 (Purpose and scope), A4.5.16 (Stressed VaR), and A<IP_ADDRESS>
(Stressed VaR Calculation) of the GSD QRM Methodology Document that
``SVaR'' refers to sensitivity VaR and not stressed VaR. In addition,
FICC is also proposing to fix typographical errors in Sections 2.10.1
(The list of key parameters) and A<IP_ADDRESS> (Stressed VaR Calculation)
of the GSD QRM Methodology Document.

II. Discussion and Commission Findings

    Section 19(b)(2)(C) of the Act directs the Commission to approve a
proposed rule change of a self-regulatory organization if it finds that
such proposed rule change is consistent with the requirements of the
Act and rules and regulations thereunder applicable to such
organization. After careful consideration, the Commission finds that
the proposed rule change is consistent with the requirements of the Act
and the rules and regulations thereunder applicable to FICC.\27\ In
particular, the Commission finds that the proposed rule change is
consistent with Sections 17A(b)(3)(F) and (b)(3)(I) of the Act,\28\ as
well as Rules 17Ad-22(e)(4) and (e)(6) thereunder.\29\
---------------------------------------------------------------------------

    \27\ 15 U.S.C. 78s(b)(2)(C).
    \28\ 15 U.S.C. 78q-1(b)(3)(F) and (b)(3)(I).
    \29\ 17 CFR 240.17Ad-22(e)(4)(i), (e)(6)(i), and (e)(6)(v).
---------------------------------------------------------------------------

A. Consistency With Section 17A(b)(3)(F) of the Act

    Section 17A(b)(3)(F) of the Act requires, in part, that the rules
of a clearing agency be designed to, among other things, promote the
prompt and accurate clearance and settlement of securities transactions
and assure the safeguarding of securities and funds which are in the
custody or control of the clearing agency or for which it is
responsible.\30\
---------------------------------------------------------------------------

    \30\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------

    As described in Section I.A above, FICC proposes replacing the
current detailed description of the stressed period in the QRM
Methodology

Documents with a more general description, so FICC would have the
flexibility to quickly adjust the look-back period FICC uses for
purposes of calculating the VaR Charge with an appropriate stressed
period, as needed, to enable FICC to calculate and collect adequate
margin from members. Specifically, the proposal would change the
current description of the stressed period in the QRM Methodology
Documents from a configurable continuous period that is typically one
year to a continuous period, or more than one non-continuous period,
that would be no shorter than 6 months and no longer than 36 months.
    As described above in Section I.A and in the Notice, FICC has
provided data demonstrating that if FICC had changed the current
stressed period of one year (September 2008 to August 2009) to a
stressed period of 1.5 years (January 2008 to June 2009), GSD's rolling
12-month VaR model backtesting coverage ratio would have increased from
98.52% to 98.81% during the period of January 2021 to October 2022.\31\
The Commission has reviewed FICC's data and agrees that its results
indicate that the proposed changes should help FICC generate margin
amounts that more effectively cover its credit exposures than under the
current rule.
---------------------------------------------------------------------------

    \31\ See Notice, supra note 3, 88 FR at 14191.
---------------------------------------------------------------------------

    Accordingly, the Commission believes that the proposed change to
the description of the stressed period should provide FICC with more
flexibility to quickly adjust the stressed period, which should enhance
FICC's ability to collect margin that better reflects the risks and
particular attributes of its members' portfolios during periods rapidly
changing market conditions. For these reasons, the Commission believes
that implementing this change should help ensure that, in the event of
a member default, FICC's operation of its critical clearance and
settlement services would not be disrupted because of insufficient
financial resources. Accordingly, the Commission finds that the change
to the description of the stressed period should help FICC to continue
providing prompt and accurate clearance and settlement of securities
transactions in the event of a member default, consistent with Section
17A(b)(3)(F) of the Act.
    Moreover, as described above in Section I, in the event of a
clearing member default, FICC would access the mutualized the Clearing
Fund should a defaulted member's own margin be insufficient to satisfy
losses to FICC caused by the liquidation of that member's portfolio.
The proposed change to the description of the stressed period should
help FICC collect sufficient margin from members, thereby limiting non-
defaulting members' exposure to mutualized losses in the event of a
member default. The Commission believes that by helping to limit the
exposure of FICC's non-defaulting members to mutualized losses, the
proposed changes should help FICC assure the safeguarding of securities
and funds which are in its custody or control, consistent with Section
17A(b)(3)(F) of the Act.
    In addition to the proposed changes to the stressed period, FICC
proposes several technical and conforming changes, described above in
Sections I.B and I.C, to enhance the clarity of the GSD QRM Methodology
Document. For example, for consistency with the GSD Rules, FICC would
clarify in the GSD QRM Methodology Document that the floor parameters
used for the calculation of the VaR Floor would be specified in the GSD
Rules, that those floor parameters would be tracked in the monthly
model parameter report, and that any future changes to the floor
parameters would be subject to DTCC's internal model governance
process. The Commission believes that greater clarity of the GSD QRM
Methodology Document should better enable FICC to effectively implement
the document's provisions. Accordingly, the Commission believes that
these proposed changes should better enable FICC to assess and collect
sufficient margin from its members, thereby assuring the safeguarding
of securities and funds that are in FICC's custody or control,
consistent with Section 17A(b)(3)(F) of the Act.

B. Consistency With Rule 17Ad-22(e)(4) Under the Act

    Rule 17Ad-22(e)(4)(i) under the Act requires a covered clearing
agency \32\ 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.\33\
---------------------------------------------------------------------------

    \32\ A ``covered clearing agency'' means, among other things, a
clearing agency registered with the Commission under Section 17A of
the Act (15 U.S.C. 78q-1 et seq.) that is designated systemically
important by Financial Stability Oversight Council (``FSOC'')
pursuant to the Clearing Supervision Act (12 U.S.C. 5461 et seq.).
See 17 CFR 240.17Ad-22(a)(5) and (a)(6). Because FICC is a
registered clearing agency with the Commission that has been
designated systemically important by FSOC, FICC is a covered
clearing agency.
    \33\ 17 CFR 240.17Ad-22(e)(4)(i).
---------------------------------------------------------------------------

    As described in Section I.A above, FICC's proposal to change the
description of the stressed period in the QRM Methodology Documents
should enhance FICC's ability to calculate and collect sufficient
margin from its members. For example, the results of FICC's Impact
Study demonstrate that during the period of January 2021 to October
2022, GSD's rolling 12-month VaR model backtesting coverage ratio would
have improved by 29 bps (from 98.52% to 98.81%) by increasing the look-
back period to 1.5 years.\34\ The added flexibility from the more
general description of the stressed period under the proposal should
also provide FICC with the ability to quickly adjust the stress period
in response to rapidly changing market conditions, which in turn,
should better enable FICC to risk manage its members' positions and
collect sufficient margin to effectively cover FICC's credit exposures.
---------------------------------------------------------------------------

    \34\ See supra note 22.
---------------------------------------------------------------------------

    Because the foregoing proposed changes should better enable FICC to
collect sufficient margin from members, the Commission believes that
the proposed changes should enhance FICC's ability to maintain
sufficient financial resources to cover its credit exposures to
applicable member portfolios fully with a high degree of confidence,
consistent with Rule 17Ad-22(e)(4)(i) under the Act.

C. Consistency With Rule 17Ad-22(e)(6) Under the Act

    Rule 17Ad-22(e)(6)(i) under the Act 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.\35\ Rule 17Ad-22(e)(6)(v) under the Act 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, uses an appropriate method for measuring
credit exposure that accounts for relevant product risk factors and
portfolio effects across products.\36\
---------------------------------------------------------------------------

    \35\ 17 CFR 240.17Ad-22(e)(6)(i).
    \36\ 17 CFR 240.17Ad-22(e)(6)(v).

---------------------------------------------------------------------------

    As described in Section I.A above, FICC's proposal to replace the
current detailed description of the stressed period with a more general
description should give FICC more flexibility to respond to rapidly
changing market conditions more quickly because FICC would be able to
make adjustments to the stressed period without a rule change. As a
result, this flexibility should enable FICC to better risk manage its
credit exposure by enhancing FICC's ability to calculate and collect
margin commensurate with the risks and particular attributes of each
member's portfolio.
    For these reasons, the Commission believes that the proposed
changes should help ensure that FICC produces margin levels
commensurate with the risks and particular attributes of its members'
portfolios by adding flexibility to parameters for the stressed period
to help ensure that the look-back period captures a sufficient number
of stressed market events, and allowing FICC to make timely adjustments
to the stressed period in response to rapidly changing market
conditions. Accordingly, the Commission believes that the proposed
changes would enhance FICC's risk-based margin system to better enable
FICC to cover its credit exposures to its members because the proposed
changes consider the risks and particular attributes of the relevant
products, portfolios, and markets, consistent with the requirements of
Rule 17Ad-22(e)(6)(i).\37\ Similarly, the Commission believes that the
proposed changes are reasonably designed to cover FICC's credit
exposures to its members because the proposed changes would enhance
FICC's risk-based margin system using appropriate methods for measuring
credit exposures that account for relevant product risk factors and
portfolio effects, consistent with the requirements of Rule 17Ad-
22(e)(6)(v).\38\
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    \37\ 17 CFR 240.17Ad-22(e)(6)(i).
    \38\ 17 CFR 240.17Ad-22(e)(6)(v).
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III. Conclusion

    On the basis of the foregoing, the Commission finds that the
proposed rule change is consistent with the requirements of the Act and
in particular with the requirements of Section 17A of the Act \39\ and
the rules and regulations promulgated thereunder. It is therefore
ordered, pursuant to Section 19(b)(2) of the Act \40\ that proposed
rule change SR-FICC-2023-003, be, and hereby are, approved.\41\
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    \39\ 15 U.S.C. 78q-1.
    \40\ 15 U.S.C. 78s(b)(2).
    \41\ In approving the proposed rule change, the Commission
considered the proposals' impact on efficiency, competition, and
capital formation. 15 U.S.C. 78c(f).

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\42\
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    \42\ 17 CFR 200.30-3(a)(12).
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Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2023-08827 Filed 4-26-23; 8:45 am]
BILLING CODE 8011-01-P