[Federal Register Volume 85, Number 128 (Thursday, July 2, 2020)]
[Notices]
[Page 39901]
[FR Doc No: 2020-14301]

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ENVIRONMENTAL PROTECTION AGENCY

[ER-FRL-9051-6]

Environmental Impact Statements; Notice of Availability

    Responsible Agency: Office of Federal Activities, General
Information<PHONE_NUMBER> or https://www.epa.gov/nepa.

Weekly receipt of Environmental Impact Statements (EIS).
Filed June 22, 2020, 10 a.m. EST Through June 26, 2020, 10 a.m. EST.
Pursuant to 40 CFR 1506.9.

Notice

    Section 309(a) of the Clean Air Act requires that EPA make public
its comments on EISs issued by other Federal agencies. EPA's comment
letters on EISs are available at: https://cdxnodengn.epa.gov/cdx-enepa-public/action/eis/search.

EIS No. 20200134, Final, USACE, FL, Combined Operational Plan, Review
Period Ends: 08/03/2020, Contact: Melissa Nasuti<PHONE_NUMBER>.

Amended Notice

EIS No. 20200068, Draft, NMFS, MA, Northeast Multispecies Fishery
Management Plan Draft Amendment 23, Comment Period Ends: 08/31/2020,
Contact: Mark Grant<PHONE_NUMBER>.

    Revision to FR Notice Published 5/29/2020; Extending the Comment
Period from 6/30/2020 to 8/31/2020.

EIS No. 20200100, Draft Supplement, NCPC, DHS, GSA, DC, St. Elizabeth's
Master Plan Amendment 2, Comment Period Ends: 07/16/2020, Contact: Paul
Gyamfi<PHONE_NUMBER>.

    Revision to FR Notice Published 5/8/2020; Extending the Comment
Period from 7/2/2020 to 7/16/2020.

EIS No. 20200120, Draft, FRA, DC, Washington Union Station Expansion
Project, Comment Period Ends: 09/28/2020, Contact: David Valenstein
202-493-6368.

    Revision to FR Notice Published 6/12/2020; Extending the Comment
Period from 7/27/2020 to 9/28/2020.

    Dated: June 29, 2020.
Cindy S. Barger,
Director, NEPA Compliance Division, Office of Federal Activities.
[FR Doc. 2020-14301 Filed 7-1-20; 8:45 am]
BILLING CODE 6560-50-P


[Federal Register: June 1, 2006 (Volume 71, Number 105)]
[Notices]
[Page 31239-31241]
[DOCID:fr01jn06-118]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-53869; File No. SR-CBOE-2006-38]

Self-Regulatory Organizations; Chicago Board Options Exchange,
Incorporated; Notice of Filing of Proposed Rule Change and Amendment
No. 1 Thereto Regarding Transfer of Designated Primary Market Maker
Appointments

May 25, 2006.
    Pursuant to section 19(b)(1) of the Securities Exchange Act of 1934
(``Act'') \1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that
on April 17, 2006, the Chicago Board Options Exchange, Incorporated
(``CBOE'' or ``Exchange'') 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 CBOE. On
May 11, 2006, the Exchange filed Amendment No. 1 to the proposed rule
change.\3\ The Commission is publishing this notice to solicit comments
on the proposed rule

change, as amended, from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ Amendment No. 1 replaced and superseded the original filing
in its entirety. In Amendment No. 1, CBOE corrected a reference in
the rule text and elaborated on the purpose of and rationale for the
proposed rule change.
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change

    CBOE proposes to amend its rules relating to the transfer of
Designated Primary Market Maker (``DPM'') appointments. The text of the
proposed rule change, as amended, is available on CBOE's Web site
(http://www.cboe.com), at CBOE's principal office, and at the

Commission's Public Reference Room.

II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, CBOE included statements
concerning the purpose of and basis for the proposed rule change and
discussed any comments it had received on the proposed rule change. The
text of these statements may be examined at the places specified in
Item IV below. CBOE has prepared summaries, set forth in Sections A, B,
and C below, of the most significant aspects of such statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change

1. Purpose
    The Exchange proposes to amend Exchange rules applicable to the
transfer of DPM appointments between CBOE members, which is governed by
CBOE Rule 8.89. Generally, any DPM proposing a sale, transfer, or
assignment of any ownership interest or a change to the DPM's capital
structure, voting authority, or distribution of profits or losses
(collectively, a ``transfer proposal'') must provide the appropriate
Exchange committee with the specifics and terms of the transfer
proposal in a form and manner specified under CBOE Rule 8.89(c). The
appropriate Exchange committee then will undergo a review process,
which includes a publication of notice of the transfer proposal and a
subsequent publication of the notice of the decision by the committee
on the transfer proposal.\4\ Currently, the appropriate Exchange
committee that reviews transfer proposals under CBOE Rule 8.89 is the
Allocation Committee.
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    \4\ See CBOE Rules 8.89(d) and (e).
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    The Exchange proposes to eliminate section (f) of CBOE Rule 8.89,
which subjects any transfer proposal decision made by the appropriate
Exchange committee (``transfer proposal decision'') to a 10-day review
period in which any transfer proposal decision may be directly reviewed
by the Board of Directors upon: (1) A written application by a party
claiming to be aggrieved \5\ by the DPM transfer decision, or (2) a
request for review by any five Directors.
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    \5\ Under CBOE Rule 8.89, a person must be ``aggrieved'' as
described in Chapter XIX of Exchange Rules.
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    The Exchange believes that, with the expiration of the DPM
appointment transfer fee in June 2004 \6\ and the fact that DPM
transfers, in general, have become more routine, the Board review
process under CBOE Rule 8.89(f) is no longer necessary. The Exchange
also believes that the elimination of CBOE Rule 8.89(f) will improve
the efficiency of the Exchange's decision-making processes. Currently,
because of the review process under CBOE Rule 8.89(f), a memo is
forwarded to the Board of Directors after each decision regarding a
transfer proposal is made. This requires Directors to take time to
review each of these matters so that they can determine whether to make
a request for review of the decision by the Board. Because transfer
proposal decisions have become more routine, the Exchange no longer
sees a need to have Directors devote special attention to these
decisions or for there to be a special review process for these
decisions that is different from the review processes and procedures
that are generally applicable to other Exchange decisions.
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    \6\ Until it expired on June 30, 2004, Interpretation and Policy
.02 of CBOE Rule 8.89 applied a transfer fee to certain types of DPM
transfers.
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    Further, any member aggrieved by a decision regarding a transfer
proposal decision could still seek a review of the decision through the
hearing and review process provided for under Chapter XIX of CBOE's
rules.\7\ In any such appeal proceeding under Chapter XIX, the decision
regarding a transfer proposal by the appropriate Exchange committee
under CBOE Rule 8.89 would be subject to review by the CBOE Appeals
Committee. Additionally, the Appeals Committee decision in the matter
would be subject to review by the CBOE Board of Directors on its own
motion, or could be appealed to the Board of Directors, pursuant to
CBOE Rule 19.5.
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    \7\ Chapter XIX of CBOE Rules governs the process by which
persons, including members, claiming to be economically aggrieved by
Exchange action may seek a review of such a decision.
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    Finally, as a matter of housekeeping, the Exchange proposes to
delete Interpretation and Policy .02 of CBOE Rule 8.89, which provided
for the application of a transfer fee on any DPM appointment transfer.
As this provision expired on June 30, 2004, continued inclusion in CBOE
Rules is unnecessary.
2. Statutory Basis
    Because it believes that the proposed rule change, as amended, will
make the review process for DPM appointment transfer proposals more
efficient, the Exchange believes that the proposed rule change, as
amended, is consistent with section 6(b) of the Act,\8\ in general, and
furthers the objectives of section 6(b)(5),\9\ in particular, in that
it is designed to promote just and equitable principles of trade, to
remove impediments to and perfect the mechanism of a free and open
market, and to protect investors and the public interest.
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    \8\ 15 U.S.C. 78f(b).
    \9\ 15 U.S.C. 78f(b)(5).
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B. Self-Regulatory Organization's Statement on Burden on Competition

    CBOE does not believe that the proposed rule change, as amended,
will impose any burden on competition that is not necessary or
appropriate in furtherance of the purposes of the Act.

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

    No written comments were solicited or received with respect to the
proposed rule change, as amended.

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

    Within 35 days of the date of publication of this notice in the
Federal Register or within such longer period (i) as the Commission may
designate up to 90 days of such date if it finds such longer period to
be appropriate and publishes its reasons for so finding, or (ii) as to
which CBOE consents, the Commission will:
    (A) By order approve such proposed rule change, as amended; or
    (B) Institute proceedings to determine whether the proposed rule
change, as amended, should be disapproved.

IV. Solicitation of Comments

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

Electronic Comments

     Use the Commission's Internet comment form http://www.sec.gov/rules/sro.shtml
); or

     Send an e-mail to<EMAIL_ADDRESS>Please include
File Number SR-CBOE-2006-38 on the subject line.

Paper Comments

     Send paper comments in triplicate to Nancy M. Morris,
Secretary, Securities and Exchange Commission, Station Place, 100 F
Street, NE., Washington, DC 20549-1090.
    All submissions should refer to File Number SR-CBOE-2006-38. This
file number should be included on the subject line if e-mail is used.
To help the Commission process and review your comments more
efficiently, please use only one method. The Commission will post all
comments on the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml
). Copies of the submission, all subsequent amendments,

all written statements with respect to the proposed rule change that
are filed with the Commission, and all written communications relating
to the proposed rule change between the Commission and any person,
other than those that may be withheld from the public in accordance
with the provisions of 5 U.S.C. 552, will be available for inspection
and copying in the Commission's Public Reference Room. Copies of such
filing also will be available for inspection and copying at the
principal office of CBOE. All comments received will be posted without
change; the Commission does not edit personal identifying information
from submissions. You should submit only information that you wish to
make publicly available. All submissions should refer to File Number
SR-CBOE-2006-38 and should be submitted on or before June 22, 2006.

    For the Commission, by the Division of Market Regulation,
pursuant to delegated authority.\10\
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    \10\17 CFR 200.30-3(a)(12).
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Nancy M. Morris,
Secretary.
 [FR Doc. E6-8480 Filed 5-31-06; 8:45 am]

BILLING CODE 8010-01-P


[Federal Register Volume 79, Number 65 (Friday, April 4, 2014)]
[Notices]
[Pages 18899-18900]
[FR Doc No: 2014-07499]

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DEPARTMENT OF ENERGY

Federal Energy Regulatory Commission

[Project No. 13757-002; Project No. 13761-002; Project No. 13768-002]

FFP Missouri 5, LLC, FFP Missouri 6, LLC, Solia 6 Hydroelectric,
LLC; Notice of Applications Tendered for Filing With the Commission and
Soliciting Additional Study Requests

    Take notice that the following hydroelectric applications have been
filed with the Commission and are available for public inspection.
    a. Type of Applications: Original Major Licenses.
    b. Project Nos.: 13757-002; 13761-002; 13768-002.
    c. Dates Filed: March 14, 2014.
    d. Applicants: FFP Missouri 5, LLC; FFP Missouri 6, LLC; Solia 6
Hydroelectric, LLC. All applicants are subsidiaries of Free Flow Power
Corporation.
    e. Names of Projects: Emsworth Locks and Dam Hydroelectric Project,
13757-002; Emsworth Back Channel Hydroelectric Project, 13761-002;
Montgomery Locks and Dam Hydroelectric Project, 13768-002.
    f. Locations: The proposed projects would be located at U.S. Army
Corps of Engineers' (Corps) dams on the Ohio River in Allegheny and
Beaver counties, Pennsylvania (see table below for specific locations).
The projects would occupy 23.5 acres of federal land managed by the
Corps.

----------------------------------------------------------------------------------------------------------------
       Project No.                 Projects              County and State                  City/town
----------------------------------------------------------------------------------------------------------------
P-13757..................  Emsworth Locks and Dam..  Allegheny, PA..........  Emsworth.
P-13761..................  Emsworth Back Channel     Allegheny, PA..........  Emsworth.
                            Dam.
P-13768..................  Montgomery Locks & Dam..  Beaver, PA.............  Borough of Industry.
----------------------------------------------------------------------------------------------------------------

    g. Filed Pursuant to: Federal Power Act, 16 U.S.C. 791(a)-825(r).
    h. Applicant Contact: Thomas Feldman, Vice President, Free Flow
Power Corporation, 239 Causeway Street, Suite 300, Boston, MA 02114; or
at<PHONE_NUMBER>.
    Ramya Swaminathan, Chief Operating Officer, Free Flow Power
Corporation, 239 Causeway Street, Suite 300, Boston, MA 02114; or at
(978) 238-2822.
    Daniel Lissner, General Counsel, Free Flow Power Corporation, 239
Causeway Street, Suite 300, Boston, MA 02114; or at<PHONE_NUMBER>.
    i. FERC Contact: Brandi Sangunett,<PHONE_NUMBER> or
<EMAIL_ADDRESS>    j. Cooperating agencies: Federal, state, local, and tribal agencies
with jurisdiction and/or special expertise with respect to
environmental issues that wish to cooperate in the preparation of the
environmental document should follow the instructions for filing such
requests described in item l below. Cooperating agencies should note
the Commission's policy that agencies that cooperate in the preparation
of the environmental document cannot also intervene. See, 94 FERC ]
61,076 (2001).
    k. Pursuant to section 4.32(b)(7) of 18 CFR of the Commission's
regulations, if any resource agency, Indian tribe, or person believes
that an additional scientific study should be conducted in order to
form an adequate factual basis for a complete analysis of the
application on its merit, the resource agency, Indian tribe, or person
must file a request for a study with the Commission not later than 60
days from the date of filing of the application, and serve a copy of
the request on the applicant.
    l. Deadline for filing additional study requests and requests for
cooperating agency status: May 13, 2014.
    The Commission strongly encourages electronic filing. Please file
additional study requests and requests for cooperating agency status
using the Commission's eFiling system at http://www.ferc.gov/docs-filing/efiling.asp. For assistance, please contact FERC Online Support
at<EMAIL_ADDRESS>(866) 208-3676 (toll free), or (202)
502-8659 (TTY). In lieu of electronic filing, please send a paper copy
to: Secretary, Federal Energy Regulatory Commission, 888 First Street
NE., Washington, DC 20426. The first page of any filing should include
the docket number(s) for the project(s) (e.g., P-13757-002).
    m. The applications are not ready for environmental analysis at
this time.
    n. The proposed Emsworth Locks and Dam Hydroelectric Project would
be the most upstream project at river mile (RM) 6.2 and would consist
of the following new facilities: (1) A 205-foot-long, 180-foot-wide
intake channel containing a 30-foot-long, 63.5-foot-high, 180-foot-wide
intake structure with 5-inch bar spacing trashracks; (2) a 180-foot-
long, 77-foot-high, 180-foot-wide reinforced concrete powerhouse on the
south bank of the river; (3) four turbine-generator units with a
combined capacity of 24 megawatts (MW); (4) a 380-foot-long, 280-foot-
wide tailrace; (5) a 50-foot-long by 60-foot-wide substation; (6) a
1,893-foot-long, 69-kilovolt (kV), overhead transmission line to
connect the project substation to an existing substation; and (7)
appurtenant facilities. The average annual generation would be 101,300
megawatt-hours (MWh).
    The proposed Emsworth Back Channel Dam Hydroelectric Project would
be located at RM 6.8 and consist of the following new facilities: (1) A
100-foot-long, 165-foot-wide intake channel containing a 32-foot-long,
63.5-foot-high, 90-foot-wide intake structure with 5-inch bar spacing
trashracks; (2) a 150-foot-long, 77-foot-high, 90-foot-wide reinforced
concrete powerhouse on the north bank of the river; (3) two turbine-
generator units with a combined capacity of 12.0 MW; (4) a 190-foot-
long, 105-foot-wide tailrace; (5) a 50-foot-long by 60-foot-wide
substation; (6) a 3,758-foot-long, 69-kV, overhead transmission line to
connect the project substation to an existing substation; and (7)
appurtenant facilities. The average annual generation would be 53,500
MWh.

    The proposed Montgomery Locks and Dam Hydroelectric Project would
be located at RM 31.7 and consist of the following new facilities: (1)
A 340-foot-long, 205-foot-wide intake channel containing a 150-foot-
long, 90-foot-high, 205-foot-wide intake structure with 5-inch bar
spacing trashracks; (2) a 315-foot-long, 105-foot-high, 205-foot-wide
reinforced concrete powerhouse on the north bank of the river; (3)
three turbine-generator units with a combined capacity of 42 MW; (4) a
280-foot-long, 210-foot-wide tailrace; (5) a 50-foot-long by 60-foot-
wide substation; (6) a 392-foot-long, 69-kV, overhead transmission line
to connect the project substation to an existing distribution line; and
(7) appurtenant facilities. The average annual generation would be
194,370 MWh.
    Free Flow Power proposes to operate all three projects in a ``run-
of-river'' mode using flows made available by the Corps. The proposed
projects would not change existing flow releases or water surface
elevations upstream or downstream of the proposed projects.
    o. Location of the Applications: A copy of each application is
available for review at the Commission in the Public Reference Room or
may be viewed on the Commission's Web site at http://www.ferc.gov using
the ``eLibrary'' link. Enter the docket number excluding the last three
digits in the docket number field to access the document. For
assistance, contact FERC Online Support at<EMAIL_ADDRESS>or toll-free at 1-866-208-3676, or for TTY,<PHONE_NUMBER>. Copies are
also available for inspection and reproduction at the address in item h
above.
    You may also register online at http://www.ferc.gov/docs-filing/esubscription.asp to be notified via email of new filings and issuances
related to this or other pending projects. For assistance, contact FERC
Online Support.
    p. Procedural schedule: The application will be processed according
to the following preliminary Hydro Licensing Schedule. Revisions to the
schedule will be made as appropriate.

------------------------------------------------------------------------
               Milestone                               Date
------------------------------------------------------------------------
Issue Notice of Acceptance.............  April 2014.
Issue Scoping Document 1 for Comments..  May 2014.
Hold Scoping Meeting...................  June 2014.
Comments Due on Scoping Document 1.....  July 2014.
Issue Scoping Document 2...............  August 2014.
Issue Notice of Ready for Environmental  August 2014.
 Analysis.
Commission Issues EA...................  February 2015.
------------------------------------------------------------------------

    Dated: March 27, 2014.
Kimberly D. Bose,
Secretary.
[FR Doc. 2014-07499 Filed 4-3-14; 8:45 am]
BILLING CODE 6717-01-P


Standard bcc's: official file copy w/ attachment( s) originator's file copy w/ attachment( s) originating organization reading file w/ attachment( s)

Other bcc's: ORA reading file Kay Hudson Naimah Karim Felicia Williams Shari Holloway William Dew ( electronic copy) Jennifer Manville ( electronic copy) Rita Cestaric R. Damberg, OAQPS ( electronic copy) L. Wallace, OAQPS ( electronic copy)

Path/ Filename: C:\ dmautop\ temp\ dwcgi 10693 1090345261 3479570 00. wpd Creation Date: July 20, 2004 ( 4: 14PM) Addresses Indians Enclosure 1 Review of Designations in Indiana For the Particulate Matter Air Quality Standard The following table identifies the individual areas and counties comprising those areas in Indiana, including any Indian Country within them, that EPA intends to designate as nonattainment for the fine particulate matter (" PM2.5") air quality standard. EPA intends to designate as attainment/ unclassifiable all areas not identified in the table below.

A monitor in Elkhart County, Indiana, has monitored violations of the PM2.5 air quality standard. The EPA believes that emissions in St. Joseph County contribute to these violations, and so EPA intends to designate St. Joseph County along with Elkhart County, including any Indian Country therein, as nonattainment for PM2.5.

Area Indiana Counties in Metropolitan Area EPA's Intended Nonattainment Counties Chicago Northwest Indiana Lake Porter Lake Porter Cincinnati Dearborn Ohio Dearborn Lawrenceburg Township only Elkhart Elkhart Elkhart Saint Joseph Evansville Vanderburgh Warrick Posey Vanderburgh Warrick Dubois Gibson Pike Spencer Indianapolis Boone Hamilton Hancock Hendricks Johnson Madison Marion Morgan Shelby Hamilton Hendricks Johnson Marion Morgan Louisville Clark Floyd Harrison Scott Clark Floyd Jefferson Enclosure 2 Review of Designations in Michigan For the Particulate Matter Air Quality Standard The following table identifies the individual areas and counties comprising those areas in Michigan, including any Indian Country within them, that EPA intends to designate as nonattainment for the fine particulate matter (" PM2.5") air quality standard. The EPA intends to designate as attainment/ unclassifiable all areas not identified in the table below.

Monitors in the Kalamazoo Battle Creek area are monitoring attainment, and so EPA intends to designate the counties in this area as attainment for PM2.5, including any Indian Country within them.

Area Michigan Counties in Metropolitan Area EPA's Intended Nonattainment Counties Detroit Ann Arbor Flint Monroe Wayne Livingston Macomb Oakland St Clair Washtenaw Genesee Lapeer Lenawee Monroe Wayne Livingston Macomb Oakland St Clair Washtenaw


[Federal Register: April 4, 2008 (Volume 73, Number 66)]
[Notices]
[Page 18547]
[DOCID:fr04ap08-75]

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DEPARTMENT OF HOMELAND SECURITY

Federal Emergency Management Agency

[FEMA-3284-EM]

Texas; Amendment No. 2 to Notice of an Emergency Declaration

AGENCY: Federal Emergency Management Agency, DHS.

ACTION: Notice.

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SUMMARY: This notice amends the notice of an emergency declaration for
the State of Texas (FEMA-3284-EM), dated March 14, 2008, and related
determinations.

EFFECTIVE DATE: March 27, 2008.

FOR FURTHER INFORMATION CONTACT: Peggy Miller, Disaster Assistance
Directorate, Federal Emergency Management Agency, 500 C Street, SW.,
Washington, DC 20472,<PHONE_NUMBER>.

SUPPLEMENTARY INFORMATION: The notice of an emergency declaration for
the State of Texas is hereby amended to include the following areas
among those areas determined to have been adversely affected by the
catastrophe declared an emergency by the President in his declaration
of March 14, 2008.

    Bastrop, Cottle, El Paso, Franklin, Kenedy, Lee, Madison,
McMullen, Red River, Roberts, Webb, Wood, and Yoakum Counties for
emergency protective measures, (Category B), limited to direct
Federal assistance, under the Public Assistance program.

    (The following Catalog of Federal Domestic Assistance Numbers
(CFDA) are to be used for reporting and drawing funds: 97.030,
Community Disaster Loans; 97.031, Cora Brown Fund; 97.032, Crisis
Counseling; 97.033, Disaster Legal Services; 97.034, Disaster
Unemployment Assistance (DUA); 97.046, Fire Management Assistance
Grant; 97.048, Disaster Housing Assistance to Individuals and
Households In Presidential Declared Disaster Areas; 97.049,
Presidential Declared Disaster Assistance--Disaster Housing
Operations for Individuals and Households; 97.050 Presidential
Declared Disaster Assistance to Individuals and Households--Other
Needs, 97.036, Disaster Grants--Public Assistance (Presidentially
Declared Disasters); 97.039, Hazard Mitigation Grant.)

R. David Paulison,
Administrator, Federal Emergency Management Agency.
 [FR Doc. E8-7016 Filed 4-3-08; 8:45 am]

BILLING CODE 9110-10-P


[Federal Register Volume 87, Number 225 (Wednesday, November 23, 2022)]
[Notices]
[Pages 71714-71719]
[FR Doc No: 2022-25474]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-96345; File Nos. SR-DTC-2022-006; SR-FICC-2022-004; SR-
NSCC-2022-006]

Self-Regulatory Organizations; The Depository Trust Company;
Fixed Income Clearing Corporation; National Securities Corporation;
Order Granting Proposed Rule Changes To Amend the Stress Testing
Framework and Liquidity Risk Management Framework

November 17, 2022.
    On May 26, 2022, The Depository Trust Company (``DTC''), Fixed
Income Clearing Corporation (``FICC''), and National Securities
Clearing Corporation (``NSCC'') (each a ``Clearing Agency,'' and
collectively, the ``Clearing Agencies''), filed with the Securities and
Exchange Commission (``Commission'') proposed rule changes SR-DTC-2022-
006, SR-FICC-2022-004, and SR-NSCC-2022-006 (the ``Proposed Rule
Changes'') pursuant to Section 19(b)(1) of the Securities Exchange Act
of 1934 (``Act'') \1\ and Rule 19b-4 thereunder \2\ to amend the Stress
Testing Framework and Liquidity Risk Management Framework adopted by
the Clearing Agencies, as well as to update the FICC Mortgage-Backed
Securities Division (``MBSD'') Rules.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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    The Proposed Rule Changes were published for comment in the Federal
Register on June 15, 2022.\3\ On July 14, 2022, the Commission
published notices designating a longer period of time for Commission
action and a longer period for public comment on the Proposed Rule
Changes.\4\ On September 9, 2022, the Commission issued orders
instituting proceedings on the Proposed Rule Changes.\5\ The Commission
has received comments on the changes proposed therein.\6\ This order
approves the Proposed Rule Changes.
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    \3\ Securities Exchange Act Release No. 95080 (June 9, 2022), 87
FR 36191 (June 15, 2022) (File No. SR-DTC-2022-006) (``DTC
Notice''); Securities Exchange Act Release No. 95079 (June 9, 2022),
87 FR 36182 (June 15, 2022) (File No. SR-FICC-2022-004) (``FICC
Notice''); Securities Exchange Act Release No. 95078 (June 10,
2022), 87 FR 36158 (June 15, 2022) (File No. SR-NSCC-2022-006)
(``NSCC Notice'').
    \4\ Securities Exchange Act Release No. 95282 (July 14, 2022),
87 FR 43354 (July 20, 2022) (SR-DTC-006); Securities Exchange Act
Release No. 95283 (July 14, 2022), 87 FR 43364 (July 20, 2022) (SR-
FICC-2022-004); Securities Exchange Act Release No. (July 14, 2022),
87 FR 43354 (July 20, 2022) (SR-NSCC-2022-006).
    \5\ Securities Exchange Act Release No. 95729 (Sept. 9, 2022),
87 FR 56733 (Sept. 15, 2022) (SR-DTC-2022-006); Securities Exchange
Act Release No. 95724 (Sept. 9, 2022), 87 FR 56732 (Sept. 15, 2022)
(SR-FICC-2022-004); Securities Exchange Act Release No. 95725 (Sept.
9, 2022), 87 FR 56735 (Sept. 15, 2022) (SR-NSCC-2022-006).
    \6\ Specifically, the Commission received comments only on the
DTC Notice, and the comment is available at https://www.sec.gov/comments/sr-dtc-2022-006/srdtc2022006.htm. The commenter raised a
concern regarding the confidentiality of the proposed rule. Id. DTC
asserted that the exhibits to the filing, including the proposed
rule, were entitled to confidential treatment because, if released,
they could cause harm to the Clearing Agencies and their
participants. Under Section 23(a)(3) of the Exchange Act, the
Commission is not required to make public statements filed with the
Commission in connection with a proposed rule change of a self-
regulatory organization if the Commission could withhold the
statements from the public in accordance with the Freedom of
Information Act (``FOIA''), 5 U.S.C. 552. 15 U.S.C. 78w(a)(3). The
Commission has reviewed the documents for which DTC requests
confidential treatment and concludes that they could be withheld
from the public under the FOIA. FOIA Exemption 4 protects
confidential commercial or financial information. 5 U.S.C.
552(b)(4). Under Exemption 4, information is confidential if it ``is
both customarily and actually treated as private by its owner and
provided to government under an assurance of privacy.'' Food
Marketing Institute v. Argus Leader Media, 139 S. Ct. 2356, 2366
(2019). The Commission understands that DTC has not disclosed the
confidential exhibits to the public, and believes that the
information is the type that would not customarily be disclosed to
the public. In addition, by requesting confidential treatment, DTC
had an assurance of privacy because the Commission generally
protects information that can be withheld under Exemption 4. Thus,
the Commission has determined to accord confidential treatment to
the confidential exhibits.
---------------------------------------------------------------------------

I. Description of the Proposed Rule Changes

A. Background and Overview of the Changes

    The Clearing Agencies adopted the Clearing Agency Stress Testing
Framework (Market Risk) (``ST Framework'') to set forth the manner in
which they identify, measure, monitor, and manage their credit
exposures to participants and those arising from their respective
payment, clearing, and settlement processes by, for example,
maintaining sufficient prefunded financial resources to cover its
credit exposures to each participant fully with a high degree of
confidence and testing the sufficiency of those prefunded financial
resources through stress testing.\7\ The ST Framework describes the
stress testing activities of each of the Clearing Agencies. The
Clearing Agencies adopted the Clearing Agency Liquidity Risk Management
Framework (``LRM Framework,'' and, together with the ST Framework, the
``Frameworks'') to set forth the manner in which they measure, monitor
and manage the liquidity risks that arise in or are borne by each of
the Clearing Agencies by, for example, (1) maintaining sufficient
liquid resources to effect same-day settlement of payment obligations
with a high degree of confidence under a wide range of foreseeable
stress scenarios that includes, but is not limited to, the default of
the participant family that would generate the largest aggregate
payment obligation for each Clearing Agency in extreme but plausible
market conditions, and (2) determining the amount and regularly testing
the sufficiency of qualifying liquid resources by conducting stress
testing of those resources.\8\ The LRM Framework describes the
liquidity risk management activities of each of the Clearing Agencies.
---------------------------------------------------------------------------

    \7\ Securities Exchange Act Release No. 82368 (Dec. 19, 2017),
82 FR 61082 (Dec. 26, 2017) (SR-DTC-2017-005; SR-FICC-2017-009; SR-
NSCC-2017-006) (``Initial ST Framework Order'').
    \8\ Securities Exchange Act Release Nos. 82377 (December 21,
2017), 82 FR 61617 (December 28, 2017) (File Nos. SR-DTC-2017-004;
SR-FICC-2017-008; SR-NSCC-2017-005) (``Initial LRM Framework
Order'').
---------------------------------------------------------------------------

    First, the proposed rule change would amend both the ST Framework
and the LRM Framework to move descriptions of the Clearing Agencies'
liquidity stress testing activities,\9\ from the LRM Framework to the
ST Framework. In connection with this proposed change, the Clearing
Agencies are also proposing to recategorize the liquidity stress
scenarios by removing the Level 1, Level 2 and Level 3 labels and
instead categorizing all stress scenarios as either regulatory or
informational.
---------------------------------------------------------------------------

    \9\ 17 CFR 240.17Ad-22(e)(7)(vi).
---------------------------------------------------------------------------

    Second, the proposed changes would amend the ST Framework to (1)
enhance stress testing for GSD to obtain certain data utilized in
stress testing from external vendors and implement a back-up stress
testing calculation that would

be utilized in the event such data is not supplied by its vendors, and
amend the ST Framework to reflect these practices for both GSD and
MBSD; (2) reflect that a stress testing team is primarily responsible
for the actions described in the ST Framework, and (3) make other
revisions to update and clarify the statements in the ST Framework, as
further described below.
    Third, the proposed changes would amend the LRM Framework to update
and clarify the statements in the LRM Framework, as further described
below.
    Finally, the proposed changes would amend the MBSD Rules to remove
duplicative disclosures regarding the stress testing program, as
further described below.

B. Changes To Move Activities Related To Stress Testing Qualifying
Liquid Resources From the LRM Framework to the ST Framework

    The proposed changes would amend both the ST Framework and the LRM
Framework to move descriptions of the Clearing Agencies' liquidity
stress testing activities from the LRM Framework to the ST Framework.
These activities are primarily performed by the Stress Testing Team
within the Group Chief Risk Office (``GCRO'') of the Depository Trust
and Clearing Corporation, which includes members of the Market Risk
Management and the Liquidity Risk Management groups within the
GCRO.\10\ The Clearing Agencies state that the Stress Testing Team,
which was previously responsible for stress testing the Clearing
Agencies' prefunded financial resources, as part of the market risk
management function, took over stress testing of the Clearing Agencies'
liquidity resources related to liquidity risk management in order to
centralize stress testing activities and related responsibilities under
one team.\11\
---------------------------------------------------------------------------

    \10\ DTCC is the parent company of the Clearing Agencies. DTCC
operates on a shared services model with respect to the Clearing
Agencies and its other subsidiaries. Most corporate functions are
established and managed on an enterprise-wide basis pursuant to
intercompany agreements under which it is generally DTCC that
provides a relevant service to its subsidiaries, including the
Clearing Agencies.
    \11\ DTC Notice, supra note 3, 87 FR at 36193; FICC Notice,
supra note 3, 87 FR at 36184; NSCC Notice, supra note 3, 87 FR at
36159.
---------------------------------------------------------------------------

    The Clearing Agencies propose several amendments to both the ST
Framework and the LRM Framework to incorporate these changes. First,
Section 1 (Executive Summary) and Section 4 (Liquidity Risk Management
Regulatory Requirements) of the LRM Framework would be amended to make
clear that compliance with the requirements of Rule 17Ad-22(e)(7)(vi)
are not addressed in that document, and are addressed in the ST
Framework. Section 2 (Glossary of Key Terms) of the LRM Framework would
also be amended to include definitions of ``Clearing Agency Stress
Testing Framework'' and the ``Stress Testing Team,'' and to remove the
definition of the Enterprise Stress Testing Council, which is an
internal forum that addresses stress testing matters. Finally, Section
6 (Liquidity Risk Management) of the LRM Framework would be amended to
describe at a high-level the activities related to stress testing of
the Clearing Agencies' qualifying liquid resources and to state that
these activities are described in greater detail in the ST Framework.
    The proposed change would also require revisions throughout the ST
Framework to include descriptions of liquidity stress testing
activities that support the Clearing Agencies' compliance with the
requirements of Rule 17Ad-22(e)(7)(vi) within the existing sections of
the ST Framework. These proposed changes would include revisions to
Section 1 (Executive Summary) of the ST Framework to clarify that
stress testing related to liquidity risk management is described in
this document, and revisions to Section 2 (Glossary of Key Terms) to
include definitions related to these activities. These definitions
would include the Liquidity Risk Management group within GCRO and a
Clearing Agency Liquidity Risk Management Framework. Section 4 of the
ST Framework would be renamed ``Stress Testing Requirements'' and would
be amended to make clearer which requirements in Rules 17Ad-22(e)(4)
and (7) are addressed in the ST Framework, and to identify the
documents where the requirements not addressed in the ST Framework are
addressed.
    The proposed changes to the ST Framework would create a new Section
6, which would be named ``Qualifying Liquid Resources--Liquidity Risk
Management,'' to describe at a high-level how each of the Clearing
Agencies determine the amount and regularly test the sufficiency of
their respective qualifying liquid resources. This new section would
include language that is substantially identical to language that would
be removed from Section 6 (Liquidity Risk Management) of the LRM
Framework.
    The new Section 7 (Stress Testing Methodologies) (previously
numbered Section 6) of the ST Framework would be updated to include
descriptions of the methodologies used in liquidity stress testing.
Such methodologies would not change substantively, and the language
used in the revisions to this section would be substantively identical
to language that would be removed from Section 6 (Liquidity Risk
Management) of the LRM Framework.
    Finally, the new Section 8 of the ST Framework (previously numbered
Section 7), which would be renamed ``Stress Testing Governance and
Escalation Procedures,'' would be amended to include matters related to
liquidity stress testing. More specifically, the new Section 8.1 would
address governance and oversight of stress testing, which is set forth
in a number of internal documents, and overseen by a stress testing
committee, the Management Risk Committee and the Risk Committee of the
Board of Directors of the Clearing Agencies. The new Section 8.2 would
describe the daily monitoring for threshold breaches and liquidity
shortfalls, and the escalations and actions that would follow those
breaches. More specifically, the Clearing Agencies monitor for breaches
of a ``Cover One Ratio,'' which is defined as the ratio of a family of
affiliated Members' deficiency over the total value of the applicable
Clearing Agencies' Clearing Fund or Participants Fund, excluding the
sum value of the applicable family's required deposit to the Clearing
Fund or Participants Fund, as applicable. With respect to liquidity
stress testing, the Clearing Agencies monitor daily for liquidity
shortfalls, which trigger a series of escalations and remediation
actions, which would be identified in this new Section 8.2.
    The new Section 8.3 would address comprehensive analyses of stress
scenarios, which occur on at least a monthly basis. These analyses
include (1) daily stress testing results, model parameters, model
assumptions, and model performance, and (2) each stress scenario set
for its comprehensiveness and relevance, including any changes or
updates to such scenarios for the period. The new Section 8.4 would
address the escalations and reporting of the monthly analyses of stress
scenarios. Finally, the new Section 8.5 would address the regular
escalation of the results of stress testing, including any concerns
related to those results.
    Each of these subsections would address stress testing related to
market risk, using language that is currently in the ST Framework, and
would include language to address liquidity stress testing that would
be substantially similar to the language removed from the LRM
Framework. Revisions to the language removed from the LRM

Framework would be primarily drafting revisions, as the Clearing
Agencies are not proposing changes to how they conduct liquidity stress
testing.\12\
---------------------------------------------------------------------------

    \12\ DTC Notice, supra note 3, 87 FR at 36192, 36193; FICC
Notice, supra note 3, 87 FR at 36185; NSCC Notice, supra note 3, 87
FR at 36160.
---------------------------------------------------------------------------

    In connection with the changes described above, the proposed
amendments would also reflect the recategorization of liquidity stress
scenarios. Previously, liquidity stress scenarios were categorized as
Level 1, 2 and 3 scenarios. Level 1 scenarios described qualifying
liquid resources under normal market conditions and were considered
``baseline'' scenarios. Level 2 scenarios assumed a wide range of
foreseeable stress scenarios that included, but were not limited to,
the default of the family of affiliated Members that would generate the
largest aggregate payment obligation for each Clearing Agency in
extreme but plausible market conditions. These scenarios were designed
to identify the qualifying liquid resources each Clearing Agency should
maintain to meet compliance with Rule 17Ad-22(e)(7)(i). Finally, the
Level 3 scenarios were divided into either (1) regulatory scenarios,
which were designed to meet the requirements of Rule 17Ad-
22(e)(7)(vi)(A), and (2) informational scenarios, which were designed
to be performed for informational and monitoring purposes using stress
scenarios that exceed the requirements of Rule 17Ad-
22(e)(7)(vi)(A).\13\
---------------------------------------------------------------------------

    \13\ Initial LRM Framework Order, supra note 7, 82 FR at 61619.
---------------------------------------------------------------------------

    The Clearing Agencies state that, while they continue to maintain a
wide range of stress scenarios that are designed to comply with the
requirements of Rules 17Ad-22(e)(7), in order to simplify the
descriptions of its liquidity stress scenarios and align them with the
categorization of market risk stress scenarios, the Clearing Agencies
have re-categorized the liquidity stress scenarios and eliminated the
Level 1, Level 2 and Level 3 categories. Instead, all stress scenarios
would be described in Section 6 of the ST Framework as being either (1)
regulatory stress scenarios, which are designed to comply with the
requirements of Rules 17Ad-22(e)(4)(i) and (vi)(A), and Rules 17Ad-
22(e)(7)(i) and (vi)(A); or (2) informational stress scenarios, which
may utilize parameters and assumptions that exceed the requirements of
Rules 17Ad-22(e)(4)(vi)(A) and (7)(vi)(A) and are utilized for
informational, analytical and/or monitoring purposes only. The Clearing
Agencies state that this proposed change is a change only to the
categorization of these stress scenarios and is not a change to how the
Clearing Agencies conduct liquidity stress testing or otherwise meet
the requirements of Rule 17Ad-22(e)(7)(vi)(A).\14\ Those revisions
regarding the categorization of the liquidity stress scenarios would be
reflected in Section 7 of the ST Framework.
---------------------------------------------------------------------------

    \14\ DTC Notice, supra note 3, 87 FR at 36194; FICC Notice,
supra note 3, 87 FR at 36184; NSCC Notice, supra note 3, 87 FR at
36160.
---------------------------------------------------------------------------

C. Proposed Amendments to the ST Framework

    The proposed changes would amend the ST Framework to (1)
incorporate the use of certain data utilized in stress testing from
external vendors and implement a back-up stress testing calculation
that would be utilized in the event such data is not supplied by its
vendors, similar to the process currently used at MBSD, which is
currently the case; (2) reflect that a stress testing team is primarily
responsible for the actions described in the ST Framework, and (3) make
other revisions to update and clarify the statements in the ST
Framework, as further described below.
1. Enhance GSD Stress Testing To Use Vendor-Sourced Data
    First, the proposed changes would amend GSD stress testing to
utilize vendor-supplied historical risk factor time series data
(``Historical Data'') and vendor-supplied security-level risk
sensitivity data (``Security-Level Data'') in the stress testing
program. This proposed enhancement would be similar to the approach
utilized in MBSD stress testing.\15\
---------------------------------------------------------------------------

    \15\ See Securities Exchange Act Release No. 88382 (March 13,
2020), 85 FR 15830 (March 19, 2020) (SR-FICC-2020-801).
---------------------------------------------------------------------------

    The vendor-sourced Historical Data would include data regarding (1)
interest rate, (2) implied inflation rate, (3) agency spread, (4)
mortgage option adjusted spread, (5) interest rate volatility, and (6)
mortgage basis. The vendor-sourced Security-Level Data would include
data regarding (1) sensitivity to interest rates, (2) implied inflation
rate, (3) agency spread, (4) convexity, (5) sensitivity to mortgage
option adjusted spread, (6) sensitivity to interest rate volatility,
and (7) sensitivity to mortgage basis. FICC currently utilizes the
Historical Data and Security-Level Data in GSD's value-at-risk
(``VaR'') model, which calculates the VaR Charge component of GSD's
Clearing Fund (referred to in the GSD Rulebook as Required Fund
Deposit).\16\ FICC now proposes to use at GSD the data set currently
used in MBSD's stress testing program.
---------------------------------------------------------------------------

    \16\ GSD Rulebook, available at https://www.dtcc.com/~/media/
Files/Downloads/legal/rules/ficc_gov_rules.pdf.
---------------------------------------------------------------------------

    As described in greater detail in the ST Framework,\17\ stress
testing involves three key components: (1) risk identification, (2)
scenario development, which involves the construction of comprehensive
and relevant sets of extreme but plausible historical and hypothetical
stress scenarios; and (3) risk measurement and aggregation, in which
risk metrics are calculated to estimate the profits and losses in
connection with the hypothetical close out of a participant's portfolio
in certain stress scenarios.
---------------------------------------------------------------------------

    \17\ These key components of stress testing are also described
in the Initial ST Framework Filing. See supra note 6.
---------------------------------------------------------------------------

    FICC would utilize the vendor-sourced data in the development of
historical stress scenarios and in the risk measurement and aggregation
process of the GSD stress testing program. More specifically, the
Historical Data would be used to identify the largest historical
changes of risk factors that influence the pricing of product cleared
by GSD, in connection with the development of stress scenarios. The
vendor-sourced Historical Data would identify stress risk exposures
under broader and more varied market conditions than the data currently
available to FICC.
    FICC would utilize both the Historical Data and the Security-Level
Data in the risk measurement and aggregation process of stress testing.
FICC believes that the vendor-sourced Security-Level Data is more
stable and robust than the data currently utilized by FICC for GSD
stress testing.\18\ Because the stress profits and losses calculation
that occur in connection with the risk measurement and aggregation
process in stress testing would include Security-Level Data, FICC
believes that the calculated results would be improved and would
reflect results that are closer to actual price changes for government
securities during larger market moves which are typical of stress
testing scenarios.\19\
---------------------------------------------------------------------------

    \18\ FICC Notice, supra note 3, 87 FR at 36185.
    \19\ Id.
---------------------------------------------------------------------------

    Finally, the proposed changes to enhance GSD stress testing would
also implement a back-up calculation that GSD would utilize in the
event that the vendor fails to provide such data to GSD. Specifically,
if the vendor fails to provide any data or a significant portion of
data in accordance with the timeframes agreed to by FICC and the
vendor, FICC would use the most recently available data on the first
day that such disruption occurs in its stress

testing calculations. Subject to discussions with the vendor, if FICC
determines that the vendor would resume providing data within five (5)
Business Days, FICC would determine whether the daily stress testing
calculation should continue to be calculated by using the most recently
available data or whether the back-up calculation (as described below)
should be invoked. Subject to discussions with the vendor, if FICC
determines that the data disruption would extend beyond five (5)
Business Days, the back-up calculation would be employed for daily
stress testing, subject to appropriate internal governance.
    The proposed back-up calculation would include the following
calculations: (1) calculate each Netting Member's portfolio net
exposures, (2) calculate the historical stress return, and (3)
calculate each Netting Member's stress profits and losses. FICC would
use publicly available indices as the data source for the stress return
calculations. This calculation would be referred to as the Back-up
Stress Testing Calculation in the ST Framework.
    The Clearing Agencies would describe the use of vendor-sourced data
in stress testing for GSD and MBSD and the Back-up Stress Testing
Calculation, as described above, in a new Section 7.1 of the ST
Framework.
2. Identify the Stress Testing Team as Responsible for Stress Testing
    As described above, stress testing for the Clearing Agencies is
primarily performed by the Stress Testing Team, which includes members
of both Market Risk Management and Liquidity Risk Management of DTCC
within GCRO. The Stress Testing Team took over stress testing
responsibilities related to liquidity risk management in late 2019 to
centralize stress testing and related responsibilities under one team.
    Therefore, the Clearing Agencies are proposing to include a general
statement in Section 1 (Executive Summary) of the ST Framework that,
unless otherwise specified, actions in the ST Framework related to
stress testing are performed by the Stress Testing Team. The proposed
changes would also amend Section 3 (Framework Ownership and Change
Management) of the ST Framework to make it clear that the Stress
Testing Team owns and manages the ST Framework and is responsible for
reviewing the ST Framework no less frequently than annually.
    In connection with this proposed change, the ST Framework would
also be updated to describe actions related to stress testing without
specifically identifying the group responsible for those actions. These
proposed changes would simplify the descriptions in the ST Framework,
while clarifying the team responsible for conducting these actions in a
general statement in the ST Framework.
3. Update and Clarify the ST Framework
    Finally, the proposed changes would also make immaterial revisions
to update and clarify the ST Framework. For example, the proposed
changes would update the names of certain documents that support the ST
Framework to refer to the Clearing Agencies, rather than DTCC, in the
document titles. These documents were renamed to conform to internal
document naming conventions. The proposed changes would also amend
Section 2 (Glossary of Key Terms) of the ST Framework to clarify and
simplify the use of certain key terms. For example, the proposed
changes would move the definitions of ``Members'' and ``Participants''
from a footnote in Section 4 to Section 2, and would update the
definition of ``BRC,'' which refers to the Risk Committee of the Boards
of Directors of the Clearing Agency, to be more descriptive.
    The proposed amendments would update Section 4 (Stress Testing
Requirements) of the ST Framework to (1) more clearly state which
requirements under Rules 17Ad-22(e)(4) and (7) are addressed in the ST
Framework, (2) identify the separate documents that describe the
requirements that are not addressed in the ST Framework, and (3)
identify the requirements that are not applicable to the Clearing
Agencies and, therefore, not described in any document.
    In addition, the proposed change would also revise the description
of reverse stress testing to more clearly describe the goal and purpose
of this testing.\20\ Specifically, reverse stress testing is used to
identify tail risks by using extreme stress scenarios. In this way,
reverse stress testing, which is conducted semi-annually, can be used
to inform regular stress testing activities. The proposed changes would
provide more transparency into the purpose of reverse stress testing
conducted by the Clearing Agencies.
---------------------------------------------------------------------------

    \20\ Tail risk generally refers to risks of outcomes that are
caused by extreme or rare events.
---------------------------------------------------------------------------

    None of these proposed changes would make substantive revisions to
the ST Framework or reflect material changes to how the Clearing
Agencies conduct the activities described in the ST Framework but would
update and clarify those descriptions.\21\
---------------------------------------------------------------------------

    \21\ DTC Notice, supra note 3, 87 FR at 36195; FICC Notice,
supra note 3, 87 FR at 36186; NSCC Notice, supra note 3, 87 FR at
36161.
---------------------------------------------------------------------------

D. Proposed Amendments To Update and Clarify the LRM Framework

    In addition to removing descriptions of stress testing activities
from the LRM Framework, as described in section I.A above, the proposed
changes would also make immaterial revisions to update and clarify the
LRM Framework. For example, the proposed changes would update the name
of the team within the GCRO that is responsible for liquidity risk
management from the Liquidity Product Risk Unit, or LPRU, to Liquidity
Risk Management. This proposed change would reflect a recent
organizational change to the name of this group.\22\
---------------------------------------------------------------------------

    \22\ DTC Notice, supra note 3, 87 FR at 36195; FICC Notice,
supra note 3, 87 FR at 36186; NSCC Notice, supra note 3, 87 FR at
36161.
---------------------------------------------------------------------------

    Additionally, the proposed changes would update Section 10
(Liquidity Risk Tolerances) of the LRM Framework to state that an
officer in Liquidity Risk Management is responsible for reviewing the
Liquidity Risk Tolerance Statement.\23\ The LRM Framework currently
identifies the specific title of the individual who is responsible for
reviewing the Liquidity Risk Tolerance Statement on at least an annual
basis. The proposed change would provide the Clearing Agencies with
flexibility to change the title of the person responsible for this
review.\24\
---------------------------------------------------------------------------

    \23\ The Liquidity Risk Tolerance Statement is liquidity risk
management control that, among other things, (1) defines liquidity
risk and describes how liquidity risk would materialize for each
Clearing Agency specifically, (2) sets forth how liquidity risk is
monitored by the Clearing Agencies, and (3) describes the various
risk tolerance levels and thresholds for each Clearing Agency.
    \24\ DTC Notice, supra note 3, 87 FR at 36195; FICC Notice,
supra note 3, 87 FR at 36186; NSCC Notice, supra note 3, 87 FR at
36161-62.
---------------------------------------------------------------------------

E. Proposed Amendments to MBSD Rules To Remove Stress Testing
Descriptions

    Finally, the proposed rule change would remove descriptions of
stress testing from the MBSD Rules, which would be duplicative of
statements added to the ST Framework, described above. The Clearing
Agencies do not believe that it is necessary to describe its stress
testing program in multiple places in its rules, and that duplicative
disclosures create a risk of inconsistencies. The ST Framework was
designed to, among other things, describe the manner in which the
Clearing Agencies test the sufficiency of their respective prefunded
financial

resources through stress testing and, therefore, the Clearing Agencies
believe this is the appropriate rule for these disclosures.\25\
---------------------------------------------------------------------------

    \25\ FICC Notice, supra note 3, 87 FR at 36186-87.
---------------------------------------------------------------------------

    As such, the proposed change would remove the duplicative
descriptions of the MBSD stress testing program from the MBSD Rules by
deleting the definition of ``Back-up Stress Testing Calculation'' from
MBSD Rule 1 and Section 13 of MBSD Rule 4. As described in section
II.C.1 above, the matters being removed from the MBSD Rules in this
proposal would be addressed in the ST Framework.

II. Discussion and Commission Findings

    Section 19(b)(2)(C) of the Act \26\ 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 carefully considering the Proposed Rule
Change, 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. In particular, the
Commission finds that the Proposed Rule Change is consistent with
Sections 17A(b)(3)(F) \27\ of the Act and Rule 17Ad-22(e)(4)
thereunder.\28\
---------------------------------------------------------------------------

    \26\ 15 U.S.C. 78s(b)(2)(C).
    \27\ 15 U.S.C. 78q-1(b)(3)(F).
    \28\ 17 CFR 240.17Ad-22(e)(4).
---------------------------------------------------------------------------

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

    Section 17A(b)(3)(F) of the Act \29\ requires the rules of a
clearing agency to, among other things, (i) promote the prompt and
accurate clearance and settlement of securities transactions, (ii)
assure the safeguarding of securities and funds which are in the
custody or control of the clearing agency or for which it is
responsible, and (iii) protect investors and the public interest.
---------------------------------------------------------------------------

    \29\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------

    As described above in sections I.B, I.C.2, I.C.3, I.D, and I.E, the
proposed changes would (1) amend both the ST Framework and the LRM
Framework to move the descriptions of liquidity stress testing from the
LRM Framework to the ST Framework, as well as to simplify the
categorization of the liquidity stress scenarios; (2) amend the ST
Framework to reflect that the Stress Testing Team is primarily
responsible for stress testing activities; (3) update and clarify
descriptions within the ST Framework; (4) update and clarify
descriptions within the LRM Framework; and (5) remove certain
duplicative sections from the MBSD Rules, as described above. These
proposed changes should assist the Clearing Agencies in carrying out
their stress testing and liquidity risk management functions and
improve the clarity of the Frameworks in describing the Clearing
Agencies' processes and responsibilities. With respect to the ST
Framework, as described in sections I.B, I.C.2, and I.C.3, these
changes should help maintain the Clearing Agencies' ability to
determine and evaluate the credit risk presented by Clearing Agencies'
members by testing (i) the sufficiency of their credit resources in a
variety of extreme but plausible scenarios, and (ii) the potential
losses to the Clearing Agencies from a participant default. The
continued ability to evaluate credit risk could, in turn, enable the
Clearing Agencies to deploy their risk-management tools more
effectively to manage the credit and market presented by such members.
Through such preparation, the Framework could decrease the possibility
of a member default. By enabling the Clearing Agencies to use their
risk-management tools to monitor its credit and market more
effectively, the proposed amendments to the ST Framework are designed
to help mitigate the risk that the Clearing Agencies and their non-
defaulting members would suffer a loss from a member default.
    Similarly, with respect to the LRM Framework, as described in
sections I.D, these changes should help continue the Clearing Agencies'
ability to carry out its liquidity risk management strategy such that,
with respect to FICC and NSCC, they maintain liquid resources
sufficient to meet the potential amount of funding required to settle
outstanding transactions of a defaulting participant or family of
affiliated participants in a timely manner, and with respect to DTC, it
maintains sufficient available liquid resources to complete system-wide
settlement on each business day, with a high degree of confidence and
notwithstanding the failure to settle of the participant or affiliated
family of participants with the largest settlement obligation. As such,
the Clearing Agencies' liquidity risk management strategies address the
Clearing Agencies' maintenance of sufficient liquid resources, which
allow them to continue the prompt and accurate clearance and settlement
of securities and can continue to assure the safeguarding of securities
and funds which are in their custody or control or for which they are
responsible notwithstanding the default of a participant or family of
affiliated participants.
    In addition, moving the description of the Clearing Agencies'
liquidity stress testing activities into the ST Framework, the proposed
change should create a description of the Clearing Agencies' collective
stress testing activities in one place. Moreover, based on its review
of the Proposed Rule Changes and its supervisory knowledge, the
Commission understands that the Clearing Agencies are not amending
their stress testing program in a substantive manner, but instead are
reorganizing the stress testing scenarios and Frameworks to avoid
duplication and confusion.
    Therefore, the Commission finds that the proposed rule changes are
designed to help promote prompt and accurate clearance and settlement,
and assure the safeguarding of securities and funds which are in the
custody or control of the Clearing Agencies or for which they are
responsible, consistent with Section 17A(b)(3)(F) of the Act.\30\
---------------------------------------------------------------------------

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

    Second, as described in Section I.C.1, FICC proposes to use vendor-
supplied data in GSD's stress testing program. The Commission believes
that vendor-supplied data should allow FICC to identify and analyze
risk exposures under a broad and varied range of stressed market
conditions, which should, in turn, help FICC identify the amount of
financial resources necessary to cover its credit exposure under stress
scenarios in extreme but plausible market conditions. The Commission
further believes that the use of vendor-supplied data should enable
FICC to perform a robust assessment of the stress profits and losses
calculation, identify and address potential risks with respect to
specific Clearing Members and their affiliates, and in turn, should
help FICC ensure that it is collecting adequate prefunded financial
resources to cover its potential losses resulting from the default of
clearing members and their affiliates under extreme but plausible
market conditions.
    Moreover, as also described in Section I.C.1., FICC proposes to use
a back-up calculation for the GSD stress testing program in the event
the vendor fails to provide FICC with the vendor-sourced data. The
Commission believes that the back-up calculation is designed to provide
FICC with a reasonable alternative method for calculating stress
profit-and-loss in the event of an interruption in the vendor-sourced
data feed. By providing FICC with a reasonable alternative method for
conducting stress testing, the

Commission believes that the proposed back-up calculation is designed
to help FICC avoid gaps in assessing the sufficiency of its prefunded
financial resources due to the inability to access the vendor-sourced
data.
    Taken together, the Commission believes that these aspects of the
proposed rule change, as described in section I.C.1, should better
enable FICC to evaluate and manage the credit risk presented by its
Clearing Members. The Commission believes that the proposed rule change
is designed to improve FICC's ability to establish, implement, maintain
and enforce written policies and procedures reasonably designed to
maintain sufficient prefunded financial resources that, at a minimum,
enable FICC to cover the default of the Clearing Member (including
relevant affiliates) that would potentially cause the largest aggregate
credit exposure for FICC in extreme but plausible conditions, as
required under Rule 17Ad-22(e)(4)(iii).\31\ Accordingly, the Commission
believes that the proposed rule change should help FICC to continue
providing prompt and accurate clearance and settlement of securities
transactions even in extreme but plausible historical and hypothetical
stress scenarios, consistent with Section 17A(b)(3)(F) of the Act.\32\
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    \31\ 17 CFR 240.17Ad-22(e)(4).
    \32\ Id.
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B. Consistency With Rule 17Ad-22(e)(4)(iii) and (vi)

    Rule 17Ad-22(e)(4)(iii) requires, in part, each 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
arising from its payment, clearing, and settlement processes, by
maintaining additional financial resources at the minimum to enable it
to cover a wide range of foreseeable stress scenarios that include, but
are not limited to, the default of the participant family that would
potentially cause the largest aggregate credit exposure for the covered
clearing agency in extreme but plausible market conditions.\33\ Rule
17Ad-22(e)(4)(vi) requires, in part, each covered clearing agency to
effectively identify, measure, monitor, and manage its credit exposures
to participants and those arising from its payment, clearing, and
settlement processes, by testing the sufficiency of its total financial
resources available by conducting stress testing of its total financial
resources once each day using standard predetermined parameters and
assumptions.\34\
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    \33\ 17 CFR 240.17Ad-22(e)(4)(iii).
    \34\ 17 CFR 240.17Ad-22(e)(4)(vi).
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    As described above in Section I.C.1, FICC proposes to change its
stress testing methodology to use vendor-supplied data in the GSD
stress testing program and to incorporate a back-up calculation that it
would utilize in the event of an interruption in the availability of
that data. Taken together, these changes should allow FICC to identify
and analyze risk exposures under a broader range of stressed market
conditions covering a longer time period, which should, in turn, help
FICC identify the amount of financial resources necessary to cover its
credit exposure under stress scenarios in extreme but plausible market
conditions.
    Accordingly, the Commission believes that FICC's proposed
amendments to the ST Framework with respect to the GSD stress testing
program set forth in section I.C.1 are consistent with Rule 17Ad-
22(e)(4)(iii) because it should better enable FICC to assess its
ability to maintain sufficient financial resources to cover a wide
range of foreseeable stress scenarios that include the default of the
member (including relevant affiliates) that would potentially cause
FICC's largest aggregate credit exposure in extreme but plausible
conditions.\35\ Additionally, the Commission believes FICC's proposed
amendments to the ST Framework set forth in section I.C.1 are
consistent with Rule 17Ad-22(e)(4)(vi) because it should enable FICC to
test the sufficiency of its minimum financial resources by conducting
stress testing using standard predetermined parameters and
assumptions.\36\
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    \35\ See 17 CFR 240.17Ad-22(e)(4)(iii).
    \36\ See 17 CFR 240.17Ad-22(e)(4)(vi).
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V. Conclusion

    On the basis of the foregoing, the Commission finds that the
Proposed Rule Changes are consistent with the requirements of the Act
and in particular with the requirements of Section 17A of the Act \37\
and the rules and regulations promulgated thereunder.
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    \37\ 15 U.S.C. 78q-1.
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    It is therefore ordered, pursuant to Section 19(b)(2) of the Act
\38\ that proposed rule changes SR-DTC-2022-006, SR-FICC-2022-004, and
SR-NSCC-2022-006, be, and hereby are, approved.\39\
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    \38\ 15 U.S.C. 78s(b)(2).
    \39\ 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.\40\
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    \40\ 17 CFR 200.30-3(a)(12).
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Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2022-25474 Filed 11-22-22; 8:45 am]
BILLING CODE 8011-01-P