30 Day Notice

Federal Register / Vol. 87, No. 135 / Friday, July 15, 2022 / Notices
All submissions should refer to File
Number SR–NASDAQ–2022–039. This
file number should be included on the
subject line if email is used. To help the
Commission process and review your
comments more efficiently, please use
only one method. The Commission will
post all comments on the Commission’s
internet website (http://www.sec.gov/
rules/sro.shtml). Copies of the
submission, all subsequent
amendments, all written statements
with respect to the proposed rule
change that are filed with the
Commission, and all written
communications relating to the
proposed rule change between the
Commission and any person, other than
those that may be withheld from the
public in accordance with the
provisions of 5 U.S.C. 552, will be
available for website viewing and
printing in the Commission’s Public
Reference Room, 100 F Street NE,
Washington, DC 20549, on official
business days between the hours of
10:00 a.m. and 3:00 p.m. Copies of the
filing also will be available for
inspection and copying at the principal
office of the Exchange. All comments
received will be posted without change.
Persons submitting comments are
cautioned that we do not redact or edit
personal identifying information from
comment submissions. You should
submit only information that you wish
to make available publicly. All
submissions should refer to File
Number SR–NASDAQ–2022–039 and
should be submitted on or before
August 5, 2022.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.12
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2022–15118 Filed 7–14–22; 8:45 am]
BILLING CODE 8011–01–P

SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–95245; File No. SR–NSCC–
2022–005]

Commission (‘‘Commission’’) proposed
rule change SR–NSCC–2022–005 (the
‘‘Proposed Rule Change’’) 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 June 8, 2022,3
and the Commission has received
comments regarding the changes
proposed in the Proposed Rule Change.4
Section 19(b)(2) of the Act 5 provides
that, within 45 days of the publication
of notice of the filing of a proposed rule
change, or within such longer period up
to 90 days as the Commission may
designate if it finds such longer period
to be appropriate and publishes its
reasons for so finding or as to which the
self-regulatory organization consents,
the Commission shall either approve the
proposed rule change, disapprove the
proposed rule change, or institute
proceedings to determine whether the
proposed rule change should be
disapproved. The 45th day after
publication of the notice for the
Proposed Rule Change is July 23, 2022.
The Commission is extending the 45day period for Commission action on
the Proposed Rule Change. The
Commission finds that it is appropriate
to designate a longer period within
which to take action on the Proposed
Rule Change so that it has sufficient
time to consider and take action on the
Proposed Rule Change.
Accordingly, pursuant to Section
19(b)(2) of the Act 6 and for the reasons
stated above, the Commission
designates September 6, 2022, as the
date by which the Commission shall
either approve, disapprove, or institute
proceedings to determine whether to
disapprove proposed rule change SR–
NSCC–2022–005.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.7
J. Matthew DeLesDernier,
Assistant Secretary.

jspears on DSK121TN23PROD with NOTICES1

[FR Doc. 2022–15119 Filed 7–14–22; 8:45 am]

Self-Regulatory Organizations;
National Securities Clearing
Corporation; Notice of Designation of
Longer Period for Commission Action
on a Proposed Rule Change To Revise
the Excess Capital Premium Charge
July 11, 2022.

On May 30, 2022, National Securities
Clearing Corporation (‘‘NSCC’’) filed
with the Securities and Exchange
12 17

CFR 200.30–3(a)(12).

VerDate Sep<11>2014

19:11 Jul 14, 2022

Jkt 256001

BILLING CODE 8011–01–P

U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 See Securities Exchange Act Release No. 95026
(June 2, 2022), 87 FR 34913 (June 8, 2022) (File No.
SR–NSCC–2022–005).
4 Comments are available at https://www.sec.gov/
comments/sr-nscc-2022-005/srnscc2022005.htm.
5 15 U.S.C. 78s(b)(2).
6 Id.
7 17 CFR 200.30–3(a)(31).

PO 00000

1 15
2 17

Frm 00086

Fmt 4703

Sfmt 4703

42523

SECURITIES AND EXCHANGE
COMMISSION
[SEC File No. 270–497; OMB Control No.
3235–0555]

Submission for OMB Review;
Comment Request Extension:
Rule 6h–1
Upon Written Request, Copies Available
From: Securities and Exchange
Commission, Office of FOIA Services,
100 F Street NE, Washington, DC
20549–2736
Notice is hereby given that, pursuant
to the Paperwork Reduction Act of 1995
(‘‘PRA’’) (44 U.S.C. 3501 et seq.), the
Securities and Exchange Commission
(‘‘Commission’’) has submitted to the
Office of Management and Budget
(‘‘OMB’’) a request for approval of
extension of the previously approved
collection of information provided for in
Rule 6h–1 (17 CFR 240.6h–1) under the
Securities Exchange Act of 1934 (‘‘Act’’)
(15 U.S.C. 78a et seq.).
Section 6(h) of the Act (15 U.S.C.
78f(h)) requires national securities
exchanges and national securities
associations that trade security futures
products to establish listing standards
that, among other things, require that: (i)
trading in such products not be readily
susceptible to price manipulation; and
(ii) the market on which the security
futures product trades has in place
procedures to coordinate trading halts
with the listing market for the security
or securities underlying the security
futures product. Rule 6h–1 implements
these statutory requirements and
requires that (1) the final settlement
price for each cash-settled security
futures product fairly reflect the
opening price of the underlying security
or securities, and (2) the exchanges and
associations trading security futures
products halt trading in any security
futures product for as long as trading in
the underlying security for trading of a
security futures product based on a
single security, or trading in 50% or
more of the underlying securities for
trading of a security futures product
based on a narrow-based security index,
is halted on the listing market.
It is estimated that approximately 1
respondent will incur an average burden
of 10 hours per year to comply with this
rule, for a total burden of 10 hours. At
an average internal cost per hour of
approximately $428, the resultant total
internal cost of compliance for the
respondents is $4,280 per year (1
respondent × 10 hours/respondent ×
$428/hour).
Compliance with Rule 6h–1 is
mandatory. Any listing standards

E:\FR\FM\15JYN1.SGM

15JYN1

42524

Federal Register / Vol. 87, No. 135 / Friday, July 15, 2022 / Notices

established pursuant to Rule 6h–1
would be filed with the Commission as
proposed rule changes pursuant to
Section 19(b) of the Act and would be
published in the Federal Register.
An agency may not conduct or
sponsor, and a person is not required to
respond to, a collection of information
under the PRA unless it displays a
currently valid OMB control number.
The public may view background
documentation for this information
collection at the following website:
www.reginfo.gov. Find this particular
information collection by selecting
‘‘Currently under 30-day Review—Open
for Public Comments’’ or by using the
search function.
Written comments and
recommendations for the proposed
information collection should be sent by
August 15, 2022 to (i) www.reginfo.gov/
public/do/PRAMain and (ii) David
Bottom, Director/Chief Information
Officer, Securities and Exchange
Commission, c/o John Pezzullo, 100 F
Street NE, Washington, DC 20549, or by
sending an email to: PRA_Mailbox@
sec.gov.
Dated: July 11, 2022.
J. Matthew DeLesDernier,
Assistant Secretary.
BILLING CODE 8011–01–P

SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–95256; File No. SR–FICC–
2022–005]

Self-Regulatory Organizations; Fixed
Income Clearing Corporation; Notice of
Filing of a Proposed Rule Change to
Revise the Formula Used to Calculate
the VaR Charge for Repo Interest
Volatility

jspears on DSK121TN23PROD with NOTICES1

July 12, 2022.

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 June 29,
2022, Fixed Income Clearing
Corporation (‘‘FICC’’) filed with the
Securities and Exchange Commission
(‘‘Commission’’) the proposed rule
change as described in Items I, II and III
below, which Items have been prepared
by the clearing agency. The Commission
is publishing this notice to solicit
comments on the proposed rule change
from interested persons.
2 17

U.S.C. 78s(b)(1).
CFR 240.19b–4.

VerDate Sep<11>2014

19:11 Jul 14, 2022

Jkt 256001

II. Clearing Agency’s Statement of the
Purpose of, and Statutory Basis for, the
Proposed Rule Change
In its filing with the Commission, the
clearing agency included statements
concerning the purpose of and basis for
the proposed rule change and discussed
any comments it received on the
proposed rule change. The text of these
statements may be examined at the
places specified in Item IV below. The
clearing agency has prepared
summaries, set forth in sections A, B,
and C below, of the most significant
aspects of such statements.
(A) Clearing Agency’s Statement of the
Purpose of, and Statutory Basis for, the
Proposed Rule Change

[FR Doc. 2022–15129 Filed 7–14–22; 8:45 am]

1 15

I. Clearing Agency’s Statement of the
Terms of Substance of the Proposed
Rule Change
FICC is proposing to amend the GSD
Methodology Document—GSD Initial
Market Risk Margin Model (‘‘QRM
Methodology Document’’) 3 in order to
revise the formula used to calculate the
VaR Charge (as defined below) for repo
interest volatility and make conforming
changes to the description of this
formula. In addition, FICC is proposing
to amend the QRM Methodology
Document to make certain technical
changes, as described in greater detail
below.4

1. Purpose
FICC is proposing to amend the QRM
Methodology Document to revise the
formula used to calculate the VaR
Charge for repo interest volatility and
make conforming changes to the
description of this formula. In addition,
FICC is proposing to amend the QRM
Methodology Document to make certain
technical changes.
(1) Revise the Formula Used To
Calculate the VaR Charge for Repo
Interest Volatility and Make Conforming
Changes
FICC, through GSD, serves as a central
counterparty (‘‘CCP’’) and provider of
clearance and settlement services for the
U.S. government securities market. A
key tool that FICC uses to manage its
credit exposures to its Members is the
3 The GSD QRM Methodology Document was
filed as a confidential exhibit in the rule filing and
advance notice for GSD sensitivity VaR. See
Securities Exchange Act Release Nos. 83362 (June
1, 2018), 83 FR 26514 (June 7, 2018) (SR–FICC–
2018–001) and 83223 (May 11, 2018), 83 FR 23020
(May 17, 2018) (SR–FICC–2018–801).
4 Capitalized terms used herein and not defined
shall have the meaning assigned to such terms in
the FICC Government Securities Division (‘‘GSD’’)
Rulebook (‘‘Rules’’), available at http://
www.dtcc.com/legal/rules-and-procedures.aspx.

PO 00000

Frm 00087

Fmt 4703

Sfmt 4703

daily collection of margin from each
Member. The aggregated amount of all
Members’ margin constitutes the
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 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.
The VaR Charge includes a
component that addresses repo interest
volatility, which the QRM Methodology
Document refers to as the ‘‘repo interest
volatility charge.’’ Interest on a
repurchase (‘‘repo’’) transaction,
hereinafter referred to as ‘‘repo
interest,’’ is the difference between the
repurchase settlement amount and the
start amount paid on the repo inception
date. In its role as a CCP in clearing a
repo transaction, FICC guarantees that
the borrowers receive their repo
collateral back at the close of the repo
transaction while lenders receive the
start amount paid on the repo inception
date plus repo interest. The market
value of interest payments for the
remaining life of the repo trades are
subject to the risk of movements of the
market repo interest rates. Since FICC
guarantees the repo interest payment to
the lenders, this risk needs to be
mitigated. The repo interest volatility
charge is designed to mitigate such risk,
i.e., the risk arising out of fluctuations
in market repo interest rates during the
margin period of risk (‘‘MPOR’’). MPOR
is currently set at 3 days for FICC. It
represents the duration of time when a
CCP is exposed to market risk postmember default, starting from the time
of the last successful margin collection
to the time the market risk exposure is
effectively mitigated. The repo interest
volatility charge is a small component of
the total GSD margin (currently about
3% at CCP level).
The QRM Methodology Document
contains the formula for the calculation
of the repo interest volatility charge and
describes the components and
calculation thereof.
Currently, the repo interest volatility
charge is assessed through application
of a haircut schedule with a single
haircut rate applied to each risk bucket
after netting short and long repo interest

E:\FR\FM\15JYN1.SGM

15JYN1