NSCC, FICC, DTC Alert! Notice of Filing and Immediate Effectiveness of a Proposed Rule Change to Update the Clearing Agency Securities Valuation Framework. Entire Exhibit is [REDACTED]

Sources:

SR-NSCC-2023-00334-97280

Apr. 11, 2023

Notice of Filing and Immediate Effectiveness of a Proposed Rule Change to Update the Clearing Agency Securities Valuation Framework

Comments due: 21 days after publication in the Federal Register

Additional Materials: Exhibit 5

SR-FICC-2023-00434-97283

Apr. 11, 2023

Notice of Filing and Immediate Effectiveness of a Proposed Rule Change to Update the Clearing Agency Securities Valuation Framework

Comments due: 21 days after publication in the Federal Register

Additional Materials: Exhibit 5

SR-DTC-2023-00334-97284

Apr. 11, 2023

Notice of Filing and Immediate Effectiveness of a Proposed Rule Change to Update the Clearing Agency Securities Valuation Framework

Comments due: 21 days after publication in the Federal Register

Additional Materials: Exhibit 5

Background:

The proposed rule change consists of amendments to the Clearing Agency Securities Valuation Framework (“Framework”) of NSCC and its affiliates, Fixed Income Clearing Corporation (“FICC,” and together with NSCC, the central counterparties or “CCPs”) and The Depository Trust Company (“DTC,” and together with the CCPs, the “Clearing Agencies”), as described below. The proposed changes to the Framework would apply to DTC, NSCC, and both of FICC’s divisions, the Government Securities Division and the Mortgage-Backed Securities Division.

The proposed rule change consists of modifications to the Framework to clarify the Clearing Agencies’ practices concerning the valuation of:

• (i) securities eligible for clearance and settlement processing by the applicable Clearing Agency and

(ii) with respect to the CCPs, eligible securities in their respective Clearing Funds (each, a “CUSIP”). Specifically, the proposed rule change would clarify certain aspects of the Framework concerning

• (i) the selection of third-party pricing vendors (“Pricing Vendors”);
• (ii) the monitoring and review of Pricing Vendor data;
• (iii) the processing and use of Pricing Vendor data;
• (iv) other non-substantive aspects of the Framework

Exhibit 5:

Solicitation of Comments:

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

Electronic Comments:

• Use the Commission’s Internet comment form (http://www.sec.gov/rules/sro.shtml);
• Send an e-mail to [email protected]. Please include File Number SR-NSCC-2023-003, SR-FICC-2023-004, and SR-DTC-2023-003 on the subject line.

Paper Comments:

• Send paper comments in triplicate to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549.

All submissions should refer to File Number SR-NSCC-2023-003, SR-FICC-2023-004, and SR-DTC-2023-003:

• 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 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 NSCC and on DTCC’s website (http://dtcc.com/legal/sec-rulefilings.aspx).
• All comments received will be posted without change.
• Persons submitting comments are cautioned that we do not redact or edit personal identifying information from comment submissions. You should submit only information that you wish to make available publicly.

TLDRS:

• Notice of Filing and Immediate Effectiveness of a Proposed Rule Change to Update the Clearing Agency Securities Valuation Framework. Entire Exhibit is [REDACTED]

The proposed rule change consists of modifications to the Framework to clarify the Clearing Agencies’ practices concerning the valuation of:

• (i) securities eligible for clearance and settlement processing by the applicable Clearing Agency and

(ii) with respect to the CCPs, eligible securities in their respective Clearing Funds (each, a “CUSIP”). Specifically, the proposed rule change would clarify certain aspects of the Framework concerning

• (i) the selection of third-party pricing vendors (“Pricing Vendors”);
• (ii) the monitoring and review of Pricing Vendor data;
• (iii) the processing and use of Pricing Vendor data;
• (iv) other non-substantive aspects of the Framework
• Send an e-mail to [email protected]. Please include File Number SR-NSCC-2023-003, SR-FICC-2023-004, and SR-DTC-2023-003 on the subject line.

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