The Rule Filing would update the Clearing Agency Securities Valuation Framework (“Framework”)
The Rule Filing would amend the Framework to clarify the Clearing Agencies’ practices concerning the valuation of:
- Securities eligible for clearance and settlement processing by the applicable Clearing Agency
- To the extent applicable, eligible securities in their respective Clearing Funds.
Specifically, the proposed rule change would clarify certain aspects of the Framework concerning:
- The selection of third-party pricing vendors (“Pricing Vendors”)
- The monitoring and review of Pricing Vendor data
- The processing and use of Pricing Vendor data
- Other non-substantive aspects of the Framework.
Oh yeah, the last 4 pages are redacted in their entirety:
How to Comment
Comments on the Rule Filing may be emailed to NSCC at
[email protected]. Please include File No. SR-NSCC-2023-003 on the subject line. Your comments may be forwarded to the SEC.
The Framework and the policies and procedures that support the Framework help assure that each Clearing Agency is using reliable sources of timely price data for collateral valuation, risk management and settlement purposes.
Since margin and collateral play key roles in the applicable Clearing Agency’s risk management process, having accurate margin system and collateral valuation facilitates the Clearing Agencies’ ability to continue the prompt and accurate clearance and settlement of securities transactions and assure the safeguarding of securities and funds which are in their custody or control or for which they are responsible.