[Federal Register Volume 82, Number 49 (Wednesday, March 15, 2017)]
[Notices]
[Pages 13876-13884]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-05092]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-80191; File No. SR-FICC-2017-802]
Self-Regulatory Organizations; Fixed Income Clearing Corporation;
Notice of Filing of Advance Notice To Implement the Capped Contingency
Liquidity Facility in the Government Securities Division Rulebook
March 9, 2017.
Pursuant to Section 806(e)(1) of Title VIII of the Dodd-Frank Wall
Street Reform and Consumer Protection Act, entitled the Payment,
Clearing, and Settlement Supervision Act of 2010 (``Clearing
Supervision Act'') \1\ and Rule 19b-4(n)(1)(i) under the Securities
Exchange Act of 1934,\2\ notice is hereby given that on March 1, 2017,
Fixed Income Clearing Corporation (``FICC'') filed with the Securities
and Exchange Commission (``Commission'') the advance notice SR-FICC-
2017-802 (``Advance Notice'') as described in Items I, II and III
below, which Items have been prepared by FICC.\3\ The Commission is
publishing this notice to solicit comments on the Advance Notice from
interested persons.
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\1\ 12 U.S.C. 5465(e)(1).
\2\ 17 CFR 240.19b-4(n)(1)(i).
\3\ On March 1, 2017, FICC filed this Advance Notice as a
proposed rule change (SR-FICC-2017-002) with the Commission pursuant
to Section 19(b)(1) of the Act, 15 U.S.C. 78s(b)(1), and Rule 19b-4,
17 CFR 240.19b-4. A copy of the proposed rule change is available at
http://www.dtcc.com/legal/sec-rule-filings.aspx.
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I. Clearing Agency's Statement of the Terms of Substance of the Advance
Notice
This Advance Notice consists of amendments to FICC's Government
Securities Division (``GSD'') Rulebook (the ``GSD Rules'') \4\ in order
to include a committed liquidity resource (referred to as the ``Capped
Contingency Liquidity Facility[supreg]'' (``CCLF'')). This facility
would provide FICC with additional liquid financial resources to meet
its cash settlement obligations in the event of a default of the
largest family of affiliated Netting Members \5\ (an ``Affiliated
Family'') of GSD, as described in greater detail below.
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\4\ GSD Rules, available at www.dtcc.com/legal/rules-and-procedures.aspx. Capitalized terms used herein and not otherwise
defined shall have the meaning assigned to such terms in the GSD
Rules.
\5\ As defined in the GSD Rules, the term ``Netting Member''
means a Member that is a Member of the Comparison System and the
Netting System. Id.
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[[Page 13877]]
II. Clearing Agency's Statement of the Purpose of, and Statutory Basis
for, the Advance Notice
In its filing with the Commission, the clearing agency included
statements concerning the purpose of and basis for the Advance Notice
and discussed any comments it received on the Advance Notice. 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 and B below, of the most significant aspects of such
statements.
(A) Clearing Agency's Statement on Comments on the Advance Notice
Received from Members, Participants or Others
The Proposal Addresses a Risk That Spans Beyond ``Extreme but
Plausible''
FICC has received feedback that the proposed rule change seeks to
address a risk that is not reasonable given the current structure of
the short-term tri-party repurchase market (``repo'') in U.S.
Government securities. Commenters have explained that a committed
liquidity tool such as CCLF is unnecessary because the repo market
remained robust during periods of historical market stress and would
continue to adequately perform during the next crisis. They have also
noted that U.S. Treasury securities continue to be considered a ``risk-
free'' instrument.
While FICC believes that historical market behavior allows market
participants to observe trends in the repo market, FICC also believes
that the adoption of CCLF would better position FICC to protect itself
and its Netting Members should the repurchase financing market
materially contract in the future. Additionally, the proposed rule
change would adhere to the Commission's Rule 17Ad-22(e)(7)(i) which
requires FICC to maintain sufficient liquid resources to effect same-
day settlement of payment obligations in the event of a default of the
participant family that would generate the largest aggregate payment
obligation for the covered clearing agency in extreme but plausible
market conditions.\6\
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\6\ See 17 CFR 240.17Ad-22(e)(7)(i).
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The Proposal May Impact Behavior of Smaller Market Participants
FICC has also received feedback that the proposed rule change would
create concentration risk by forcing smaller Netting Members to clear
through large financial institutions or exit the business. Commenters
have explained that the funding obligation under the CCLF proposal may
significantly impact their available capital or operating profiles. As
a result, the CCLF proposal may force certain Netting Members to (1)
clear through other financial institutions or (2) terminate their
membership with FICC and engage in bilateral arrangements.
FICC values each Netting Member and does not wish to force any
Netting Member to clear through larger Netting Members or exit the
business as a result of this proposed rule change. However, FICC
believes that all Netting Members should endeavor to maintain suitable
capital to meet FICC's enhanced participation requirements so that such
Members do not have to clear through larger financial institutions or
exit the business. Because each Netting Member is in the best position
to monitor and manage the liquidity risks presented by its own
activity, FICC believes that Netting Members should endeavor to manage
their own liquidity. In an effort to enable each Netting Member to
prepare for its liquidity funding obligation, FICC would provide a
liquidity funding report to each Netting Member on a daily basis. This
report would enable each Netting Member to prepare for its maximum
funding obligations and alter its trading behavior should it desire to
minimize the liquidity risk that it presents to FICC.
FICC is cognizant that Netting Members would need to incorporate
their respective funding obligation into their internal liquidity plans
and evaluate the appropriate course of action for their firm based on
the economic impact that such Netting Members believe the funding
obligation imposes. Given the added liquidity cost, as noted in the
feedback, FICC would implement the proposed rule change 12 months after
the later date of the Commission's no objection of this Advance Notice
filing or its approval of FICC's related proposed rule change (``Rule
Filing''). During this 12-month period, FICC would periodically provide
Netting Members with estimates of their Individual Total Amounts. The
deferred implementation and the estimate Individual Total Amounts are
designed to give Netting Members the opportunity to assess the impact
of their Individual Total Amount on their business profile and make any
changes that such Netting Members deem necessary to lower their
respective allocation.
As noted above, FICC understands that Netting Members must be able
to plan for their funding obligations. At the same time, FICC also
believes that it is critical that Netting Members understand the risks
that their own activity presents to FICC, and be prepared to monitor
their own activity and alter their behavior in order to minimize the
liquidity risk they present to FICC.
(B) Advance Notice Filed Pursuant to Section 806(e) of the Clearing
Supervision Act
Nature of the Proposed Change
FICC is proposing to amend the GSD Rules to include CCLF, which
would be a rules-based committed liquidity facility designed to help
ensure that FICC maintains sufficient liquid financial resources to
meet its cash settlement obligations in the event of a default of the
Affiliated Family to which FICC has the largest exposure in extreme but
plausible market conditions, as required by Commission Rule 17Ad-
22(b)(3).\7\ This proposal is also designed to comply with newly
adopted Commission Rule 17Ad-22(e)(7).\8\ As of April 11, 2017,
Commission Rule 17Ad-22(e)(7) will require FICC to have policies and
procedures reasonably designed to effectively monitor, measure, and
manage liquidity risk.
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\7\ See 17 CFR 240.17Ad-22(b)(3).
\8\ See 17 CFR 240.17Ad-22(e)(7).
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A. Background
FICC occupies an important role in the securities settlement system
by interposing itself as a central counterparty between Netting Members
that are counterparties to transactions cleared by GSD (``GSD
Transactions''), thereby reducing the risk faced by Netting Members.\9\
To manage the counterparty risk, FICC requires each Netting Member to
deposit margin (referred to in the GSD Rules as ``Required Fund
Deposits'') into the Clearing Fund, which constitutes the financial
resources that FICC could use to cover potential losses resulting from
a Netting Member default. In addition to collecting and maintaining
financial resources to cover default losses, FICC also maintains liquid
resources to satisfy its settlement obligations in the event of a
Netting Member default. Upon regulatory approval and completion of a
12-month phase-in period, as described below, CCLF would become an
additional liquid resource
[[Page 13878]]
available to FICC as part of its liquidity risk management framework
for GSD.\10\
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\9\ FICC operates two divisions--GSD and MBSD. GSD provides
trade comparison, netting, risk management, settlement and central
counterparty services for the U.S. government securities market,
while MBSD provides the same services for the U.S. mortgage-backed
securities market. Because GSD and MBSD are separate divisions of
FICC, each division maintains its own rules, members, margin from
their respective members, Clearing Fund, and liquid resources.
\10\ In 2012, FICC amended the MBSD Rules to create a CCLF for
managing MBSD's liquidity risk. FICC is proposing to amend the GSD
Rules to create a CCLF for managing GSD's liquidity risk. Because
this CCLF is for GSD only, the description of the proposal should be
understood within the framework of the GSD Rules. See Securities
Exchange Act Release No. 34-66550 (March 9, 2012), 77 FR 15155
(March 14, 2012) (SR-FICC-2008-01); MBSD Rule 17, MBSD Rules,
available at www.dtcc.com/legal/rules-and-procedures.aspx.
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B. Overview of the Proposal
CCLF would only be invoked if FICC declared a ``CCLF Event,'' that
is, if FICC has ceased to act for a Netting Member in accordance to GSD
Rule 22A \11\ (referred to as a ``default'') and subsequent to such
default, FICC determines that it does not have the ability to obtain
sufficient liquidity from GSD's Clearing Fund, by entering into
repurchase transactions using securities in the Clearing Fund or
securities that were destined to the defaulting Netting Member, or
through uncommitted bank loans with its Clearing Agent Banks. Upon
declaration of a CCLF Event, each Netting Member may be called upon to
enter into repurchase transactions with FICC (``CCLF Transactions'') up
to a previously determined capped dollar amount, as described below.
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\11\ GSD Rules, supra note 4.
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1. Declaration of a CCLF Event
Following a default, FICC would first obtain liquidity through
other available liquid resources, as described above. If and only if,
FICC determines that these sources of liquidity are not able to
generate sufficient cash to pay the non-defaulting Netting Members,
FICC would declare a CCLF Event by issuing an Important Notice
informing all Netting Members of FICC's need to make such a declaration
and enter into CCLF Transactions, as necessary.\12\
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\12\ Such Important Notice would also advise Netting Members to
review their most recent liquidity funding reports to determine
their respective maximum funding obligations.
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2. CCLF Transactions
During a CCLF Event, FICC would meet its liquidity need by
initiating CCLF Transactions with non-defaulting Netting Members. Each
CCLF Transaction would be governed by the terms of the September 1996
Securities Industry and Financial Markets Association Master Repurchase
Agreement,\13\ which would be incorporated by reference into the GSD
Rules as a master repurchase agreement between FICC as seller and each
Netting Member as buyer with certain modifications as outlined in the
GSD Rules (the ``CCLF MRA'').
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\13\ The September 1996 Securities Industry and Financial
Markets Association Master Repurchase Agreement (the ``SIFMA MRA'')
is available at http://www.sifma.org/services/standard-forms-and-documentation/mra,-gmra,-msla-and-msftas/. The SIFMA MRA would be
incorporated by reference into the GSD Rules without referenced
annexes, other than in the case of any Netting Member that is a
registered investment company, then Annex VII would be applicable to
such Member. At the time of this filing, there are no registered
investment companies that are also GSD Netting Members. If a
registered investment company would become a GSD Netting Member,
then Annex VII would be applicable to such Member.
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Each Netting Member would be obligated to enter into CCLF
Transactions up to a capped dollar amount. FICC would first identify
the non-defaulting Netting Members that are obligated to deliver
securities destined for the defaulting Netting Member (``Direct
Affected Members'') and FICC's cash payment obligation to such Direct
Affected Member that FICC would need to finance through CCLF to cover
the defaulting Netting Member's failure to deliver cash (the
``Financing Amount''). FICC would notify each Direct Affected Member of
its Financing Amount and whether such Direct Affected Member should
deliver to FICC or suppress any securities that were destined for the
defaulting Netting Member. FICC would then initiate CCLF Transactions
with each Direct Affected Member for its purchase of the securities
(the ``Financed Securities'') that were destined for the defaulting
Netting Member.\14\ The aggregate purchase price of the CCLF
Transactions with the Direct Affected Member would equal but never
exceed its maximum funding obligation (the ``Individual Total
Amount'').\15\
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\14\ It should be noted that FICC would have the authority to
initiate CCLF Transactions in respect of any securities that are in
the Direct Affected Member's portfolio which are bound to the
defaulting Netting Member.
\15\ As described in Section C herein, a Netting Member's
Individual Total Amount represents such Member's maximum liquidity
funding obligation. The Individual Total Amount would be based on a
Netting Member's observed peak historical liquidity need.
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If any Direct Affected Member's Financing Amount exceeds its
Individual Total Amount (the ``Remaining Financing Amount''), FICC
would advise (A) each other Direct Affected Member whose Financing
Amount is less than its Individual Total Amount, and (B) each Netting
Member that has not otherwise entered into CCLF Transactions with FICC
(the ``Indirect Affected Members,'' and together with the Direct
Affected Members, ``Affected Members'') that FICC intends to initiate
CCLF Transactions with them for the Remaining Financing Amount.
The order in which FICC would enter into CCLF Transactions for the
Remaining Financing Amount would be based upon the Affected Members
that have the most funding available within their Individual Total
Amounts. No Affected Member would be obligated to enter into CCLF
Transactions greater than its Individual Total Amount.
During a CCLF Event, FICC would engage its investment advisor
subject to the approval of its Board and seek to minimize liquidation
losses on the Financed Securities through hedging, strategic
dispositions, or other investment transactions as determined by FICC
under relevant market conditions. Once FICC completes the liquidation
of the underlying securities by selling them to a new buyer, FICC would
instruct the Affected Member to close the repo trade and deliver the
Financed Securities to FICC to complete settlement on the contractual
settlement date of the liquidating trade. FICC would endeavor to unwind
the CCLF Transactions based on the order that it enters into the
Liquidating Trades. Each CCLF Transaction would remain open until the
earlier of (x) such time that FICC has liquidated the Affected Member's
Financed Securities, (y) such time that FICC has obtained liquidity
through its available liquid resources or (z) 30 or 60 calendar days
after entry into the CCLF Transaction for U.S. government bonds and
mortgage-backed securities, respectively.
The original GSD Transactions, which FICC is obligated to settle,
are independent from the CCLF Transactions. The proposed rule change
would clarify that, under the original GSD Transaction, FICC's
obligation to pay cash to a Direct Affected Member, and the Direct
Affected Member's obligation to deliver securities, would be deemed
satisfied by entry into CCLF Transactions, and that such settlement
would be final.
C. CCLF Sizing and Allocation
As noted above, FICC would only enter into CCLF Transactions with a
Netting Member in an amount that is up to such Netting Member's maximum
funding obligation. This amount would be based on each Netting Member's
observed peak historical liquidity need. Initially, FICC would
calculate the Netting Member's peak historical liquidity need based on
a six-month look-back period.
FICC's liquidity need during a CCLF Event would be determined by
the cash settlement obligations presented by the default of a Netting
Member and an Affiliated Family. FICC would include an additional
amount (i.e., a buffer) to
[[Page 13879]]
account for changes in Netting Members' cash settlement obligations
that may not be observed during the six-month look-back period during
which CCLF would be sized. The buffer would also account for the
possibility that the defaulting Netting Member is the largest CCLF
contributor. FICC would allocate its observed liquidity need among all
Netting Members based on their historical settlement activity. Netting
Members that present the highest cash settlement obligations would be
required to maintain higher funding obligations.
Listed below are the steps that FICC would take to size and
allocate each Netting Member's CCLF requirement.
Step 1: CCLF Sizing
Historical Cover 1 Liquidity Requirement
FICC's historical liquidity need for the six-month look-back period
would be an amount equal to the dollar amount of the largest sum of an
Affiliated Family's obligation to receive GSD eligible securities plus
the net dollar amount of its Funds-Only Settlement Amount \16\
(collectively, the ``Historical Cover 1 Liquidity Requirement''). FICC
believes that it is appropriate to calculate the Historical Cover 1
Liquidity Requirement in this manner because the default of the largest
Affiliated Family would generate the highest liquidity need for FICC.
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\16\ The Funds-Only Settlement Amount reflects the amount that
FICC collects and passes to the contra-side once FICC marks the
securities in a Netting Member's portfolio to the current market
value. This amount is the difference between the contract value vs.
the current market value of a Netting Member's GSD portfolio. FICC
would consider this amount when calculating the Historical Cover 1
Liquidity Requirement because in the event that an Affiliated Family
defaults, the Funds-Only Settlement Amount would also reflect the
cash obligation to non-defaulting Netting Members.
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Liquidity Buffer
The Historical Cover 1 Liquidity Requirement would be based on the
largest Affiliated Family's activity during a six-month look-back
period. However, FICC is cognizant that the Historical Cover 1
Liquidity Requirement would not account for changes in a Netting
Member's current trading behavior, which may result in a liquidity need
that is greater than the Historical Cover 1 Liquidity Requirement. As a
result, FICC proposes to add an additional amount to the Historical
Cover 1 Liquidity Requirement as a buffer (the ``Liquidity Buffer'') to
arrive at FICC's anticipated total liquidity need for GSD during a CCLF
Event.
Under the proposed rule change, the Liquidity Buffer would be 20%
to 30% of the Historical Cover 1 Liquidity Requirement, subject to a
minimum amount of $15 billion. FICC believes that 20% to 30% of the
Historical Cover 1 Liquidity Requirement is appropriate based on its
analysis of the calculated coefficient of variation \17\ with respect
to Affiliated Families' liquidity needs throughout 2015 and 2016.\18\
FICC also believes that the $15 billion minimum dollar amount is
necessary to cover changes in a Netting Member's trading activity that
could exceed the amount that is implied by the calculated coefficient
of variation.
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\17\ The ``coefficient of variation'' is a statistical
measurement that is calculated as the standard deviation divided by
the mean. It is a typical approach used to compare variability
across different data sets.
\18\ In connection with this proposed rule change, the
coefficient of variation would be used to set the Liquidity Buffer
by quantifying the variance of each Affiliated Family's daily
liquidity need. During this period, FICC observed that the
coefficient of variation ranged from an average of 15%-19% for
Affiliated Families with liquidity needs above $50 billion, and an
average of 18%-21% for Affiliated Families with liquidity needs
above $35 billion. Based on the calculated coefficient of variation,
FICC believes that an amount equaling 20% to 30% of the Historical
Cover 1 Liquidity Requirement subject to a minimum of $15 billion
would be an appropriate Liquidity Buffer.
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FICC would have the discretion to adjust the Liquidity Buffer based
on its analysis of the stability of the Historical Cover 1 Liquidity
Requirement over the look-back periods of 3-, 6-, 12-, and 24-months.
Should FICC observe changes in the stability of the Historical Cover 1
Liquidity Requirements, FICC would have the discretion to increase the
six-month look-back period to help ensure that the calculation of its
liquidity need appropriately accounts for variability in the Historical
Cover 1 Liquidity Requirement. This would help FICC to ensure that its
liquidity resources are sufficient under a wide range of potential
market scenarios that may lead to a change in Netting Member behavior.
FICC would also analyze the trading behavior of Netting Members that
present larger liquidity needs than the majority of the Netting Members
(as described below).
Aggregate Total Amount
FICC's anticipated total liquidity need during a CCLF Event (i.e.,
the sum of the Historical Cover 1 Liquidity Requirement plus the
Liquidity Buffer) would be referred to as the ``Aggregate Total
Amount.''
Step 2: FICC's Allocation of the Aggregate Total Amount Among Netting
Members
(A) FICC's Allocation of the Aggregate Regular Amount Among Netting
Members
After FICC determines the Aggregate Total Amount, which initially
would be set to the Historical Cover 1 Liquidity Requirement plus the
greater of 20% of the Historical Cover 1 Liquidity Requirement or $15
billion. FICC would allocate the Aggregate Total Amount among Netting
Members in order to arrive at each Netting Member's Individual Total
Amount. FICC would take a two-tiered approach in its allocation of the
Aggregate Total Amount. First, FICC would determine the portion of the
Aggregate Total Amount that should be allocated among all Netting
Members (``Aggregate Regular Amount''). Then, FICC would allocate the
remainder of the Aggregate Total Amount (the ``Aggregate Supplemental
Amount'') among Netting Members that incur liquidity needs above the
Aggregate Regular Amount within the six-month look-back period. FICC
believes that this two-tiered approach reflects FICC's consideration of
fairness, transparency and the burdens of the funding obligations on
each Netting Member's management of its own liquidity.
Under the proposed rule change, FICC would set the Aggregate
Regular Amount at $15 billion. FICC believes that this amount is
appropriate because FICC observed that from 2015 to 2016, the average
Netting Member's liquidity need was approximately $7 billion, with a
majority of Netting Members' liquidity needs not exceeding an amount of
$15 billion.\19\ Based on that analysis, FICC believes that the
Aggregate Regular Amount should capture the liquidity needs of a
majority of the Netting Members. Thus, FICC believes that setting the
Aggregate Regular Amount at $15 billion is appropriate.
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\19\ From 2015 to 2016, 59% of all Netting Members presented
average liquidity needs between $0 to $5 billion, 78% of all Netting
Members presented average liquidity needs between $0 and $10
billion, and 85% of all Netting Members presented average liquidity
needs between $0 and $15 billion.
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Under the proposal, the Aggregate Regular Amount would be allocated
among all Netting Members, but Netting Members with larger Receive
Obligations would be required to contribute a larger amount. FICC
believes that this approach is appropriate because a defaulting Netting
Member's Receive Obligations are the primary cash settlement
obligations that
[[Page 13880]]
FICC would have to satisfy as a result of the default of a Netting
Member or an Affiliated Family. However, FICC also believes that some
portion of the Aggregate Regular Amount should be allocated based on
Netting Members' aggregate Deliver Obligations since FICC guarantees
both sides of a GSD Transaction and all Netting Members benefit from
FICC's risk mitigation. As a result, FICC is proposing to allocate the
Aggregate Regular Amount based on a scaling factor. Given that the
Aggregate Regular Amount is sized at $15 billion and covers
approximately 80% of Netting Members' observed liquidity needs, FICC
proposes to set the scaling factor in the range of 65%-85% to the value
of Netting Members' Receive Obligations and set the scaling factor in
the range of 15%-35% to the value of Netting Members' Deliver
Obligations.
Initially, FICC would assign a 20% weighting percentage to a
Netting Member's aggregate Deliver Obligations (the ``Deliver Scaling
Factor'') and the remaining percentage difference, 80% in this case, to
a Netting Member's aggregate Receive Obligations (``Receive Scaling
Factor''). FICC would have the discretion to adjust these scaling
factors based on a quarterly analysis that would, in part, assess
Netting Members' observed liquidity needs that are at or below $15
billion. This assessment would ensure that the Aggregate Regular Amount
would be appropriately allocated across all Netting Members.
FICC would calculate a Netting Member's portion of the Aggregate
Regular Amount (its ``Individual Regular Amount'') by adding (a) and
(b) below.
(a) FICC would (x) divide the absolute value of a Netting Member's
peak Receive Obligations by the absolute value of the sum of all
Netting Members' peak Receive Obligations, then (y) multiply such
resulting value by the Aggregate Regular Amount, then (z) multiply the
resulting value by the Receive Scaling Factor (which would initially be
80%).
(b) FICC would (x) divide the absolute value of a Netting Member's
peak Deliver Obligations by the absolute value of the sum of all
Netting Members' peak Deliver Obligations, then (y) multiply such
resulting value by the Aggregate Regular Amount, then (z) multiply the
resulting value by the Deliver Scaling Factor (which would initially be
20%).
(B) FICC's Allocation of the Aggregate Supplemental Amount Among
Netting Members
The remainder of the Aggregate Total Amount (i.e., the Aggregate
Supplemental Amount) would be allocated among Netting Members that
present liquidity needs in excess of the Aggregate Regular Amount.
FICC would allocate the Aggregate Supplemental Amount across
liquidity tiers (``Liquidity Tiers''). The allocation to each Liquidity
Tier would be based on how many times (i.e., ``observations'') the
Netting Members' daily liquidity needs have reached the respective
Liquidity Tier. This assignment would result in a larger proportion of
the Aggregate Supplemental Amount being borne by those Netting Members
who present the highest liquidity needs.
FICC would set the Liquidity Tiers in $5 billion increments. FICC
believes that this increment would appropriately distinguish Netting
Members that present the highest liquidity needs on a frequent basis
and allocate more of the Individual Supplemental Amount to Netting
Members in the top Liquidity Tiers. Increments set to an amount greater
than $5 billion would provide FICC with less ability to allocate the
Aggregate Supplemental Amount to Netting Members with the highest
liquidity needs.\20\
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\20\ For example, assume that there are two Netting Members and
each Netting Member has 125 liquidity observations each across a
six-month period. Member A has 125 observations within the $15-$20
billion Liquidity Tier and Member B has 125 observations equally
dispersed between the $15-$20 billion and $20-$25 billion Liquidity
Tiers. Under the proposed rule change, Member B would have a higher
Individual Supplemental Amount than Member A, because Member B would
be allocated a pro-rata share of the Aggregate Supplemental Amount
for the $20-$25 billion Liquidity Tier.
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FICC would have the discretion to reduce any one or all of the
Liquidity Tiers to $2.5 billion if FICC determines that the majority of
the Netting Members' liquidity needs in such Liquidity Tiers are above
or below the midpoint of the Liquidity Tier.
Once the Liquidity Tiers are set, FICC would first allocate the
Aggregate Supplemental Amount to each Liquidity Tier in proportion to
the total number of observations across all Liquidity Tiers. Next, FICC
would allocate the Individual Supplemental Amount to each Netting
Member in accordance with each Netting Member's liquidity needs within
each Liquidity Tier. This allocation would be based on such Netting
Member's number of observations within each Liquidity Tier in
proportion to the aggregate of all Netting Member's observations within
a particular Liquidity Tier. The sum of a Netting Member's allocation
across all Liquidity Tiers would be such Netting Member's Individual
Supplemental Amount.
FICC would sum each Netting Member's Individual Regular Amount and
its Individual Supplemental Amount (if any) to arrive at such Netting
Member's Individual Total Amount.
CCLF Parameters as of January 2017
Table 1 includes the actual values FICC would set for each step
described above, as of January 1, 2017.\21\ These values would be reset
every six months.
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\21\ As noted above, FICC would use a six-month look-back
period. On January 1, 2017, the look-back period would be July 1,
2016 through December 31, 2016.
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Table 1:
$ billion
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CCLF sizing: Components of the aggregate total amount
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Step Component............................... Size
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1..................................... Historical Cover 1 Liquidity Requirement $58.84 ..............
Liquidity Buffer (20% of the Historical 15.00 ..............
Cover 1 Liquidity Requirement subject
to a minimum of $15B).
2..................................... Aggregate Total Amount.................. 73.84 ..............
2a.................................... Aggregate Regular Amount................ 15.00 ..............
2b.................................... Receive Scaling Factor (80% of the .............. $12.00
Aggregate Regular Amount)
Deliver Scaling Factor (20% of the .............. 3.00
Aggregate Regular Amount)
2c.................................... Aggregate Supplemental Amount........... 58.84 ..............
Liquidity Tier 1 ($15-$20B) .............. 21.04
Liquidity Tier 2 ($20-$25B) .............. 14.29
Liquidity Tier 3 ($25-$30B) .............. 10.32
[[Page 13881]]
Liquidity Tier 4 ($30-$35B) .............. 6.14
Liquidity Tier 5 ($35-$40B) .............. 3.32
Liquidity Tier 6 ($40-$45B) .............. 1.86
Liquidity Tier 7 ($45-$50B) .............. 1.10
Liquidity Tier 8 ($50-$55B) .............. 0.62
Liquidity Tier 9 ($55-$60B) .............. 0.14
----------------------------------------------------------------------------------------------------------------
The example in Table 2 reflects the allocation of the CCLF size for
a hypothetical Netting Member. This example is based on a six-month
look-back period of July 1, 2016 through December 31, 2016.
Table 2:
$ billion
--------------------------------------------------------------------------------------------------------------------------------------------------------
CCLF sizing: Components of the aggregate total amount Allocation of aggregate total amount
----------------------------------------------------------------------------------------------------------------- hypothetical member A
Size ---------------------------------------
---------------------------------------- Member A's Member A's
percentage allocation of the
Step Component -------------------- component
(X) -------------------
(Y) (Z) = (X) * (Y)
--------------------------------------------------------------------------------------------------------------------------------------------------------
2a........................................ Aggregate Regular Amount.... $15.00 .................. .................. ..................
2b........................................ Receive Scaling Factor .................. $12.00 5.0 $0.60
(80% of the Aggregate
Regular Amount)
Deliver Scaling Factor .................. $3.00 2.5 0.08
(20% of the Aggregate
Regular Amount)
--------------------------------------------------------------------------------------------------------------------------------------------------------
Member A's 0.68
Individual Regular
Amount
--------------------------------------------------------------------------------------------------------------------------------------------------------
2c........................................ Aggregate Supplemental 58.84 .................. .................. ..................
Amount.
Liquidity Tier 1 ($15- .................. 21.04 8.5 1.79
$20B)
Liquidity Tier 2 ($20- .................. 14.29 13.0 1.86
$25B)
Liquidity Tier 3 ($25- .................. 10.32 16.0 1.65
$30B)
Liquidity Tier 4 ($30- .................. 6.14 20.0 1.23
$35B)
Liquidity Tier 5 ($35- .................. 3.32 35.0 1.16
$40B)
Liquidity Tier 6 ($40- .................. 1.86 52.0 0.97
$45B)
Liquidity Tier 7 ($45- .................. 1.10 65.0 0.72
$50B)
Liquidity Tier 8 ($50- .................. 0.62 80.0 0.50
$55B)
Liquidity Tier 9 ($55- .................. 0.14 100.0 0.14
$60B)
--------------------------------------------------------------------------------------------------------------------------------------------------------
Member A's 10.01
Individual
Supplemental
Amount
---------------------------------------
Member A's 10.68
Individual Total
Amount
--------------------------------------------------------------------------------------------------------------------------------------------------------
D. FICC's Ongoing Assessment of the Sufficiency of CCLF
As described above, the Aggregate Total Amount and each Netting
Member's Individual Total Amount (i.e., each Netting Member's
allocation of the Aggregate Total Amount) would initially be calculated
using a six-month look-back period that FICC would reset every six
months (``reset period''). On a quarterly basis, FICC's Liquidity
Product Risk Unit \22\ would assess the following parameters that it
uses to calculate the Aggregate Total Amount and may recommend to the
Board's Risk Committee changes to such parameters:
---------------------------------------------------------------------------
\22\ FICC's Liquidity Product Risk Unit is responsible for
assessing the liquidity needs of GSD and MBSD.
---------------------------------------------------------------------------
Peak daily liquidity need for the largest Affiliated
Family;
the Liquidity Buffer;
the Aggregate Regular Amount;
the Aggregate Supplemental Amount;
the Deliver Scaling Factor and the Receive Scaling Factor
used to allocate the Aggregate Regular Amount;
the increments for the Liquidity Tiers; and
the length of the look-back period and the reset period
for the Aggregate Total Amount.
In the event that any changes to the above-referenced parameters
result in an increase in a Netting Member's Individual Total Amount,
such increase would be effective as of the next reset.
Additionally, on a daily basis, FICC would examine the Aggregate
Total Amount to ensure that such amount is sufficient to satisfy FICC's
liquidity needs. If FICC determines that the Aggregate Total Amount is
insufficient to satisfy its liquidity needs, FICC may modify the length
of the look-back or reset periods or otherwise increase the Aggregate
Total Amount.
Any increase in the Aggregate Total Amount resulting from the
Liquidity Product Risk Unit's quarterly assessments or FICC's daily
monitoring would be subject to the approvals, as set forth in Table 3
below.
Table 3:
[[Page 13882]]
------------------------------------------------------------------------
Increase in aggregate total amount Required approval level
------------------------------------------------------------------------
<= $500 mil............................ Managing Director, Financial
Risk Management.
$501 mil to $1.0 B..................... Group Chief Risk Officer.
$1.1 B to $1.9 B....................... Management Risk Committee, or
designee.
>= $2.0 B.............................. Chair of the Board Risk
Committee, or designee.
------------------------------------------------------------------------
If FICC increases a Netting Member's Individual Total Amount as a
result of its daily monitoring, such increase will not be effective
until ten (10) Business Days after FICC provides an Important Notice
regarding the increase.
If FICC determines that its liquidity needs may be satisfied with a
lower Aggregate Total Amount, a reduction in the Aggregate Total Amount
would be reflected at the conclusion of the reset period.
E. Implementation of the Proposed Rule Change and Required Attestation
From Each Netting Member
The CCLF proposal would become operative 12 months after the later
date of the Commission's no objection of this Advance Notice and its
approval of the Rule Filing. During this 12-month period, FICC would
periodically provide each Netting Member with estimated Individual
Total Amounts. The delayed implementation and the estimated Individual
Total Amounts are designed to give Netting Members the opportunity to
assess the impact that the CCLF proposal would have on their business
profile.
Prior to the effective date, FICC would add a legend to the GSD
Rules to state that the specified changes to the GSD Rules are approved
but not yet operative and to provide the date such approved changes
would become operative. The legend would also include the file numbers
of this Advance Notice and the approved Rule Filing and would state
that once operative, the legend would automatically be removed from the
GSD Rules.
As of the implementation date and annually thereafter, FICC would
require that each Netting Member attest that its Individual Total
Amount has been incorporated into its liquidity plans.\23\ This
required attestation would be from authorized officers of the Netting
Member or otherwise in form and substance satisfactory to FICC making
the following certification: (1) Such officers have read and understand
the GSD Rules, including the CCLF rules, (2) the Netting Member's
Individual Total Amount has been incorporated into the Netting Member's
liquidity planning, (3) the Netting Member acknowledges and agrees that
its Individual Total Amount may be changed at the conclusion of any
reset period or otherwise upon ten (10) Business Days' Notice, (4) the
Netting Member will incorporate any changes to its Individual Total
Amount into its liquidity planning, and (5) the Netting Member will
continually reassess its liquidity plans and related operational plans,
including in the event of any changes to such Netting Member's
Individual Total Amount, to ensure such Netting Member's ability to
meet its Individual Total Amount. FICC may require any Netting Member
to provide FICC with a new certification in the foregoing form at any
time, including upon a change to a Netting Member's Individual Total
Amount or in the event that a Netting Member undergoes a change in its
corporate structure.
---------------------------------------------------------------------------
\23\ The attestation would not refer to the actual dollar amount
that has been allocated as the Individual Total Amount. Each Netting
Member's Individual Total Amount would be made available to such
Member via GSD's access controlled portal Web site.
---------------------------------------------------------------------------
In addition to the above, on a quarterly basis, FICC's Counterparty
Credit Risk Management group would conduct due diligence to assess each
Netting Member's ability to meet its Individual Total Amount. This due
diligence would include a review of all information that the Netting
Member has provided FICC in connection with its ongoing reporting
obligations pursuant to the GSD Rules and a review of other publicly
available information. Additionally, FICC would test its operational
procedures for invoking a CCLF Event. Pursuant to GSD Rule 3 Section 6,
Netting Members would be required to participate in such tests. If a
Netting Member fails to participate in such testing when required by
FICC, FICC may take disciplinary measures as set forth in GSD Rule 3
Section 7.
F. FICC's Commitment to Enhanced Transparency
FICC understands that each Netting Member must be able to evaluate
the risks of its membership and plan for its funding obligations.
Additionally, FICC believes that it is critical that each Netting
Member understands the risks that its activity presents to FICC, and
that each Netting Member should be prepared to monitor its activity and
alter its behavior in order to minimize the liquidity risk that it
presents to FICC. Accordingly, on each Business Day, FICC would make a
liquidity funding report available to each Netting Member that would
include the following:
1. The Netting Member's Individual Total Amount, Individual Regular
Amount and, if applicable, its Individual Supplemental Amount;
2. FICC's Aggregate Total Amount, Aggregate Regular Amount and
Aggregate Supplemental Amount; and
3. FICC's regulatory liquidity requirements as of the prior
Business Day.
The liquidity funding report would be provided for informational
purposes only. Pursuant to the proposed rule change, upon a CCLF Event,
each Netting Member would be required to enter into CCLF Transactions
having an aggregate purchase price up to its Individual Total Amount as
calculated by FICC.
G. Proposed Changes to the GSD Rules
GSD Rule 1--Definitions
In order to help effectuate the proposed changes, FICC proposes to
add the following defined terms to the GSD Rule 1: Affected Member;
Aggregate Regular Amount; Aggregate Supplemental Amount; Aggregate
Total Amount; CCLF Event; CCLF MRA; CCLF MRA Termination Date; CCLF
Transaction; Deliver Scaling Factor; Direct Affected Member; Financed
Securities; Financing Amount; Historical Cover 1 Liquidity Requirement;
Indirect Affected Member; Individual Regular Amount; Individual
Supplemental Amount; Individual Total Amount; Liquidating Trade;
Liquidity Buffer; Liquidity Need; Liquidity Percentage; Liquidity Tier;
Look-Back Period; Observation; Receive Scaling Factor; Relative Inter-
Tier Frequency; Relative Intra-Tier Frequency; Relevant Securities;
Remaining Financing Amount; Required Attestation; and SIFMA MRA.
Rule 22A--Procedures for When the Corporation Ceases To Act
FICC is proposing to amend Rule 22A to include a new section in
this Rule. This new section would be entitled ``Section 2a.'' Proposed
Section 2a would incorporate the CCLF MRA into the GSD Rules subject to
the amendments proposed therein. In addition, the proposed section
would include (1) the notification process that
[[Page 13883]]
would occur once FICC invokes a CCLF Event; (2) the CCLF Transactions
that FICC would enter into once it invokes a CCLF Event; (3) disclosure
of each relevant CCLF sizing component that FICC would assess; (4) the
calculation that FICC would use to determine each Netting Member's
Individual Regular Amount and Individual Supplemental Amount, if
applicable; and (5) a description of the officers' certificate that
each Netting Member would be required to provide certifying that, among
other things, its Individual Total Amount has been incorporated into
its liquidity plans.
Anticipated Effect on and Management of Risks
FICC believes that the proposed change to amend the GSD Rules to
include the CCLF, a committed liquidity resource in the event of a
Netting Member default, would provide FICC with sufficient committed
liquid financial resources to meet the cash settlement obligations of a
defaulting Netting Member.
FICC's proposed change comprises a rules-based committed liquidity
facility that is designed to help ensure that FICC maintains sufficient
liquid financial resources to meet its cash settlement obligations of a
Netting Member. This change would affect FICC's management of risk
because it would provide additional liquidity resources if FICC could
not to obtain sufficient liquidity from GSD's Clearing Fund, by
entering into repurchase transactions using securities in the Clearing
Fund or securities that were destined to the defaulting Netting Member,
or through uncommitted bank loans with its Clearing Agent Banks. Thus,
the proposed change would enhance FICC's risk management capabilities
because it provide committed liquidity resources from its Netting
Members based on each Netting Member's observed peak historical
liquidity need.
FICC has also managed the effect of the overall proposal by
conducting extensive outreach with Netting Members regarding the
proposed changes, educating such Members on reasons for these proposed
changes, and explaining the importance of this proposal to FICC's
overall risk management functions. FICC has invited all Netting Members
to customer forums in an effort to provide transparency regarding the
changes and the expected impact across the membership, and has provided
each Netting Member with an individual impact study. In addition,
FICC's Financial Risk Management team and Relationship Management team
have been available to answer all questions. Such communication gives
Netting Members the opportunity to manage any impact to their own risk
profile.
In an effort to help Netting Members further manage the effect of
this proposal, FICC would delay the implementation of the CCLF proposal
as described above. During the 12-month implementation period, FICC
would periodically provide each Netting Member with estimated
Individual Total Amounts. The delayed implementation and the estimated
Individual Total Amounts are designed to give Netting Members the
opportunity to assess the impact that the CCLF proposal would have on
their business profile.
Consistency With the Clearing Supervision Act
The proposed changes, which have been described in detail above,
would be consistent with Section 805(b) of the Clearing Supervision
Act.\24\ The objectives and principles of Section 805(b) include, among
other things, the promotion of robust risk management.\25\ FICC
believes the proposed changes would promote this objective because the
CCLF proposal would give FICC access to additional liquidity in the
event that its other liquidity resources are insufficient upon the
default of a Netting Member. Thus the proposed change would help ensure
that FICC has sufficient funds to meet its cash settlement obligations
to its non-defaulting Netting Members. As a result, FICC believes that
the proposed changes are also consistent with Commission Rules 17Ad-
22(b)(3), (d)(9) and (e)(7).\26\
---------------------------------------------------------------------------
\24\ See 12 U.S.C. 5464(b).
\25\ Id.
\26\ See 17 CFR 240.17Ad-22(b)(3), (b)(9) and (e)(7).
---------------------------------------------------------------------------
Commission Rule 17Ad-22(b)(3) requires a registered clearing agency
that performs central counterparty services to establish, implement,
maintain and enforce written policies and procedures reasonably
designed to maintain sufficient financial resources to withstand, at a
minimum, a default by the participant family to which it has the
largest exposure in extreme but plausible market conditions.\27\ As
described above, FICC would size CCLF based on the peak liquidity need
that would be generated by the default of its largest participant
family (its Historical Cover 1 Liquidity Requirement), plus an
additional Liquidity Buffer to account for unexpected Netting Member
trading behavior that could increase FICC's Historical Cover 1
Liquidity Requirement or a situation in which its largest Netting
Member defaults and cannot contribute to the CCLF. Thus, FICC believes
that the proposal would be consistent with Commission Rule 17Ad-
22(b)(3) because it is designed to provide FICC with sufficient
financial resources to withstand a default by the participant family to
which it has the largest exposure in extreme but plausible market
conditions.
---------------------------------------------------------------------------
\27\ See 17 CFR 240.17Ad-22(b)(3).
---------------------------------------------------------------------------
Commission Rule 17Ad-22(d)(9) requires a registered clearing agency
that performs central counterparty services to establish, implement,
maintain and enforce written policies and procedures to provide market
participants with sufficient information for them to identify and
evaluate the risks and costs associated with using its services.\28\ As
described above, on each Business Day, FICC would make a liquidity
funding report available to each Netting Member. This report would
include (1) the Netting Member's Individual Total Amount, Individual
Regular Amount and, to the extent applicable, its Individual
Supplemental Amount; (2) FICC's Aggregate Total Amount, Aggregate
Regular Amount and Aggregate Supplemental Amount; and (3) FICC's
regulatory liquidity requirements as of the prior Business Day. This
report would enable each Netting Member to prepare for its maximum
funding obligations and alter its trading behavior should it desire to
minimize the liquidity risk it presents to FICC. FICC believes that the
proposed rule change would be consistent with Commission Rule 17Ad-
22(d)(9) because the liquidity funding report would provide Netting
Members with sufficient information to identify and evaluate the risks
and costs associated with using the services that FICC provides through
GSD.
---------------------------------------------------------------------------
\28\ See 17 CFR 240.17Ad-22(d)(9).
---------------------------------------------------------------------------
Commission Rule 17Ad-22(e)(7) which was recently adopted by the
Commission, will require FICC to establish, implement, maintain and
enforce written policies and procedures reasonably designed to
effectively measure, monitor, and manage liquidity risk that arises in
or is borne by FICC, including measuring, monitoring, and managing its
settlement and funding flows on an ongoing and timely basis, and its
use of intraday liquidity.\29\
---------------------------------------------------------------------------
\29\ See 17 CFR 240.17Ad-22(e)(7).
---------------------------------------------------------------------------
Commission Rule 17Ad-22(e)(7)(i) will require FICC to maintain
sufficient liquid resources to effect same-day settlement of payment
obligations in the event of a default of the participant family that
would generate the largest aggregate payment obligation for the covered
clearing agency in extreme but
[[Page 13884]]
plausible market conditions.\30\ FICC believes that the proposal would
be consistent with Commission Rule 17Ad-22(e)(7)(i) because CCLF would
be sized based on the peak liquidity need that would be generated by
the default of its largest participant family (its Historical Cover 1
Liquidity Requirement), plus an additional Liquidity Buffer, which
would help FICC maintain sufficient liquid resources to settle the cash
obligations of an Affiliated Family that would generate the largest
aggregate payment obligation for FICC in extreme but plausible market
conditions.
---------------------------------------------------------------------------
\30\ See 17 CFR 240.17Ad-22(e)(7)(i).
---------------------------------------------------------------------------
Commission Rule 17Ad-22(e)(7)(ii) will require FICC to hold
qualifying liquid resources sufficient to satisfy payment obligations
owed to clearing members.\31\ FICC believes that the proposed rule
change would be consistent with Commission Rule 17Ad-22(e)(7)(ii)
because the CCLF MRA would be a committed arrangement and all CCLF
Transactions entered into pursuant the CCLF MRA would be readily
available and the related assets would be convertible into cash in
order to settle cash obligations owed to non-defaulting Netting
Members.
---------------------------------------------------------------------------
\31\ See 17 CFR 240.17Ad-22(e)(7)(ii).
---------------------------------------------------------------------------
Commission Rule 17Ad-22(e)(7)(iv) will require FICC to undertake
due diligence that confirms that it has a reasonable basis to believe
each of its liquidity providers has: (a) Sufficient information to
understand and manage the liquidity provider's liquidity risks; and (b)
the capacity to perform as required under its commitments to provide
liquidity.\32\ As described above, on a quarterly basis, FICC would
conduct due diligence to assess each Netting Member's ability to meet
its Individual Total Amount. This due diligence would include a review
of all information that the Netting Member has provided FICC in
connection with its ongoing reporting requirements pursuant to the GSD
Rules as well as a review of other publicly available information. As a
result, FICC believes that its due diligence of Netting Members would
be consistent with Commission Rule 17Ad-22(e)(7)(iv).
---------------------------------------------------------------------------
\32\ See 17 CFR 240.17Ad-22(e)(7)(iv).
---------------------------------------------------------------------------
Additionally, Commission Rule 17Ad-22(e)(7)(v) will require FICC to
maintain and test with each liquidity provider, to the extent
practicable, FICC's procedures and operational capacity for accessing
its relevant liquid resources.\33\ As described above, FICC would test
its operational procedures for invoking a CCLF Event and pursuant to
GSD Rule 3 Section 6, Netting Members would be required to participate
in such tests. As a result, FICC believes that its testing of its
capability to invoke a CCLF MRA would be consistent with Commission
Rule 17Ad-22(e)(7)(v).
---------------------------------------------------------------------------
\33\ See 17 CFR 240.17Ad-22(e)(7)(v).
---------------------------------------------------------------------------
III. Date of Effectiveness of the Advance Notice and Timing for
Commission Action
The proposed change may be implemented if the Commission does not
object to the proposed change within 60 days of the later of (i) the
date the proposed change was filed with the Commission or (ii) the date
that any additional information requested by the Commission is
received. The clearing agency shall not implement the proposed change
if the Commission has any objection to the proposed change.
The Commission may extend the period for review by an additional 60
days if the proposed change raises novel or complex issues, subject to
the Commission providing the clearing agency with prompt written notice
of the extension. A proposed change may be implemented in less than 60
days from the date the Advance Notice is filed, or the date further
information requested by the Commission is received, if the Commission
notifies the clearing agency in writing that it does not object to the
proposed change and authorizes the clearing agency to implement the
proposed change on an earlier date, subject to any conditions imposed
by the Commission.
The clearing agency shall post notice on its Web site of proposed
changes that are implemented.
The proposal shall not take effect until all regulatory actions
required with respect to the proposal are completed.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the Advance
Notice is consistent with the Clearing Supervision 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 email to [email protected]. Please include
File Number SR-FICC-2017-802 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-FICC-2017-802. 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 Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all
written statements with respect to the Advance Notice that are filed
with the Commission, and all written communications relating to the
Advance Notice 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 Web site 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 FICC and on DTCC's Web site
(http://dtcc.com/legal/sec-rule-filings.aspx). 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 available publicly. All submissions
should refer to File Number SR-FICC-2017-802 and should be submitted on
or before March 30, 2017.
By the Commission.
Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-05092 Filed 3-14-17; 8:45 am]
BILLING CODE 8011-01-P