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Federal Register / Vol. 86, No. 55 / Wednesday, March 24, 2021 / Notices
implement, maintain and enforce written policies and procedures reasonably designed to maintain sufficient liquid resources at the minimum in all relevant currencies to effect same-day and, where appropriate, intraday and multiday 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 NSCC in extreme but plausible market conditions.43 Rule 17Ad22e7ii under the Act requires that NSCC establish, implement, maintain and enforce written policies and procedures reasonably designed to hold qualifying liquid resources sufficient to meet the minimum liquidity resource requirement under Rule 17Ad22e7i in each relevant currency for which NSCC has payment obligations owed to its Members.44
As described above, the proposal would strengthen NSCCs ability to maintain sufficient liquidity to complete end-of-day settlement in the event of the default of a Member. The proposal would do this by allowing NSCC to calculate and collect, when applicable, SLD every Business Day from those Members that pose the largest liquidity exposures to NSCC on that day. The proposal would also include a mechanism to allow NSCC to collect SLD on an intraday basis, including on the first Business Day of the Options Expiration Activity Period, when liquidity exposures are historically higher. These resources would be available to NSCC to complete end-ofday settlement in the event of the default of a Member. Further, SLD are currently, and would continue to be, held by NSCC at either its cash deposit account at the Federal Reserve Bank of New York, at a creditworthy commercial bank, or in other investments pursuant to the Clearing Agency Investment Policy.45 Therefore, SLD would continue to be considered a qualifying liquid resource, as defined by Rule 43 17

CFR 240.17Ad22e7i.
CFR 240.17Ad22e7ii. For purposes of Rule 17Ad22e7ii, qualifying liquid resources are defined in Rule 17Ad22a14 as including, in part, cash held either at the central bank of issue or at creditworthy commercial banks.
Supra note 7.
45 See Securities Exchange Act Release Nos.
79528 December 12, 2016, 81 FR 91232 December 16, 2016 File Nos. SRDTC2016007, SRFICC
2016005, SRNSCC2016003; 84949 December 21, 2018, 83 FR 67779 December 31, 2018 File Nos. SRDTC2018012, SRFICC2018014, SR
NSCC2018013.

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17Ad22a14 under the Act,46 and would support NSCCs ability to hold qualifying liquid resources sufficient to meet the minimum liquidity resource requirement under Rule 17Ad 22e7i, as required by Rule 17Ad 22e7ii. Additionally, the proposed alternative pro-rata calculation of Supplemental Liquidity Obligations would provide NSCC with flexibility to determine how the total amount collected on a Business Day, while continuing to collect and hold sufficient liquidity to allow it to complete end-ofday settlement in the event of the default of the Member with the largest payment obligations, as required by Rule 17Ad-22e7i.47 As such, this proposed change would support NSCCs ability to hold sufficient qualifying liquid resources to meet its minimum liquidity resource requirement under Rule 17Ad22e7i and ii.48
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 that 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 website of proposed changes that are implemented.
The proposal shall not take effect until all regulatory actions required with respect to the proposal are completed.
46 17

CFR 240.17Ad22a14.
CFR 240.17Ad22e7i.
48 17 CFR 240.17Ad22e7i and ii.
47 17

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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 Commissions internet comment form http www.sec.gov/
rules/sro.shtml; or Send an email to rule-comments@
sec.gov. Please include File Number SR
NSCC2021801 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 SRNSCC2021801. 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 Commissions internet website 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 website viewing and printing in the Commissions 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 DTCCs 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. All submissions should refer to File Number SRNSCC
2021801 and should be submitted on or before April 8, 2021.

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