Statement Summary
The Securities and Exchange Commission (SEC) has announced a proposed rule change by The Depository Trust Company (DTC) to update its Clearing Agency Securities Valuation Framework. This change aims to incorporate new requirements from the recently adopted Standards for Covered Clearing Agencies (CCAS Rules), focusing on the use of substantive inputs in risk-based margin systems. The amendments will enhance compliance with regulations by ensuring reliable and timely data is utilized while also addressing scenarios where data may be unavailable or unreliable. Key updates include clarifications on substantive inputs, improved data quality procedures, and a new glossary of terms. The proposed changes seek to reinforce risk management processes in securities transactions and are expected to be implemented by December 15, 2025. Comments from interested parties are welcomed by the SEC.
Original Statement
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-102938; File No. SR-DTC-2025-006]
Self-Regulatory Organizations; The Depository Trust Company; Notice of Filing of Proposed Rule Change to Update the Clearing Agency Securities Valuation Framework to Include Use of Substantive Inputs
April 28, 2025.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (“Act”) and Rule 19b-4 thereunder, notice is hereby given that on April 15, 2025, The Depository Trust Company (“DTC”) 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 primarily by the clearing agency. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons.
Clearing Agency’s Statement of the Purpose of the Proposed Rule Change
The proposed rule change updates the Clearing Agency Securities Valuation Framework (“Framework”) of DTC and its affiliates, Fixed Income Clearing Corporation (FICC) and National Securities Clearing Corporation (NSCC), in order to address recently adopted amendments to the Commission’s Standards for Covered Clearing Agencies (CCAS Rules) concerning the use of substantive inputs in covered clearing agency (“CCA”) risk-based margin systems. The proposed changes to the Framework would apply to DTC, NSCC, and both of FICC’s divisions, GSD and MBSD.
Proposed Changes to the Framework
The Clearing Agencies propose to revise the Framework to address the newly adopted CCAS Margin Rules and make other clarifying, organizational, and cleanup changes. Key changes include:
- Addition of a new section on other margin input data (aside from price data) to address CCAS Margin Rules related to substantive inputs to CCA margin systems.
- Inclusion of a new glossary of key terms to enhance transparency.
- Clarification and streamlining of the description of the Clearing Agencies’ practices concerning price data.
- Other conforming and clarifying changes, including renaming the Framework to reflect its broader scope regarding price and margin input data.
Implementation Timeframe
The Clearing Agencies expect to implement the proposed rule change by no later than December 15, 2025 and will announce the effective date via an Important Notice posted to the DTCC website.
Solicitation of Comments
Interested persons are invited to submit written data, views, and arguments concerning the proposed rule change, including whether it is consistent with the Act. Comments may be submitted via the Commission’s internet comment form or by email to rule-comments. Please include file number SR-DTC-2025-006 on the subject line. Additionally, paper comments can be sent in triplicate to the Secretary at the SEC’s address, and all submissions should refer to this file number.
The Clearing Agencies reserve the right to not respond to any comments received.
