[Federal Register Volume 75, Number 205 (Monday, October 25, 2010)]
[Notices]
[Pages 65546-65550]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2010-26805]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-63126; File No. SR-NSCC-2010-11]
Self-Regulatory Organizations; National Securities Clearing
Corporation; Notice of Filing of Proposed Rule Change To Enhance the
Reconfirmation and Pricing Service, Including the Creation of the
Obligation Warehouse
October 18, 2010.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act'') \1\ and Rule 19b-4 thereunder \2\ notice is hereby given that
on October 5, 2010, the National Securities Clearing Corporation
(``NSCC'') filed with the Securities and Exchange Commission
(``Commission'') the proposed rule change as described in Items I and
II below, which Items have been prepared primarily by NSCC.\3\ The
Commission is publishing this notice to solicit comments on the
proposed rule change from interested persons.
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ The text of the proposed rule change is attached as Exhibit
5 to NSCC's filing and is available at http://www.dtcc.com/downloads/legal/rule_filings/2010/nscc/2010-11.pdf.
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I. Self-Regulatory Organization's Statement of the Terms of the
Substance of the Proposed Rule Change
The purpose of this proposed rule change is to enhance the
Reconfirmation and Pricing Service (``RECAPS'') process,
[[Page 65547]]
to modify RECAPS to run on a more frequent basis, and to rename RECAPS
as the Obligation Warehouse (``OW'') service.
II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
In its filing with the Commission, NSCC included statements
concerning the purpose of and basis for the proposed rule change and
discussed any comments it received on the proposed rule change. The
text of these statements may be examined at the places specified in
Item IV below. NSCC has prepared summaries, set forth in sections (A),
(B), and (C) below, of the most significant aspects of these
statements.\4\
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\4\ The Commission has modified the text of the summaries
prepared by NSCC.
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(A) Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
Background
RECAPS is NSCC's automated fail clearance system for eligible
securities. Through RECAPS, members are provided with an opportunity on
a quarterly basis to reconfirm and reprice compared transactions which
remain unsettled (i.e., fail transactions). The rule change proposes to
modify RECAPS to run on a more frequent basis, enhance the RECAPS
process, and rename the RECAPS process the Obligation Warehouse (``OW''
or ``OW Service''). As more fully described below, the proposed
enhanced service will provide: (1) Comparison of transactions that are
not otherwise submitted by the applicable marketplaces or members
themselves for trade comparison or recording through other NSCC trade
capture services; (2) tracking, storage, and maintenance of unsettled
obligations either compared through the service or forwarded to it from
other NSCC services in accordance with NSCC rules (including securities
exited from NSCC's Continuous Net Settlement (``CNS'') system, non-CNS
Automated Customer Account Transfer Service (``ACATS'') items,\5\ NSCC
Balance Order transactions and Special Trades) (collectively ``OW
Obligations''); \6\ and (3) repricing and netting of fail obligations.
The tracking, storage, and maintenance functionality of the OW will
provide transparency, will make information available to its users
while serving as a central depository of open (i.e., failed or
unsettled) broker-to-broker obligations, and will allow users to manage
and to resolve exceptions (e.g., ``don't know'' or ``DK'' obligations)
in an efficient and timely manner. As proposed, OW will simultaneously
provide on-going maintenance and servicing of open OW Obligations, such
as adjustments for corporate actions and regular scans of OW
Obligations for CNS eligibility.\7\
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\5\ Only non-CNS eligible ACATS items and CNS-eligible ACATS
items that have been designated as ex-CNS shall be forwarded to the
OW. Non-CNS ACATS items for mutual funds, limited partnerships, and
safekeeping items, however, will not be eligible for OW.
\6\ Balance Orders will be forwarded to the OW after netting and
allotting has occurred in accordance with NSCC's Procedures.
\7\ These functionalities will be made available at a date no
less than ten business days following announcement of implementation
by Important Notice.
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Current RECAPS Service
RECAPS allows members to periodically reconfirm open, aged fails
(i.e., fails that are five days or older), reprice such fails to the
current market value, and when possible, net the reconfirmed and
repriced fails. All NSCC members that are also members of the Financial
Industry Regulatory Authority (``FINRA'') are required to participate
in the RECAPS service; \8\ however, the service is available to all
members. As part of the RECAPS process, those CNS-eligible recompared
fails are forwarded to CNS for processing and settlement. Transactions
in non-CNS eligible issues are repriced, netted, and allotted, when
applicable, and Balance Orders generated for them or they are
designated to settle trade-for-trade.
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\8\ FINRA Rule 11190(a).
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RECAPS provides reject and DK capabilities for advisories received
and requires members to effectively respond to all open fails submitted
by a contraparty through a batch overnight submission. Advisories that
are either ``unresponded to'' or ``DK'd'' are subject to close-out
action under the rules of the appropriate marketplace. RECAPS provides
for a one-day settlement capability for all compared fails.
Currently, the RECAPS processing procedures are as follows:
1. On a Friday evening at the time and in the manner established by
NSCC, members submit RECAPS fail information (``RECAPS Input'').
2. On the following Monday morning, NSCC produces RECAPS Contracts
indicating compared, uncompared, and advisory items. Members: (i) Must
respond to all advisories that they receive as a result of the initial
fail submission (either by submitting an advisory, a ``DK,'' or a
reject) and (ii) may submit an ``as-of'' trade if the member failed to
timely submit a transaction to RECAPS. As-of trades are compared only
if there is an exact match, and no trade resolution process is
available. NSCC produces supplemental RECAPS Contracts showing items
compared on Monday's input and CNS and non-CNS Compared Trade Summaries
for those items that compared as a result of Monday's submission.
3. Fails that compared on the Friday submission will settle on
Monday. Fails that compared on the Monday submission will settle on
Tuesday.
4. A RECAPS Activity Report is made available to members at the end
of the RECAPS cycle.
5. The net cash adjustment (the difference between the aggregate
value of the original fails and the aggregate value of the reconfirmed
trades) will settle the day the underlying RECAPS Contract settles and
is included as part of the member's daily money settlement with NSCC.
6. Because RECAPS is not a guaranteed service of NSCC, if NSCC does
not receive payment from a member, NSCC may, in its discretion, reverse
in whole or part any credit previously given to a member that is the
contra side to a trade reconfirmed and repriced through RECAPS.
Obligation Warehouse
Currently, many of the transactions submitted to RECAPS by members
are subject to noncentralized, manual processes for purposes of
comparison of fail details and fail confirmation. Under this proposed
rule change, NSCC proposes to enhance and rename the RECAPS service as
the OW to which members may submit and may subsequently maintain and
manage their unsettled transactions. As part of these enhancements,
NSCC proposes to provide a trade matching and confirmation process
pursuant to which members may submit to NSCC information on certain
obligations that are not otherwise submitted to NSCC by the applicable
marketplaces or members themselves through NSCC's other trade
comparison or recording services.\9\
[[Page 65548]]
Comparison of transactions submitted through the OW will occur in real-
time. Obligations will be tracked and maintained within the OW and will
be made available for RECAPS processing (as described below) until
settled or otherwise cancelled. In addition, transactions exited from
CNS, non-CNS-eligible ACATS items, and Balance Orders, and Special
Trades will also be forwarded to the OW for storage and maintenance and
RECAPS processing.\10\ Compared items stored in the OW (whether
compared by the OW or forwarded to it from other NSCC services or
systems) will be referred to as ``OW Obligations.'' As more fully
described below, in order to further reduce manual processing by
members, NSCC may automatically adjust any OW Obligations for certain
mandatory reorganization events, which will initially be limited to
adjustments for forward splits, name changes, redemptions, mergers
(both cash and stock), and full calls with respect to bonds.\11\
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\9\ See Procedure II (Trade Comparison and Recording Service)
which sets forth the procedures for comparison of direct submissions
by members and trade recording of locked-in transactions. In
accordance with Municipal Securities Rulemaking Board (``MSRB'')
rules, NSCC reports transactions in municipal securities compared
through its Real-time Trade Matching (``RTTM'') service to the MSRB
on behalf of members; however, transactions submitted through the OW
will not be reported to the MSRB. In order to remain compliant with
MSRB reporting requirements, members will have to continue to make
submissions subject to MSRB rules through RTTM.
\10\ Such items will be subject to the validation criteria of
the systems/services that forwarded them to the OW; therefore, the
matching/validation criteria (which are set forth in footnote 9
below) will not apply.
\11\ Adjustments for mandatory reorganization events are
expected to be available shortly after February 4, 2011, or a date
no less than 10 business days following announcement of its
implementation by Important Notice.
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The proposed OW Service will forward to CNS on a daily basis (or
such other time frame as NSCC determines from time to time) OW
Obligations in CNS-eligible securities.\12\ However, the OW will not be
a guaranteed service, and an obligation forwarded to CNS will only be
guaranteed to the extent that the member meets its settlement
obligation on the date the item is originally scheduled to settle in
CNS. Transactions eligible for submission will have to have a valid
CUSIP or ISIN and be denominated in U.S. Dollars or such other
currencies as NSCC may designate from time to time. NSCC may determine
from time to time and shall announce by Important Notice which items
are eligible for submission to OW. Initially, government, mortgage-
backed, and foreign securities will all specifically not be eligible.
Further, cash trades will be processed by OW only after settlement
failure of these trades.
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\12\ This functionality is anticipated to be rolled out in early
March 2011.
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OW Comparison and Trade Resolution Procedures
As proposed, once a party enters the required transaction
information,\13\ the contraparty will receive an advisory to which it
must respond by submitting identical transaction details to facilitate
a compared obligation or by submitting a DK.\14\ If a member does not
act on an advisory submitted against it by the close of business on the
day after submission, NSCC may impose a fee upon the member. If the
deliverer and receiver submit trade data that matches in all required
respects, the trade will be deemed compared.\15\ NSCC may permit
uncompared trade details to be modified or cancelled by the submitter
on the submission date through the use of the appropriate
instruction.\16\ Upon comparison, NSCC may permit obligations to be
cancelled if both receiver and deliverer agree by submitting a cancel
request or if one party accepts the other party's cancel request. Each
OW Obligation will receive an ``OW Control Number'' to facilitate
tracking the obligation through its settlement, cancellation, or
closure.
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\13\ Data required for a valid submission will include security
identification, quantity to which party is deliverer or receiver,
contra-broker, deliverer's final money, settlement date, market
participation identification (MPID) (if applicable), Member's unique
reference number (``x-ref''), whether a transaction should be
excluded from CNS processing and other identifying details as NSCC
may require or permit.
\14\ Obligations will be able to be submitted to the OW in real-
time. Required matching criteria will include the specific criteria
listed in the immediately preceding footnote (except for the x-ref),
and other identifying details as NSCC may require or permit. Any
submission of a DK must include the applicable reason code
pertaining to the Member's disagreement with the transaction.
\15\ If the deliverer and receiver submit trade data that
matches in all required respects, the trade will be deemed compared
if it meets an initial money tolerance of $5 per million. The amount
of the money tolerance may change from time to time following the
filing of a proposed rule change by NSCC.
\16\ Modification of transaction details will result in the
cancellation of the existing entry and the opening of a new
submission. Transaction details that have been DK'd by a contraparty
will be deleted from processing in accordance with time frames
specified by NSCC from time to time. Initially, such transaction
details will be deleted on the fifth business day following
submission of the DK by the contraparty.
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NSCC will have no responsibility for determining whether any trade
submission is duplicative of an earlier trade submission, and any such
input will be treated as a separate submission. NSCC may delete trade
input which is not matched by such time frames as it determines from
time to time.
Maintenance and Tracking
The proposed OW service will permit members to track each OW
Obligation for the life of the obligation until it has been (i)
Settled, (ii) cancelled by members party to the obligation, or (iii)
otherwise closed in the OW Service by NSCC pursuant to NSCC Rules
(e.g., when the obligation becomes CNS-eligible and is sent to CNS for
settlement).
NSCC may adjust any compared OW Obligation with respect to certain
mandatory reorganization events, which will initially be limited to
forward splits, name changes, redemptions, mergers (both cash and
stock), and full calls with respect to bonds. In the case of such a
mandatory reorganization, at such time on or after the effective date
of the reorganization as NSCC shall determine and to the extent NSCC
has the relevant information, the affected OW Obligation may be
adjusted in accordance with the terms of the reorganization event. With
respect to name changes and forward splits, OW positions in the subject
security will be converted into the equivalent positions of the new
securities and/or cash, and a new obligation will be created
automatically as part of the processing in the OW. Any cash component
associated with a mandatory reorganization will be included as part of
the member's daily money settlement with NSCC.\17\
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\17\ In the event that NSCC ceases to act for a member pursuant
to Rule 18, NSCC will reverse credits and debits relating to such a
cash adjustment.
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Unless otherwise excluded by a member, all CNS-eligible OW
Obligations that reach the status of settlement date minus one (``SD-
1'') or that have reached or passed their scheduled settlement date,
may be forwarded to CNS by NSCC on a daily basis.\18\ However, the
settlement of any such item forwarded to CNS will be guaranteed only to
the extent that the member pays its full settlement obligation on the
date the item is scheduled to settle in CNS. An item forwarded to CNS
from the OW may be exited from the CNS Accounting Operation to the
extent the member fails to complete its settlement obligation. If NSCC
exits an item, any credits received by a member arising from the
corresponding payment obligation shall be reversed, and settlement of
the item shall be effected between the receiving and delivering member
outside the facilities of NSCC.
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\18\ This functionality is expected to be rolled out by March
2011 or on a date no less than 10 business days following
announcement of its implementation by Important Notice.
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OW Obligations for which deliveries are made through The Depository
Trust Company (``DTC'') through either The New York Window (``NYW'') or
electronic book-entry deliver order that include the OW Control Number
will be updated to indicate that they have settled in accordance with
proper instructions from DTC or the member,
[[Page 65549]]
respectively. In order to give effect to such an update, members must
provide DTC with instructions in accordance with DTC's procedures and
must include the OW Control Number. In the event of a partial delivery
through DTC, NSCC will update the records for the respective OW
Obligation accordingly based on information received either from DTC or
the member's update to their own OW Obligation records. Other items
will be recorded as settled upon the submission of appropriate
instructions by the counterparties. Obligations that have been
reflected in the OW as settled may be reopened (either partially or
fully) as a result of a delivery reclaim message sent by either party
to the obligation to OW. Updates to reflect reclaims of settled
transactions will be made once one party enters details of the original
transaction and the original transaction's OW Control Number.\19\ Once
these details are submitted, an advisory of the reclaim will be sent to
the contraparty that must then submit either identical transaction
details to facilitate the reclaim and reopening of the obligation in OW
or notification that it does not accept the reclaim details entered by
the initiating party. Updates for reclaims may only be submitted to the
OW for a period of two business days following the actual settlement
date of the relevant obligation. If the reclaim message is not accepted
by the contraparty, it will be deleted from the OW, and the parties
will need to generate a new reclaim message in OW. If the original
obligation has been settled for longer than two business days, any
reclaim message will be rejected.
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\19\ Transaction details required will be identical to those
required when comparing an obligation, set out in note 9 above.
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Under the proposal, if NSCC ceases to act for a member, all open
activity relating to that member will be deleted from the OW. However,
the reports relating to such activity will be maintained in accordance
with NSCC's record retention requirements.
Modified RECAPS Process
As proposed, the existing RECAPS process will continue to function
in a modified form.\20\ NSCC proposes that upon implementation of OW,
the RECAPS process will be incorporated into OW and will require one
day to complete. It is anticipated that the process will occur more
frequently than the current quarterly schedule.\21\
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\20\ It is expected that the first RECAPS process in the OW will
run in late March or early April 2011.
\21\ Upon implementation of the changes described herein, NSCC
anticipates operating the RECAPS process on a monthly cycle. Members
will be notified of changes in the processing cycle, if any, by an
NSCC Important Notice.
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On a day specified by NSCC, each OW Obligation eligible for RECAPS
\22\ will be re-priced, if appropriate,\23\ renetted and allotted, if
appropriate, the settlement date will be updated to the next business
date, and a new OW Obligation will be opened. Securities that are not
CNS-eligible or are designated as trade-for-trade will not be netted
and allotted. Obligations eligible for RECAPS in the OW can be excluded
from the RECAPS process if so designated by the member.
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\22\ Obligations that are matched and have a settlement date of
at least two days prior to the date on which the RECAPS process
commences will be considered for inclusion in the RECAPS process,
and therefore, fail items not already in the OW and eligible for
RECAPS processing must be submitted by the Member prior to RECAPS
processing.
\23\ In the event that the current market price for a security
is not available, the obligation will be priced at the amount at
which the obligation was previously matched.
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All new obligations arising from the RECAPS process will be tracked
and processed in accordance with the OW procedures described above. If
a fail was open over an interest payment date, the parties to the trade
will be required to settle that interest payment outside of the OW. Any
net cash adjustments resulting from the RECAPS process will be sent to
NSCC Settlement as they are under the current process.
Reporting
The rule change proposes that each member will receive real-time
updates regarding its OW activity. In addition, NSCC proposes to make
available to each member an end-of-day report that reflects all end-of-
day positions of such member in OW, which may be accessed by members
through NSCC's systems. Accordingly, NSCC will discontinue issuance of
all RECAPS reports (e.g., RECAPS Contracts/Supplemental Contracts and
RECAPS Compared Trade Summaries).
Proposed Rule Changes
The rule change also proposes that NSCC will create a new Rule 51
(Obligation Warehouse) and Procedure IIA (Obligation Warehouse) to
reflect the changes and enhancements as described above. Rule 51 would
provide: (i) A general description of the OW service, (ii) a provision
relating to the settlement of OW Obligations and the non-guaranteed
nature of the service, and (iii) a limitation of liability on the part
of NSCC with respect to obligations processed through the OW.
Furthermore, the provisions of Procedure IIA will supersede those set
forth in Procedure II, Section F (RECAPS) and thus Section F will be
deleted.
In addition, NSCC proposes to make conforming changes to:
a. Rule 1 (Definitions) to add a definition for ``Obligation
Warehouse'' and ``OW Obligation'';
b. Rule 7 (Comparison and Trade Recording Operation) to remove
language from the rule relating to submission of data to NSCC for
reconfirmation and repricing of trade data with respect to transactions
already compared through the facilities of NSCC or other facilities, as
this service will now occur pursuant to Rule 51 and Procedure XVII;
c. Rule 11 (CNS System) to provide that obligations arising from
Special Trades will be automatically entered into the OW;
d. Rule 18 (Procedures for When NSCC Ceases to Act) to reflect that
(i) the OW Obligations that have been forwarded to CNS for settlement
relating to a member for which NSCC has ceased to act will be removed
from the CNS Accounting Operation and that any outstanding OW
Obligations of the member will be removed from the OW service and (ii)
NSCC will reverse any cash adjustments that were forwarded to
settlement relating to the OW activity of a member for which NSCC has
ceased to act;
e. Rule 50 (Automated Customer Account Transfer Service) to reflect
that non-CNS ACATS items (as well as CNS-eligible items designated to
be delivered ex-CNS) will be automatically entered into the OW;
e. Procedure V (Balance Order Accounting Operation) to reflect that
Balance Orders will be automatically entered into the OW; and
f. Procedure VII (CNS Accounting Operation) to reflect (i) the
addition of CNS-eligible OW activity to the CNS Miscellaneous Activity
Report and (ii) securities removed from CNS that result in a CNS
Receive and Deliver Instructions will be entered into the Obligation
Warehouse service.
Pilot and Participant Testing
NSCC implemented a pilot program of the OW process in early
February 2010 for firms that had completed systems changes necessary to
participate in the process. This pilot program ended at the beginning
of June 2010, as additional discussions ensued between NSCC and its
participant members regarding the additional functionalities sought to
be included within the service, which are described in this filing.
Prior to implementation of OW, NSCC proposes that a participant testing
period will
[[Page 65550]]
take place between November 2010 and January 2011. An industry-wide
test of the OW RECAPS process would be scheduled for March 11, 2011.
Implementation Timeframe
NSCC proposes to implement the changes set forth in this filing for
all members during the first quarter of 2011 with the first settlement
date expected to be on January 24, 2011. Mandatory reorganization
events are anticipated to be applied to OW Obligations shortly after
February 4, 2011, on a date no less than 10 business days following
announcement of its implementation by Important Notice. Similarly, at
the request of the industry, the functionality providing for OW
Obligations in CNS-eligible securities to be reviewed and sent to CNS
will be implemented several weeks after the initial launch to give
members time to familiarize themselves with the OW settlement tracking
functionality. Accordingly, after March 4, 2011, or on a date no less
than 10 business days following announcement of its implementation by
Important Notice obligations in the OW will be reviewed for CNS-
eligibility and if eligible, will be closed and sent to CNS. The first
RECAPS process in the OW will be run in late March or early April 2011.
Pending Commission approval, members will be advised of the
implementation dates through issuance of NSCC's Important Notices.
The proposed rule change is consistent with the requirements of the
Securities Exchange Act of 1934, as amended (``Act'') and the rules and
regulations thereunder applicable to NSCC because it facilitates the
prompt and accurate clearance and settlement of securities transactions
by providing for greater efficiency and transparency with respect to
securities transaction obligations processed through the OW. In
addition, the proposal is consistent with the CPSS/IOSCO
Recommendations for Central Counterparties in that it facilitates the
prompt and automated confirmation and comparison of trades, and the
tracking of fail transactions by the parties thereto through
settlement.
(B) Self-Regulatory Organization's Statement on Burden on Competition
NSCC does not believe that the proposed rule change would impose
any burden on competition.
(C) Self-Regulatory Organization's Statement on Comments on the
Proposed Rule Change Received From Members, Participants or Others
Written comments relating to the proposed rule change have not been
solicited or received. NSCC will notify the Commission of any written
comments received by NSCC.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
Within forty-five days of the date of publication of this notice in
the Federal Register or within such longer period (i) as the Commission
may designate up to ninety days of such date if it finds such longer
period to be appropriate and publishes its reasons for so finding or
(ii) as to which the self-regulatory organization consents, the
Commission will:
(A) By order approve or disapprove the proposed rule change or
(B) Institute proceedings to determine whether the proposed rule
change should be disapproved.
IV. 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) or
Send an e-mail to [email protected]. Please include
File Number SR-NSCC-2010-11 on the subject line.
Paper Comments
Send paper comments in triplicate to Elizabeth M. Murphy,
Secretary, Securities and Exchange Commission, 100 F Street, NE.,
Washington, DC 20549-1090.
All submissions should refer to File Number SR-NSCC-2010-11. 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 Web site (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 Web site viewing and
printing in the Commission's Public Reference Section, 100 F Street,
NE., Washington, DC 20549-1090, on official business days between the
hours of 10 a.m. and 3 p.m. Copies of such filings will also be
available for inspection and copying at the principal office of NSCC
and on NSCC's Web site at http://www.dtcc.com/downloads/legal/rule_filings/2010/nscc/2010-11.pdf. 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-NSCC-2010-11 and should be submitted on or before
November 15, 2010.
For the Commission by the Division of Trading and Markets,
pursuant to delegated authority.\24\
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\24\ 17 CFR 200.30-3(a)(12).
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Florence E. Harmon,
Deputy Secretary.
[FR Doc. 2010-26805 Filed 10-22-10; 8:45 am]
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