On Apr. 15, DTC proposed updating securities valuation framework.
DTC, FICC, and NSCC proposed updates to the clearing agency securities valuation framework to include use of substantive inputs to implement SEC rule, see #173075.
Also FICC GSD, FICC MBSD, NSCC notices of securities valuation framework updates.
Proposed Amendments
Addresses recent amendments to SEC standards for covered clearing agencies (CCAS) regarding substantive inputs in covered clearing agency risk-based margin systems.
CCAS margin rules require that covered clearing agencies maintain policies reasonably designed to use reliable sources of timely price data and other substantive inputs.
And address circumstances in which price data and other substantive inputs are not readily available or reliable, to ensure that the CCA can continue to meet obligations.
Such policies must include either use of price data or substantive inputs from alternate source or use of risk-based margin system that does not rely on substantive inputs.
Updates add 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.
Adds a new glossary of key terms; makes clarifying changes to the securities valuation section of the framework; and makes other clarifying and conforming changes.
Effectiveness
Proposed changes expected to be implemented by Dec. 15, 2025, by Important notice.
Consultation
Comments on proposed rule change due 21 days from publication in federal register.
Regulators
DTC; FICC; NSCC
Entity Types
B/D; Depo; Exch
Reference
DTC: RF, SR-DTC-2025-006, NSCC: RF, NSCC-2025-006, Nt a9584; FICC: RF, FICC-2025-009, Nt GOV1949-25, MBS1438-25, 4/15/2025
Functions
Actuarial and Valuation; Compliance; Operations; Reporting; Risk; Settlement; Technology; Trading
