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Date: Fri, 30 Apr 2021 14:29:01 -0400
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+**[Source](https://www.dtcc.com/-/media/Files/Downloads/legal/rule-filings/2021/NSCC/SR-NSCC-2021-002.pdf)**
+
+Notice of proposed change pursuant to the Payment, Clearing, and Settlement Act of 2010
+Section 806(e)(1) * Section 806(e)(2) *
+Security-Based Swap Submission pursuant
+to the Securities Exchange Act of 1934
+Section 3C(b)(2) *
+Exhibit 2 Sent As Paper Document Exhibit 3 Sent As Paper Document
+has duly caused this filing to be signed on its behalf by the undersigned thereunto duly authorized.
+19b-4(f)(6)
+19b-4(f)(5)
+Provide a brief description of the action (limit 250 characters, required when Initial is checked *).
+(Name *)
+NOTE: Clicking the button at right will digitally sign and lock
+this form. A digital signature is as legally binding as a physical
+signature, and once signed, this form cannot be changed.
+Managing Director and Deputy General Counsel
+(Title *)
+Date 03/05/2021
+Provide the name, telephone number, and e-mail address of the person on the staff of the self-regulatory organization
+prepared to respond to questions and comments on the action.
+Title * Executive Director and Associate General Counsel
+Contact Information
+19b-4(f)(4)
+19b-4(f)(2)
+19b-4(f)(3)
+Extension of Time Period
+for Commission Action *
+SECURITIES AND EXCHANGE COMMISSION
+WASHINGTON, D.C. 20549
+Form 19b-4
+Withdrawal
+Fax
+Jacqueline Last Name *
+Filing by
+Pilot
+National Securities Clearing Corporation
+2021 - * 002
+Amendment No. (req. for Amendments *)
+File No.* SR -
+Chezar
+jfarinella@dtcc.com
+Telephone * (212) 855-3216
+E-mail *
+First Name *
+Signature
+Pursuant to the requirements of the Securities Exchange Act of 1934,
+Initial * Amendment * Section 19(b)(3)(A) * Section 19(b)(3)(B) *
+Pursuant to Rule 19b-4 under the Securities Exchange Act of 1934
+Description
+Amend the Supplemental Liquidity Deposit Requirements
+npoulos@dtcc.com
+By Nikki Poulos
+Section 19(b)(2) *
+19b-4(f)(1)
+Required fields are shown with yellow backgrounds and asterisks.
+Page 1 of * 79
+ OMB APPROVAL
+OMB Number: 3235-0045
+Estimated average burden
+hours per response............38
+Rule
+Date Expires *
+If the self-regulatory organization is amending only part of the text of a lengthy
+proposed rule change, it may, with the Commission's permission, file only those
+portions of the text of the proposed rule change in which changes are being made if
+the filing (i.e. partial amendment) is clearly understandable on its face. Such partial
+amendment shall be clearly identified and marked to show deletions and additions.
+Partial Amendment
+Add Remove View
+The self-regulatory organization may choose to attach as Exhibit 5 proposed changes
+to rule text in place of providing it in Item I and which may otherwise be more easily
+readable if provided separately from Form 19b-4. Exhibit 5 shall be considered part
+of the proposed rule change.
+Exhibit 5 - Proposed Rule Text
+SECURITIES AND EXCHANGE COMMISSION
+WASHINGTON, D.C. 20549
+For complete Form 19b-4 instructions please refer to the EFFS website.
+Copies of any form, report, or questionnaire that the self-regulatory organization
+proposes to use to help implement or operate the proposed rule change, or that is
+referred to by the proposed rule change.
+Exhibit Sent As Paper Document
+Exhibit 4 - Marked Copies
+Add Remove View
+Exhibit 3 - Form, Report, or Questionnaire
+Add Remove
+View
+Exhibit 2 - Notices, Written Comments,
+Transcripts, Other Communications
+Add Remove
+View
+Exhibit 1 - Notice of Proposed Rule Change *
+Add
+Form 19b-4 Information *
+Exhibit 1A- Notice of Proposed Rule
+Change, Security-Based Swap Submission,
+or Advance Notice by Clearing Agencies *
+Add Remove View
+Remove
+Add Remove
+The full text shall be marked, in any convenient manner, to indicate additions to and
+deletions from the immediately preceding filing. The purpose of Exhibit 4 is to permit
+the staff to identify immediately the changes made from the text of the rule with which
+it has been working.
+View
+The self-regulatory organization must provide all required information, presented in a
+clear and comprehensible manner, to enable the public to provide meaningful
+comment on the proposal and for the Commission to determine whether the proposal
+is consistent with the Act and applicable rules and regulations under the Act.
+View
+Exhibit Sent As Paper Document
+The Notice section of this Form 19b-4 must comply with the guidelines for publication
+in the Federal Register as well as any requirements for electronic filing as published
+by the Commission (if applicable). The Office of the Federal Register (OFR) offers
+guidance on Federal Register publication requirements in the Federal Register
+Document Drafting Handbook, October 1998 Revision. For example, all references to
+the federal securities laws must include the corresponding cite to the United States
+Code in a footnote. All references to SEC rules must include the corresponding cite
+to the Code of Federal Regulations in a footnote. All references to Securities
+Exchange Act Releases must include the release number, release date, Federal
+Register cite, Federal Register date, and corresponding file number (e.g., SR-[SRO]
+-xx-xx). A material failure to comply with these guidelines will result in the proposed
+rule change being deemed not properly filed. See also Rule 0-3 under the Act (17
+CFR 240.0-3)
+The Notice section of this Form 19b-4 must comply with the guidelines for publication
+in the Federal Register as well as any requirements for electronic filing as published
+by the Commission (if applicable). The Office of the Federal Register (OFR) offers
+guidance on Federal Register publication requirements in the Federal Register
+Document Drafting Handbook, October 1998 Revision. For example, all references to
+the federal securities laws must include the corresponding cite to the United States
+Code in a footnote. All references to SEC rules must include the corresponding cite
+to the Code of Federal Regulations in a footnote. All references to Securities
+Exchange Act Releases must include the release number, release date, Federal
+Register cite, Federal Register date, and corresponding file number (e.g., SR-[SRO]
+-xx-xx). A material failure to comply with these guidelines will result in the proposed
+rule change, security-based swap submission, or advance notice being deemed not
+properly filed. See also Rule 0-3 under the Act (17 CFR 240.0-3)
+Copies of notices, written comments, transcripts, other communications. If such
+documents cannot be filed electronically in accordance with Instruction F, they shall be
+filed in accordance with Instruction G.
+Add Remove View
+Required fields are shown with yellow backgrounds and asterisks.
+Page 3 of 79
+1. Text of the Proposed Rule Change
+(a) The proposed rule change of National Securities Clearing Corporation (“NSCC”)
+is annexed hereto as Exhibit 5 and consists of modifications to Rule 4(A) (Supplemental
+Liquidity Deposits) of the NSCC’s Rules & Procedures (“Rules”) to (1) calculate and collect,
+when applicable, supplemental liquidity deposits to NSCC’s Clearing Fund (“Supplemental
+Liquidity Deposits,” or “SLD”) on a daily basis rather than only in advance of the monthly
+expiration of stock options (defined in Rule 4(A) as “Options Expiration Activity Period”);
+(2) establish an intraday SLD obligation that would apply in advance of Options Expiration
+Activity Periods and may also be applied on other days, as needed; (3) implement an alternative
+pro rata calculation of Members’ SLD obligations that may apply in certain circumstances; and
+(4) simplify and improve the transparency of the description of the calculation, collection and
+treatment of SLD in Rule 4(A) of the Rules, as described in greater detail below.1
+(b) Not applicable.
+(c) Not applicable.
+2. Procedures of the Self-Regulatory Organization
+The proposal was approved by the Risk Committee of the Board of Directors of NSCC
+on May 21, 2020.
+3. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis
+for, the Proposed Rule Change
+(a) Purpose
+NSCC is proposing to enhance its management of the liquidity risks that arise in or are
+borne by it by calculating and collecting, when applicable, SLD on each Business Day rather
+than only in advance of Options Expiration Activity Periods. The proposed changes would
+establish an intraday SLD obligation that would apply in advance of Options Expiration Activity
+Periods and may be applicable on any Business Day, as needed. The proposal would also
+implement an alternative pro rata calculation of Members’ SLD obligations that may apply in
+certain circumstances. Finally, in connection with these proposed changes, NSCC would
+simplify and improve the description of the calculation, collection and treatment of SLD in Rule
+4(A). These proposed rule changes are described in greater detail below.
+(i) Overview of the NSCC Liquidity Risk Management
+NSCC, along with its affiliates, The Depository Trust Company and Fixed Income
+Clearing Corporation, maintains a Clearing Agency Liquidity Risk Management Framework
+(“Framework”) that sets forth the manner in which NSCC measures, monitors and manages the
+1
+ Capitalized terms not defined herein are defined in the Rules, available at
+http://dtcc.com/~/media/Files/Downloads/legal/rules/nscc_rules.pdf. 
+Page 4 of 79
+liquidity risks that arise in or are borne by it.2
+ As a central counterparty, NSCC’s liquidity needs
+are driven by the requirement to complete end-of-day money settlement, on an ongoing basis, in
+the event NSCC ceases to act for a Member (hereinafter referred to as a “default”).3
+ If a Member
+defaults, NSCC needs to complete settlement of guaranteed transactions on the defaulted
+Member’s behalf from the date of default through the remainder of the settlement cycle. As
+such, and as provided for in the Framework, NSCC measures the sufficiency of its qualifying
+liquid resources through daily liquidity studies across a range of scenarios, including amounts
+NSCC would need in the event the Member or Member family with the largest aggregate
+liquidity exposure defaults.4
+
+As described in the Framework, NSCC seeks to maintain qualifying liquid resources in
+an amount sufficient to cover this risk. These resources currently include (1) cash deposits to the
+NSCC Clearing Fund;5
+ (2) the proceeds of the issuance and private placement of (a) short-term,
+unsecured notes in the form of commercial paper and extendable notes (“Commercial Paper
+Program”),6
+ and (b) term debt (“Term Debt Issuance”);7
+ (3) cash that would be obtained by
+drawing on NSCC’s committed 364-day credit facility with a consortium of banks (“Line of
+Credit”);8
+ and (4) Supplemental Liquidity Deposits, collected pursuant to Rule 4(A), which are
+currently designed to cover the heightened liquidity exposure arising around Options Expiration
+2
+ See Securities Exchange Act Release No. 82377 (December 21, 2017), 82 FR 61617
+(December 28, 2017) (File Nos. SR-DTC-2017-004; SR-FICC-2017-008; SR-NSCC2017-005).
+3
+ The Rules identify when NSCC may cease to act for a Member and the types of actions
+NSCC may take. For example, NSCC may suspend a firm’s membership with NSCC or
+prohibit or limit a Member’s access to NSCC’s services in the event that Member
+defaults on a financial or other obligation to NSCC. See Rule 46 (Restrictions on Access
+to Services) of the Rules, supra note 1.
+4
+ “Qualifying liquid resources” are defined in Rule 17Ad-22(a)(14) under the Securities
+Exchange Act of 1934 (“Act”). 17 CFR 240.17Ad-22(a)(14). The Framework also
+includes a definition of qualifying liquid resources that incorporates by reference Rule
+17Ad-22(a)(14). See supra note 2.
+5
+ See Rule 4 (Clearing Fund) and Procedure XV (Clearing Fund Formula and Other
+Matters) of the Rules, supra note 1.
+6
+ See Securities Exchange Act Release Nos. 75730 (August 19, 2015), 80 FR 51638
+(August 25, 2015) (File No. SR-NSCC-2015-802); 82676 (February 9, 2018), 83 FR
+6912 (February 15, 2018) (File No. SR-NSCC-2017-807).
+7
+ See Securities Exchange Act Release No. 88146 (February 7, 2020), 85 FR 8046
+(February 12, 2020) (File No. SR-NSCC-2019-802).
+8
+ See Securities Exchange Act Release No. 80605 (May 5, 2017), 82 FR 21850 (May 10,
+2017) (File Nos. SR-DTC-2017-802; SR-NSCC-2017-802). 
+Page 5 of 79
+Activity Periods, required from those Members whose activity would pose the largest liquidity
+exposure to NSCC.9
+
+NSCC’s liquidity risk management has evolved in order to adhere to regulatory
+requirements that were adopted after Rule 4(A) was implemented.10 As part of its efforts to
+maintain compliance with these requirements, NSCC has continued to strengthen its liquidity
+risk management strategy, including through growing and diversifying its qualifying liquid
+resources. In connection with these ongoing efforts, NSCC is proposing to calculate and collect,
+when applicable, SLD every Business Day rather than only in connection with Options
+Expiration Activity Periods. This proposed change would improve NSCC’s ability to measure
+and monitor its daily liquidity exposures and allow it to collect additional qualifying liquid
+resources from Members whose activity poses the largest liquidity exposure to NSCC in
+connection with their daily settlement activity, and not only during Options Expiration Activity
+Periods. By measuring SLD against Members’ actual daily settlement activity and NSCC’s
+available qualifying liquid resources, the proposal would also help mitigate risks to NSCC that it
+is unable to secure adequate default liquidity from other sources in an amount necessary to meet
+its liquidity needs. For example, the proposal would help mitigate the risks that could arise if
+investor demand for the short-term notes issued under the Commercial Paper Program weakens,
+there is limited investor demand for term debt issued pursuant to a Term Debt Issuance, or
+NSCC is unable to renew its Line of Credit at the targeted amount.
+NSCC is also proposing to establish an intraday SLD obligation that would apply on the
+first Business Day of the Options Expiration Activity Period to allow NSCC to continue to
+mitigate the additional liquidity exposures presented by options activity. The proposal would
+also permit NSCC to calculate and collect an intraday SLD on any Business Day when, for
+example, NSCC believes that it is necessary to collect an additional SLD from a Member whose
+activity presents relatively greater risks to the NSCC on an overnight basis.
+NSCC is also proposing to implement an alternative calculation of Members’ SLD
+requirements that would be their pro rata allocation of the largest SLD obligation calculated for
+that Business Day. This proposed change would provide NSCC with the discretion, in certain
+circumstances, to allocate its largest liquidity need on a Business Day among those Members that
+are required to pay SLD on that day rather than collect separate SLD from those Members, as
+described in greater detail below.
+In connection with these proposed changes, NSCC would also simplify the description of
+the calculation of SLD in Rule 4(A) in order to improve the transparency of this Rule, as
+described in greater detail below.
+9
+ See Rule 4(A) (Supplemental Liquidity Deposits) of the Rules, supra note 1. See also
+Securities Exchange Act Release Nos. 70999 (December 5, 2013), 78 FR 75413
+(December 11, 2013) (File No. SR-NSCC-2013-02); 71000 (December 5, 2013), 78 FR
+75400 (December 11, 2013) (File No. SR-NSCC-2013-802).
+10 See 17 CFR 240.17Ad-22(e)(7). See also supra note 2. 
+Page 6 of 79
+(ii) Current Rule 4(A) and Supplemental Liquidity Deposits
+Under the current Rule 4(A), NSCC collects SLD from the unaffiliated Members and
+families of affiliated Members (each defined as an “Affiliated Family”) that incur the largest
+gross settlement debits over the settlement cycle during times of increased trading activity that
+arise around Options Expiration Activity Periods.11
+Under the current Rule 4(A), NSCC performs calculations on a monthly basis, no later
+than the fifth day prior to an Options Expiration Activity Period, using activity observed over a
+24-month lookback period (defined in the current Rule 4(A) as the “Special Activity Lookback
+Period”).12 These calculations determine (1) NSCC’s largest liquidity need that exceeded its
+liquidity resources (defined in Rule 4(A) as “Special Activity Peak Liquidity Need”); and (2) the
+30 (or fewer) unaffiliated Members or Affiliated Families (defined in Rule 4(A) as “Special
+Activity Liquidity Providers”) that presented the largest liquidity exposures to NSCC (defined in
+Rule 4(A) as “Special Activity Peak Liquidity Exposures”).13 To determine the SLD obligations
+of each Special Activity Liquidity Provider, the calculated Special Activity Peak Liquidity Need
+of NSCC is allocated to these Special Activity Liquidity Providers in proportion to the Special
+Activity Peak Liquidity Exposures they presented to NSCC during the Special Activity
+Lookback Period. Special Activity Liquidity Providers are required to fund their SLD
+obligations by the close of business on the second day prior to the applicable Options Expiration
+Activity Period.14 SLD may be returned to Special Activity Liquidity Providers seven Business
+Days after the end of the applicable Options Expiration Activity Period.15
+On any Business Day between calculation dates, if NSCC observes an increase in its
+liquidity needs that exceeds a predetermined threshold amount, it may call for an additional
+deposit from the Member whose increase in activity levels caused (or was the primary cause of)
+such increased liquidity need (defined in Rule 4(A) as “Special Activity Liquidity Call”).16
+NSCC may hold deposits made pursuant to a Special Activity Liquidity Call for up to 90 days
+after the deposit is made.17 Members are also permitted to submit a cash deposit to the Clearing
+Fund as a “Special Activity Prefund Deposit” no later than the first Business Day of an Options
+11 See Section 2 of Rule 4(A) (Supplemental Liquidity Deposits) of the Rules, supra note 1.
+12 See id.
+13 See Section 3 of Rule 4(A) (Supplemental Liquidity Deposits) of the Rules, id.
+14 See Section 4 of Rule 4(A) (Supplemental Liquidity Deposits) of the Rules, id.
+15 See Section 9 of Rule 4(A) (Supplemental Liquidity Deposits) of the Rules, id.
+16 See Section 7 of Rule 4(A) (Supplemental Liquidity Deposits) of the Rules, id.
+17 See Section 10 of Rule 4(A) (Supplemental Liquidity Deposits) of the Rules, id. 
+Page 7 of 79
+Expiration Activity Period.18 NSCC understands that a Member would generally make a Special
+Activity Prefund Deposit when it anticipates that its Special Activity Peak Liquidity Exposure
+during that period may be greater than the amount calculated by NSCC pursuant to Rule 4(A)
+based on activity in the Special Activity Lookback Period.19
+The current Rule 4(A) also addresses how SLD are treated generally.20 Specifically,
+while SLD are part of a Member’s actual deposit to the Clearing Fund, they are made in addition
+to a Member’s Required Fund Deposit and any other deposit of any such Member to the Clearing
+Fund.21 Rule 4(A) also provides that SLD may be invested and may be used to satisfy a loss or
+liability as provided for in Sections 3 or 13 of Rule 4, and addresses NSCC’s obligation to
+provide Members with certain information that would help them anticipate their potential SLD
+requirements.22
+(iii) Amended Rule 4(A) and Proposed Daily Calculation of Supplemental
+Liquidity Deposits
+In order to better address the liquidity risks presented by Members’ daily activity, NSCC
+is proposing to amend Rule 4(A) to calculate and collect, when applicable, SLD every Business
+Day rather than only in connection with the monthly expiration of stock options. While the
+monthly expiration of stock options does present larger liquidity exposures to NSCC, NSCC may
+also face large liquidity exposures from Members’ daily activity, particularly during volatile
+market conditions. By allowing NSCC to calculate and collect SLD daily, NSCC would be able
+to identify these exposures based on Members’ daily activity rather than estimate its upcoming
+liquidity exposures based on activity observed over a lookback period. The proposal would help
+NSCC mitigate its liquidity risks through the daily collection of SLD from those Members’
+whose daily activity would, in the event of the Member’s default, create a potential liquidity
+need that is in excess of NSCC’s available qualifying liquid resources. The proposal would also
+permit NSCC to return SLD to Members on the Business Day following the day those deposits
+are collected and would remove the current requirement that SLD be held for up to 90 days.
+In order to implement this proposed change to the timing of the SLD, NSCC would make
+a number of changes to Rule 4(A), described below. The proposed changes to Rule 4(A) would
+implement a daily calculation and collection of SLD, simplify and clarify the calculations done
+in connection with the SLD requirements, and enhance the disclosures of the SLD requirements.
+18 See definition of “Special Activity Prefund Deposit” in Section 2 of Rule 4(A)
+(Supplemental Liquidity Deposits) of the Rules, id.
+19 See id.
+20 See Section 13 of Rule 4(A) (Supplemental Liquidity Deposits) of the Rules, id.
+21 See Section 13(b) of Rule 4(A) (Supplemental Liquidity Deposits) of the Rules, id.
+22 See Section 13(c) and Section 14 of Rule 4(A) (Supplemental Liquidity Deposits) of the
+Rules, id. 
+Page 8 of 79
+Despite these proposed changes, the structure of Rule 4(A) and the fundamental mechanics of
+the SLD requirements would be unchanged.
+Proposed Daily Calculation of Supplemental Liquidity Deposits
+Supplemental Liquidity Providers. Under the proposed Rule 4(A), each Business Day
+NSCC would determine the 30 (or fewer) Members (each such Member a “Supplemental
+Liquidity Provider”) that had the “Peak Liquidity Need,” which would be defined as the largest
+Daily Liquidity Need that NSCC would have for that Member or Affiliated Family in a
+“Lookback Period.” 23 For purposes of this calculation, Daily Liquidity Need would be defined
+as the amount of liquid resources needed to effect the settlement of NSCC’s payment obligations
+as a central counterparty over a three day settlement cycle, assuming the default of that Member
+on that day.
+As described above, Supplemental Liquidity Providers are currently identified by
+reviewing Members’ Special Activity Peak Liquidity Exposures over the Lookback Period.
+Under the proposed approach, NSCC would base this determination on Members’ Peak Liquidity
+Need, which would continue to identify those Members whose activity posed the largest liquidity
+risks to NSCC during the Lookback Period. The proposed approach would no longer require a
+calculation using NSCC’s available liquid resources on each day in the Lookback Period but
+would use a simpler approach by looking only at liquidity need. The proposed approach to use a
+simpler calculation would reduce the risk of error and would clarify the description of how
+NSCC would identify Supplemental Liquidity Providers in the proposed Rule 4(A), making it
+more predictable to Members.
+Supplemental Liquidity Obligation. After NSCC determines the Supplemental Liquidity
+Providers, NSCC would then determine if any of the Supplemental Liquidity Providers would be
+required to pay an SLD on that Business Day. The proposed Rule 4(A) would use a simplified
+calculation by determining if the Daily Liquidity Need for each Supplemental Liquidity Provider
+on that Business Day exceeds the sum of NSCC’s qualifying liquid resources available to NSCC
+on that day, assuming stressed market conditions (described below) (defined in the proposed
+Rule 4(A) as “Qualifying Liquid Resources”). The result of that calculation would be a
+Supplemental Liquidity Provider’s SLD requirement (defined in the proposed Rule 4(A) as a
+“Supplemental Liquidity Obligation”) for that day. If the Daily Liquidity Need of a
+Supplemental Liquidity Provider does not exceed NSCC’s Qualifying Liquid Resources on that
+day, then it would not have a Supplemental Liquidity Obligation.
+Because this calculation would be done at the start of each Business Day (as discussed
+further below), it would be based on the Qualifying Liquid Resources, including Required Fund
+Deposits to the Clearing Fund, available to NSCC as of the end of the prior Business Day.
+23 The “Lookback Period” would continue to be defined as 24 months, or a longer period as
+determined by NSCC in its discretion. NSCC may adjust the Lookback Period if, for
+example, unusual activity observed in the Lookback Period is not an appropriate indicator
+of future settlement activity and causes a Member to be a Supplemental Liquidity
+Provider. See Section 2 (Defined Terms) of Rule 4(A), id. 
+Page 9 of 79
+Additionally, in order to anticipate market conditions that could cause Qualifying Liquid
+Resources to be unavailable on that day, NSCC would apply stress scenarios in determining its
+total Qualifying Liquid Resources for purposes of Rule 4(A). Currently, NSCC applies stress
+scenarios in determining the Special Activity Daily Liquidity Need and, in practice, they are
+currently applied to the Other Qualifying Liquid Resources in this calculation under the current
+Rule 4(A).24 The proposed change would allow NSCC to continue to assume stressed markets in
+its SLD calculations, which protects it against unexpected market events.25 The proposed
+changes to Rule 4(A) would make it clearer how these stress scenarios are applied.
+Under this proposed calculation, NSCC would no longer need to estimate the potential
+liquidity need a Member’s activity could pose to NSCC based on activity that settled in the
+Lookback Period. Instead, the Supplemental Liquidity Obligation of a Member would be
+calculated based on the actual liquidity exposure that its daily activity would pose to NSCC on
+that particular day in the event of that Member’s default. The proposed change provides both
+NSCC and Members with a more reliable measure of the liquidity risks posed to NSCC by its
+Members’ daily settlement activity in calculating SLD requirements.
+Each Supplemental Liquidity Provider that has a Supplemental Liquidity Obligation on a
+Business Day would receive a notice from NSCC of the amount of its Supplemental Liquidity
+Obligation and would be required to make a deposit in that amount to the Clearing Fund within
+one hour of such notice. The proposed timing of funding a Supplemental Liquidity Obligation
+would mirror the current requirement that is applied to Members’ Required Fund Deposits,
+which is also calculated and collected daily, and must be funded within one hour of demand.26
+Specifically, NSCC expects to deliver notification of Supplemental Liquidity Obligations to
+Supplemental Liquidity Providers by around 8:30 AM ET each Business Day, with deposits
+required by no later than 9:30 AM ET.
+Proposed Pro Rata Calculation of Supplemental Liquidity Obligations. As an alternative
+to the calculation of Supplemental Liquidity Obligations described above, proposed Rule 4(A)
+would also state that, in the event two or more Supplemental Liquidity Providers have a
+Supplemental Liquidity Obligation of more than $2 billion on a Business Day, calculated
+pursuant to the calculation described above, NSCC may determine the Supplemental Liquidity
+24 Current Rule 4(A) uses the defined term “Other Qualifying Liquid Resources” to refer to
+NSCC’s qualifying liquid resources other than the Clearing Fund and the Line of Credit.
+See Section 2 of Rule 4(A) (Supplemental Liquidity Deposits) of the Rules, id.
+25 NSCC would apply the same stress scenarios that it currently applies, which include the
+market shocks of 1987, and removing the largest commitment to the Line of Credit,
+excess deposits to the Clearing Fund on deposit and proceeds from issued commercial
+paper that is maturing within five Business Days from NSCC’s Qualifying Liquid
+Resource. Any changes to these stress scenarios would be announced by an Important
+Notice posted to NSCC’s website.
+26 See Section II(B) of Procedure XV (Clearing Fund Formula and Other Matters) of the
+Rules, supra note 1. 
+Page 10 of 79
+Obligation of all Supplemental Liquidity Providers on that day would be their pro rata share of
+the largest Supplemental Liquidity Obligation calculated on that Business Day.27
+This proposed alternative calculation of the Supplemental Liquidity Obligations would
+provide NSCC with the option of collecting only the largest SLD calculated on a Business Day,
+allocated among each of the Supplemental Liquidity Providers. The purpose of this proposed
+provision is to provide NSCC with the option of collecting enough funds to meet its regulatory
+requirements in circumstances when the aggregate Supplemental Liquidity Obligations on a
+particular day would significantly exceed that amount. Therefore, NSCC has structured this
+provision to be available only if two or more Supplemental Liquidity Providers owe SLD of
+more than $2 billion. NSCC has never had two more Supplemental Liquidity Providers owe
+more than $2 billion in SLD on a calculation date since Rule 4(A) was adopted. Therefore,
+NSCC believes this alternative calculation would only be available in very limited
+circumstances. Furthermore, NSCC believes the threshold of $2 billion is appropriate as it
+would only permit this alternative calculation in circumstances when it would have a material
+impact on the allocation of Supplemental Liquidity Obligations among the Supplemental
+Liquidity Providers.
+In such circumstances, when multiple Members have relatively large Supplemental
+Liquidity Obligations of more than $2 billion, NSCC would have the option to determine if it is
+appropriate to collect the largest SLD calculated for that Business Day, divided pro rata among
+the Supplemental Liquidity Providers rather than collect the each of the Supplemental Liquidity
+Obligations of those firms. NSCC may determine, for example, that, in certain market
+conditions, this approach would be appropriate to alleviate liquidity pressures on Supplemental
+Liquidity Providers. This alternative calculation would allow NSCC to collect sufficient
+qualifying liquid resources to meet its regulatory obligations with respect to liquidity risk
+management without requiring all of the Supplemental Liquidity Providers to fund the total
+amount of their calculated Supplemental Liquidity Obligation on that Business Day.28
+27 As an example, the Supplemental Liquidity Obligations for three Supplemental Liquidity
+Providers on a Business Day are – Member A: $6 billion, Member B: $2 billion and
+Member C: $1 billion. If NSCC determines, in its sole discretion, to calculate their
+Supplemental Liquidity Obligations on a pro-rata basis, then their Supplemental
+Liquidity Obligations would be – Member A: $4 billion (or 6/9 of the largest
+Supplemental Liquidity Obligation of $6 billion), Member B: $1.3 billion (or 2/9 of the
+$6 billion) and Member C: $700 million (or 1/9 of the $6 billion). The notice provided to
+each Supplemental Liquidity Provider on that Business Day would inform those
+Members that this pro-rata calculation was applied.
+28 Rule 17Ad-22(e)(7)(i) under the Act requires, in part, that NSCC maintain sufficient
+liquid resources at the minimum to effect same-day settlement of payment obligations
+with a high degree of confidence under a wide range of foreseeable stress scenarios,
+including the default of the participant family that would generate the largest aggregate
+payment obligation for the covered clearing agency in extreme but plausible market
+conditions. 17 CFR 240.17Ad-22(e)(7)(i). 
+Page 11 of 79
+Intraday Supplemental Liquidity Calls. The proposed Rule 4(A) would also establish
+Intraday Supplemental Liquidity Calls that would replace the current Special Activity Liquidity
+Calls. The existing Special Activity Liquidity Calls are designed to address increases in NSCC’s
+liquidity need between calculation dates. The proposed Intraday Supplemental Liquidity Calls
+would serve a similar function, allowing NSCC to calculate and collect additional SLD on an
+intraday basis if a Supplemental Liquidity Provider’s increased activity levels or projected
+settlement activity causes NSCC’s Daily Liquidity Need to exceed NSCC’s Qualifying Liquid
+Resources. This proposed provision would assist NSCC in mitigating increased liquidity
+exposures in specified circumstances.
+First, proposed Rule 4(A) would establish a monthly Intraday Supplemental Liquidity
+Call that is calculated and collected, when applicable, on the first Business Day of an Options
+Expiration Activity Period, which is typically a Friday.29 This Intraday Supplemental Liquidity
+Call would be calculated as the difference between (1) NSCC’s Daily Liquidity Need,
+recalculated to account for both actual settlement activity submitted to NSCC over the course of
+Business Day and projected activity in stock options that is expected to be submitted to NSCC30
+and (2) NSCC’s Qualifying Liquid Resources. Settlement activity may net with (and offset) the
+activity that NSCC uses in re-calculating the Daily Liquidity Need. In order to account for any
+potential offsetting settling activity, NSCC would adjust the re-calculated Daily Liquidity Need
+using an estimated netting percentage that is based on each Supplemental Liquidity Provider’s
+average percentage of netting observed over the prior 24 months. Under this proposed provision,
+NSCC would adjust the amount of SLD it collects in order to mitigate the increased liquidity
+exposures related to the monthly expiration of stock options.
+Second, proposed Rule 4(A) would allow NSCC to call for additional SLD on an intraday
+basis on any Business Day if a Supplemental Liquidity Provider’s increased activity levels
+causes NSCC’s Daily Liquidity Need to exceed NSCC’s Qualifying Liquid Resources and
+NSCC determines, in its sole discretion, that it is appropriate to require an additional intraday
+SLD from that Supplemental Liquidity Provider in order to mitigate those additional liquidity
+exposures. Under this proposed change, NSCC would have the ability to make an Intraday
+Supplemental Liquidity Call on any Business Day. The amount of an Intraday Supplemental
+Liquidity Call would be the difference between NSCC’s Daily Liquidity Need, recalculated for
+that Business Day taking into account any increase in settlement activity, and NSCC’s
+Qualifying Liquid Resources. This proposed provision would allow NSCC to adjust the amount
+of SLD it collects for a Business Day in circumstances when NSCC believes it is necessary to
+29 The proposed Rule 4(A) will retain the existing definition of an Options Expiration
+Activity Period for purposes of this monthly Intraday Supplemental Liquidity Call.
+30 Each Business Day, NSCC receives information regarding projected settlement activity
+from The Options Clearing Corporation pursuant to a Stock and Futures Settlement
+Agreement (“OCC Accord”). The OCC Accord provides for the clearance and settlement
+of exercises and assignments of options on eligible securities or the maturity of eligible
+stock futures contracts through NSCC. See Securities Exchange Act Release No. 81260
+(July 31, 2017), 82 FR 36484 (August 4, 2017) (File Nos. SR-NSCC-2017-803;
+SR-OCC-2017-804). 
+Page 12 of 79
+accelerate the collection of additional SLD from Supplemental Liquidity Providers whose
+activity may present relatively greater risks to the NSCC on an overnight basis. NSCC would
+determine if an Intraday Supplemental Liquidity Call is appropriate based on a variety of factors
+and circumstances, including, but not limited to, an assessment of a Supplemental Liquidity
+Provider’s ability to meet its projected settlement or Supplemental Liquidity Obligations and
+estimates of settlement activity that could offset settlement exposures and are not reflected in
+NSCC’s liquidity estimates.
+Returns of SLD and Miscellaneous Matters. Proposed Rule 4(A) would provide that
+NSCC would return SLD, including any SLD funded pursuant to an Intraday Supplemental
+Liquidity Call, on the next Business Day unless such amounts are held longer by NSCC pursuant
+to proposed Section 12a of Rule 4(A), as described below. Under the current Rule 4(A), NSCC
+may hold SLD for up to seven Business Days after the end of the applicable Options Expiration
+Activity Period and may hold SLD funded pursuant to a Special Activity Liquidity Call for up to
+90 days after such deposit is made. Under the proposed change, because NSCC would
+recalculate the Supplemental Liquidity Obligations each Business Day, NSCC would no longer
+need to hold SLD for these extended periods.
+NSCC would amend proposed Section 12a (currently Section 13a) of Rule 4(A) to clarify
+that SLD, as part of Members’ actual deposit to the Clearing Fund, would be subject to the
+provision of Section 9 of Rule 4. Section 9 of Rule 4 addresses NSCC’s right to withhold all or
+any part of any excess deposit of a Member if such Member has been placed on the Watch List
+pursuant to the Rules or if NSCC determines that the Member’s anticipated activities in NSCC in
+the near future may reasonably be expected to be materially different than its activities of the
+recent past.31 Current Section 13a of Rule 4(A) addresses how SLD are treated pursuant to other
+Rules, particularly Rule 4, which addresses Members’ deposits to the Clearing Fund. While this
+proposal would not change NSCC’s rights with respect to these funds, it would provide Members
+with greater transparency into how SLD are treated under Rule 4.
+NSCC would also amend the provision in Rule 4(A) that addresses when SLD would be
+returned to a Member that ceases to be a participant. Currently, Rule 4(A) states that SLD are
+not subject to Section 7 of Rule 4 (which addresses how Required Fund Deposits are returned to
+retired Members) and, as such, are returned to retired Members as otherwise provided for in Rule
+4(A).32 Under the proposed Rule 4(A), because NSCC would be able to calculate SLD each
+Business Day, it would return SLD on the Business Day following the calculation date.
+However, while a firm may still have unsettled activity on the day it retires, NSCC would not be
+able to collect SLD on the days following a Member’s retirement. Therefore, NSCC is
+proposing to amend Rule 4(A) to require that SLD of a retired Member be treated similarly to
+other cash Required Fund Deposits to the Clearing Fund and be held by NSCC for 30 calendar
+31 For example, this may occur when an index rebalancing occurs shortly after a month-end
+options expiration period, which could cause an increase in NSCC’s liquidity exposures.
+32 Section 7 of Rule 4 provides that Required Fund Deposits to the Clearing Fund in the
+form of cash and securities are returned to retired Members within 30 calendar days after
+all of its transactions have settled and obligations have been satisfied. See supra note 1. 
+Page 13 of 79
+days after any of its open transactions have settled and obligations have been satisfied. This
+proposed change would protect NSCC from liquidity risks presented by open transactions in the
+days following a firm’s retirement and would align the treatment of these funds with the
+treatment of Required Fund Deposits of retired Members.
+The proposed Rule 4(A) would also simplify the additional miscellaneous provisions
+applicable to SLD, which address, for example, NSCC’s right to debit Members’ accounts at
+NSCC if a Supplemental Liquidity Provider fails to meet its Supplemental Liquidity Obligation,
+and the information NSCC makes available to Supplemental Liquidity Providers each Business
+Day regarding SLD calculations. While the proposed changes would update and simplify these
+provisions, they would not significantly alter the structure of these provisions, as described
+below.
+Proposed Changes to Rule 4(A)
+The proposal described above would be implemented into the Rules by amending the
+current Rule 4(A). The specific changes to implement the proposal are described below.
+Section 1 (Overview). NSCC is proposing changes to Section 1 of Rule 4(A) to simplify
+the descriptions by removing outdated and unnecessary language. Section 1 of Rule 4(A) would
+continue to provide the rationale for the SLD requirement, by describing NSCC’s liquidity needs
+and how the SLD requirements are designed to contribute to meeting those needs. However, the
+proposed changes would simplify this section by removing a statement that specifically identifies
+two of NSCC’s principal sources of liquidity and would instead more generally refer to NSCC’s
+sources of liquidity. The proposed changes to Section 1 of Rule 4(A) would also remove
+references to options expiration activity periods, which would no longer be applicable to the
+SLD requirement under this proposal.
+Section 2 (Defined Terms). NSCC is proposing several changes to Section 2 of Rule 4(A)
+in order to implement this proposal. As described below, the proposed changes to the defined
+terms address the change in timing of the SLD requirement to occur each Business Day and
+would improve the transparency of Rule 4(A) through simplified and clearer defined terms.
+First, Section 2 of proposed Rule 4(A) would remove the definition of “Special Activity
+Calculation Date,” which is tied to the monthly Options Expiration Activity Period, and instead
+would use the term “Business Day” throughout proposed Rule 4(A), where appropriate.
+Business Day is currently defined in Rule 1 as any day on which NSCC is open for business.
+Therefore, this proposed change would provide for the calculation of SLD requirements on each
+day that NSCC is open for business.
+Second, Section 2 of the proposed Rule 4(A) revise other defined terms that use the
+phrase “Special Activity” to either remove that phrase or, when appropriate, to replace this
+phrase with the term “Supplemental.” For example, NSCC would revise the defined term
+“Special Activity Daily Liquidity Need” to “Daily Liquidity Need,” and would revise the defined
+term “Special Activity Liquidity Provider” to “Supplemental Liquidity Provider.” The phrase
+“Special Activity” was used in the current Rule 4(A) to refer to the Options Expiration Activity
+Period, which would only be applicable to the monthly intraday SLD in the proposed Rule 4(A). 
+Page 14 of 79
+NSCC would also update the definition of Daily Liquidity Need to change a reference
+from a four-day settlement cycle to a three-day settlement cycle, to reflect the amendment to
+Rule 15c6-1(a) under the Act to shorten the standard settlement cycle for most broker-dealer
+transactions.33 Additionally, NSCC would move the defined term for “Options Expiration
+Activity Period” within Section 2 of the proposed Rule 4(A) so it continues to appear
+alphabetically, but is not proposing to change the definition of this term.
+Third, the proposed changes to Section 2 of Rule 4(A) would include one defined term
+for “Qualifying Liquid Resources” to refer to all default liquidity resources available to NSCC to
+settle its payment obligations as a central counterparty. As discussed in greater detail above, the
+defined term would provide that NSCC may apply stressed market assumptions to its Qualifying
+Liquid Resources when applying these resources in the calculations made under Rule 4(A). In
+connection with this proposed change, NSCC would remove the defined terms “Commitment”
+and “Credit Facility,” which were used in the current Rule 4(A) to refer to NSCC’s Line of
+Credit, and would remove “Other Qualifying Liquid Resources,” which was used to refer to
+NSCC’s liquid resources other than the Clearing Fund and the Line of Credit. This proposed
+change would simplify Rule 4(A) and would account for NSCC’s continuing efforts to expand
+and diversify its default liquidity resources. The proposed change would also clarify that
+Qualifying Liquid Resources would not include SLD for purposes of the calculations in Rule
+4(A).
+Fourth, the proposed changes would move certain calculations out of the defined terms in
+Section 2 and include them in the relevant later sections of Rule 4(A). This proposed change
+would simplify and clarify Rule 4(A), which currently requires a reader to refer back to the
+defined terms in Section 2 when reading the calculations and requirements set forth in later
+sections of Rule 4(A). For example, Section 2 of Rule 4(A) currently includes the calculation of
+“Special Activity Peak Liquidity Exposure” and “Special Activity Peak Liquidity Need.” In the
+proposed Rule 4(A), NSCC would no longer use the calculation of Special Activity Peak
+Liquidity Exposure in determining the Supplemental Liquidity Providers or in calculating those
+requirements. The calculation of Peak Liquidity Need, which would replace Special Activity
+Peak Liquidity Need, would be moved out of Section 2 and into Section 3, where that calculation
+would be described as being used to identify Supplemental Liquidity Providers.
+Finally, the proposed changes to Section 2 of Rule 4(A) would remove defined terms that
+are no longer needed when NSCC calculates SLD requirements daily. For example, NSCC
+would remove defined terms that are related to the Options Expiration Activity Period, including
+“Special Activity Business Day,” which is currently defined as a Business Day included in an
+Options Expiration Activity Period. NSCC would also remove the defined term for “Special
+Activity Prefund Deposit” because it would no longer be necessary for Members to prefund their
+potential SLD requirement in advance of NSCC’s calculations when they are done on a daily
+basis.
+Section 3 (Supplemental Liquidity Providers). NSCC is proposing to amend Section 3 to
+describe how NSCC would identify the Supplemental Liquidity Providers for each Business
+33 See 17 CFR 240.15c6-1. 
+Page 15 of 79
+Day. Section 3 of the proposed Rule 4(A) would state that, each Business Day, NSCC would
+determine the Peak Liquidity Need of each Member during the Lookback Period, and would
+identify the Supplemental Liquidity Providers for that Business Day as the 30 (or fewer)
+Members with the largest Peak Liquidity Need in that time period. These changes would
+implement the proposal described in greater detail above to make this calculation daily and to
+simplify the calculation used to identify Supplemental Liquidity Providers by using Peak
+Liquidity Need rather than using the largest exposures of all providers in the Lookback Period.
+Section 4 (Supplemental Liquidity Obligations); Section 5 (Satisfaction of Supplemental
+Liquidity Obligations); and Section 6 (Notice of Supplemental Liquidity Obligations and
+Payment of Supplemental Liquidity Deposits). NSCC would amend Sections 4, 5 and 6 of Rule
+4(A) to describe the simplified calculation of Supplemental Liquidity Obligations, and the
+process by which Supplemental Liquidity Providers would pay their Supplemental Liquidity
+Obligations after being notified by NSCC. Proposed changes to Section 4 would implement the
+revised calculation of Supplemental Liquidity Obligations, described in greater detail above, as
+the difference between a Supplemental Liquidity Provider’s Daily Liquidity Need for that
+Business Day and the Qualifying Liquid Resources available to NSCC on that day. The
+proposed changes would also create a subsection b. of Section 4 to describe the optional,
+alternative pro rata calculation of Supplemental Liquidity Obligations, as described in greater
+detail above.
+Proposed changes to Sections 5 and 6 of Rule 4(A) would update the defined terms and
+the timing by when Supplemental Liquidity Providers must fund their Supplemental Liquidity
+Obligations to reflect the change of these obligations to daily. Proposed changes to Section 6 of
+Rule 4(A) would state that the notice provided to Supplemental Liquidity Providers regarding
+their Supplemental Liquidity Obligations would state if that amount was calculated pursuant to
+Section 4b as a pro rata share of the largest Supplemental Liquidity Obligation of that Business
+Day.
+Section 7 (Determination of Intraday Supplemental Liquidity Calls) and Section 8
+(Satisfaction of Intraday Supplemental Liquidity Calls). NSCC would amend Sections 7 and 8 of
+Rule 4(A) to reflect the removal of the Special Activity Liquidity Calls and the adoption of the
+two Intraday Supplemental Liquidity Calls, as described in greater detail above. The proposed
+changes to these sections would also update defined terms, as appropriate.
+Returns of Supplemental Liquidity Deposits – Section 9 (Deposits Made in Satisfaction of
+a Supplemental Liquidity Obligation) and Section 10 (Ceasing to be a Participant). NSCC is
+proposing to consolidate the current Sections 9 and 10 of Rule 4(A) into a new Section 9 of Rule
+4(A), which would address the return of SLD that are made in satisfaction of both Supplemental
+Liquidity Obligations and Intraday Supplemental Liquidity Calls. The proposed changes would
+provide that SLD made pursuant to either Supplemental Liquidity Obligations and Intraday
+Supplemental Liquidity Calls would be returned to Supplemental Liquidity Providers on the next
+Business Day after the calculation date, unless otherwise notified by NSCC.
+NSCC would amend Section 10 (currently Section 11) to align the treatment of SLD of a
+retired Member with the treatment of such firm’s Required Fund Deposits, as described in
+greater detail above. 
+Page 16 of 79
+Miscellaneous Matters – Section 11 (Obligations of Affiliated Families and Supplemental
+Liquidity Providers), Section 12 (Application of Supplemental Liquidity Deposits) and Section 13
+(Information). NSCC would amend Sections 11, 12 and 13 (currently Sections 12, 13 and 14) of
+Rule 4(A) to update and simplify these provisions. The proposed amendments would not
+substantially amend the purpose or application of these sections.
+Section 11 (currently Section 12) of Rule 4(A) provides that the Supplemental Liquidity
+Obligations of Affiliated Families are the several obligations of all of the Members of the
+Affiliated Family ratably in proportion to their applicable Special Activity Peak Liquidity
+Exposure. NSCC would not change this provision but would update it to use revised defined
+terms. NSCC would also amend Section 11 by consolidating two parallel paragraphs into
+subsection b., which address NSCC’s right to collect SLD from Supplemental Liquidity
+Providers. This proposed change would simplify the provision but would not make substantive
+changes to NSCC’s rights or Members’ obligations.
+Section 12 (currently Section 13), which addresses how SLD are treated under Rule 4,
+would be amended to update defined terms and to clarify that SLD may be held by NSCC as part
+of Members’ actual deposits to the Clearing Fund, pursuant to Section 9 of Rule 4. No
+substantive changes are proposed to this Section.
+Section 13 (currently Section 14) describes NSCC’s obligation to provide Members with
+certain information regarding its SLD calculation. NSCC is proposing to amend this section to
+include updated defined terms and to reflect the daily calculation of SLD.
+(iv) Impact Study Results
+NSCC has provided the Securities and Exchange Commission (“Commission”) with the
+results of an impact study that reviewed the proposal against the observed regulatory liquidity
+needs and NSCC’s Qualifying Liquid Resources available during the period from 2016 through
+2020 to assess both pro-forma and hypothetical impacts of the proposal under various liquidity
+scenarios.
+Pro-Forma Impact Study. The pro-forma impact study compared NSCC’s regulatory
+liquidity needs against the Qualifying Liquid Resources that were available between 2016 and
+2020. The pro-forma analysis indicated that NSCC would expect between 1 and 3 Supplemental
+Liquidity Obligations per year, ranging in size between $1.0 billion to $5.4 billion in 2016
+through 2019. In calendar year 2020, the impact study shows that available Qualifying Liquid
+Resources for each date would have eliminated potential Supplement Liquidity Obligations.
+Additionally, this impact study showed between 4 and 27 actual Supplemental Liquidity
+Obligations were received by NSCC per year, typically averaging $3.6 billion during this same
+period, including 9 actual Supplemental Liquidity Obligations received by NSCC in 2020.
+Hypothetical Impact Study. NSCC also developed several hypothetical liquidity
+scenarios to assess the proposal’s impact. When hypothetical Qualifying Liquid Resources
+available to NSCC are between $17 billion and $22 billion, NSCC would expect between 7 and
+36 Supplemental Liquidity Obligations per year, ranging in size between $2.1 billion to $4.6
+billion each; and (2) when the hypothetical Qualifying Liquid Resources available to NSCC are 
+Page 17 of 79
+$22 billion or above, NSCC would expect between 1 and 5 Supplemental Liquidity Obligations
+per year, ranging in size between $2.1 billion to $6.8 billion each.
+NSCC has also provided the Commission with details of potential impacts of the proposal
+on the largest 50 Affiliated Families, a list of the 30 Affiliated Families with the largest liquidity
+exposures as of December 31, 2020, and the respective Affiliated Families’ maximum and
+average NSCC liquidity needs for each calendar year between 2016 and 2020.
+(v) Implementation Timeframe
+NSCC would implement the proposed changes no later than 10 Business Days after the
+later of the approval of the proposed rule change and no objection to the related advance notice34
+by the Commission. NSCC would announce the effective date of the proposed changes by
+Important Notice posted to its website.
+ (b) Statutory Basis
+NSCC believes the proposed changes are consistent with the requirements of the Act and
+the rules and regulations thereunder applicable to a registered clearing agency. In particular,
+NSCC believes the proposed changes are consistent with Section 17A(b)(3)(F) of the Act,35 and
+Rules 17Ad-22(e)(7)(i) and (ii), each promulgated under the Act,36 for the reasons described
+below.
+Section 17A(b)(3)(F) of the Act requires that the rules of NSCC be designed to, among
+other things, assure the safeguarding of securities and funds which are in the custody or control
+of the clearing agency or for which it is responsible.37 NSCC believes the proposed rule change
+is designed to assure the safeguarding of securities and funds which are in its custody or control
+or for which it is responsible because the proposal would allow NSCC to better limit its liquidity
+exposure to Members in the event of a Member default.
+Specifically, under the proposal, each Business Day NSCC would measure the
+Supplemental Liquidity Obligation of each Supplemental Liquidity Provider as the difference
+between the Daily Liquidity Need of the Supplemental Liquidity Provider calculated for that
+Business Day and the Qualifying Liquid Resources available to NSCC on that day assuming
+34 NSCC filed this proposed rule change as an advance notice (File No. SR-NSCC2021-801) with the Commission pursuant to Section 806(e)(1) of Title VIII of the DoddFrank Wall Street Reform and Consumer Protection Act entitled the Payment, Clearing,
+and Settlement Supervision Act of 2010, 12 U.S.C. 5465(e)(1), and Rule 19b-4(n)(1)(i)
+under the Act, 17 CFR 240.19b-4(n)(1)(i). A copy of the advance notice is available at
+http://www.dtcc.com/legal/sec-rule-filings.aspx.
+35 15 U.S.C. 78q-1(b)(3)(F).
+36 17 CFR 240.17Ad-22(e)(7)(i) and (ii).
+37 15 U.S.C. 78q-1(b)(3)(F). 
+Page 18 of 79
+stressed market conditions. By making these calculations daily based on Members’ current
+activity and NSCC’s resources currently available to NSCC, the proposed SLD requirement
+would provide NSCC with a more accurate measure of its potential liquidity exposures to its
+Members in the event of a Member default. The proposal would also establish a monthly
+intraday SLD collection in connection with options expiration activity that present heighted
+liquidity exposures, and an optional intraday SLD that NSCC may collect when it deems
+appropriate to mitigate any increased liquidity exposures or in light of other circumstances.
+These proposed intraday SLD would allow NSCC to re-calculate its liquidity exposures and
+collect sufficient liquidity to allow it to complete end-of-day settlement in the event of the
+default of a Member.
+Additionally, by providing an alternative pro rata calculation of Supplemental Liquidity
+Obligations in certain circumstances, the proposal would provide NSCC with the flexibility to
+determine the total amount collected on a Business Day, while continuing to collect and hold
+sufficient liquidity to allow NSCC to complete end-of-day settlement in the event of the default
+of the Member with the largest payment obligations. In this way, the proposed change to
+calculate and collect, when applicable, SLD on a daily basis based on current information, and
+on an intraday basis when NSCC observes an increase in its Daily Liquidity Need, would help
+NSCC assure the safeguarding of securities and funds which are in its custody or control or for
+which it is responsible, consistent with the requirements of Section 17A(b)(3)(F) of the Act.38
+The proposed changes to simplify and clarify Rule 4(A), which describes the SLD
+requirement, would also be consistent with the requirements of Section 17A(b)(3)(F) of the
+Act.39 These proposed changes would make the rights and obligations of both NSCC and its
+Members under Rule 4(A) more transparent and easier to understand. A clearer rule supports the
+ability of Members to meet their obligations to provide NSCC with SLD when required. The
+liquidity provided to NSCC through the SLD allows it to complete end-of-day settlement in the
+event of the default of a Member. Therefore, by making the provisions of Rule 4(A) clearer,
+simpler and more transparent to Members, these proposed changes also support NSCC’s
+compliance with the requirements of Section 17A(b)(3)(F) of the Act to assure the safeguarding
+of securities and funds which are in NSCC’s custody or control or for which it is responsible.40
+Rule 17Ad-22(e)(7)(i) under the Act requires that NSCC establish, 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.41 Rule 17Ad-22(e)(7)(ii) under the Act requires that
+38 Id.
+39 Id.
+40 Id.
+41 17 CFR 240.17Ad-22(e)(7)(i). 
+Page 19 of 79
+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 17Ad-22(e)(7)(i) in each relevant currency for which NSCC has
+payment obligations owed to its Members.42
+As described above, the proposal would strengthen NSCC’s 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-of-day 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.43 Therefore, SLD would continue to be
+considered a qualifying liquid resource, as defined by Rule 17Ad-22(a)(14) under the Act,44 and
+would support NSCC’s ability to hold qualifying liquid resources sufficient to meet the
+minimum liquidity resource requirement under Rule 17Ad-22(e)(7)(i), as required by Rule
+17Ad-22(e)(7)(ii). Additionally, the proposed alternative pro rata calculation of Supplemental
+Liquidity Obligations would provide NSCC with the flexibility to determine the total amount
+collected on a Business Day, while continuing to collect and hold sufficient liquidity to allow
+NSCC to complete end-of-day settlement in the event of the default of the Member with the
+largest payment obligations, as required by Rule 17Ad-22(e)(7)(i).45 As such, this proposed
+change would support NSCC’s ability to hold sufficient qualifying liquid resources to meet its
+minimum liquidity resource requirement under Rules 17Ad-22(e)(7)(i) and (ii).46
+4. Self-Regulatory Organization’s Statement on Burden on Competition
+NSCC believes that the proposed rule change could have an impact on competition.
+Specifically, NSCC believes the proposed changes could burden competition because they would
+require those Members that are identified as Supplemental Liquidity Providers to make an SLD
+42 17 CFR 240.17Ad-22(e)(7)(ii). For purposes of Rule 17Ad-22(e)(7)(ii), “qualifying
+liquid resources” are defined in Rule 17Ad-22(a)(14) as including, in part, cash held
+either at the central bank of issue or at creditworthy commercial banks. Supra note 4.
+43 See Securities Exchange Act Release Nos. 79528 (December 12, 2016), 81 FR 91232
+(December 16, 2016) (File Nos. SR-DTC-2016-007, SR-FICC-2016-005, SR-NSCC2016-003); 84949 (December 21, 2018), 83 FR 67779 (December 31, 2018) (File Nos.
+SR-DTC-2018-012, SR-FICC-2018-014, SR-NSCC-2018-013).
+44 17 CFR 240.17Ad-22(a)(14).
+45 17 CFR 240.17Ad-22(e)(7)(i).
+46 17 CFR 240.17Ad-22(e)(7)(i) and (ii). 
+Page 20 of 79
+to the Clearing Fund each Business Day, when applicable, rather than only monthly in
+connection with the expiration of stock options.
+Members are currently subject to SLD requirements under Rule 4(A), and, while the
+proposed rule change could result in a Supplemental Liquidity Obligation on a more frequent
+basis, the impact study results, discussed above, show that the proposal would not have a
+significant impact on the frequency or amount of those requirements. The Supplemental
+Liquidity Obligations of Supplemental Liquidity Providers would be in direct relation to the
+specific liquidity exposures presented to NSCC by Members’ daily activity. Therefore,
+Members that present the largest liquidity exposures to NSCC, regardless of the type of Member,
+currently have, and would continue to have, similar SLD requirements. The proposed alternative
+calculation of Supplemental Liquidity Obligations would provide NSCC with the flexibility to
+collect and hold sufficient liquidity to meet NSCC’s regulatory obligations while allocating the
+Supplemental Liquidity Obligations on a pro rata basis among the Supplemental Liquidity
+Providers for that Business Day. This proposed change would treat each Supplemental Liquidity
+Provider equally when this alternative calculation is triggered.
+Therefore, NSCC believes that any burden on competition imposed by the proposed
+changes would not be significant and, further, would be both necessary and appropriate in
+furtherance of NSCC’s efforts to mitigate risks and meet the requirements of the Act,47 as
+described in this filing and further below.
+NSCC believes the above described burden on competition that may be created by the
+proposed changes to the SLD requirement would be necessary in furtherance of the purposes of
+the Act, specifically Section 17A(b)(3)(F) of the Act.48 As discussed above, the proposed
+change would improve NSCC’s ability to estimate its liquidity exposures in the calculation and
+collection of SLD by using daily activity rather than estimating potential exposures based on
+activity in a look-back period. The proposal would also establish a monthly intraday SLD to
+address the additional liquidity exposures that are presented by monthly options expiration
+activity, and an optional intraday SLD that may be collected when NSCC deems appropriate. In
+aggregate, the total SLD collected would improve NSCC’s liquidity risk management by
+supplementing its liquidity resources that are available to it to complete end-of-day settlement in
+the event of the default of a Member. The proposed pro rata alternative calculation of SLD
+would allow NSCC to opt to collect only the largest Supplemental Liquidity Obligation
+calculated for that Business Day, while still meeting NSCC’s applicable regulatory obligations.
+The proposed enhancements to its liquidity risk management would help NSCC assure the
+safeguarding of securities and funds which are in its custody or control or for which it is
+responsible, consistent with the requirements of Section 17A(b)(3)(F) of the Act.49
+NSCC believes the proposed changes would also support its compliance with Rules
+17Ad-22(e)(7)(i) and (ii) under the Act, which require NSCC to establish, implement, maintain
+47 15 U.S.C. 78q-1(b)(3)(I).
+48 15 U.S.C. 78q-1(b)(3)(F).
+49 Id. 
+Page 21 of 79
+and enforce written policies and procedures reasonably designed to (x) 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,50 and (y) hold qualifying liquid resources sufficient to
+meet the minimum liquidity resource requirement under Rule 17Ad-22(e)(7)(i) in each relevant
+currency for which NSCC has payment obligations owed to its Members.51
+The proposal would strengthen NSCC’s ability to maintain sufficient liquidity to
+complete end-of-day settlement in the event of the default of a Member by allowing NSCC to
+collect SLD each Business Day from those Members that pose the largest liquidity exposures to
+NSCC on that day. Further, SLD are currently, and would continue to be, cash deposits to
+NSCC’s Clearing Fund, which meet the criteria to be considered qualifying liquid resources, as
+defined by Rule 17Ad-22(a)(14) under the Act.52 The proposed alternative pro rata calculation
+would allow NSCC to continue to collect sufficient liquidity to meet the requirements of Rule
+17Ad-22(e)(7)(i).53 As such, this proposed change would support NSCC’s ability to hold
+sufficient qualifying liquid resources to meet its minimum liquidity resource requirement under
+Rules 17Ad-22(e)(7)(i) and (ii).54
+NSCC believes that the above described burden on competition that could be created by
+the proposed changes would be appropriate in furtherance of the purposes of the Act because
+such changes have been designed to assure the safeguarding of securities and funds which are in
+the custody or control of NSCC or for which it is responsible, as described in detail above.
+Under both the current Rule 4(A) and the proposed changes to Rule 4(A), the SLD requirements
+are designed to require those Members whose settlement activity pose the largest liquidity
+exposures to NSCC to provide SLD in the amount of such exposures. The proposed changes to
+Rule 4(A) would better support NSCC by allowing it to calculate and collect, when applicable,
+SLD to address liquidity exposures that are presented by the activity of Supplemental Liquidity
+Providers each Business Day rather than only during monthly options expiration periods. The
+proposed rule change would improve NSCC’s ability to measure these liquidity exposures by
+using daily activity rather than estimations based on past activity.
+Therefore, because the proposed changes are designed to provide NSCC with a more
+accurate measure of the liquidity risks presented by Members’ daily activity, NSCC believes the
+proposal would meet NSCC’s risk management goals and its regulatory obligations. NSCC
+believes that it has designed the proposed rule change in an appropriate way in order to comply
+50 17 CFR 240.17Ad-22(e)(7)(i).
+51 17 CFR 240.17Ad-22(e)(7)(ii).
+52 17 CFR 240.17Ad-22(a)(14).
+53 17 CFR 240.17Ad-22(e)(7)(i).
+54 17 CFR 240.17Ad-22(e)(7)(i) and (ii). 
+Page 22 of 79
+with NSCC’s obligations under the Act. Therefore, as described above, NSCC believes the
+proposed changes are necessary and appropriate in furtherance of NSCC’s obligations under the
+Act,55 specifically Section 17A(b)(3)(F) of the Act56 and Rules 17Ad-22(e)(7)(i) and (ii) under
+the Act.57
+5. Self-Regulatory Organization’s Statement on Comments on the Proposed Rule
+Change Received from Members, Participants, or Others
+NSCC has not received or solicited any written comments relating to this proposal.
+NSCC will notify the Commission of any written comments received by NSCC.
+6. Extension of Time Period for Commission Action
+NSCC does not consent to an extension of the time period specified in Section 19(b)(2)
+of the Act58 for Commission action.
+7. Basis for Summary Effectiveness Pursuant to Section 19(b)(3) or for Accelerated
+Effectiveness Pursuant to Section 19(b)(2)
+(a) Not applicable.
+(b) Not applicable.
+(c) Not applicable.
+(d) Not applicable.
+8. Proposed Rule Change Based on Rules of Another Self-Regulatory Organization or
+of the Commission
+Not applicable.
+9. Security-Based Swap Submissions Filed Pursuant to Section 3C of the Act
+Not applicable.
+55 15 U.S.C. 78q-1(b)(3)(I).
+56 15 U.S.C. 78q-1(b)(3)(F).
+57 17 CFR 240.17Ad-22(e)(7)(i) and (ii).
+58 15 U.S.C. 78s(b)(2). 
+Page 23 of 79
+10. Advance Notice Filed Pursuant to Section 806(e) of the Payment, Clearing, and
+Settlement Supervision Act of 2010
+Not applicable.
+11. Exhibits
+Exhibit 1 – Not applicable.
+Exhibit 1A – Notice of proposed rule change for publication in the Federal Register.
+Exhibit 2 – Not applicable.
+Exhibit 3 – Impact Study Data – January 2016 to December 2020. Omitted and filed
+separately with the Commission. Confidential treatment of this Exhibit 3 pursuant to 17 CFR
+240.24b-2 being requested.
+Exhibit 4 – Not applicable.
+Exhibit 5 – Proposed changes to the Rules. 
+Page 24 of 79
+EXHIBIT 1A
+SECURITIES AND EXCHANGE COMMISSION
+(Release No. 34-[_________]; File No. SR-NSCC-2021-002)
+[DATE]
+Self-Regulatory Organizations; National Securities Clearing Corporation; Notice of
+Filing of Proposed Rule Change to Amend the Supplemental Liquidity Deposit
+Requirements
+ 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 March __, 2021, National
+Securities Clearing Corporation (“NSCC”) 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 by the clearing agency.3
+ The Commission is
+publishing this notice to solicit comments on the proposed rule change from interested
+persons.
+I. Clearing Agency’s Statement of the Terms of Substance of the Proposed Rule
+Change
+The proposed rule change consists of modifications to Rule 4(A) (Supplemental
+Liquidity Deposits) of the NSCC’s Rules & Procedures (“Rules”) to (1) calculate and
+collect, when applicable, supplemental liquidity deposits to NSCC’s Clearing Fund
+1
+ 15 U.S.C. 78s(b)(1).
+2
+ 17 CFR 240.19b-4.
+3
+ NSCC filed this proposed rule change as an advance notice (File No. SR-NSCC2021-801) with the Commission 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, 12 U.S.C.
+5465(e)(1), and Rule 19b-4(n)(1)(i) under the Act, 17 CFR 240.19b-4(n)(1)(i). A
+copy of the advance notice is available at http://www.dtcc.com/legal/sec-rulefilings.aspx. 
+Page 25 of 79
+(“Supplemental Liquidity Deposits,” or “SLD”) on a daily basis rather than only in
+advance of the monthly expiration of stock options (defined in Rule 4(A) as “Options
+Expiration Activity Period”); (2) establish an intraday SLD obligation that would apply in
+advance of Options Expiration Activity Periods and may also be applied on other days, as
+needed; (3) implement an alternative pro rata calculation of Members’ SLD obligations
+that may apply in certain circumstances; and (4) simplify and improve the transparency
+of the description of the calculation, collection and treatment of SLD in Rule 4(A) of the
+Rules, as described in greater detail below.4
+
+II. Clearing Agency’s Statement of the Purpose of, and Statutory Basis for, the
+Proposed Rule Change
+In its filing with the Commission, the clearing agency 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. The clearing agency has prepared
+summaries, set forth in sections A, B, and C below, of the most significant aspects of
+such statements.
+(A) Clearing Agency’s Statement of the Purpose of, and Statutory Basis for,
+the Proposed Rule Change
+1. Purpose
+NSCC is proposing to enhance its management of the liquidity risks that arise in
+or are borne by it by calculating and collecting, when applicable, SLD on each Business
+Day rather than only in advance of Options Expiration Activity Periods. The proposed
+4
+ Capitalized terms not defined herein are defined in the Rules, available at
+http://dtcc.com/~/media/Files/Downloads/legal/rules/nscc_rules.pdf. 
+Page 26 of 79
+changes would establish an intraday SLD obligation that would apply in advance of
+Options Expiration Activity Periods and may be applicable on any Business Day, as
+needed. The proposal would also implement an alternative pro rata calculation of
+Members’ SLD obligations that may apply in certain circumstances. Finally, in
+connection with these proposed changes, NSCC would simplify and improve the
+description of the calculation, collection and treatment of SLD in Rule 4(A). These
+proposed rule changes are described in greater detail below.
+(i) Overview of the NSCC Liquidity Risk Management
+NSCC, along with its affiliates, The Depository Trust Company and Fixed
+Income Clearing Corporation, maintains a Clearing Agency Liquidity Risk Management
+Framework (“Framework”) that sets forth the manner in which NSCC measures,
+monitors and manages the liquidity risks that arise in or are borne by it.5
+ As a central
+counterparty, NSCC’s liquidity needs are driven by the requirement to complete end-ofday money settlement, on an ongoing basis, in the event NSCC ceases to act for a
+Member (hereinafter referred to as a “default”).6
+ If a Member defaults, NSCC needs to
+complete settlement of guaranteed transactions on the defaulted Member’s behalf from
+the date of default through the remainder of the settlement cycle. As such, and as
+provided for in the Framework, NSCC measures the sufficiency of its qualifying liquid
+5
+ See Securities Exchange Act Release No. 82377 (December 21, 2017), 82 FR
+61617 (December 28, 2017) (File Nos. SR-DTC-2017-004; SR-FICC-2017-008;
+SR-NSCC-2017-005).
+6
+ The Rules identify when NSCC may cease to act for a Member and the types of
+actions NSCC may take. For example, NSCC may suspend a firm’s membership
+with NSCC or prohibit or limit a Member’s access to NSCC’s services in the
+event that Member defaults on a financial or other obligation to NSCC. See Rule
+46 (Restrictions on Access to Services) of the Rules, supra note 4. 
+Page 27 of 79
+resources through daily liquidity studies across a range of scenarios, including amounts
+NSCC would need in the event the Member or Member family with the largest aggregate
+liquidity exposure defaults.7
+
+As described in the Framework, NSCC seeks to maintain qualifying liquid
+resources in an amount sufficient to cover this risk. These resources currently include
+(1) cash deposits to the NSCC Clearing Fund;8
+ (2) the proceeds of the issuance and
+private placement of (a) short-term, unsecured notes in the form of commercial paper and
+extendable notes (“Commercial Paper Program”),9
+ and (b) term debt (“Term Debt
+Issuance”);10 (3) cash that would be obtained by drawing on NSCC’s committed 364-day
+credit facility with a consortium of banks (“Line of Credit”);11 and (4) Supplemental
+Liquidity Deposits, collected pursuant to Rule 4(A), which are currently designed to
+cover the heightened liquidity exposure arising around Options Expiration Activity
+7
+ “Qualifying liquid resources” are defined in Rule 17Ad-22(a)(14) under the Act.
+17 CFR 240.17Ad-22(a)(14). The Framework also includes a definition of
+qualifying liquid resources that incorporates by reference Rule 17Ad-22(a)(14).
+See supra note 5.
+8
+ See Rule 4 (Clearing Fund) and Procedure XV (Clearing Fund Formula and Other
+Matters) of the Rules, supra note 4.
+9
+ See Securities Exchange Act Release Nos. 75730 (August 19, 2015), 80 FR
+51638 (August 25, 2015) (File No. SR-NSCC-2015-802); 82676 (February 9,
+2018), 83 FR 6912 (February 15, 2018) (File No. SR-NSCC-2017-807).
+10 See Securities Exchange Act Release No. 88146 (February 7, 2020), 85 FR 8046
+(February 12, 2020) (File No. SR-NSCC-2019-802).
+11 See Securities Exchange Act Release No. 80605 (May 5, 2017), 82 FR 21850
+(May 10, 2017) (File Nos. SR-DTC-2017-802; SR-NSCC-2017-802). 
+Page 28 of 79
+Periods, required from those Members whose activity would pose the largest liquidity
+exposure to NSCC.12
+NSCC’s liquidity risk management has evolved in order to adhere to regulatory
+requirements that were adopted after Rule 4(A) was implemented.13 As part of its efforts
+to maintain compliance with these requirements, NSCC has continued to strengthen its
+liquidity risk management strategy, including through growing and diversifying its
+qualifying liquid resources. In connection with these ongoing efforts, NSCC is proposing
+to calculate and collect, when applicable, SLD every Business Day rather than only in
+connection with Options Expiration Activity Periods. This proposed change would
+improve NSCC’s ability to measure and monitor its daily liquidity exposures and allow it
+to collect additional qualifying liquid resources from Members whose activity poses the
+largest liquidity exposure to NSCC in connection with their daily settlement activity, and
+not only during Options Expiration Activity Periods. By measuring SLD against
+Members’ actual daily settlement activity and NSCC’s available qualifying liquid
+resources, the proposal would also help mitigate risks to NSCC that it is unable to secure
+adequate default liquidity from other sources in an amount necessary to meet its liquidity
+needs. For example, the proposal would help mitigate the risks that could arise if
+investor demand for the short-term notes issued under the Commercial Paper Program
+12 See Rule 4(A) (Supplemental Liquidity Deposits) of the Rules, supra note 4. See
+also Securities Exchange Act Release Nos. 70999 (December 5, 2013), 78 FR
+75413 (December 11, 2013) (File No. SR-NSCC-2013-02); 71000 (December 5,
+2013), 78 FR 75400 (December 11, 2013) (File No. SR-NSCC-2013-802).
+13 See 17 CFR 240.17Ad-22(e)(7). See also supra note 5. 
+Page 29 of 79
+weakens, there is limited investor demand for term debt issued pursuant to a Term Debt
+Issuance, or NSCC is unable to renew its Line of Credit at the targeted amount.
+NSCC is also proposing to establish an intraday SLD obligation that would apply
+on the first Business Day of the Options Expiration Activity Period to allow NSCC to
+continue to mitigate the additional liquidity exposures presented by options activity. The
+proposal would also permit NSCC to calculate and collect an intraday SLD on any
+Business Day when, for example, NSCC believes that it is necessary to collect an
+additional SLD from a Member whose activity presents relatively greater risks to the
+NSCC on an overnight basis.
+NSCC is also proposing to implement an alternative calculation of Members’
+SLD requirements that would be their pro rata allocation of the largest SLD obligation
+calculated for that Business Day. This proposed change would provide NSCC with the
+discretion, in certain circumstances, to allocate its largest liquidity need on a Business
+Day among those Members that are required to pay SLD on that day rather than collect
+separate SLD from those Members, as described in greater detail below.
+In connection with these proposed changes, NSCC would also simplify the
+description of the calculation of SLD in Rule 4(A) in order to improve the transparency
+of this Rule, as described in greater detail below.
+(ii) Current Rule 4(A) and Supplemental Liquidity Deposits
+Under the current Rule 4(A), NSCC collects SLD from the unaffiliated Members
+and families of affiliated Members (each defined as an “Affiliated Family”) that incur the 
+Page 30 of 79
+largest gross settlement debits over the settlement cycle during times of increased trading
+activity that arise around Options Expiration Activity Periods.14
+Under the current Rule 4(A), NSCC performs calculations on a monthly basis, no
+later than the fifth day prior to an Options Expiration Activity Period, using activity
+observed over a 24-month lookback period (defined in the current Rule 4(A) as the
+“Special Activity Lookback Period”).15 These calculations determine (1) NSCC’s largest
+liquidity need that exceeded its liquidity resources (defined in Rule 4(A) as “Special
+Activity Peak Liquidity Need”); and (2) the 30 (or fewer) unaffiliated Members or
+Affiliated Families (defined in Rule 4(A) as “Special Activity Liquidity Providers”) that
+presented the largest liquidity exposures to NSCC (defined in Rule 4(A) as “Special
+Activity Peak Liquidity Exposures”).16 To determine the SLD obligations of each
+Special Activity Liquidity Provider, the calculated Special Activity Peak Liquidity Need
+of NSCC is allocated to these Special Activity Liquidity Providers in proportion to the
+Special Activity Peak Liquidity Exposures they presented to NSCC during the Special
+Activity Lookback Period. Special Activity Liquidity Providers are required to fund their
+SLD obligations by the close of business on the second day prior to the applicable
+Options Expiration Activity Period.17 SLD may be returned to Special Activity Liquidity
+14 See Section 2 of Rule 4(A) (Supplemental Liquidity Deposits) of the Rules, supra
+note 4.
+15 See id.
+16 See Section 3 of Rule 4(A) (Supplemental Liquidity Deposits) of the Rules, id.
+17 See Section 4 of Rule 4(A) (Supplemental Liquidity Deposits) of the Rules, id. 
+Page 31 of 79
+Providers seven Business Days after the end of the applicable Options Expiration
+Activity Period.18
+On any Business Day between calculation dates, if NSCC observes an increase in
+its liquidity needs that exceeds a predetermined threshold amount, it may call for an
+additional deposit from the Member whose increase in activity levels caused (or was the
+primary cause of) such increased liquidity need (defined in Rule 4(A) as “Special
+Activity Liquidity Call”).19 NSCC may hold deposits made pursuant to a Special
+Activity Liquidity Call for up to 90 days after the deposit is made.20 Members are also
+permitted to submit a cash deposit to the Clearing Fund as a “Special Activity Prefund
+Deposit” no later than the first Business Day of an Options Expiration Activity Period.21
+NSCC understands that a Member would generally make a Special Activity Prefund
+Deposit when it anticipates that its Special Activity Peak Liquidity Exposure during that
+period may be greater than the amount calculated by NSCC pursuant to Rule 4(A) based
+on activity in the Special Activity Lookback Period.22
+The current Rule 4(A) also addresses how SLD are treated generally.23
+Specifically, while SLD are part of a Member’s actual deposit to the Clearing Fund, they
+18 See Section 9 of Rule 4(A) (Supplemental Liquidity Deposits) of the Rules, id.
+19 See Section 7 of Rule 4(A) (Supplemental Liquidity Deposits) of the Rules, id.
+20 See Section 10 of Rule 4(A) (Supplemental Liquidity Deposits) of the Rules, id.
+21 See definition of “Special Activity Prefund Deposit” in Section 2 of Rule 4(A)
+(Supplemental Liquidity Deposits) of the Rules, id.
+22 See id.
+23 See Section 13 of Rule 4(A) (Supplemental Liquidity Deposits) of the Rules, id. 
+Page 32 of 79
+are made in addition to a Member’s Required Fund Deposit and any other deposit of any
+such Member to the Clearing Fund.24 Rule 4(A) also provides that SLD may be invested
+and may be used to satisfy a loss or liability as provided for in Sections 3 or 13 of Rule 4,
+and addresses NSCC’s obligation to provide Members with certain information that
+would help them anticipate their potential SLD requirements.25
+(iii) Amended Rule 4(A) and Proposed Daily Calculation of
+Supplemental Liquidity Deposits
+In order to better address the liquidity risks presented by Members’ daily activity,
+NSCC is proposing to amend Rule 4(A) to calculate and collect, when applicable, SLD
+every Business Day rather than only in connection with the monthly expiration of stock
+options. While the monthly expiration of stock options does present larger liquidity
+exposures to NSCC, NSCC may also face large liquidity exposures from Members’ daily
+activity, particularly during volatile market conditions. By allowing NSCC to calculate
+and collect SLD daily, NSCC would be able to identify these exposures based on
+Members’ daily activity rather than estimate its upcoming liquidity exposures based on
+activity observed over a lookback period. The proposal would help NSCC mitigate its
+liquidity risks through the daily collection of SLD from those Members’ whose daily
+activity would, in the event of the Member’s default, create a potential liquidity need that
+is in excess of NSCC’s available qualifying liquid resources. The proposal would also
+permit NSCC to return SLD to Members on the Business Day following the day those
+24 See Section 13(b) of Rule 4(A) (Supplemental Liquidity Deposits) of the Rules,
+id.
+25 See Section 13(c) and Section 14 of Rule 4(A) (Supplemental Liquidity Deposits)
+of the Rules, id. 
+Page 33 of 79
+deposits are collected and would remove the current requirement that SLD be held for up
+to 90 days.
+In order to implement this proposed change to the timing of the SLD, NSCC
+would make a number of changes to Rule 4(A), described below. The proposed changes
+to Rule 4(A) would implement a daily calculation and collection of SLD, simplify and
+clarify the calculations done in connection with the SLD requirements, and enhance the
+disclosures of the SLD requirements. Despite these proposed changes, the structure of
+Rule 4(A) and the fundamental mechanics of the SLD requirements would be unchanged.
+Proposed Daily Calculation of Supplemental Liquidity Deposits
+Supplemental Liquidity Providers. Under the proposed Rule 4(A), each Business
+Day NSCC would determine the 30 (or fewer) Members (each such Member a
+“Supplemental Liquidity Provider”) that had the “Peak Liquidity Need,” which would be
+defined as the largest Daily Liquidity Need that NSCC would have for that Member or
+Affiliated Family in a “Lookback Period.” 26 For purposes of this calculation, Daily
+Liquidity Need would be defined as the amount of liquid resources needed to effect the
+settlement of NSCC’s payment obligations as a central counterparty over a three day
+settlement cycle, assuming the default of that Member on that day.
+As described above, Supplemental Liquidity Providers are currently identified by
+reviewing Members’ Special Activity Peak Liquidity Exposures over the Lookback
+26 The “Lookback Period” would continue to be defined as 24 months, or a longer
+period as determined by NSCC in its discretion. NSCC may adjust the Lookback
+Period if, for example, unusual activity observed in the Lookback Period is not an
+appropriate indicator of future settlement activity and causes a Member to be a
+Supplemental Liquidity Provider. See Section 2 (Defined Terms) of Rule 4(A),
+id. 
+Page 34 of 79
+Period. Under the proposed approach, NSCC would base this determination on
+Members’ Peak Liquidity Need, which would continue to identify those Members whose
+activity posed the largest liquidity risks to NSCC during the Lookback Period. The
+proposed approach would no longer require a calculation using NSCC’s available liquid
+resources on each day in the Lookback Period but would use a simpler approach by
+looking only at liquidity need. The proposed approach to use a simpler calculation would
+reduce the risk of error and would clarify the description of how NSCC would identify
+Supplemental Liquidity Providers in the proposed Rule 4(A), making it more predictable
+to Members.
+Supplemental Liquidity Obligation. After NSCC determines the Supplemental
+Liquidity Providers, NSCC would then determine if any of the Supplemental Liquidity
+Providers would be required to pay an SLD on that Business Day. The proposed Rule
+4(A) would use a simplified calculation by determining if the Daily Liquidity Need for
+each Supplemental Liquidity Provider on that Business Day exceeds the sum of NSCC’s
+qualifying liquid resources available to NSCC on that day, assuming stressed market
+conditions (described below) (defined in the proposed Rule 4(A) as “Qualifying Liquid
+Resources”). The result of that calculation would be a Supplemental Liquidity Provider’s
+SLD requirement (defined in the proposed Rule 4(A) as a “Supplemental Liquidity
+Obligation”) for that day. If the Daily Liquidity Need of a Supplemental Liquidity
+Provider does not exceed NSCC’s Qualifying Liquid Resources on that day, then it would
+not have a Supplemental Liquidity Obligation.
+Because this calculation would be done at the start of each Business Day (as
+discussed further below), it would be based on the Qualifying Liquid Resources, 
+Page 35 of 79
+including Required Fund Deposits to the Clearing Fund, available to NSCC as of the end
+of the prior Business Day. Additionally, in order to anticipate market conditions that
+could cause Qualifying Liquid Resources to be unavailable on that day, NSCC would
+apply stress scenarios in determining its total Qualifying Liquid Resources for purposes
+of Rule 4(A). Currently, NSCC applies stress scenarios in determining the Special
+Activity Daily Liquidity Need and, in practice, they are currently applied to the Other
+Qualifying Liquid Resources in this calculation under the current Rule 4(A).27 The
+proposed change would allow NSCC to continue to assume stressed markets in its SLD
+calculations, which protects it against unexpected market events.28 The proposed
+changes to Rule 4(A) would make it clearer how these stress scenarios are applied.
+Under this proposed calculation, NSCC would no longer need to estimate the
+potential liquidity need a Member’s activity could pose to NSCC based on activity that
+settled in the Lookback Period. Instead, the Supplemental Liquidity Obligation of a
+Member would be calculated based on the actual liquidity exposure that its daily activity
+would pose to NSCC on that particular day in the event of that Member’s default. The
+proposed change provides both NSCC and Members with a more reliable measure of the
+27 Current Rule 4(A) uses the defined term “Other Qualifying Liquid Resources” to
+refer to NSCC’s qualifying liquid resources other than the Clearing Fund and the
+Line of Credit. See Section 2 of Rule 4(A) (Supplemental Liquidity Deposits) of
+the Rules, id.
+28 NSCC would apply the same stress scenarios that it currently applies, which
+include the market shocks of 1987, and removing the largest commitment to the
+Line of Credit, excess deposits to the Clearing Fund on deposit and proceeds from
+issued commercial paper that is maturing within five Business Days from NSCC’s
+Qualifying Liquid Resource. Any changes to these stress scenarios would be
+announced by an Important Notice posted to NSCC’s website. 
+Page 36 of 79
+liquidity risks posed to NSCC by its Members’ daily settlement activity in calculating
+SLD requirements.
+Each Supplemental Liquidity Provider that has a Supplemental Liquidity
+Obligation on a Business Day would receive a notice from NSCC of the amount of its
+Supplemental Liquidity Obligation and would be required to make a deposit in that
+amount to the Clearing Fund within one hour of such notice. The proposed timing of
+funding a Supplemental Liquidity Obligation would mirror the current requirement that is
+applied to Members’ Required Fund Deposits, which is also calculated and collected
+daily, and must be funded within one hour of demand.29 Specifically, NSCC expects to
+deliver notification of Supplemental Liquidity Obligations to Supplemental Liquidity
+Providers by around 8:30 AM ET each Business Day, with deposits required by no later
+than 9:30 AM ET.
+Proposed Pro Rata Calculation of Supplemental Liquidity Obligations. As an
+alternative to the calculation of Supplemental Liquidity Obligations described above,
+proposed Rule 4(A) would also state that, in the event two or more Supplemental
+Liquidity Providers have a Supplemental Liquidity Obligation of more than $2 billion on
+a Business Day, calculated pursuant to the calculation described above, NSCC may
+determine the Supplemental Liquidity Obligation of all Supplemental Liquidity Providers
+on that day would be their pro rata share of the largest Supplemental Liquidity Obligation
+calculated on that Business Day.30
+29 See Section II(B) of Procedure XV (Clearing Fund Formula and Other Matters) of
+the Rules, supra note 4.
+30 As an example, the Supplemental Liquidity Obligations for three Supplemental
+Liquidity Providers on a Business Day are – Member A: $6 billion, Member B:
+$2 billion and Member C: $1 billion. If NSCC determines, in its sole discretion, 
+Page 37 of 79
+This proposed alternative calculation of the Supplemental Liquidity Obligations
+would provide NSCC with the option of collecting only the largest SLD calculated on a
+Business Day, allocated among each of the Supplemental Liquidity Providers. The
+purpose of this proposed provision is to provide NSCC with the option of collecting
+enough funds to meet its regulatory requirements in circumstances when the aggregate
+Supplemental Liquidity Obligations on a particular day would significantly exceed that
+amount. Therefore, NSCC has structured this provision to be available only if two or
+more Supplemental Liquidity Providers owe SLD of more than $2 billion. NSCC has
+never had two more Supplemental Liquidity Providers owe more than $2 billion in SLD
+on a calculation date since Rule 4(A) was adopted. Therefore, NSCC believes this
+alternative calculation would only be available in very limited circumstances.
+Furthermore, NSCC believes the threshold of $2 billion is appropriate as it would only
+permit this alternative calculation in circumstances when it would have a material impact
+on the allocation of Supplemental Liquidity Obligations among the Supplemental
+Liquidity Providers.
+In such circumstances, when multiple Members have relatively large
+Supplemental Liquidity Obligations of more than $2 billion, NSCC would have the
+option to determine if it is appropriate to collect the largest SLD calculated for that
+Business Day, divided pro rata among the Supplemental Liquidity Providers rather than
+to calculate their Supplemental Liquidity Obligations on a pro-rata basis, then
+their Supplemental Liquidity Obligations would be – Member A: $4 billion (or
+6/9 of the largest Supplemental Liquidity Obligation of $6 billion), Member B:
+$1.3 billion (or 2/9 of the $6 billion) and Member C: $700 million (or 1/9 of the
+$6 billion). The notice provided to each Supplemental Liquidity Provider on that
+Business Day would inform those Members that this pro-rata calculation was
+applied. 
+Page 38 of 79
+collect the each of the Supplemental Liquidity Obligations of those firms. NSCC may
+determine, for example, that, in certain market conditions, this approach would be
+appropriate to alleviate liquidity pressures on Supplemental Liquidity Providers. This
+alternative calculation would allow NSCC to collect sufficient qualifying liquid resources
+to meet its regulatory obligations with respect to liquidity risk management without
+requiring all of the Supplemental Liquidity Providers to fund the total amount of their
+calculated Supplemental Liquidity Obligation on that Business Day.31
+Intraday Supplemental Liquidity Calls. The proposed Rule 4(A) would also
+establish Intraday Supplemental Liquidity Calls that would replace the current Special
+Activity Liquidity Calls. The existing Special Activity Liquidity Calls are designed to
+address increases in NSCC’s liquidity need between calculation dates. The proposed
+Intraday Supplemental Liquidity Calls would serve a similar function, allowing NSCC to
+calculate and collect additional SLD on an intraday basis if a Supplemental Liquidity
+Provider’s increased activity levels or projected settlement activity causes NSCC’s Daily
+Liquidity Need to exceed NSCC’s Qualifying Liquid Resources. This proposed
+provision would assist NSCC in mitigating increased liquidity exposures in specified
+circumstances.
+First, proposed Rule 4(A) would establish a monthly Intraday Supplemental
+Liquidity Call that is calculated and collected, when applicable, on the first Business Day
+31 Rule 17Ad-22(e)(7)(i) under the Act requires, in part, that NSCC maintain
+sufficient liquid resources at the minimum to effect same-day settlement of
+payment obligations with a high degree of confidence under a wide range of
+foreseeable stress scenarios, including the default of the participant family that
+would generate the largest aggregate payment obligation for the covered clearing
+agency in extreme but plausible market conditions. 17 CFR 240.17Ad22(e)(7)(i). 
+Page 39 of 79
+of an Options Expiration Activity Period, which is typically a Friday. 32 This Intraday
+Supplemental Liquidity Call would be calculated as the difference between (1) NSCC’s
+Daily Liquidity Need, recalculated to account for both actual settlement activity
+submitted to NSCC over the course of Business Day and projected activity in stock
+options that is expected to be submitted to NSCC33 and (2) NSCC’s Qualifying Liquid
+Resources. Settlement activity may net with (and offset) the activity that NSCC uses in
+re-calculating the Daily Liquidity Need. In order to account for any potential offsetting
+settling activity, NSCC would adjust the re-calculated Daily Liquidity Need using an
+estimated netting percentage that is based on each Supplemental Liquidity Provider’s
+average percentage of netting observed over the prior 24 months. Under this proposed
+provision, NSCC would adjust the amount of SLD it collects in order to mitigate the
+increased liquidity exposures related to the monthly expiration of stock options.
+Second, proposed Rule 4(A) would allow NSCC to call for additional SLD on an
+intraday basis on any Business Day if a Supplemental Liquidity Provider’s increased
+activity levels causes NSCC’s Daily Liquidity Need to exceed NSCC’s Qualifying Liquid
+Resources and NSCC determines, in its sole discretion, that it is appropriate to require an
+additional intraday SLD from that Supplemental Liquidity Provider in order to mitigate
+32 The proposed Rule 4(A) will retain the existing definition of an Options
+Expiration Activity Period for purposes of this monthly Intraday Supplemental
+Liquidity Call.
+33 Each Business Day, NSCC receives information regarding projected settlement
+activity from The Options Clearing Corporation pursuant to a Stock and Futures
+Settlement Agreement (“OCC Accord”). The OCC Accord provides for the
+clearance and settlement of exercises and assignments of options on eligible
+securities or the maturity of eligible stock futures contracts through NSCC. See
+Securities Exchange Act Release No. 81260 (July 31, 2017), 82 FR 36484
+(August 4, 2017) (File Nos. SR-NSCC-2017-803; SR-OCC-2017-804). 
+Page 40 of 79
+those additional liquidity exposures. Under this proposed change, NSCC would have the
+ability to make an Intraday Supplemental Liquidity Call on any Business Day. The
+amount of an Intraday Supplemental Liquidity Call would be the difference between
+NSCC’s Daily Liquidity Need, recalculated for that Business Day taking into account any
+increase in settlement activity, and NSCC’s Qualifying Liquid Resources. This proposed
+provision would allow NSCC to adjust the amount of SLD it collects for a Business Day
+in circumstances when NSCC believes it is necessary to accelerate the collection of
+additional SLD from Supplemental Liquidity Providers whose activity may present
+relatively greater risks to the NSCC on an overnight basis. NSCC would determine if an
+Intraday Supplemental Liquidity Call is appropriate based on a variety of factors and
+circumstances, including, but not limited to, an assessment of a Supplemental Liquidity
+Provider’s ability to meet its projected settlement or Supplemental Liquidity Obligations
+and estimates of settlement activity that could offset settlement exposures and are not
+reflected in NSCC’s liquidity estimates.
+Returns of SLD and Miscellaneous Matters. Proposed Rule 4(A) would provide
+that NSCC would return SLD, including any SLD funded pursuant to an Intraday
+Supplemental Liquidity Call, on the next Business Day unless such amounts are held
+longer by NSCC pursuant to proposed Section 12a of Rule 4(A), as described below.
+Under the current Rule 4(A), NSCC may hold SLD for up to seven Business Days after
+the end of the applicable Options Expiration Activity Period and may hold SLD funded
+pursuant to a Special Activity Liquidity Call for up to 90 days after such deposit is made.
+Under the proposed change, because NSCC would recalculate the Supplemental 
+Page 41 of 79
+Liquidity Obligations each Business Day, NSCC would no longer need to hold SLD for
+these extended periods.
+NSCC would amend proposed Section 12a (currently Section 13a) of Rule 4(A) to
+clarify that SLD, as part of Members’ actual deposit to the Clearing Fund, would be
+subject to the provision of Section 9 of Rule 4. Section 9 of Rule 4 addresses NSCC’s
+right to withhold all or any part of any excess deposit of a Member if such Member has
+been placed on the Watch List pursuant to the Rules or if NSCC determines that the
+Member’s anticipated activities in NSCC in the near future may reasonably be expected
+to be materially different than its activities of the recent past.34 Current Section 13a of
+Rule 4(A) addresses how SLD are treated pursuant to other Rules, particularly Rule 4,
+which addresses Members’ deposits to the Clearing Fund. While this proposal would not
+change NSCC’s rights with respect to these funds, it would provide Members with
+greater transparency into how SLD are treated under Rule 4.
+NSCC would also amend the provision in Rule 4(A) that addresses when SLD
+would be returned to a Member that ceases to be a participant. Currently, Rule 4(A)
+states that SLD are not subject to Section 7 of Rule 4 (which addresses how Required
+Fund Deposits are returned to retired Members) and, as such, are returned to retired
+Members as otherwise provided for in Rule 4(A).35 Under the proposed Rule 4(A),
+34 For example, this may occur when an index rebalancing occurs shortly after a
+month-end options expiration period, which could cause an increase in NSCC’s
+liquidity exposures.
+35 Section 7 of Rule 4 provides that Required Fund Deposits to the Clearing Fund in
+the form of cash and securities are returned to retired Members within 30 calendar
+days after all of its transactions have settled and obligations have been satisfied.
+See supra note 4. 
+Page 42 of 79
+because NSCC would be able to calculate SLD each Business Day, it would return SLD
+on the Business Day following the calculation date. However, while a firm may still
+have unsettled activity on the day it retires, NSCC would not be able to collect SLD on
+the days following a Member’s retirement. Therefore, NSCC is proposing to amend Rule
+4(A) to require that SLD of a retired Member be treated similarly to other cash Required
+Fund Deposits to the Clearing Fund and be held by NSCC for 30 calendar days after any
+of its open transactions have settled and obligations have been satisfied. This proposed
+change would protect NSCC from liquidity risks presented by open transactions in the
+days following a firm’s retirement and would align the treatment of these funds with the
+treatment of Required Fund Deposits of retired Members.
+The proposed Rule 4(A) would also simplify the additional miscellaneous
+provisions applicable to SLD, which address, for example, NSCC’s right to debit
+Members’ accounts at NSCC if a Supplemental Liquidity Provider fails to meet its
+Supplemental Liquidity Obligation, and the information NSCC makes available to
+Supplemental Liquidity Providers each Business Day regarding SLD calculations. While
+the proposed changes would update and simplify these provisions, they would not
+significantly alter the structure of these provisions, as described below.
+Proposed Changes to Rule 4(A)
+The proposal described above would be implemented into the Rules by amending
+the current Rule 4(A). The specific changes to implement the proposal are described
+below.
+Section 1 (Overview). NSCC is proposing changes to Section 1 of Rule 4(A) to
+simplify the descriptions by removing outdated and unnecessary language. Section 1 of 
+Page 43 of 79
+Rule 4(A) would continue to provide the rationale for the SLD requirement, by
+describing NSCC’s liquidity needs and how the SLD requirements are designed to
+contribute to meeting those needs. However, the proposed changes would simplify this
+section by removing a statement that specifically identifies two of NSCC’s principal
+sources of liquidity and would instead more generally refer to NSCC’s sources of
+liquidity. The proposed changes to Section 1 of Rule 4(A) would also remove references
+to options expiration activity periods, which would no longer be applicable to the SLD
+requirement under this proposal.
+Section 2 (Defined Terms). NSCC is proposing several changes to Section 2 of
+Rule 4(A) in order to implement this proposal. As described below, the proposed
+changes to the defined terms address the change in timing of the SLD requirement to
+occur each Business Day and would improve the transparency of Rule 4(A) through
+simplified and clearer defined terms.
+First, Section 2 of proposed Rule 4(A) would remove the definition of “Special
+Activity Calculation Date,” which is tied to the monthly Options Expiration Activity
+Period, and instead would use the term “Business Day” throughout proposed Rule 4(A),
+where appropriate. Business Day is currently defined in Rule 1 as any day on which
+NSCC is open for business. Therefore, this proposed change would provide for the
+calculation of SLD requirements on each day that NSCC is open for business.
+Second, Section 2 of the proposed Rule 4(A) revise other defined terms that use
+the phrase “Special Activity” to either remove that phrase or, when appropriate, to
+replace this phrase with the term “Supplemental.” For example, NSCC would revise the
+defined term “Special Activity Daily Liquidity Need” to “Daily Liquidity Need,” and 
+Page 44 of 79
+would revise the defined term “Special Activity Liquidity Provider” to “Supplemental
+Liquidity Provider.” The phrase “Special Activity” was used in the current Rule 4(A) to
+refer to the Options Expiration Activity Period, which would only be applicable to the
+monthly intraday SLD in the proposed Rule 4(A).
+NSCC would also update the definition of Daily Liquidity Need to change a
+reference from a four-day settlement cycle to a three-day settlement cycle, to reflect the
+amendment to Rule 15c6-1(a) under the Act to shorten the standard settlement cycle for
+most broker-dealer transactions.36 Additionally, NSCC would move the defined term for
+“Options Expiration Activity Period” within Section 2 of the proposed Rule 4(A) so it
+continues to appear alphabetically, but is not proposing to change the definition of this
+term.
+Third, the proposed changes to Section 2 of Rule 4(A) would include one defined
+term for “Qualifying Liquid Resources” to refer to all default liquidity resources available
+to NSCC to settle its payment obligations as a central counterparty. As discussed in
+greater detail above, the defined term would provide that NSCC may apply stressed
+market assumptions to its Qualifying Liquid Resources when applying these resources in
+the calculations made under Rule 4(A). In connection with this proposed change, NSCC
+would remove the defined terms “Commitment” and “Credit Facility,” which were used
+in the current Rule 4(A) to refer to NSCC’s Line of Credit, and would remove “Other
+Qualifying Liquid Resources,” which was used to refer to NSCC’s liquid resources other
+than the Clearing Fund and the Line of Credit. This proposed change would simplify
+Rule 4(A) and would account for NSCC’s continuing efforts to expand and diversify its
+36 See 17 CFR 240.15c6-1. 
+Page 45 of 79
+default liquidity resources. The proposed change would also clarify that Qualifying
+Liquid Resources would not include SLD for purposes of the calculations in Rule 4(A).
+Fourth, the proposed changes would move certain calculations out of the defined
+terms in Section 2 and include them in the relevant later sections of Rule 4(A). This
+proposed change would simplify and clarify Rule 4(A), which currently requires a reader
+to refer back to the defined terms in Section 2 when reading the calculations and
+requirements set forth in later sections of Rule 4(A). For example, Section 2 of Rule
+4(A) currently includes the calculation of “Special Activity Peak Liquidity Exposure”
+and “Special Activity Peak Liquidity Need.” In the proposed Rule 4(A), NSCC would no
+longer use the calculation of Special Activity Peak Liquidity Exposure in determining the
+Supplemental Liquidity Providers or in calculating those requirements. The calculation
+of Peak Liquidity Need, which would replace Special Activity Peak Liquidity Need,
+would be moved out of Section 2 and into Section 3, where that calculation would be
+described as being used to identify Supplemental Liquidity Providers.
+Finally, the proposed changes to Section 2 of Rule 4(A) would remove defined
+terms that are no longer needed when NSCC calculates SLD requirements daily. For
+example, NSCC would remove defined terms that are related to the Options Expiration
+Activity Period, including “Special Activity Business Day,” which is currently defined as
+a Business Day included in an Options Expiration Activity Period. NSCC would also
+remove the defined term for “Special Activity Prefund Deposit” because it would no
+longer be necessary for Members to prefund their potential SLD requirement in advance
+of NSCC’s calculations when they are done on a daily basis. 
+Page 46 of 79
+Section 3 (Supplemental Liquidity Providers). NSCC is proposing to amend
+Section 3 to describe how NSCC would identify the Supplemental Liquidity Providers for
+each Business Day. Section 3 of the proposed Rule 4(A) would state that, each Business
+Day, NSCC would determine the Peak Liquidity Need of each Member during the
+Lookback Period, and would identify the Supplemental Liquidity Providers for that
+Business Day as the 30 (or fewer) Members with the largest Peak Liquidity Need in that
+time period. These changes would implement the proposal described in greater detail
+above to make this calculation daily and to simplify the calculation used to identify
+Supplemental Liquidity Providers by using Peak Liquidity Need rather than using the
+largest exposures of all providers in the Lookback Period.
+Section 4 (Supplemental Liquidity Obligations); Section 5 (Satisfaction of
+Supplemental Liquidity Obligations); and Section 6 (Notice of Supplemental Liquidity
+Obligations and Payment of Supplemental Liquidity Deposits). NSCC would amend
+Sections 4, 5 and 6 of Rule 4(A) to describe the simplified calculation of Supplemental
+Liquidity Obligations, and the process by which Supplemental Liquidity Providers would
+pay their Supplemental Liquidity Obligations after being notified by NSCC. Proposed
+changes to Section 4 would implement the revised calculation of Supplemental Liquidity
+Obligations, described in greater detail above, as the difference between a Supplemental
+Liquidity Provider’s Daily Liquidity Need for that Business Day and the Qualifying
+Liquid Resources available to NSCC on that day. The proposed changes would also
+create a subsection b. of Section 4 to describe the optional, alternative pro rata calculation
+of Supplemental Liquidity Obligations, as described in greater detail above. 
+Page 47 of 79
+Proposed changes to Sections 5 and 6 of Rule 4(A) would update the defined
+terms and the timing by when Supplemental Liquidity Providers must fund their
+Supplemental Liquidity Obligations to reflect the change of these obligations to daily.
+Proposed changes to Section 6 of Rule 4(A) would state that the notice provided to
+Supplemental Liquidity Providers regarding their Supplemental Liquidity Obligations
+would state if that amount was calculated pursuant to Section 4b as a pro rata share of the
+largest Supplemental Liquidity Obligation of that Business Day.
+Section 7 (Determination of Intraday Supplemental Liquidity Calls) and Section 8
+(Satisfaction of Intraday Supplemental Liquidity Calls). NSCC would amend Sections 7
+and 8 of Rule 4(A) to reflect the removal of the Special Activity Liquidity Calls and the
+adoption of the two Intraday Supplemental Liquidity Calls, as described in greater detail
+above. The proposed changes to these sections would also update defined terms, as
+appropriate.
+Returns of Supplemental Liquidity Deposits – Section 9 (Deposits Made in
+Satisfaction of a Supplemental Liquidity Obligation) and Section 10 (Ceasing to be a
+Participant). NSCC is proposing to consolidate the current Sections 9 and 10 of Rule
+4(A) into a new Section 9 of Rule 4(A), which would address the return of SLD that are
+made in satisfaction of both Supplemental Liquidity Obligations and Intraday
+Supplemental Liquidity Calls. The proposed changes would provide that SLD made
+pursuant to either Supplemental Liquidity Obligations and Intraday Supplemental
+Liquidity Calls would be returned to Supplemental Liquidity Providers on the next
+Business Day after the calculation date, unless otherwise notified by NSCC. 
+Page 48 of 79
+NSCC would amend Section 10 (currently Section 11) to align the treatment of
+SLD of a retired Member with the treatment of such firm’s Required Fund Deposits, as
+described in greater detail above.
+Miscellaneous Matters – Section 11 (Obligations of Affiliated Families and
+Supplemental Liquidity Providers), Section 12 (Application of Supplemental Liquidity
+Deposits) and Section 13 (Information). NSCC would amend Sections 11, 12 and 13
+(currently Sections 12, 13 and 14) of Rule 4(A) to update and simplify these provisions.
+The proposed amendments would not substantially amend the purpose or application of
+these sections.
+Section 11 (currently Section 12) of Rule 4(A) provides that the Supplemental
+Liquidity Obligations of Affiliated Families are the several obligations of all of the
+Members of the Affiliated Family ratably in proportion to their applicable Special
+Activity Peak Liquidity Exposure. NSCC would not change this provision but would
+update it to use revised defined terms. NSCC would also amend Section 11 by
+consolidating two parallel paragraphs into subsection b., which address NSCC’s right to
+collect SLD from Supplemental Liquidity Providers. This proposed change would
+simplify the provision but would not make substantive changes to NSCC’s rights or
+Members’ obligations.
+Section 12 (currently Section 13), which addresses how SLD are treated under
+Rule 4, would be amended to update defined terms and to clarify that SLD may be held
+by NSCC as part of Members’ actual deposits to the Clearing Fund, pursuant to Section 9
+of Rule 4. No substantive changes are proposed to this Section. 
+Page 49 of 79
+Section 13 (currently Section 14) describes NSCC’s obligation to provide
+Members with certain information regarding its SLD calculation. NSCC is proposing to
+amend this section to include updated defined terms and to reflect the daily calculation of
+SLD.
+(iv) Impact Study Results
+NSCC has provided the Commission with the results of an impact study that
+reviewed the proposal against the observed regulatory liquidity needs and NSCC’s
+Qualifying Liquid Resources available during the period from 2016 through 2020 to
+assess both pro-forma and hypothetical impacts of the proposal under various liquidity
+scenarios.
+Pro-Forma Impact Study. The pro-forma impact study compared NSCC’s
+regulatory liquidity needs against the Qualifying Liquid Resources that were available
+between 2016 and 2020. The pro-forma analysis indicated that NSCC would expect
+between 1 and 3 Supplemental Liquidity Obligations per year, ranging in size between
+$1.0 billion to $5.4 billion in 2016 through 2019. In calendar year 2020, the impact study
+shows that available Qualifying Liquid Resources for each date would have eliminated
+potential Supplement Liquidity Obligations.
+Additionally, this impact study showed between 4 and 27 actual Supplemental
+Liquidity Obligations were received by NSCC per year, typically averaging $3.6 billion
+during this same period, including 9 actual Supplemental Liquidity Obligations received
+by NSCC in 2020.
+Hypothetical Impact Study. NSCC also developed several hypothetical liquidity
+scenarios to assess the proposal’s impact. When hypothetical Qualifying Liquid 
+Page 50 of 79
+Resources available to NSCC are between $17 billion and $22 billion, NSCC would
+expect between 7 and 36 Supplemental Liquidity Obligations per year, ranging in size
+between $2.1 billion to $4.6 billion each; and (2) when the hypothetical Qualifying
+Liquid Resources available to NSCC are $22 billion or above, NSCC would expect
+between 1 and 5 Supplemental Liquidity Obligations per year, ranging in size between
+$2.1 billion to $6.8 billion each.
+NSCC has also provided the Commission with details of potential impacts of the
+proposal on the largest 50 Affiliated Families, a list of the 30 Affiliated Families with the
+largest liquidity exposures as of December 31, 2020, and the respective Affiliated
+Families’ maximum and average NSCC liquidity needs for each calendar year between
+2016 and 2020.
+(v) Implementation Timeframe
+NSCC would implement the proposed changes no later than 10 Business Days
+after the later of the approval of the proposed rule change and no objection to the related
+advance notice37 by the Commission. NSCC would announce the effective date of the
+proposed changes by Important Notice posted to its website.
+2. Statutory Basis
+NSCC believes the proposed changes are consistent with the requirements of the
+Act and the rules and regulations thereunder applicable to a registered clearing agency.
+In particular, NSCC believes the proposed changes are consistent with Section
+37 Supra note 3. 
+Page 51 of 79
+17A(b)(3)(F) of the Act,38 and Rules 17Ad-22(e)(7)(i) and (ii), each promulgated under
+the Act,39 for the reasons described below.
+Section 17A(b)(3)(F) of the Act requires that the rules of NSCC be designed to,
+among other things, assure the safeguarding of securities and funds which are in the
+custody or control of the clearing agency or for which it is responsible.40 NSCC believes
+the proposed rule change is designed to assure the safeguarding of securities and funds
+which are in its custody or control or for which it is responsible because the proposal
+would allow NSCC to better limit its liquidity exposure to Members in the event of a
+Member default.
+Specifically, under the proposal, each Business Day NSCC would measure the
+Supplemental Liquidity Obligation of each Supplemental Liquidity Provider as the
+difference between the Daily Liquidity Need of the Supplemental Liquidity Provider
+calculated for that Business Day and the Qualifying Liquid Resources available to NSCC
+on that day assuming stressed market conditions. By making these calculations daily
+based on Members’ current activity and NSCC’s resources currently available to NSCC,
+the proposed SLD requirement would provide NSCC with a more accurate measure of its
+potential liquidity exposures to its Members in the event of a Member default. The
+proposal would also establish a monthly intraday SLD collection in connection with
+options expiration activity that present heighted liquidity exposures, and an optional
+intraday SLD that NSCC may collect when it deems appropriate to mitigate any
+38 15 U.S.C. 78q-1(b)(3)(F).
+39 17 CFR 240.17Ad-22(e)(7)(i) and (ii).
+40 15 U.S.C. 78q-1(b)(3)(F). 
+Page 52 of 79
+increased liquidity exposures or in light of other circumstances. These proposed intraday
+SLD would allow NSCC to re-calculate its liquidity exposures and collect sufficient
+liquidity to allow it to complete end-of-day settlement in the event of the default of a
+Member.
+Additionally, by providing an alternative pro rata calculation of Supplemental
+Liquidity Obligations in certain circumstances, the proposal would provide NSCC with
+the flexibility to determine the total amount collected on a Business Day, while
+continuing to collect and hold sufficient liquidity to allow NSCC to complete end-of-day
+settlement in the event of the default of the Member with the largest payment obligations.
+In this way, the proposed change to calculate and collect, when applicable, SLD on a
+daily basis based on current information, and on an intraday basis when NSCC observes
+an increase in its Daily Liquidity Need, would help NSCC assure the safeguarding of
+securities and funds which are in its custody or control or for which it is responsible,
+consistent with the requirements of Section 17A(b)(3)(F) of the Act.41
+The proposed changes to simplify and clarify Rule 4(A), which describes the SLD
+requirement, would also be consistent with the requirements of Section 17A(b)(3)(F) of
+the Act.42 These proposed changes would make the rights and obligations of both NSCC
+and its Members under Rule 4(A) more transparent and easier to understand. A clearer
+rule supports the ability of Members to meet their obligations to provide NSCC with SLD
+when required. The liquidity provided to NSCC through the SLD allows it to complete
+end-of-day settlement in the event of the default of a Member. Therefore, by making the
+41 Id.
+42 Id. 
+Page 53 of 79
+provisions of Rule 4(A) clearer, simpler and more transparent to Members, these
+proposed changes also support NSCC’s compliance with the requirements of Section
+17A(b)(3)(F) of the Act to assure the safeguarding of securities and funds which are in
+NSCC’s custody or control or for which it is responsible.43
+Rule 17Ad-22(e)(7)(i) under the Act requires that NSCC establish, 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.44 Rule 17Ad-22(e)(7)(ii) 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 17Ad-22(e)(7)(i) in each relevant currency for which NSCC has
+payment obligations owed to its Members.45
+As described above, the proposal would strengthen NSCC’s ability to maintain
+sufficient liquidity to complete end-of-day settlement in the event of the default of a
+43 Id.
+44 17 CFR 240.17Ad-22(e)(7)(i).
+45 17 CFR 240.17Ad-22(e)(7)(ii). For purposes of Rule 17Ad-22(e)(7)(ii),
+“qualifying liquid resources” are defined in Rule 17Ad-22(a)(14) as including, in
+part, cash held either at the central bank of issue or at creditworthy commercial
+banks. Supra note 7. 
+Page 54 of 79
+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-of-day 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.46 Therefore, SLD would continue to be considered a
+qualifying liquid resource, as defined by Rule 17Ad-22(a)(14) under the Act,47 and would
+support NSCC’s ability to hold qualifying liquid resources sufficient to meet the
+minimum liquidity resource requirement under Rule 17Ad-22(e)(7)(i), as required by
+Rule 17Ad-22(e)(7)(ii). Additionally, the proposed alternative pro rata calculation of
+Supplemental Liquidity Obligations would provide NSCC with the flexibility to
+determine the total amount collected on a Business Day, while continuing to collect and
+hold sufficient liquidity to allow NSCC to complete end-of-day settlement in the event of
+the default of the Member with the largest payment obligations, as required by Rule
+46 See Securities Exchange Act Release Nos. 79528 (December 12, 2016), 81 FR
+91232 (December 16, 2016) (File Nos. SR-DTC-2016-007, SR-FICC-2016-005,
+SR-NSCC-2016-003); 84949 (December 21, 2018), 83 FR 67779 (December 31,
+2018) (File Nos. SR-DTC-2018-012, SR-FICC-2018-014, SR-NSCC-2018-013).
+47 17 CFR 240.17Ad-22(a)(14). 
+Page 55 of 79
+17Ad-22(e)(7)(i).48 As such, this proposed change would support NSCC’s ability to hold
+sufficient qualifying liquid resources to meet its minimum liquidity resource requirement
+under Rules 17Ad-22(e)(7)(i) and (ii).49
+(B) Clearing Agency’s Statement on Burden on Competition
+NSCC believes that the proposed rule change could have an impact on
+competition. Specifically, NSCC believes the proposed changes could burden
+competition because they would require those Members that are identified as
+Supplemental Liquidity Providers to make an SLD to the Clearing Fund each Business
+Day, when applicable, rather than only monthly in connection with the expiration of
+stock options.
+Members are currently subject to SLD requirements under Rule 4(A), and, while
+the proposed rule change could result in a Supplemental Liquidity Obligation on a more
+frequent basis, the impact study results, discussed above, show that the proposal would
+not have a significant impact on the frequency or amount of those requirements. The
+Supplemental Liquidity Obligations of Supplemental Liquidity Providers would be in
+direct relation to the specific liquidity exposures presented to NSCC by Members’ daily
+activity. Therefore, Members that present the largest liquidity exposures to NSCC,
+regardless of the type of Member, currently have, and would continue to have, similar
+SLD requirements. The proposed alternative calculation of Supplemental Liquidity
+Obligations would provide NSCC with the flexibility to collect and hold sufficient
+liquidity to meet NSCC’s regulatory obligations while allocating the Supplemental
+48 17 CFR 240.17Ad-22(e)(7)(i).
+49 17 CFR 240.17Ad-22(e)(7)(i) and (ii). 
+Page 56 of 79
+Liquidity Obligations on a pro rata basis among the Supplemental Liquidity Providers for
+that Business Day. This proposed change would treat each Supplemental Liquidity
+Provider equally when this alternative calculation is triggered.
+Therefore, NSCC believes that any burden on competition imposed by the
+proposed changes would not be significant and, further, would be both necessary and
+appropriate in furtherance of NSCC’s efforts to mitigate risks and meet the requirements
+of the Act,50 as described in this filing and further below.
+NSCC believes the above described burden on competition that may be created by
+the proposed changes to the SLD requirement would be necessary in furtherance of the
+purposes of the Act, specifically Section 17A(b)(3)(F) of the Act.51 As discussed above,
+the proposed change would improve NSCC’s ability to estimate its liquidity exposures in
+the calculation and collection of SLD by using daily activity rather than estimating
+potential exposures based on activity in a look-back period. In this way, the proposed
+change would improve NSCC’s liquidity risk management by supplementing its liquidity
+resources that are available to it to complete end-of-day settlement in the event of the
+default of a Member. The proposed pro rata alternative calculation of SLD would allow
+NSCC to opt to collect only the largest Supplemental Liquidity Obligation calculated for
+that Business Day, while still meeting NSCC’s applicable regulatory obligations. The
+proposed enhancements to its liquidity risk management would help NSCC assure the
+50 15 U.S.C. 78q-1(b)(3)(I).
+51 15 U.S.C. 78q-1(b)(3)(F). 
+Page 57 of 79
+safeguarding of securities and funds which are in its custody or control or for which it is
+responsible, consistent with the requirements of Section 17A(b)(3)(F) of the Act.52
+NSCC believes the above described burden on competition that may be created by
+the proposed changes to the SLD requirement would be necessary in furtherance of the
+purposes of the Act, specifically Section 17A(b)(3)(F) of the Act.53 As discussed above,
+the proposed change would improve NSCC’s ability to estimate its liquidity exposures in
+the calculation and collection of SLD by using daily activity rather than estimating
+potential exposures based on activity in a look-back period. The proposal would also
+establish a monthly intraday SLD to address the additional liquidity exposures that are
+presented by monthly options expiration activity, and an optional intraday SLD that may
+be collected when NSCC deems appropriate. In aggregate, the total SLD collected would
+improve NSCC’s liquidity risk management by supplementing its liquidity resources that
+are available to it to complete end-of-day settlement in the event of the default of a
+Member. The proposed pro rata alternative calculation of SLD would allow NSCC to opt
+to collect only the largest Supplemental Liquidity Obligation calculated for that Business
+Day, while still meeting NSCC’s applicable regulatory obligations. The proposed
+enhancements to its liquidity risk management would help NSCC assure the safeguarding
+of securities and funds which are in its custody or control or for which it is responsible,
+consistent with the requirements of Section 17A(b)(3)(F) of the Act.54
+52 Id.
+53 15 U.S.C. 78q-1(b)(3)(F).
+54 Id. 
+Page 58 of 79
+The proposal would strengthen NSCC’s ability to maintain sufficient liquidity to
+complete end-of-day settlement in the event of the default of a Member by allowing
+NSCC to collect SLD each Business Day from those Members that pose the largest
+liquidity exposures to NSCC on that day. Further, SLD are currently, and would
+continue to be, cash deposits to NSCC’s Clearing Fund, which meet the criteria to be
+considered qualifying liquid resources, as defined by Rule 17Ad-22(a)(14) under the
+Act.55 The proposed alternative pro rata calculation would allow NSCC to continue to
+collect sufficient liquidity to meet the requirements of Rule 17Ad-22(e)(7)(i).56 As such,
+this proposed change would support NSCC’s ability to hold sufficient qualifying liquid
+resources to meet its minimum liquidity resource requirement under Rules 17Ad22(e)(7)(i) and (ii).57
+NSCC believes that the above described burden on competition that could be
+created by the proposed changes would be appropriate in furtherance of the purposes of
+the Act because such changes have been designed to assure the safeguarding of securities
+and funds which are in the custody or control of NSCC or for which it is responsible, as
+described in detail above. Under both the current Rule 4(A) and the proposed changes to
+Rule 4(A), the SLD requirements are designed to require those Members whose
+settlement activity pose the largest liquidity exposures to NSCC to provide SLD in the
+amount of such exposures. The proposed changes to Rule 4(A) would better support
+NSCC by allowing it to calculate and collect, when applicable, SLD to address liquidity
+55 17 CFR 240.17Ad-22(a)(14).
+56 17 CFR 240.17Ad-22(e)(7)(i).
+57 17 CFR 240.17Ad-22(e)(7)(i) and (ii). 
+Page 59 of 79
+exposures that are presented by the activity of Supplemental Liquidity Providers each
+Business Day rather than only during monthly options expiration periods. The proposed
+rule change would improve NSCC’s ability to measure these liquidity exposures by using
+daily activity rather than estimations based on past activity.
+Therefore, because the proposed changes are designed to provide NSCC with a
+more accurate measure of the liquidity risks presented by Members’ daily activity, NSCC
+believes the proposal would meet NSCC’s risk management goals and its regulatory
+obligations. NSCC believes that it has designed the proposed rule change in an
+appropriate way in order to comply with NSCC’s obligations under the Act. Therefore,
+as described above, NSCC believes the proposed changes are necessary and appropriate
+in furtherance of NSCC’s obligations under the Act,58 specifically Section 17A(b)(3)(F)
+of the Act59 and Rules 17Ad-22(e)(7)(i) and (ii) under the Act.60
+(C) Clearing Agency’s Statement on Comments on the Proposed Rule Change
+Received from Members, Participants, or Others
+NSCC has not received or solicited any written comments relating to this
+proposal. 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 45 days of the date of publication of this notice in the Federal Register or
+within such longer period up to 90 days (i) as the Commission may designate if it finds
+58 15 U.S.C. 78q-1(b)(3)(I).
+59 15 U.S.C. 78q-1(b)(3)(F).
+60 17 CFR 240.17Ad-22(e)(7)(i) and (ii). 
+Page 60 of 79
+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 such proposed rule change, or
+(B) institute proceedings to determine whether the proposed rule change
+should be disapproved.
+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 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 rule-comments@sec.gov. Please include File Number
+SR-NSCC-2021-002 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-NSCC-2021-002. 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 website 
+Page 61 of 79
+(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
+website 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 NSCC and on DTCC’s 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 SR-NSCC-2021-002 and
+should be submitted on or before [insert date 21 days from publication in the Federal
+Register].
+For the Commission, by the Division of Trading and Markets, pursuant to
+delegated authority.61
+Secretary
+61 17 CFR 200.30-3(a)(12). 
+Page 62 of 79
+EXHIBIT 3
+Impact Study Data
+January 2016 to December 2020
+ 
+Page 63 of 79
+PAGE REDACTED IN ITS ENTIRETY
+ 
+Page 64 of 79
+PAGE REDACTED IN ITS ENTIRETY
+ 
+Page 65 of 79
+PAGE REDACTED IN ITS ENTIRETY
+ 
+Page 66 of 79
+PAGE REDACTED IN ITS ENTIRETY
+ 
+Page 67 of 79
+PAGE REDACTED IN ITS ENTIRETY
+ 
+Page 68 of 79
+PAGE REDACTED IN ITS ENTIRETY
+ 
+Page 69 of 79
+PAGE REDACTED IN ITS ENTIRETY 
+Page 70 of 79
+EXHIBIT 5
+NATIONAL
+SECURITIES
+CLEARING
+CORPORATION
+ RULES & PROCEDURES
+TEXT OF PROPOSED RULE CHANGE
+Bold and underlined text indicates proposed added language.
+Bold and strikethrough text indicates proposed deleted language.
+ 
+Page 71 of 79
+RULE 4(A). SUPPLEMENTAL LIQUIDITY DEPOSITS
+[Changes to this Rule 4(A), as amended by File Nos. SR-NSCC-2021-002 and
+SR-NSCC-2021-801, are available at dtcc.com/~/media/Files/Downloads/legal/rulefilings/2021/NSCC/SR-NSCC-2021-002.pdf and at
+dtcc.com/~/media/Files/Downloads/legal/rule-filings/2021/NSCC/SR-NSCC2021-801.pdf, respectively. These changes have been approved by the Securities
+and Exchange Commission but have not yet been implemented. By no later than
+[insert date no later than 10 Business Days after the later of the approval of
+SR-NSCC-2021-002 and no objection to SR-NSCC-2021-801 by the Securities and
+Exchange Commission], these changes will be implemented, and this legend will
+be automatically removed from this Rule 4(A).]
+SEC. 1. Overview. The Corporation requires sufficient liquidity to enable it to
+effect the settlement of its payment obligations as a central counterparty. The two
+principal sources of liquidity for the Corporation currently are deposits to the
+Clearing Fund and a committed line of credit.to meet its regulatory obligations. A
+substantial proportion of the liquidity needed by the Corporation for these purposes is
+attributable to the exposure presented to the Corporation by its Members who would
+generate the largest settlement debits during options expiration activity periods in
+stressed market conditions. In order to ensure that the Corporation has sufficient
+liquidity to meet its payment and regulatory obligations, it is appropriate that such
+Members shall provide additional liquidity to the Corporation in the form of
+supplemental liquidity deposits to the Clearing Fund, offset by (i) commitments under
+the line of credit and (ii) any to supplement the Corporation’s other qualifying
+liquid resources the Corporation may securesources of liquidity pursuant to
+settle its payment obligations as a central counterparty.this Rule 4(A). This Rule
+4(A) describes how such additional liquidity in the form of supplemental liquidity
+deposits to the Clearing Fund shall be calculated and provided.
+SEC. 2. Defined Terms. The following terms shall have the meanings specified
+below for purposes of this Rule 4(A):
+“Affiliate” means a person that controls or is controlled by or is under common
+control with another person. Control of a person means the direct or indirect ownership
+or power to vote more than 50% of any class of the voting securities or other voting
+interests of any person.
+“Affiliated Family” means a group of Members, excluding from the group any
+Member that is a securities clearinghouse, depository, exchange or other market
+infrastructure, in which each Member in the group is an Affiliate of at least one other
+Member in the group.
+“Commitment” means a commitment to lend to the Corporation under the
+Credit Facility. 
+Page 72 of 79
+“Credit Facility” means the committed line of credit maintained by the
+Corporation to enable the Corporation to satisfy losses and liabilities incident to
+the operation of its clearance and settlement business.
+“Options Expiration Activity Period” means the period (i) beginning at the
+opening of business on the Friday preceding the Saturday that is the monthly
+expiration date for stock options (or the Business Day before that if such Friday
+is not a Business Day) and (ii) ending at the close of business on the second
+Settlement Day following such date. If the monthly expiration date for stock
+options is changed to a Friday, the “Options Expiration Activity Period” shall
+mean the period (i) beginning at the opening of business on such Friday (or the
+Business Day before that if such Friday is not a Business Day) and (ii) ending at
+the close of business on the second Settlement Day following such date.
+“Other Qualifying Liquid Resources” means liquid resources, other than
+the Clearing Fund and Credit Facility, available to the Corporation to enable the
+Corporation to settle its payment obligations as a central counterparty in
+stressed market conditions.
+“Special Activity Business Day” means a Business Day that is included in
+an Options Expiration Activity Period.
+“Special Activity Calculation Date” has the meaning given to such term in
+Section 3 below.
+“Special Activity Daily Liquidity Need” means, on any Special Activity
+Business Day, the amount of liquid resources, as calculated and determined by the
+Corporation, needed to effect the settlement of its payment obligations as a central
+counterparty over a fourthree day settlement cycle, assuming the default on that
+Business Dayday of thean Unaffiliated Member or Affiliated Family that would cause
+the largest liquidity exposure to the Corporation over that cycle in stressed
+market conditions.
+“Special ActivityIntraday Supplemental Liquidity Call” has the meaning given
+to such term in Section 7 below.
+“Special Activity Liquidity Obligation” has the meaning given to such term
+in Section 4 below.
+“Special Activity Liquidity Provider” has the meaning given to such term in
+Section 4 below.
+“Special Activity Lookback Period” means, with respect to the 24 month period
+(or longer period as determined by the Corporation in its discretion) ending on the
+applicable Special Activity Calculation Date, prior to each Options Expiration
+Activity Period that falls within the same calendar month as the calendar month
+of the applicable Special Activity Calculation DateBusiness Day. 
+Page 73 of 79
+“Options Expiration Activity Period” means the period (i) beginning at the
+opening of business on the Friday preceding the Saturday that is the monthly
+expiration date for stock options (or the Business Day before that if such Friday
+is not a Business Day) and (ii) ending at the close of business on the second
+Settlement Day following such date. If the monthly expiration date for stock
+options is changed to a Friday, the “Options Expiration Activity Period” shall
+mean the period (i) beginning at the opening of business on such Friday (or the
+Business Day before that if such Friday is not a Business Day) and (ii) ending at
+the close of business on the second Settlement Day following such date.
+“Special Activity Peak Liquidity Exposure Need” means: has the meaning
+given to such term in Section 3 below.
+a. with respect to an Unaffiliated Member, the amount by which the
+largest Special Activity Supplemental Liquidity Need that the
+Corporation would have in the event of the default of such
+Unaffiliated Member on any Special Activity Business Day during the
+applicable Special Activity Lookback Period exceeds, on the
+applicable Special Activity Calculation Date, the sum of (i) all
+Commitments under the Credit Facility and (ii) all Other Qualifying
+Liquid Resources;
+b. with respect to a Member of an Affiliated Family, the amount by
+which the largest Special Activity Supplemental Liquidity Need that
+the Corporation would have in the event of the default of such
+Member on any Special Activity Business Day during the applicable
+Special Activity Lookback Period exceeds, on the applicable Special
+Activity Calculation Date, the sum of (i) all Commitments under the
+Credit Facility and (ii) all Other Qualifying Liquid Resources; and
+c. with respect to an Affiliated Family, the amount by which the largest
+Special Activity Supplemental Liquidity Need that the Corporation
+would have in the event of the simultaneous default of all Members
+of that Affiliated Family on any Special Activity Business Day during
+the applicable Special Activity Lookback Period exceeds, on the
+applicable Special Activity Calculation Date, the sum of (i) all
+Commitments under the Credit Facility and (ii) all Other Qualifying
+Liquid Resources.
+“Special Activity Peak Liquidity Need” means, on any Special Activity
+Calculation Date, the amount by which the largest Special Activity Supplemental
+Liquidity Need observed at any time during any Options Expiration Activity
+Period exceeds, on such Special Activity Calculation Date, the sum of (i) all
+Commitments under the Credit Facility and (ii) all Other Qualifying Liquid
+Resources. 
+Page 74 of 79
+“Special Activity Peak Liquidity Need Date” means the date of the
+applicable Special Activity Peak Liquidity Need.
+“Special Activity Prefund Deposit” means a cash deposit of a Member to
+the Clearing Fund made by wire transfer to an account designated by the
+Corporation:
+a. that is in excess of the Required Fund Deposit of the Member;
+b. that the Member deposits to the Clearing Fund, not later than the
+time specified by the Corporation on the first Business Day of an
+Options Expiration Activity Period, if the Member anticipates that its
+Special Activity Peak Liquidity Exposure at any time during such
+Options Expiration Activity Period will be greater than the amount
+calculated by the Corporation pursuant to this Rule 4(A);
+c. that the Member undertakes to keep on deposit in the Clearing Fund
+for at least seven Business Days after the end of the applicable
+Options Expiration Activity Period; and
+d. that the Member designates as a “Special Activity Prefund Deposit”
+at the time of the deposit in a manner specified by the Corporation.
+“Special Activity Supplemental “Qualifying Liquid Resources” means, as of
+each Business Day, the liquid resources available to the Corporation to enable it
+to settle its payment obligations as a central counterparty in stressed market
+conditions (as described below), which may include (i) a commitment to lend
+under a committed line of credit maintained by the Corporation to enable it to
+satisfy losses and liabilities incident to the operation of its clearance and
+settlement business; (ii) actual deposits to its Clearing Fund, including
+Supplemental Liquidity Deposits; and (iii) any other prefunded or committed
+liquidity resources that the Corporation may use to settle its payment obligations
+as a central counterparty. Qualifying Liquid Resources would not include
+Supplemental Liquidity Deposits for purposes of this Rule 4(A). In order to
+simulate stressed market conditions, the Corporation would apply assumptions
+to the size and availability of its Qualifying Liquid Resources when applying these
+resources in the calculations made under this Rule 4(A).
+“Supplemental Liquidity Deposit” shall have the meaning given to such term in
+Section 5, and shall include any amount deposited to the Clearing Fund in satisfaction
+of (i) a Special ActivitySupplemental Liquidity Obligation (pursuant to Section 64
+below) or (ii) a Special Activity an Intraday Supplemental Liquidity Call (pursuant to
+Section 87 below). All Special Activity Supplemental Liquidity Deposits shall be
+made in cash by wire transfer to an account designated by the Corporation.
+“Special Activity Supplemental Liquidity ObligationNeed” means, on any
+Special Activity Business Day, the amount by which the Special Activity Daily 
+Page 75 of 79
+Liquidity Need of the Corporation exceeds the sum of all Required Fund Deposits
+has the meaning given to such term in Section 4 below.
+“Supplemental Liquidity Provider” has the meaning given to such term in
+Section 3 below.
+“Unaffiliated Member” means a Member that (i) is not in any Affiliated Family and
+(ii) is not a securities clearinghouse, depository, exchange or other market
+infrastructure.
+Capitalized terms that are used but not defined in this Rule 4(A) shall have the
+meanings given to such terms elsewhere in these Rules.
+Special ActivitySupplemental Liquidity Obligations
+SEC. 3. Special Activity Calculation Date Determinations. Supplemental
+Liquidity Providers. On a day that is no later than the fifth each Business Day
+preceding any Options Expiration Activity Period (the “Special Activity
+Calculation Date”), the Corporation shall determine: the “Peak Liquidity Need” of
+each Member, which shall be:
+a. the Special Activity For Unaffiliated Members, the largest Daily
+Liquidity Need ofthat the Corporation on each Special Activity would
+have in the event of the default of such Unaffiliated Member on any
+Business Day ofduring the applicable Special Activity Lookback
+Period;.
+b. the Special Activity Supplemental For Members of an Affiliated
+Family, the largest Daily Liquidity Need ofthat the Corporation would
+have in the event of the default of such Member on each Special
+Activityany Business Day ofduring the applicable Special Activity
+Lookback Period;
+c. and with respect to an Affiliated Family, the Special Activity
+Peaklargest Daily Liquidity Need ofthat the Corporation would have in
+the event of on the applicable Special Activity Calculation Date;
+d. the Special Activity Peak Liquidity Exposure of each Unaffiliated
+Member or Affiliated Family during the applicable Special Activity
+Lookback Period; and
+e. the 30 (or fewer) Unaffiliatedsimultaneous default of all Members orof
+that Affiliated Families with the largest Special Activity Peak Liquidity
+ExposuresFamily on any Business Day during the applicable Special
+Activity Lookback Period.
+SEC. 4. Special Activity Liquidity Obligations and Providers. The 30 (or
+fewer) Unaffiliated Members or Affiliated Families with the largest Special Activity
+Page 76 of 79
+Peak Liquidity ExposuresNeed during the applicable Special Activity Lookback
+Period shall be “Supplemental Liquidity Providers” for that Business Day.
+SEC 4. Supplemental Liquidity Obligations.
+a. On each Business Day, (each, a “Special Activity Supplemental
+Liquidity Provider”) shall have a supplemental liquidity obligation to the
+Corporation (a “Special ActivitySupplemental Liquidity Obligation”),”)
+determined for each Special Activity Liquidity Provider in accordance
+with the following formula:
+A = B multiplied by (minus C divided by D), where --
+A is the Special ActivitySupplemental Liquidity Obligation of such
+Special Activity Supplemental Liquidity Provider;
+B is the Daily Liquidity Need of the Supplemental Liquidity
+Provider calculated for that Business Day; and
+CB is the Special Activity Peak Liquidity Needsum of all Qualifying
+Liquid Resources available to the Corporation on the applicable
+Special Activity Calculation Date;that Business Day assuming
+stressed market conditions.
+C is the Special Activity Peak Liquidity Exposure of such Special
+Activity Liquidity Provider during the applicable Special Activity
+Lookback Period; and
+D is the aggregate amount of the Special Activity Peak Liquidity
+Exposures of all Special Activity Liquidity Providers during the
+applicable Special Activity Lookback Period.
+b. If two or more Supplemental Liquidity Providers have a
+Supplemental Liquidity Obligation of more than $2 billion, as
+determined pursuant to subsection a. above, the Corporation may, in
+its sole discretion, determine the Supplemental Liquidity Obligation
+of each Supplemental Liquidity Provider as its pro rata share of the
+largest Supplemental Liquidity Obligation calculated for that
+Business Day.
+SEC. 5. Satisfaction of Special Activity Supplemental Liquidity Obligations. In
+satisfaction of its Special ActivitySupplemental Liquidity Obligation to the Corporation,
+a Special ActivitySupplemental Liquidity Provider shall make a supplemental liquidity
+deposit (a “Special Activity Supplemental Liquidity Deposit”) to the Clearing Fund in
+an amount equal to its Supplemental Activity Liquidity Obligation.
+SEC. 6. Notice of Special ActivitySupplemental Liquidity Obligations and
+Payment of Special Activity Supplemental Liquidity Deposits. Promptly after the 
+Page 77 of 79
+Special Activity Calculation DateOn each Business Day, the Corporation shall
+provide each Special ActivitySupplemental Liquidity Provider with the amount of its
+Special ActivitySupplemental Liquidity Obligation for that Options Expiration
+Activity Period. Not later thanBusiness Day. Such notice shall state if the
+closeSupplemental Liquidity Obligation was calculated pursuant to Section 4b of
+business onthis Rule. Within one hour of demand, unless otherwise determined
+by the second Business Day preceding the applicable Options Expiration Activity
+PeriodCorporation, a Special ActivitySupplemental Liquidity Provider shall make its
+Special Activity Supplemental Liquidity Deposit to the Clearing Fund.
+Special ActivityIntraday Supplemental Liquidity Calls
+SEC. 7. Determination of Special ActivityIntraday Supplemental Liquidity
+Calls.
+a. If, with respect to any Special Activity on the first Business Day of an
+Options Expiration Activity Period between Special Activity Calculation Dates, the
+Corporation observes an increase in its Special Activity Supplemental Liquidity
+Need in excess of such threshold as may be determined by the Corporation from
+time to timeDaily Liquidity Need, the Corporation shall be entitled to call on the
+Member Supplemental Liquidity Providers whose increase in activity levels or
+projected settlement activity with respect to monthly expiration of stock options
+caused (or was the primary cause of) such increase in the Special Activity
+SupplementalDaily Liquidity Need of the Corporation to deposit to the Clearing Fund,
+as an addition to its Special Activity Supplemental Liquidity Deposit, an amount equal
+to the difference between (i) the Special Activity SupplementalDaily Liquidity Need of
+the Corporation on such Special Activity Business DayBusiness Day, adjusted to
+account for such increased activity levels and projected settlement activity, and
+(ii) the sum, on such Special Activity Business Day, of (w) all Special Activity
+Supplemental Deposits, (x) all Commitments under the Credit Facility, (y) all
+Other Qualifying Liquid Resources and (z) an amount of Special Activity Prefund
+Deposits up to such limit as may be determined by the Corporation from time to
+time (a “Special Activity all Qualifying Liquid Resources assuming stressed
+market conditions (an “Intraday Supplemental Liquidity Call”). For purposes of
+this Section 7a, the Corporation would adjust the re-calculated Daily Liquidity
+Need using an estimated netting percentage that is based on that Supplemental
+Liquidity Provider’s average percentage of netting observed over the prior 24
+months.
+b. If, on any Business Day other than the first Business Day of an
+Options Expiration Activity Period, the Corporation observes an increase in its
+Daily Liquidity Need, the Corporation shall be entitled to call on the Supplemental
+Liquidity Providers whose increase in activity levels caused (or was the primary
+cause of) such increase in the Daily Liquidity Need of the Corporation to deposit
+an Intraday Supplemental Liquidity Call in an amount equal to the difference
+between (i) the Daily Liquidity Need of the Corporation on such Business Day,
+adjusted to account for such increased activity levels, and (ii) the sum, on such 
+Page 78 of 79
+Business Day, of all Qualifying Liquid Resources assuming stressed market
+conditions.
+SEC. 8. Satisfaction of Special ActivityIntraday Supplemental Liquidity Calls.
+On the first Business Day after receipt of a Special Activity Liquidity Call from
+Unless otherwise determined by the Corporation, or such later time as the
+Corporation may specify but not later than 10 a.m. on the second Business Day
+after receipt of a Special Activity within one hour of demand of an Intraday
+Supplemental Liquidity Call from the Corporation, a Member shall make a Special
+Activityan additional Supplemental Liquidity Deposit to the Clearing Fund in the
+amount of the Special ActivityIntraday Supplemental Liquidity Call.
+Returns of Special Activity Supplemental Liquidity Deposits
+SEC. 9. Deposits Made in Satisfaction of a Supplemental Liquidity Obligation.
+A Special ActivitySupplemental Liquidity Provider shall be entitled to a return of the
+amount of its Special Activity Supplemental Liquidity Deposit made in satisfaction of a
+Supplemental Activity Liquidity Obligation or Intraday Supplemental Liquidity Call,
+payable sevenon the Business DaysDay following after the end of the applicable
+Options Expiration Activity PeriodBusiness Day on which the Supplemental
+Liquidity Deposit was made, unless otherwise notified by the Corporation.
+SEC. 10. Deposits Made in Satisfaction of a Liquidity Call. A Special
+Activity Liquidity Provider shall be entitled to a return of the amount of its Special
+Activity Liquidity Deposit made in satisfaction of a Special Activity Liquidity Call,
+payable 90 days after the date of such deposit.
+SEC. 11. Ceasing to be a Participant. Special Activity Supplemental Liquidity
+Deposits shall not be subject to the provisions of Section 7 of Rule 4 relating to the
+thirty (30) calendar day deferral of refundsrefund of deposits to the Clearing Fund
+when a Member ceases to be a participant.
+Miscellaneous Matters
+SEC. 12.11. Obligations of Affiliated Families and Unaffiliated Members
+Supplemental Liquidity Providers.
+a. The Special ActivitySupplemental Liquidity Obligations of an Affiliated
+Family shall be the several obligations of all of the Members of the
+Affiliated Family ratably in proportion to their applicable Special Activity
+Peak Liquidity ExposuresNeed.
+b. In the event of any failure of an Unaffiliated Membera Supplemental
+Liquidity Provider to satisfy a Special ActivitySupplemental Liquidity
+Obligation in full when due, the Corporation may (i) debit the amount of
+any such deficiency to the account of such Unaffiliated Member,
+(ii) collect such amount in system wide settlement, and (iii) credit such
+amount as a Special Activity Supplemental Liquidity Deposit for the 
+Page 79 of 79
+account of such Unaffiliated Member. The Corporation may also
+exercise any and all of its other default rights under these Rules.
+c. In the event of any failure of a Member of an Affiliated Family to
+satisfy a Special Activity Liquidity Obligation in full when due, the
+Corporation may, (i) debit the amount of any such deficiency to the
+account of such Member, (ii) collect such amount in system wide
+settlement and (iii) credit such amount as a Special Activity
+Supplemental Deposit for the account of such Member. The
+Corporation may also exercise any and all of its other default rights
+under these Rules.
+SEC. 13. 12. Application of Special Activity Supplemental Liquidity Deposits.
+a. A Special Activity Supplemental Liquidity Deposit of a Member may not
+be withdrawn by the Member unless it is entitled to a return of such deposit
+pursuant to Sections 9 or 10 above. Notwithstanding Sections 9 and 10
+of this Rule, the Supplemental Liquidity Deposit of a Member may be
+held by the Corporation pursuant to Section 9 of Rule 4.
+b. A Special Activity Supplemental Liquidity Deposit of a Member shall form
+a part of the Actual Depositactual deposit of the Member to the Clearing
+Fund but shall be in addition to, and separate from, (i) the Required Fund
+Deposit of the Member and (ii) any other deposit of the Member to the
+Clearing Fund.
+c. A Special Activity Supplemental Liquidity Deposit of a Member (i) may
+be invested, paid, applied and loaned as provided in Section 2 of Rule 4
+and (ii) may be used to satisfy a loss or liability as provided in Sections 3
+or 13 of Rule 4.
+d. A Special Activity Supplemental Liquidity Deposit of a Member may not
+be used to calculate or be applied to satisfy any pro rata charge pursuant
+to Section 4 of Rule 4.
+SEC. 14. 13. Information. To enable MembersSupplemental Liquidity
+Providers to understand and manage their obligations to the Corporation:
+a. , on each Business Day, the Corporation shall make available to each
+MemberSupplemental Liquidity Provider the amount of the liquidity
+needDaily Liquidity Need that the Corporation would have had in the event
+of the default of such Member on the preceding Business Day; and
+b. promptly after each Special Activity Calculation Date, the Corporation
+shall provide each Special Activity Liquidity Provider with the amount
+of its Special Activity Liquidity Obligation for the following Options
+Expiration Activity Period.