Self-Regulatory Organizations; The Depository Trust Company; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Amend the Clearing Agency Liquidity Risk Management Framework and the Clearing Agency Stress Testing Framework, 20522-20525 [2024-06068]

Download as PDF 20522 Federal Register / Vol. 89, No. 57 / Friday, March 22, 2024 / Notices publicly. We may redact in part or withhold entirely from publication submitted material that is obscene or subject to copyright protection. All submissions should refer to file number SR–NYSEARCA–2024–25 and should be submitted on or before April 12, 2024. together with FICC and DTC, the ‘‘Clearing Agencies’’), as described below. DTC is filing the proposed rule change for immediate effectiveness pursuant to Section 19(b)(3)(A) of the Act 5 and Rule 19b–4(f)(6) thereunder,6 as described in greater detail below.7 For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.20 Sherry R. Haywood, Assistant Secretary. 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. [FR Doc. 2024–06073 Filed 3–21–24; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–99759; File No. SR–DTC– 2024–001] Self-Regulatory Organizations; The Depository Trust Company; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Amend the Clearing Agency Liquidity Risk Management Framework and the Clearing Agency Stress Testing Framework March 18, 2024. ddrumheller on DSK120RN23PROD with NOTICES1 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 11, 2024, The Depository Trust Company (‘‘DTC’’) filed with the Securities and Exchange Commission (‘‘Commission’’) the proposed rule change as described in Items I, II and III below, which Items have been prepared by the clearing agency. DTC filed the proposed rule change pursuant to Section 19(b)(3)(A) of the Act 3 and Rule 19b–4(f)(6) thereunder.4 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 amendments to the Clearing Agency Liquidity Risk Management Framework (‘‘LRM Framework’’) and the Clearing Agency Stress Testing Framework (Market Risk) (‘‘ST Framework’’ and, together with the LRM Framework, the ‘‘Frameworks’’) of DTC and its affiliates, Fixed Income Clearing Corporation (‘‘FICC’’) and National Securities Clearing Corporation (‘‘NSCC,’’ and 20 17 CFR 200.30–3(a)(12). 1 15 U.S.C. 78s(b)(1). 2 17 CFR 240.19b–4. 3 15 U.S.C. 78s(b)(3)(A). 4 17 CFR 240.19b–4(f)(6). VerDate Sep<11>2014 19:15 Mar 21, 2024 Jkt 262001 (A) Clearing Agency’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change 1. Purpose Background Rules 17Ad–22(e)(4) and (7) under the Act require the Clearing Agencies to establish, implement, maintain and enforce written policies and procedures reasonably designed to manage their credit and liquidity risks.8 The Clearing Agencies adopted the LRM Framework to set forth the manner in which they measure, monitor and manage the liquidity risks that arise in or are borne by each of the Clearing Agencies by, for example, (1) maintaining sufficient liquid resources to effect same-day settlement of payment obligations with a high degree of confidence under a wide range of foreseeable stress scenarios that include, but are not limited to, the default of the participant family that would generate the largest aggregate payment obligation for the Clearing Agency in extreme but plausible market conditions, and (2) determining the amount and regularly testing the sufficiency of qualifying liquid resources by conducting stress testing of those resources.9 In this way, the LRM Framework describes the liquidity risk management activities of each of the Clearing Agencies and how 5 15 U.S.C. 78s(b)(3)(A). CFR 240.19b–4(f)(6). terms not defined herein shall have the meaning assigned to such terms in each of the Clearing Agencies’ respective Rules, available at www.dtcc.com/legal/rules-and-procedures. 8 See 17 CFR 240.17Ad–22(e)(4) and (7). 9 See Securities Exchange Act Release No. 82377 (Dec. 21, 2017), 82 FR 61617 (Dec. 28, 2017) (File Nos. SR–DTC–2017–004; SR–FICC–2017–008; SR– NSCC–2017–005). 6 17 7 Capitalized PO 00000 Frm 00100 Fmt 4703 Sfmt 4703 the Clearing Agencies meet the applicable requirements of Rule 17Ad– 22(e)(7).10 The Clearing Agencies adopted the ST Framework to set forth the manner in which they identify, measure, monitor, and manage their respective credit exposures to participants and those arising from their respective payment, clearing, and settlement processes by, for example, maintaining sufficient prefunded financial resources to cover its credit exposures to each participant fully with a high degree of confidence and testing the sufficiency of those prefunded financial resources through stress testing.11 In this way, the ST Framework describes the stress testing activities of each of the Clearing Agencies and how the Clearing Agencies meet the applicable requirements of Rule 17Ad–22(e)(4) under the Act.12 Proposed Changes The Clearing Agencies propose to make clarifying and organizational changes to the LRM Framework and ST Framework designed to improve the accuracy and clarity of the documents. Specifically, the proposed changes would (i) clarify in the LRM Framework the resources currently available to FICC and NSCC to meet settlement obligations and foreseeable liquidity shortfalls; (ii) clarify in the LRM Framework the Clearing Agencies’ practices for reporting and escalating liquidity risk tolerance threshold breaches; (iii) relocate the governance and escalation requirements related to certain liquidity risk management processes from the ST Framework to the LRM Framework; and (iv) make other non-substantive clarifying, organizational, and cleanup changes to the LRM Framework. The proposed changes are described in detail below. Proposed Clarifications to Description of FICC and NSCC Liquidity Resources The LRM Framework describes how the Clearing Agencies would address foreseeable liquidity shortfalls that would not be covered by their existing liquid resources. In the case of FICC, the LRM Framework provides, among other things, that the FICC Government Securities Division (‘‘GSD’’) and Mortgage-Backed Securities Division (‘‘MBSD’’) would look for additional repo counterparties beyond their respective existing master repurchase 10 17 CFR 240.17Ad–22(e)(7). Securities Exchange Act Release No. 82368 (Dec. 19, 2017), 82 FR 61082 (Dec. 26, 2017) (SR– DTC–2017–005; SR–FICC–2017–009; SR–NSCC– 2017–006). 12 17 CFR 240.17Ad–22(e)(4). 11 See E:\FR\FM\22MRN1.SGM 22MRN1 ddrumheller on DSK120RN23PROD with NOTICES1 Federal Register / Vol. 89, No. 57 / Friday, March 22, 2024 / Notices agreements and that MBSD may seek Members to provide additional repo capacity beyond their Capped Contingency Liquidity Facility (‘‘CCLF’’) requirements.13 With respect to NSCC, the LRM Framework provides that NSCC may look to utilize, among other things, certain uncommitted repurchase arrangements (e.g., stock loans or equity repos) or other uncommitted credit facilities to address foreseeable liquidity shortfalls. The Clearing Agencies propose to revise these statements and replace them with more accurate summaries of the types of liquidity resources available to FICC and NSCC. The Clearing Agencies would modify the LRM Framework to state that FICC may use Clearing Fund deposits to meet its settlement obligations, as permitted under GSD Rule 4 and MBSD Rule 4,14 either through direct use of cash deposits to the Clearing Funds or through the pledge or rehypothecation of pledged eligible Clearing Fund securities. The LRM Framework would also be revised to clarify that FICC could also address a liquidity shortfall by accessing a short-term financial commercial arrangement, such as uncommitted Master Repurchase Agreements maintained by FICC and which do not constitute qualifying liquid resources, or by utilizing its general corporate funds to the extent such funds exceed amounts needed to meet FICC’s regulatory capital requirements. In addition, the Clearing Agencies would further clarify that FICC could also address a liquidity shortfall by accessing its existing repo counterparties, even if such funds may not be available to meet same-day settlement obligations. The Clearing Agencies would also delete a footnote containing a cross-reference to a previously deleted footnote. The Clearing Agencies also propose to revise the LRM Framework to remove references to certain specific uncommitted resources of NSCC, such as stock loans, equity repos, and other uncommitted credit facilities, which are no longer available to NSCC and for which NSCC no longer maintains the necessary agreements. This would be replaced with a more general clarification that all of the Clearing Agencies may seek to address unforeseen liquidity shortfalls in excess of qualifying liquid resources through uncommitted arrangements. The Clearing Agencies would also update the LRM Framework to use more 13 See FICC GSD Rule 22A, Section 2a and FICC MBSD Rule 17, Section 2a, supra note 7. 14 See supra note 7. VerDate Sep<11>2014 19:15 Mar 21, 2024 Jkt 262001 accurate terminology and descriptions of NSCC’s senior note issuance program. These proposed changes are not intended to reflect actual substantive changes to the senior note issuance program. The Clearing Agencies believe the proposed changes would enhance the LRM Framework by more precisely describing the existing tools and resources that FICC and NSCC may utilize to address foreseeable liquidity shortfalls in compliance with Rule 17Ad–22(e)(7)(viii) under the Act.15 Proposed Clarifications to Liquidity Risk Tolerances The LRM Framework describes the manner in which the liquidity risks of the Clearing Agencies are assessed and escalated through liquidity risk management controls that include a statement of risk tolerances that are specific to liquidity risk (‘‘Liquidity Risk Tolerance Statement’’). The Clearing Agencies propose to revise the LRM Framework to provide additional clarity and accuracy around their existing processes for reporting and escalating liquidity risk tolerances. The Clearing Agencies would revise the LRM Framework to remove certain statements regarding the reporting of risk tolerances and instead clarify that liquidity risk tolerance thresholds are communicated to relevant personnel and the management risk committee as prescribed by the Liquidity Risk Tolerance Statement of the Clearing Agencies’ Corporate Risk Management Policy, with necessary escalation and analyses performed in accordance with a newly proposed section of the LRM Framework concerning liquidity risk governance and escalations (described in further detail below). This would include the removal of an outdated statement concerning potential responses to risk tolerance threshold reporting (e.g., responses such as risk avoidance, risk mitigation, risk acceptance), and instead focus on the required escalations set forth in the Liquidity Risk Tolerance Statements to be more consistent with the process as described in the Corporate Risk Management Policy. The Clearing Agencies would also remove specific references to the Stress Testing Team in communicating liquidity risk tolerance thresholds because this task may be performed by staff within the overall Liquidity Risk and Stress Testing function of DTCC. In addition, the LRM Framework would be revised to clarify that the liquidity risk profile prepared by the Operational Risk Management 15 17 PO 00000 CFR 240.17Ad–22(e)(7)(viii). Frm 00101 Fmt 4703 Sfmt 4703 20523 department (‘‘ORM’’) is reviewed with senior management in the Group Chief Risk Office (and not just within the Liquidity Risk Management team) and to update the name of the risk profile used by ORM to monitor liquidity risk management. The Clearing Agencies believe the proposed changes would enhance the LRM Framework by improving the accuracy and clarity of the document as it relates to liquidity risk tolerance reporting. Proposed Clarifications to Liquidity Risk Governance and Escalation On November 17, 2022, the Commission approved a proposed rule change by the Clearing Agencies to amend the ST Framework and LRM Framework to, among other things, relocate certain descriptions of the Clearing Agencies’ liquidity stress testing activities from the LRM Framework to the ST Framework.16 This included certain requirements related to liquidity risk escalations, and in particular, the process for escalating liquidity shortfalls. The Clearing Agencies now propose to add a new section to the LRM Framework to relocate requirements related to liquidity risk governance and the escalation of liquidity shortfalls back into the LRM Framework because these activities and processes are primarily driven the Clearing Agencies’ Liquidity Risk Management team. The Clearing Agencies propose to add a new Liquidity Risk Governance subsection to the LRM Framework, which would contain the same information as the Stress Test Governance section of the ST Framework but with modifications to refer to liquidity risk policies, procedures and risk tolerance statements rather than stress testing policies, procedures and risk tolerance statements. Additionally, the Clearing Agencies would relocate the Escalation of Liquidity Shortfalls section of the ST Framework to the LRM Framework with certain modifications and drafting clarifications. Specifically, the Clearing Agencies would revise and clarify the manner in which liquidity risk tolerance threshold breaches and liquidity shortfalls are identified, reported and escalated by stating that liquidity risk tolerance threshold breaches and liquidity shortfalls identified through the daily liquidity studies are reported and escalated in accordance with the Clearing Agencies’ Liquidity Risk Tolerance Statement. The Clearing 16 See Securities Exchange Act Release No. 96345 (Nov. 17, 2022), 87 FR 71714 (Nov. 23, 2022) (File Nos. SR–DTC–2022–006; SR–FICC–2022–004; SR– NSCC–2022–006). E:\FR\FM\22MRN1.SGM 22MRN1 20524 Federal Register / Vol. 89, No. 57 / Friday, March 22, 2024 / Notices ddrumheller on DSK120RN23PROD with NOTICES1 Agencies would also clarify that the Liquidity Risk Management team performs the daily analysis of any calculated liquidity shortfalls. In addition, the Clearing Agencies would clarify that the management risk committee does not directly evaluate the adequacy of liquidity resources as a first line function but rather reviews management evaluations and recommendations related to the adequacy of such resources, which may include adjusting the CCP’s liquidity risk management methodology, model parameters, and any other relevant aspect of its liquidity risk management framework, or otherwise supplementing liquid resources. The ST Framework would also be revised to state that liquidity risk tolerance and liquidity shortfall reporting and escalations are governed by the LRM Framework. Other Clarifying, Cleanup and Organizational Changes Finally, the Clearing Agencies propose other clarifying, cleanup and organizational changes to the LRM Framework to improve the accuracy and clarity of the document. The Clearing Agencies would relocate the definition of ‘‘qualifying liquid resources’’ from Section 5 of the LRM Framework to the Glossary of Key Terms in Section 2, with minor modifications to associated footnotes and citations, so that this term is clearly defined before its first usage within the LRM Framework. The Clearing Agencies would also update the Glossary of Key Terms to refer to the DTCC Treasury ‘‘department’’ rather than DTCC Treasury ‘‘group’’ to align with other references to the DTCC Treasury department throughout the LRM Framework and remove the defined term ‘‘Stress Testing Team’’ because specific responsibilities of this team would no longer be described in LRM Framework as they are covered in the ST Framework. In addition, Clearing Agencies would make several cleanup changes in the Liquidity Risk Measurement section of the LRM Framework to remove an outdated reference to previously removed sections of the LRM Framework, refer to the new Liquidity Risk Governance and Escalation Procedures section of the LRM Framework, and remove a specific reference to the Stress Test Team (the responsibilities of which are addressed in the ST Framework). Finally, the Clearing Agencies would make a minor clarification in the LRM Framework regarding the annual testing of certain uncommitted liquidity providers, which are non-qualifying liquid resources of FICC. VerDate Sep<11>2014 19:15 Mar 21, 2024 Jkt 262001 2. Statutory Basis The Clearing Agencies believe that the proposed rule change is consistent with the requirements of the Act and the rules and regulations thereunder applicable to a registered clearing agency. In particular, the Clearing Agencies believe that the proposed changes are consistent with Section 17A(b)(3)(F) of the Act 17 and Rule 17Ad–22(e)(7) under the Act 18 for the reasons set forth below. Section 17A(b)(3)(F) of the Act 19 requires, in part, that the rules of a registered clearing agency be designed to promote the prompt and accurate clearance and settlement of securities transactions. The proposed changes would improve the accuracy and clarity of the Frameworks, and specifically the LRM Framework, by (i) clarifying in the LRM Framework the resources currently available to FICC and NSCC to meet settlement obligations and liquidity shortfalls; (ii) clarifying in the LRM Framework the Clearing Agencies’ practices for reporting and escalating liquidity risk tolerance thresholds; (iii) relocating the governance and escalation requirements related to certain liquidity risk management processes from the ST Framework to the LRM Framework; and (iv) making other non-substantive clarifying, organizational and cleanup changes to the LRM Framework. The LRM Framework and the policies and procedures that support the LRM Framework help assure that each Clearing Agency can effectively measure, monitor, and manage their liquidity risks to promote the timely settlement of securities transactions. The proposed changes would enhance the LRM Framework by improving the accuracy and clarity of the descriptions of key aspects of the Clearing Agencies’ liquidity risk management processes, thereby facilitating the Clearing Agencies’ ability to continue the prompt and accurate clearance and settlement of securities transactions as required by Section 17A(b)(3)(F) of the Act. Rule 17Ad–22(e)(7) under the Act requires that a covered clearing agency establish, implement, maintain, and enforce written policies and procedures reasonably designed to effectively measure, monitor, and manage the liquidity risk that arises in or is borne by the covered clearing agency, including measuring, monitoring, and managing its settlement and funding flows on an ongoing and timely basis, and its use of intraday liquidity.20 As U.S.C. 78q–1(b)(3)(F). CFR 240.17Ad–22(e)(7). 19 15 U.S.C. 78q–1(b)(3)(F). 20 See 17 CFR 240.17Ad–22(e)(7). discussed above, the LRM Framework and the policies and procedures that support the LRM Framework help assure that each Clearing Agency can effectively measure, monitor, and manage their liquidity risks. The Clearing Agencies believe that by improving the accuracy and clarity of the descriptions of key aspects of the Clearing Agencies’ liquidity risk management processes, the proposed changes would facilitate the maintenance of written policies and procedures reasonably designed to effectively measure, monitor, and manage liquidity risks as required by Rule 17Ad–22(e)(7) under the Act. In addition, Rule 17Ad–22(e)(7)(viii) under the Act specifically requires a covered clearing agency to establish, implement, maintain, and enforce written policies and procedures reasonably designed to address foreseeable liquidity shortfalls that would not be covered by the covered clearing agency’s liquid resources and seek to avoid unwinding, revoking, or delaying the same-day settlement of payment obligations.21 The Clearing Agencies believe that including additional clarity and specificity in the LRM Framework concerning the types of liquidity resources available to FICC and NSCC to address foreseeable liquidity shortfalls would further promote compliance with Rule 17Ad– 22(e)(7)(viii) under the Act. For these reasons, the Clearing Agencies believe the proposed rule change is consistent with the requirements of Section 17A(b)(3)(F) of the Act 22 and Rule 17Ad–22(e)(7) thereunder.23 (B) Clearing Agency’s Statement on Burden on Competition The proposed changes would enhance the Frameworks, and specifically the LRM Framework, by providing additional clarity and accuracy concerning the Clearing Agencies’ existing liquidity risk management processes. The Frameworks, and the proposed rule changes described herein, would not advantage or disadvantage any particular participant or user of the Clearing Agencies’ services or unfairly inhibit access to the Clearing Agencies’ services. The Clearing Agencies therefore do not believe that the proposed rule change would have any impact, or impose any burden, on competition. 17 15 18 17 PO 00000 Frm 00102 Fmt 4703 Sfmt 4703 21 See 17 CFR 240.17Ad–22(e)(7)(viii). U.S.C. 78q–1(b)(3)(F). 23 17 CFR 240.17Ad–22(e)(7). 22 15 E:\FR\FM\22MRN1.SGM 22MRN1 Federal Register / Vol. 89, No. 57 / Friday, March 22, 2024 / Notices IV. Solicitation of Comments (C) Clearing Agency’s Statement on Comments on the Proposed Rule Change Received From Members, Participants, or Others The Clearing Agencies have not received or solicited any written comments relating to this proposal. If any written comments are received, they will be publicly filed as an Exhibit 2 to this filing, as required by Form 19b–4 and the General Instructions thereto. Persons submitting comments are cautioned that, according to Section IV (Solicitation of Comments) of the Exhibit 1A in the General Instructions to Form 19b–4, the Commission does not edit personal identifying information from comment submissions. Commenters should submit only information that they wish to make available publicly, including their name, email address, and any other identifying information. All prospective commenters should follow the Commission’s instructions on how to submit comments, available at www.sec.gov/regulatory-actions/how-tosubmit-comments. General questions regarding the rule filing process or logistical questions regarding this filing should be directed to the Main Office of the SEC’s Division of Trading and Markets at tradingandmarkets@sec.gov or 202–551–5777. The Clearing Agencies reserve the right to not respond to any comments received. ddrumheller on DSK120RN23PROD with NOTICES1 III. Date of Effectiveness of the Proposed Rule Change, and Timing for Commission Action Because the foregoing proposed rule change does not: (i) significantly affect the protection of investors or the public interest; (ii) impose any significant burden on competition; and (iii) become operative for 30 days from the date on which it was filed, or such shorter time as the Commission may designate, it has become effective pursuant to Section 19(b)(3)(A) of the Act 24 and Rule 19b–4(f)(6) thereunder.25 At any time within 60 days of the filing of the proposed rule change, the Commission summarily may temporarily suspend such rule change if it appears to the Commission that such action is necessary or appropriate in the public interest, for the protection of investors, or otherwise in furtherance of the purposes of the Act. 24 15 25 17 U.S.C. 78s(b)(3)(A). CFR 240.19b–4(f)(6). VerDate Sep<11>2014 19:15 Mar 21, 2024 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 (https://www.sec.gov/ rules/sro.shtml); or • Send an email to rule-comments@ sec.gov. Please include File Number SR– DTC–2024–001 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–DTC–2024–001. This file number should be included on the subject line if email is used. To help the Commission process and review your comments more efficiently, please use only one method. The Commission will post all comments on the Commission’s internet website (https://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 DTC and on DTCC’s website (https://dtcc.com/legal/sec-rulefilings.aspx). Do not include personal identifiable information in submissions; you should submit only information that you wish to make available publicly. We may redact in part or withhold entirely from publication submitted material that is obscene or subject to copyright protection. All submissions should refer to File Number SR–DTC–2024–001 and should be submitted on or before April 12, 2024. 26 17 Jkt 262001 PO 00000 CFR 200.30–3(a)(12). Frm 00103 Fmt 4703 Sfmt 4703 20525 For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.26 Sherry R. Haywood, Assistant Secretary. [FR Doc. 2024–06068 Filed 3–21–24; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–99757; File No. SR–IEX– 2024–05] Self-Regulatory Organizations; Investors Exchange LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Amend IEX Rule 6.210 (Ex-Dividend or Ex-Right Dates) March 18, 2024. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (the ‘‘Act’’),1 and Rule 19b–4 thereunder,2 notice is hereby given that on March 13, 2024, the Investors Exchange LLC (‘‘IEX’’ or the ‘‘Exchange’’) filed with the Securities and Exchange Commission (the ‘‘Commission’’) the proposed rule change as described in Items I and II below, which Items have been prepared by the self-regulatory organization. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. I. Self-Regulatory Organization’s Statement of the Terms of Substance of the Proposed Rule Change Pursuant to the provisions of Section 19(b)(1) under the Act,3 and Rule 19b– 4 thereunder,4 IEX is filing with the Commission a proposed rule change to amend IEX Rule 6.210 (Ex-Dividend or Ex-Right Dates) to conform it to the Commission’s amendment to Rule 15c6–1(a) of the Act 5 to shorten the standard settlement cycle for most broker-dealer transactions. The Exchange has designated this proposal as ‘‘non-controversial’’ and provided the Commission with the notice required by Rule 19b–4(f)(6)(iii) under the Act.6 The text of the proposed rule change is available at the Exchange’s website at www.iextrading.com, at the principal office of the Exchange, and at the Commission’s Public Reference Room. 1 15 U.S.C. 78s(b)(1). CFR 240.19b–4. 3 15 U.S.C. 78s(b)(1). 4 17 CFR 240.19b–4. 5 See Securities Exchange Act Release No. 96930, Investment Advisers Act Release No. 6239 (February 15, 2023), 88 FR 13872 (March 6, 2023) (‘‘T+1 Adopting Release’’). 6 17 CFR 240.19b–4(f)(6)(iii). 2 17 E:\FR\FM\22MRN1.SGM 22MRN1

Agencies

SECURITIES AND EXCHANGE COMMISSION

[Federal Register Volume 89, Number 57 (Friday, March 22, 2024)]
[Notices]
[Pages 20522-20525]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2024-06068]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-99759; File No. SR-DTC-2024-001]


Self-Regulatory Organizations; The Depository Trust Company; 
Notice of Filing and Immediate Effectiveness of Proposed Rule Change To 
Amend the Clearing Agency Liquidity Risk Management Framework and the 
Clearing Agency Stress Testing Framework

March 18, 2024.
    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 11, 2024, The Depository Trust Company (``DTC'') filed with 
the Securities and Exchange Commission (``Commission'') the proposed 
rule change as described in Items I, II and III below, which Items have 
been prepared by the clearing agency. DTC filed the proposed rule 
change pursuant to Section 19(b)(3)(A) of the Act \3\ and Rule 19b-
4(f)(6) thereunder.\4\ The Commission is publishing this notice to 
solicit comments on the proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ 15 U.S.C. 78s(b)(3)(A).
    \4\ 17 CFR 240.19b-4(f)(6).
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I. Clearing Agency's Statement of the Terms of Substance of the 
Proposed Rule Change

    The proposed rule change consists of amendments to the Clearing 
Agency Liquidity Risk Management Framework (``LRM Framework'') and the 
Clearing Agency Stress Testing Framework (Market Risk) (``ST 
Framework'' and, together with the LRM Framework, the ``Frameworks'') 
of DTC and its affiliates, Fixed Income Clearing Corporation (``FICC'') 
and National Securities Clearing Corporation (``NSCC,'' and together 
with FICC and DTC, the ``Clearing Agencies''), as described below. DTC 
is filing the proposed rule change for immediate effectiveness pursuant 
to Section 19(b)(3)(A) of the Act \5\ and Rule 19b-4(f)(6) 
thereunder,\6\ as described in greater detail below.\7\
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    \5\ 15 U.S.C. 78s(b)(3)(A).
    \6\ 17 CFR 240.19b-4(f)(6).
    \7\ Capitalized terms not defined herein shall have the meaning 
assigned to such terms in each of the Clearing Agencies' respective 
Rules, available at www.dtcc.com/legal/rules-and-procedures.
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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
Background
    Rules 17Ad-22(e)(4) and (7) under the Act require the Clearing 
Agencies to establish, implement, maintain and enforce written policies 
and procedures reasonably designed to manage their credit and liquidity 
risks.\8\ The Clearing Agencies adopted the LRM Framework to set forth 
the manner in which they measure, monitor and manage the liquidity 
risks that arise in or are borne by each of the Clearing Agencies by, 
for example, (1) maintaining sufficient liquid resources to effect 
same-day settlement of payment obligations with a high degree of 
confidence under a wide range of foreseeable stress scenarios that 
include, but are not limited to, the default of the participant family 
that would generate the largest aggregate payment obligation for the 
Clearing Agency in extreme but plausible market conditions, and (2) 
determining the amount and regularly testing the sufficiency of 
qualifying liquid resources by conducting stress testing of those 
resources.\9\ In this way, the LRM Framework describes the liquidity 
risk management activities of each of the Clearing Agencies and how the 
Clearing Agencies meet the applicable requirements of Rule 17Ad-
22(e)(7).\10\
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    \8\ See 17 CFR 240.17Ad-22(e)(4) and (7).
    \9\ See Securities Exchange Act Release No. 82377 (Dec. 21, 
2017), 82 FR 61617 (Dec. 28, 2017) (File Nos. SR-DTC-2017-004; SR-
FICC-2017-008; SR-NSCC-2017-005).
    \10\ 17 CFR 240.17Ad-22(e)(7).
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    The Clearing Agencies adopted the ST Framework to set forth the 
manner in which they identify, measure, monitor, and manage their 
respective credit exposures to participants and those arising from 
their respective payment, clearing, and settlement processes by, for 
example, maintaining sufficient prefunded financial resources to cover 
its credit exposures to each participant fully with a high degree of 
confidence and testing the sufficiency of those prefunded financial 
resources through stress testing.\11\ In this way, the ST Framework 
describes the stress testing activities of each of the Clearing 
Agencies and how the Clearing Agencies meet the applicable requirements 
of Rule 17Ad-22(e)(4) under the Act.\12\
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    \11\ See Securities Exchange Act Release No. 82368 (Dec. 19, 
2017), 82 FR 61082 (Dec. 26, 2017) (SR-DTC-2017-005; SR-FICC-2017-
009; SR-NSCC-2017-006).
    \12\ 17 CFR 240.17Ad-22(e)(4).
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Proposed Changes
    The Clearing Agencies propose to make clarifying and organizational 
changes to the LRM Framework and ST Framework designed to improve the 
accuracy and clarity of the documents. Specifically, the proposed 
changes would (i) clarify in the LRM Framework the resources currently 
available to FICC and NSCC to meet settlement obligations and 
foreseeable liquidity shortfalls; (ii) clarify in the LRM Framework the 
Clearing Agencies' practices for reporting and escalating liquidity 
risk tolerance threshold breaches; (iii) relocate the governance and 
escalation requirements related to certain liquidity risk management 
processes from the ST Framework to the LRM Framework; and (iv) make 
other non-substantive clarifying, organizational, and cleanup changes 
to the LRM Framework. The proposed changes are described in detail 
below.
Proposed Clarifications to Description of FICC and NSCC Liquidity 
Resources
    The LRM Framework describes how the Clearing Agencies would address 
foreseeable liquidity shortfalls that would not be covered by their 
existing liquid resources. In the case of FICC, the LRM Framework 
provides, among other things, that the FICC Government Securities 
Division (``GSD'') and Mortgage-Backed Securities Division (``MBSD'') 
would look for additional repo counterparties beyond their respective 
existing master repurchase

[[Page 20523]]

agreements and that MBSD may seek Members to provide additional repo 
capacity beyond their Capped Contingency Liquidity Facility (``CCLF'') 
requirements.\13\ With respect to NSCC, the LRM Framework provides that 
NSCC may look to utilize, among other things, certain uncommitted 
repurchase arrangements (e.g., stock loans or equity repos) or other 
uncommitted credit facilities to address foreseeable liquidity 
shortfalls. The Clearing Agencies propose to revise these statements 
and replace them with more accurate summaries of the types of liquidity 
resources available to FICC and NSCC.
---------------------------------------------------------------------------

    \13\ See FICC GSD Rule 22A, Section 2a and FICC MBSD Rule 17, 
Section 2a, supra note 7.
---------------------------------------------------------------------------

    The Clearing Agencies would modify the LRM Framework to state that 
FICC may use Clearing Fund deposits to meet its settlement obligations, 
as permitted under GSD Rule 4 and MBSD Rule 4,\14\ either through 
direct use of cash deposits to the Clearing Funds or through the pledge 
or rehypothecation of pledged eligible Clearing Fund securities. The 
LRM Framework would also be revised to clarify that FICC could also 
address a liquidity shortfall by accessing a short-term financial 
commercial arrangement, such as uncommitted Master Repurchase 
Agreements maintained by FICC and which do not constitute qualifying 
liquid resources, or by utilizing its general corporate funds to the 
extent such funds exceed amounts needed to meet FICC's regulatory 
capital requirements. In addition, the Clearing Agencies would further 
clarify that FICC could also address a liquidity shortfall by accessing 
its existing repo counterparties, even if such funds may not be 
available to meet same-day settlement obligations. The Clearing 
Agencies would also delete a footnote containing a cross-reference to a 
previously deleted footnote.
---------------------------------------------------------------------------

    \14\ See supra note 7.
---------------------------------------------------------------------------

    The Clearing Agencies also propose to revise the LRM Framework to 
remove references to certain specific uncommitted resources of NSCC, 
such as stock loans, equity repos, and other uncommitted credit 
facilities, which are no longer available to NSCC and for which NSCC no 
longer maintains the necessary agreements. This would be replaced with 
a more general clarification that all of the Clearing Agencies may seek 
to address unforeseen liquidity shortfalls in excess of qualifying 
liquid resources through uncommitted arrangements. The Clearing 
Agencies would also update the LRM Framework to use more accurate 
terminology and descriptions of NSCC's senior note issuance program. 
These proposed changes are not intended to reflect actual substantive 
changes to the senior note issuance program.
    The Clearing Agencies believe the proposed changes would enhance 
the LRM Framework by more precisely describing the existing tools and 
resources that FICC and NSCC may utilize to address foreseeable 
liquidity shortfalls in compliance with Rule 17Ad-22(e)(7)(viii) under 
the Act.\15\
---------------------------------------------------------------------------

    \15\ 17 CFR 240.17Ad-22(e)(7)(viii).
---------------------------------------------------------------------------

Proposed Clarifications to Liquidity Risk Tolerances
    The LRM Framework describes the manner in which the liquidity risks 
of the Clearing Agencies are assessed and escalated through liquidity 
risk management controls that include a statement of risk tolerances 
that are specific to liquidity risk (``Liquidity Risk Tolerance 
Statement''). The Clearing Agencies propose to revise the LRM Framework 
to provide additional clarity and accuracy around their existing 
processes for reporting and escalating liquidity risk tolerances.
    The Clearing Agencies would revise the LRM Framework to remove 
certain statements regarding the reporting of risk tolerances and 
instead clarify that liquidity risk tolerance thresholds are 
communicated to relevant personnel and the management risk committee as 
prescribed by the Liquidity Risk Tolerance Statement of the Clearing 
Agencies' Corporate Risk Management Policy, with necessary escalation 
and analyses performed in accordance with a newly proposed section of 
the LRM Framework concerning liquidity risk governance and escalations 
(described in further detail below). This would include the removal of 
an outdated statement concerning potential responses to risk tolerance 
threshold reporting (e.g., responses such as risk avoidance, risk 
mitigation, risk acceptance), and instead focus on the required 
escalations set forth in the Liquidity Risk Tolerance Statements to be 
more consistent with the process as described in the Corporate Risk 
Management Policy. The Clearing Agencies would also remove specific 
references to the Stress Testing Team in communicating liquidity risk 
tolerance thresholds because this task may be performed by staff within 
the overall Liquidity Risk and Stress Testing function of DTCC. In 
addition, the LRM Framework would be revised to clarify that the 
liquidity risk profile prepared by the Operational Risk Management 
department (``ORM'') is reviewed with senior management in the Group 
Chief Risk Office (and not just within the Liquidity Risk Management 
team) and to update the name of the risk profile used by ORM to monitor 
liquidity risk management. The Clearing Agencies believe the proposed 
changes would enhance the LRM Framework by improving the accuracy and 
clarity of the document as it relates to liquidity risk tolerance 
reporting.
Proposed Clarifications to Liquidity Risk Governance and Escalation
    On November 17, 2022, the Commission approved a proposed rule 
change by the Clearing Agencies to amend the ST Framework and LRM 
Framework to, among other things, relocate certain descriptions of the 
Clearing Agencies' liquidity stress testing activities from the LRM 
Framework to the ST Framework.\16\ This included certain requirements 
related to liquidity risk escalations, and in particular, the process 
for escalating liquidity shortfalls. The Clearing Agencies now propose 
to add a new section to the LRM Framework to relocate requirements 
related to liquidity risk governance and the escalation of liquidity 
shortfalls back into the LRM Framework because these activities and 
processes are primarily driven the Clearing Agencies' Liquidity Risk 
Management team.
---------------------------------------------------------------------------

    \16\ See Securities Exchange Act Release No. 96345 (Nov. 17, 
2022), 87 FR 71714 (Nov. 23, 2022) (File Nos. SR-DTC-2022-006; SR-
FICC-2022-004; SR-NSCC-2022-006).
---------------------------------------------------------------------------

    The Clearing Agencies propose to add a new Liquidity Risk 
Governance sub-section to the LRM Framework, which would contain the 
same information as the Stress Test Governance section of the ST 
Framework but with modifications to refer to liquidity risk policies, 
procedures and risk tolerance statements rather than stress testing 
policies, procedures and risk tolerance statements. Additionally, the 
Clearing Agencies would relocate the Escalation of Liquidity Shortfalls 
section of the ST Framework to the LRM Framework with certain 
modifications and drafting clarifications. Specifically, the Clearing 
Agencies would revise and clarify the manner in which liquidity risk 
tolerance threshold breaches and liquidity shortfalls are identified, 
reported and escalated by stating that liquidity risk tolerance 
threshold breaches and liquidity shortfalls identified through the 
daily liquidity studies are reported and escalated in accordance with 
the Clearing Agencies' Liquidity Risk Tolerance Statement. The Clearing

[[Page 20524]]

Agencies would also clarify that the Liquidity Risk Management team 
performs the daily analysis of any calculated liquidity shortfalls. In 
addition, the Clearing Agencies would clarify that the management risk 
committee does not directly evaluate the adequacy of liquidity 
resources as a first line function but rather reviews management 
evaluations and recommendations related to the adequacy of such 
resources, which may include adjusting the CCP's liquidity risk 
management methodology, model parameters, and any other relevant aspect 
of its liquidity risk management framework, or otherwise supplementing 
liquid resources. The ST Framework would also be revised to state that 
liquidity risk tolerance and liquidity shortfall reporting and 
escalations are governed by the LRM Framework.
Other Clarifying, Cleanup and Organizational Changes
    Finally, the Clearing Agencies propose other clarifying, cleanup 
and organizational changes to the LRM Framework to improve the accuracy 
and clarity of the document. The Clearing Agencies would relocate the 
definition of ``qualifying liquid resources'' from Section 5 of the LRM 
Framework to the Glossary of Key Terms in Section 2, with minor 
modifications to associated footnotes and citations, so that this term 
is clearly defined before its first usage within the LRM Framework. The 
Clearing Agencies would also update the Glossary of Key Terms to refer 
to the DTCC Treasury ``department'' rather than DTCC Treasury ``group'' 
to align with other references to the DTCC Treasury department 
throughout the LRM Framework and remove the defined term ``Stress 
Testing Team'' because specific responsibilities of this team would no 
longer be described in LRM Framework as they are covered in the ST 
Framework.
    In addition, Clearing Agencies would make several cleanup changes 
in the Liquidity Risk Measurement section of the LRM Framework to 
remove an outdated reference to previously removed sections of the LRM 
Framework, refer to the new Liquidity Risk Governance and Escalation 
Procedures section of the LRM Framework, and remove a specific 
reference to the Stress Test Team (the responsibilities of which are 
addressed in the ST Framework).
    Finally, the Clearing Agencies would make a minor clarification in 
the LRM Framework regarding the annual testing of certain uncommitted 
liquidity providers, which are non-qualifying liquid resources of FICC.
2. Statutory Basis
    The Clearing Agencies believe that the proposed rule change is 
consistent with the requirements of the Act and the rules and 
regulations thereunder applicable to a registered clearing agency. In 
particular, the Clearing Agencies believe that the proposed changes are 
consistent with Section 17A(b)(3)(F) of the Act \17\ and Rule 17Ad-
22(e)(7) under the Act \18\ for the reasons set forth below.
---------------------------------------------------------------------------

    \17\ 15 U.S.C. 78q-1(b)(3)(F).
    \18\ 17 CFR 240.17Ad-22(e)(7).
---------------------------------------------------------------------------

    Section 17A(b)(3)(F) of the Act \19\ requires, in part, that the 
rules of a registered clearing agency be designed to promote the prompt 
and accurate clearance and settlement of securities transactions. The 
proposed changes would improve the accuracy and clarity of the 
Frameworks, and specifically the LRM Framework, by (i) clarifying in 
the LRM Framework the resources currently available to FICC and NSCC to 
meet settlement obligations and liquidity shortfalls; (ii) clarifying 
in the LRM Framework the Clearing Agencies' practices for reporting and 
escalating liquidity risk tolerance thresholds; (iii) relocating the 
governance and escalation requirements related to certain liquidity 
risk management processes from the ST Framework to the LRM Framework; 
and (iv) making other non-substantive clarifying, organizational and 
cleanup changes to the LRM Framework. The LRM Framework and the 
policies and procedures that support the LRM Framework help assure that 
each Clearing Agency can effectively measure, monitor, and manage their 
liquidity risks to promote the timely settlement of securities 
transactions. The proposed changes would enhance the LRM Framework by 
improving the accuracy and clarity of the descriptions of key aspects 
of the Clearing Agencies' liquidity risk management processes, thereby 
facilitating the Clearing Agencies' ability to continue the prompt and 
accurate clearance and settlement of securities transactions as 
required by Section 17A(b)(3)(F) of the Act.
---------------------------------------------------------------------------

    \19\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(7) under the Act requires that a covered clearing 
agency establish, implement, maintain, and enforce written policies and 
procedures reasonably designed to effectively measure, monitor, and 
manage the liquidity risk that arises in or is borne by the covered 
clearing agency, including measuring, monitoring, and managing its 
settlement and funding flows on an ongoing and timely basis, and its 
use of intraday liquidity.\20\ As discussed above, the LRM Framework 
and the policies and procedures that support the LRM Framework help 
assure that each Clearing Agency can effectively measure, monitor, and 
manage their liquidity risks. The Clearing Agencies believe that by 
improving the accuracy and clarity of the descriptions of key aspects 
of the Clearing Agencies' liquidity risk management processes, the 
proposed changes would facilitate the maintenance of written policies 
and procedures reasonably designed to effectively measure, monitor, and 
manage liquidity risks as required by Rule 17Ad-22(e)(7) under the Act.
---------------------------------------------------------------------------

    \20\ See 17 CFR 240.17Ad-22(e)(7).
---------------------------------------------------------------------------

    In addition, Rule 17Ad-22(e)(7)(viii) under the Act specifically 
requires a covered clearing agency to establish, implement, maintain, 
and enforce written policies and procedures reasonably designed to 
address foreseeable liquidity shortfalls that would not be covered by 
the covered clearing agency's liquid resources and seek to avoid 
unwinding, revoking, or delaying the same-day settlement of payment 
obligations.\21\ The Clearing Agencies believe that including 
additional clarity and specificity in the LRM Framework concerning the 
types of liquidity resources available to FICC and NSCC to address 
foreseeable liquidity shortfalls would further promote compliance with 
Rule 17Ad-22(e)(7)(viii) under the Act.
---------------------------------------------------------------------------

    \21\ See 17 CFR 240.17Ad-22(e)(7)(viii).
---------------------------------------------------------------------------

    For these reasons, the Clearing Agencies believe the proposed rule 
change is consistent with the requirements of Section 17A(b)(3)(F) of 
the Act \22\ and Rule 17Ad-22(e)(7) thereunder.\23\
---------------------------------------------------------------------------

    \22\ 15 U.S.C. 78q-1(b)(3)(F).
    \23\ 17 CFR 240.17Ad-22(e)(7).
---------------------------------------------------------------------------

(B) Clearing Agency's Statement on Burden on Competition

    The proposed changes would enhance the Frameworks, and specifically 
the LRM Framework, by providing additional clarity and accuracy 
concerning the Clearing Agencies' existing liquidity risk management 
processes. The Frameworks, and the proposed rule changes described 
herein, would not advantage or disadvantage any particular participant 
or user of the Clearing Agencies' services or unfairly inhibit access 
to the Clearing Agencies' services. The Clearing Agencies therefore do 
not believe that the proposed rule change would have any impact, or 
impose any burden, on competition.

[[Page 20525]]

(C) Clearing Agency's Statement on Comments on the Proposed Rule Change 
Received From Members, Participants, or Others

    The Clearing Agencies have not received or solicited any written 
comments relating to this proposal. If any written comments are 
received, they will be publicly filed as an Exhibit 2 to this filing, 
as required by Form 19b-4 and the General Instructions thereto.
    Persons submitting comments are cautioned that, according to 
Section IV (Solicitation of Comments) of the Exhibit 1A in the General 
Instructions to Form 19b-4, the Commission does not edit personal 
identifying information from comment submissions. Commenters should 
submit only information that they wish to make available publicly, 
including their name, email address, and any other identifying 
information.
    All prospective commenters should follow the Commission's 
instructions on how to submit comments, available at www.sec.gov/regulatory-actions/how-to-submit-comments. General questions regarding 
the rule filing process or logistical questions regarding this filing 
should be directed to the Main Office of the SEC's Division of Trading 
and Markets at [email protected] or 202-551-5777.
    The Clearing Agencies reserve the right to not respond to any 
comments received.

III. Date of Effectiveness of the Proposed Rule Change, and Timing for 
Commission Action

    Because the foregoing proposed rule change does not:
    (i) significantly affect the protection of investors or the public 
interest;
    (ii) impose any significant burden on competition; and
    (iii) become operative for 30 days from the date on which it was 
filed, or such shorter time as the Commission may designate, it has 
become effective pursuant to Section 19(b)(3)(A) of the Act \24\ and 
Rule 19b-4(f)(6) thereunder.\25\
---------------------------------------------------------------------------

    \24\ 15 U.S.C. 78s(b)(3)(A).
    \25\ 17 CFR 240.19b-4(f)(6).
---------------------------------------------------------------------------

    At any time within 60 days of the filing of the proposed rule 
change, the Commission summarily may temporarily suspend such rule 
change if it appears to the Commission that such action is necessary or 
appropriate in the public interest, for the protection of investors, or 
otherwise in furtherance of the purposes of the Act.

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 (https://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
File Number SR-DTC-2024-001 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-DTC-2024-001. This file 
number should be included on the subject line if email is used. To help 
the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's internet website (https://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 DTC and on DTCC's 
website (https://dtcc.com/legal/sec-rule-filings.aspx). Do not include 
personal identifiable information in submissions; you should submit 
only information that you wish to make available publicly. We may 
redact in part or withhold entirely from publication submitted material 
that is obscene or subject to copyright protection. All submissions 
should refer to File Number SR-DTC-2024-001 and should be submitted on 
or before April 12, 2024.
---------------------------------------------------------------------------

    \26\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\26\
Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2024-06068 Filed 3-21-24; 8:45 am]
BILLING CODE 8011-01-P

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