Notice2023-26390
Self-Regulatory Organizations; National Securities Clearing Corporation; Notice of Filing of Proposed Rule Change To Refine the Margin Liquidity Adjustment (“MLA”) Charge Calculation and the Description of the MLA Charge
Primary source
Metadata and text below are from the Federal Register, a public-domain U.S. government work. Always verify the official published version before relying on it for any legal matter.
Published
December 1, 2023
Issuing agencies
Securities and Exchange Commission
Full Text
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<title>Federal Register, Volume 88 Issue 230 (Friday, December 1, 2023)</title>
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[Federal Register Volume 88, Number 230 (Friday, December 1, 2023)]
[Notices]
[Pages 83993-84000]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[FR Doc No: 2023-26390]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-99022; File No. SR-NSCC-2023-011]
Self-Regulatory Organizations; National Securities Clearing
Corporation; Notice of Filing of Proposed Rule Change To Refine the
Margin Liquidity Adjustment (``MLA'') Charge Calculation and the
Description of the MLA Charge
November 27, 2023.
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 November 17, 2023, 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.
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.
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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 modifications to NSCC's Rules
& Procedures (``Rules'') to refine the Margin Liquidity Adjustment
(``MLA'') charge calculation and the description of the MLA charge, as
described in greater detail below.\3\
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\3\ Capitalized terms not defined herein are defined in the
Rules, available at http://dtcc.com/~/media/Files/Downloads/legal/
rules/nscc_rules.pdf.
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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
NSCC is proposing to refine the MLA charge calculation to more
accurately calculate the impact costs of liquidating a security/
portfolio by (i) moving all exchange traded products (``ETPs'') (other
than those deemed to be Illiquid Securities) into the equities asset
group and calculating impact cost at the security level rather than at
the subgroup level for the equities asset subgroups and (ii) improving
the calculations relating to exchange traded funds (``ETFs'') by adding
a calculation for latent liquidity for equity ETFs with in-kind
baskets, as described in more detail below.
NSCC conducted an impact study of the proposed changes based on
data from January 3, 2022 through June 30, 2023.\4\ The impact study
indicated that if the proposed changes had been in place during the
impact study period, the proposed changes would have resulted in an
approximately $62 million daily average increase during the impact
study period, which accounts for approximately 0.52% of the daily total
Clearing Fund during that period. Currently, the daily MLA charge
accounts for approximately 3.54% of the daily total Clearing Fund. With
the proposed MLA charge refinements, the MLA charge would have
accounted for approximately 4.06% of the daily total Clearing Fund.
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\4\ In order to more accurately assess the impact of the
proposed changes, the impact study included changes to the gap risk
measure that were implemented on October 2, 2023 as if such changes
had been in effect during the impact study period. See Securities
Exchange Act Release No. 98086 (Aug. 8, 2023), 88 FR 55100 (Aug. 14,
2023) (File No. SR-NSCC-2022-015) (order approving proposed rule
change to change the gap risk measure).
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NSCC is also proposing to enhance the description of the MLA charge
to clarify the description of the calculation with respect to SFT
Positions in connection with Securities Financing Transactions, as
described below.
(i) Overview of Required Fund Deposit and MLA Charge
As part of its market risk management strategy, NSCC manages its
credit exposure to Members by determining the appropriate Required Fund
Deposits to the Clearing Fund and monitoring its sufficiency, as
provided for in the Rules.\5\ The Required Fund Deposit serves as each
Member's margin.
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\5\ See Rule 4 (Clearing Fund) and Procedure XV (Clearing Fund
Formula and Other Matters), supra note 3. NSCC's market risk
management strategy is designed to comply with Rule 17Ad-22(e)(4)
under the Act, where these risks are referred to as ``credit
risks.'' 17 CFR 240.17Ad-22(e)(4).
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[[Page 83994]]
The objective of a Member's Required Fund Deposit is to mitigate
potential losses to NSCC associated with liquidating a Member's
portfolio in the event NSCC ceases to act for that Member (hereinafter
referred to as a ``default'').\6\ The aggregate of all Members'
Required Fund Deposits constitutes the Clearing Fund of NSCC. NSCC
would access its Clearing Fund should a defaulting Member's own
Required Fund Deposit be insufficient to satisfy losses to NSCC caused
by the liquidation of that Member's portfolio.\7\
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\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 3.
\7\ See Rule 4 (Clearing Fund), supra note 3.
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Volatility Charge
Pursuant to the Rules, each Member's Required Fund Deposit amount
consists of a number of applicable components, each of which is
calculated to address specific risks faced by NSCC, as identified
within Procedure XV of the Rules.\8\ Generally, the largest component
of Members' Required Fund Deposits is the volatility charge. The
volatility charge is designed to capture the market price risk
associated with each Member's portfolio at a 99th percentile level of
confidence.
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\8\ Supra note 3.
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NSCC has two methodologies for calculating the volatility charge.
For the majority of Net Unsettled Positions,\9\ NSCC calculates the
volatility charge as the sum of (1) the greater of (a) the larger of
two separate calculations that utilize a parametric Value at Risk
(``VaR'') model and (b) a portfolio margin floor calculation based on
the market values of the long and short positions in the portfolio and
(2) a gap risk measure calculation based on the concentration threshold
of the two largest non-diversified positions in a portfolio (``VaR
Charge'').\10\ NSCC excludes certain Net Unsettled Positions from the
calculation of the VaR Charge and instead applies a haircut-based
volatility charge that is calculated by multiplying the absolute value
of those Net Unsettled Positions by a percentage.\11\
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\9\ Net Unsettled Positions and Net Balance Order Unsettled
Positions refer to net positions that have not yet passed their
settlement date or did not settle on their settlement date, and are
referred to collectively in this filing as ``Net Unsettled
Positions.'' See Procedure XV (Clearing Fund Formula and Other
Matters) of the Rules, supra note 3.
\10\ See Section I(A)(1)(a)(i) of Procedure XV of the Rules,
supra note 3.
\11\ See Section I(A)(1)(a)(ii), (iii) and (iv), and Section
I(A)(2)(a)(ii), (iii) and (iv), of Procedure XV of the Rules, supra
note 3.
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MLA Charge
NSCC applies an MLA charge \12\ to address situations where the
characteristics of the defaulted Member's portfolio could cause the
market impact costs to be higher than the amount collected for the
applicable volatility charge.\13\ The MLA charge is designed to address
the market impact costs of liquidating a defaulted Member's portfolio
that may increase when that portfolio includes large Net Unsettled
Positions in a particular group of securities with a similar risk
profile or in a particular asset type (referred to as ``asset
groups''). A Member portfolio with large Net Unsettled Positions in a
particular group of securities with a similar risk profile or in a
particular asset type may be more difficult to liquidate in the market
in the event the Member defaults because a concentration in that group
of securities or in an asset type could reduce the marketability of
those large Net Unsettled Positions. Therefore, such portfolios create
a risk that NSCC may face increased market impact cost to liquidate
that portfolio in the assumed margin period of risk of three business
days at market prices.
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\12\ See Sections I(A)(1)(g) and I(A)(2)(f) of Procedure XV of
the Rules, supra note 3.
\13\ See Securities Exchange Act Release Nos. 90181 (Oct. 14,
2020), 85 FR 66646 (Oct. 20, 2020) (File No. SR-NSCC-2020-016) and
90034 (Sep. 28, 2020), 85 FR 62342 (Oct. 2, 2020) (File No. SR-NSCC-
2020-804) (collectively, ``MLA Charge Filing'') (introduced the MLA
charge).
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The MLA charge is calculated to address this increased market
impact cost by assessing sufficient margin to mitigate this risk. The
MLA charge is calculated for different asset groups. Essentially, the
calculation is currently designed to compare the total market value of
a Net Unsettled Position in a particular asset group, which NSCC would
be required to liquidate in the event of a Member default, to the
available trading volume of that asset group or equities subgroup in
the market.
NSCC regularly assesses market and liquidity risks as such risks
relate to NSCC's margining methodologies to evaluate whether margin
levels are commensurate with the particular risk attributes of each
relevant product, portfolio, and market. The proposed changes to
enhance the MLA charge by improving the calculation of the impact costs
of liquidating Net Unsettled Positions in certain securities, as
described below, are the result of NSCC's regular review of the
effectiveness of its margining methodology and in response to
regulatory feedback.
(ii) Proposed Changes to Market Impact Cost Calculations
Existing Market Impact Cost Calculations
To calculate the MLA charge, NSCC currently categorizes securities
into separate asset groups that have similar risk profiles--(1)
equities \14\ (excluding equities defined as Illiquid Securities
pursuant to the Rules),\15\ (2) Illiquid Securities, (3) unit
investment trusts, or UITs, (4) municipal bonds (including municipal
bond ETPs), and (5) corporate bonds (including corporate bond
ETPs).\16\ NSCC then further segments the equities asset group into the
following subgroups: (i) micro-capitalization equities, (ii) small
capitalization equities, (iii) medium capitalization equities, (iv)
large capitalization equities, (v) treasury ETPs, and (vi) all other
ETPs.\17\
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\14\ NSCC excludes long positions in Family-Issued Securities,
as defined in Rule 1 (Definitions) of the Rules, from the MLA
charge. NSCC believes the margin charge applicable to long Net
Unsettled Positions in Family-Issued Securities pursuant to Sections
I(A)(1)(a)(iv) and (2)(a)(iv) of Procedure XV of the Rules provides
adequate mitigation of the risks presented by those Net Unsettled
Positions, such that an MLA charge would not be triggered. Supra
note 3.
\15\ See Rule 1 (Definitions), supra note 3.
\16\ See Sections I(A)(1)(g) and I(A)(2)(f) of Procedure XV of
the Rules, supra note 3.
\17\ Id. The market capitalization categorizations currently are
as follows: (i) micro-capitalization equities have a capitalization
of less than $300 million, (ii) small capitalization equities have a
capitalization of equal to or greater than $300 million and less
than $2 billion, (iii) medium capitalization equities have a
capitalization of equal to or greater than $2 billion and less than
$10 billion, and (iv) large capitalization equities have a
capitalization of equal to or greater than $10 billion. NSCC reviews
these categories annually, and any changes that NSCC deems
appropriate are subject to NSCC's model risk management governance
procedures set forth in the Clearing Agency Model Risk Management
Framework (``Model Risk Management Framework''). See Securities
Exchange Act Release Nos. 81485 (Aug. 25, 2017), 82 FR 41433 (Aug.
31, 2017) (File No. SR-NSCC-2017-008); 84458 (Oct. 19, 2018), 83 FR
53925 (Oct. 25, 2018) (File No. SR-NSCC-2018-009); 88911 (May 20,
2020), 85 FR 31828 (May 27, 2020) (File No. SR-NSCC-2020-008); 92381
(July 13, 2021), 86 FR 38163 (July 19, 2021) (SR-NSCC-2021-008); and
94272 (Feb. 17, 2022), 87 FR 10419 (Feb., 24 2022) (SR-NSCC-2022-
001).
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NSCC first calculates a measurement of market impact cost for each
asset group and equities asset subgroup for which a Member has Net
Unsettled Positions in its portfolio.\18\ The calculation of an MLA
charge is designed to measure the potential
[[Page 83995]]
additional market impact cost to NSCC of closing out a large Net
Unsettled Position in that particular asset group or equities subgroup.
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\18\ See Sections I(A)(1)(g) and I(A)(2)(f) of Procedure XV of
the Rules, supra note 3.
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Market Impact Cost Calculation for Market Capitalization Subgroups of
Equities Asset Group
The market impact cost for each Net Unsettled Position in a market
capitalization subgroup of the equities asset group is currently
calculated by multiplying four components: (1) an impact cost
coefficient that is a multiple of the one-day market volatility of that
subgroup and is designed to measure impact costs, (2) the gross market
value of the Net Unsettled Position in that subgroup, (3) the square
root of the gross market value of the Net Unsettled Position in that
subgroup in the portfolio divided by an assumed percentage of the
average daily trading volume of that subgroup, and (4) a measurement of
the concentration of the Net Unsettled Position in that subgroup in the
portfolio (as described in greater detail below).\19\ Rather than
calculate the market impact cost for each security for the MLA charge,
NSCC currently estimates market impact cost at the portfolio-level
using aggregated volume data.
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\19\ Id.
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The measurement of the concentration of the Net Unsettled Position
in the subgroup includes aggregating the relative weight of each
security in that Net Unsettled Position relative to the weight of that
security in the subgroup, such that a portfolio with fewer positions in
a subgroup would have a higher measure of concentration for that
subgroup.\20\
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\20\ The relative weight is calculated by dividing the absolute
market value of a single security in the Member's portfolio by the
total absolute market value of that portfolio.
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Market Impact Cost Calculation for Other Asset Groups and Equities
Asset Subgroups
The market impact cost for Net Unsettled Positions in the municipal
bond, corporate bond, Illiquid Securities and UIT asset groups, and for
Net Unsettled Positions in the treasury ETP and other ETP subgroups of
the equities asset group are currently calculated by multiplying three
components: (1) an impact cost coefficient that is a multiple of the
one-day market volatility of that asset group or subgroup, (2) the
gross market value of the Net Unsettled Position in that asset group or
subgroup, and (3) the square root of the gross market value of the Net
Unsettled Position in that asset group or subgroup in the portfolio
divided by an assumed percentage of the average daily trading volume of
that asset group or subgroup.\21\
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\21\ See Sections I(A)(1)(g) and I(A)(2)(f) of Procedure XV of
the Rules, supra note 3.
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Total MLA Charge Calculation for Each Portfolio
For each asset group or subgroup, NSCC compares the calculated
market impact cost to a portion of the volatility charge that is
allocated to Net Unsettled Positions in that asset group or subgroup
(as determined by Sections I(A)(1)(a) and I(A)(2)(a) of Procedure XV of
the Rules).\22\ If the ratio of the calculated market impact cost to
the applicable 1-day volatility charge is greater than a threshold, an
MLA charge is applied to that asset group or subgroup.\23\ If the ratio
of these two amounts is equal to or less than this threshold, an MLA
charge is not applied to that asset group or subgroup. The threshold is
based on an estimate of the market impact cost that is incorporated
into the calculation of the applicable 1-day volatility charge, such
that an MLA charge applies only when the calculated market impact cost
exceeds this threshold.
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\22\ Supra note 3. NSCC's margining methodology uses a three-day
assumed period of risk. For purposes of this calculation, NSCC uses
a portion of the applicable volatility charge that is based on one-
day assumed period of risk and calculated by applying a simple
square-root of time scaling, referred to in this proposed rule
change as ``1-day volatility charge.'' Any changes that NSCC deems
appropriate to this assumed period of risk would be subject to
NSCC's model risk management governance procedures set forth in the
Model Risk Management Framework. See supra note 17. See also
Sections I(A)(1)(g) and I(A)(2)(f) of Procedure XV of the Rules,
supra note 3.
\23\ See Sections I(A)(1)(g) and I(A)(2)(f) of Procedure XV of
the Rules, supra note 3. The threshold is currently 0.4 because
approximately 40 percent of the 1-day volatility charge addresses
market impact costs. NSCC reviews this threshold from time to time,
and any changes that NSCC deems appropriate would be subject to
NSCC's model risk management governance procedures set forth in the
Model Risk Management Framework. See id.
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When applicable, an MLA charge for each asset group or subgroup is
calculated as a proportion of the product of (1) the amount by which
the ratio of the calculated market impact cost to the applicable 1-day
volatility charge exceeds the threshold, and (2) the 1-day volatility
charge allocated to that asset group or subgroup.\24\
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\24\ See Sections I(A)(1)(g) and I(A)(2)(f) of Procedure XV of
the Rules, supra note 3.
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For each Member portfolio, NSCC adds the MLA charges for Net
Unsettled Positions in each of the subgroups of the equities asset
group to determine an MLA charge for the Net Unsettled Positions in the
equities asset group. NSCC then adds the MLA charge for Net Unsettled
Positions in the equities asset group with each of the MLA charges for
Net Unsettled Positions in the other asset groups to determine a total
MLA charge for a Member.\25\
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\25\ Id.
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The ratio of the calculated market impact cost to the 1-day
volatility charge also determines if NSCC would apply a downward
adjustment, based on a scaling factor, to the total MLA charge, and the
size of any adjustment.\26\ For Net Unsettled Positions that have a
higher ratio of calculated market impact cost to the 1-day volatility
charge, NSCC applies a larger adjustment to the MLA charge by assuming
that NSCC would liquidate that position on a different timeframe than
the assumed margin period of risk of three business days. For example,
NSCC may be able to mitigate potential losses associated with
liquidating a Member's portfolio by liquidating a Net Unsettled
Position with a larger volatility charge over a longer timeframe.
Therefore, when applicable, NSCC applies a multiplier \27\ to the
calculated MLA charge. When the ratio of calculated market impact cost
to the 1-day volatility charge is lower, the multiplier is one, and no
adjustment would be applied; as the ratio gets higher the multiplier
decreases and the MLA charge is adjusted downward.
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\26\ Id.
\27\ The multiplier is referred to as a downward adjusting
scaling factor in Procedure XV. See id.
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The final MLA charge is calculated daily and, when the charge is
applicable, as described above, is included as a component of Members'
Required Fund Deposits.
NSCC is proposing to refine the calculation relating to the equity
asset group by more accurately calculating the impact costs of
liquidating a security/portfolio by (i) moving all ETPs (other than
those deemed to be Illiquid Securities) into the equities asset group
and calculating impact cost at the security level rather than at the
subgroup level for the equities asset subgroups and (ii) improving the
calculations relating to ETFs by adding a calculation for latent
liquidity for equity ETFs with in-kind baskets, as described in more
detail below.
Move Liquid ETPs Into Equities Asset Group and Provide Security Level
Market Impact Cost Calculations
NSCC is proposing to move all ETPs, including corporate bond ETPs
and municipal bond ETPs, other than ETPs that are deemed to be Illiquid
Securities, into the equities asset group. Currently, corporate bond
ETPs and municipal bond ETPs are included as corporate
[[Page 83996]]
bonds and municipal bonds, respectively, for purposes of the MLA charge
calculation. ETPs are traded on an exchange giving them equity-like
properties such as trading volume data at the security level apart from
their underlying assets which may not be actively traded. Therefore,
the impact costs of liquidating ETPs can be estimated in the same
manner as other items in the equities asset subgroups, at the security
level, as discussed below. ETPs that are deemed to be Illiquid
Securities, would be included in the Illiquid Securities category.\28\
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\28\ See definition of ``Illiquid Security'' in Rule 1, supra
note 3. For instance, if an ETP is not listed on a specified
securities exchange or has a limited trading history, as defined in
the definition, it would be treated as an Illiquid Security for
purposes of the MLA charge calculations.
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NSCC is also proposing to revise the market impact cost calculation
for the equities asset group and subgroups to calculate the impact cost
at the security level. Based on the review of its margin methodologies
(and the ETF Study discussed below), NSCC has determined that equities
and liquid ETPs display a wide disparity of trading volumes (as
measured by average daily volumes) even within subgroups, and the
market impact costs are more dependent on specific securities than the
subgroup. As a result, NSCC is proposing to calculate the market impact
costs for securities in the equities asset group, including liquid
ETPs, at the security level rather than at the subgroup level, which
has shown to be a more accurate calculation of market impact costs for
these securities.
As discussed above, currently the MLA charge calculation for the
equity asset subgroups includes a measurement of the concentration of
the Net Unsettled Position in the subgroup. Since the market impact
cost would be calculated at the security level for the equities asset
group, rather than the subgroup level, this measurement would no longer
be necessary and would be removed.
In addition, currently for each asset group or subgroup, NSCC
compares the calculated market impact cost to a portion of the
volatility charge that is allocated to Net Unsettled Positions in that
asset group or subgroup (as determined by Sections I(A)(1)(a) and
I(A)(2)(a) of Procedure XV of the Rules) and compares that ratio to a
threshold to determine if an MLA charge is applicable to that asset
group or subgroup.\29\ Since the market impact cost would be calculated
at the security level for all assets in the equity asset group, rather
than the subgroup level, this comparison would be at the asset group
level for all asset groups, including the equities asset group, and
would no longer be made at the subgroup level for subgroups within the
equities asset group.
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\29\ See supra note 22 and accompanying text.
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Proposed Improvements to ETF Calculations
NSCC is proposing to refine the impact cost calculations for ETFs
to more accurately account for the market impact of these securities
and in response to regulatory feedback on NSCC's margin methodologies.
In particular, NSCC is proposing to incorporate ``latent'' liquidity to
more accurately reflect the market liquidity of ETFs.
ETFs are securities that are traded on an exchange and that track
underlying securities, indexes or other financial instruments,
including equities, corporate and municipal bonds and treasury
instruments. Unlike mutual funds, ETFs are created with the assistance
of certain financial institutions called authorized participants
(``APs''), often banks, that are given the ability to create and redeem
ETF shares directly from the ETF issuer. To create ETF shares, an AP
can either deliver a pre-specified bundle of securities underlying the
ETFs (i.e., an ``in-kind basket'') in exchange for ETF shares or
provide cash equal to the value of the cost of purchasing underlying
securities for the ETF shares. To redeem ETF shares, an AP would do the
opposite--deliver ETF shares to the ETF issuer in exchange for an in-
kind basket of underlying securities or cash equal to the value of the
underlying securities.
Throughout the life of an ETF, APs create and redeem shares
depending on the market and arbitrage opportunities. As a result, ETFs,
particularly those with in-kind creation/redemption mechanisms, tend to
trade close to the value of the underlying securities. For instance, if
the market price of the ETF on the secondary market (discussed below)
is above the value of the securities underlying the ETF, the AP can
purchase underlying securities (at the lower price) and exchange those
securities to create new ETFs. Likewise, if the market price of the ETF
falls below the value of the securities underlying the ETFs, an AP can
buy ETF shares on the secondary market and redeem them with the ETF
issuer in exchange for underlying securities.
Latent Liquidity
As a result of this structure, ETF market liquidity can be divided
into two markets: the primary market and the secondary market. The
primary market consists of APs creating and redeeming ETF shares
directly with the ETF issuer. The secondary market consists of
investors buying and selling ETFs through exchanges. Often the stocks
underlying an ETF basket have much larger trading volume than the ETF
itself. Upon the liquidation of a portfolio with ETFs, the ability of
APs to create and redeem ETF shares provides additional liquidity, also
called ``latent liquidity,'' which changes the market risk profile of
ETFs with in-kind basket creation/redemption processes.
The current impact cost calculation for the MLA charge does not
include calculations measuring the impact relating to the latent
liquidity. NSCC recently commissioned a review of ETFs (``ETF Study'')
that included an ETF market review, risk characteristics and an
independent simulation of market impact costs associated with sample
clearing portfolios. Based on the ETF Study, it was observed that most
equity ETFs with an in-kind creation/redemption process trade with very
tight premium/discount to net asset value (``NAV''), or close to the
value of the underlying securities.\30\ Often, however, the stocks
underlying the equity ETF baskets have a much larger trading volume
than the equity ETF itself, which creates latent liquidity.
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\30\ When an ETF's market price is higher than its NAV, it's
trading at a premium, when it's lower, it's trading at a discount.
The spread between the premium or discount to the NAV represents a
potential cost to close out the paired ETF and its in-kind basket.
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As a result, NSCC is proposing to include as part of an impact
calculation, a measure of the latent liquidity for equity ETFs with in-
kind basket creation/redemption processes and a measure of the costs
associated with primary market arbitrage to more accurately assess the
impact costs relating to liquidating portfolios containing equity ETFs.
The proposed calculation would take into account liquidity in the
primary and secondary market for liquid equity ETFs with in-kind
creation/redemption processes, by comparing the market impact cost of
such equity ETFs based on a hypothetical liquidation in the primary
market and in the secondary market.
To determine the impact costs of a liquidation of equity ETFs with
in-kind baskets, NSCC would run the proposed MLA charge calculations
described above in two scenarios for portfolios that contain such ETFs
and compare the two calculations to determine the impact cost. NSCC
would run a baseline calculation (``Baseline Calculation'') to
[[Page 83997]]
simulate all the ETF positions being liquidated in the secondary market
and the impact cost calculation would be at the security level (i.e.,
the ETF shares) as liquid equities (as discussed above). NSCC would
also run an alternative calculation (``Create/Redeem Calculation'') to
simulate the ETF positions being liquidated in the primary market using
the creation/redemption process.
The Create/Redeem Calculation would be calculated in the following
steps:
One--the liquid equity ETFs eligible for in-kind create/redeem
process would be fully decomposed into (a) the corresponding underlying
baskets of the liquid equity ETFs and (b) pairs of such ETFs and their
corresponding underlying baskets;
Two--the decomposed underlying baskets and the residual securities
in the portfolio (i.e., the securities in the original portfolio that
are not ETFs eligible for in-kind create/redeem process) would be
netted at the security level;
Three--the impact cost on the portfolio from the second step would
be calculated assuming all the securities would be liquidated in the
secondary market and the impact costs would be calculated as described
above as if such securities are liquid equities;
Four--the impact cost calculated in the third step would be
adjusted by an amount to account for the portfolio risk difference \31\
from the netted securities from the second step to the original
portfolio;
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\31\ The original portfolio used in the Baseline Calculation and
the portfolio from step two would have different portfolio risks. As
a result, because such portfolios would contain different positions,
they would have different VaR Charges if calculated separately. The
VaR Charge of the original portfolio is a component of the MLA
charge calculation for the portfolio from step two. Step four would
adjust for those differences as part of the impact cost.
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Five--the impact cost for paired ETFs and their corresponding
underlying baskets would be calculated by multiplying the gross market
amount of the ETFs by a haircut representing the premium/discount,\32\
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\32\ The haircut is calculated as an estimate of the cost of
closing out the ETFs and underlying pairs using the create/redeem
process. The haircut is a model parameter and will be reviewed at
least monthly in accordance with the model risk management
governance procedures set forth in the model Risk Management
Framework. See supra note 17.
---------------------------------------------------------------------------
Six--the impact costs from step four and step five would be added
together.
NSCC would then use the smaller calculated impact costs of either
the Baseline Calculation or the Create/Redeem Calculation for purposes
of calculating the MLA charge.
(iii) Proposed Changes to MLA Charge Description With Respect to SFT
Positions
Rule 56 describes the SFT Clearing Service and contains a
description of how the Clearing Fund formula is calculated with respect
to SFT Positions, including how such positions are calculated with
respect to the MLA charge.\33\ The proposed rule change would update
the language relating to the MLA charge to clarify how NSCC would
calculate the MLA charge with respect to SFT Positions for transparency
and to reflect the proposed MLA charge refinements. NSCC would clarify
how SFT Positions would be categorized for purposes of the MLA charge
by replacing language stating that SFT Positions are ``aggregated
with'' Net Unsettled Positions in the same asset group or subgroup with
language that clarifies that SFT Positions would be categorized in the
same asset groups or subgroups as the underlying SFT Securities in such
SFT Positions. NSCC would also clarify language discussing an added
calculation relating to the MLA charge in the event a Member's
portfolio contains both (i) SFT Positions and (ii) Net Unsettled
Positions or Net Balance Order Unsettled Positions. The language in
Rule 56 relating to the added calculation for SFT positions does not
reference Net Balance Order Unsettled Positions which are treated in
the same manner as Net Unsettled Positions for purposes of the added
calculation when a portfolio contains both (i) SFT Positions and (ii)
Net Unsettled Positions or Net Balance Order Unsettled Positions. The
proposed language would add a reference to Net Balance Order Unsettled
Positions. The clarifying changes to reference that SFT Positions would
be categorized in the same asset group as their underlying SFT
Securities and to reference Net Balance Order Unsettled Positions in
the added calculation language would not change how NSCC would
calculate the MLA charge with respect to SFT positions and are
clarifications only.
---------------------------------------------------------------------------
\33\ See Rule 56 (Securities Financing Transaction Clearing
Service) of the Rules, supra note 3.
---------------------------------------------------------------------------
NSCC is also proposing to add a sentence in Sections I(A)(1)(g) and
I(A)(2)(f) of Procedure XV of the Rules clarifying that if a Member's
portfolio contains both (i) SFT Positions and (ii) Net Unsettled
Positions or Net Balance Order Unsettled Positions, the MLA charge
shall be calculated as set forth in Rule 56.
(iv) Proposed Changes to NSCC Rules
The proposal described above would be implemented into Sections
I(A)(1)(g) and I(A)(2)(f) of Procedure XV of the Rules.\34\ These
sections would be amended to move all ETP categories as subgroups in
the equities asset group other than ETPs that are deemed to be Illiquid
Securities, which would be categorized as Illiquid Securities. A
footnote in each of these sections would be added to the ``all other
ETPs'' category to clarify that ETPs with underlying securities
separately categorized in an equities asset subgroup would be
categorized by the asset types and capitalizations of their underlying
securities, and that ETPs that are deemed Illiquid Securities would be
categorized in the Illiquid Securities asset group.
---------------------------------------------------------------------------
\34\ See Sections I(A)(1)(g) and I(A)(2)(f) of Procedure XV of
the Rules, supra note 3.
---------------------------------------------------------------------------
NSCC would also add language in Sections I(A)(1)(g) and I(A)(2)(f)
of Procedure XV stating that the impact cost for ETFs with in-kind
baskets would include calculations comparing impact costs in the
secondary market and the primary market for such equity ETFs, as
discussed above. NSCC would indicate that it would calculate impact
costs in two scenarios: (1) a baseline calculation to simulate such
ETFs being liquidated in the secondary market where the impact costs
would be calculated at the security level (i.e., the ETF shares)
utilizing the equities asset subgroup security level and (2) a create/
redeem calculation to simulate an authorized participant using the
primary market to liquidate such ETFs using the creation/redemption
process. The proposed language would include a description of the how
the impact costs for the create/redeem calculation would be calculated
by decomposing the ETFs into their underlying securities and
calculating impact costs of such underlying securities utilizing the
equity asset subgroup calculations (as discussed above). The proposed
language would also state that an adjustment would be made in the
create/redeem calculation to reflect the different portfolio risks of
the original portfolio used in the baseline calculation and the
decomposed portfolio used in the create/redeem calculation. The
proposed language would provide that NSCC would then use the smaller
calculated impact costs of the scenarios for purposes of the MLA charge
for such ETFs.
Sections I(A)(1)(g) and I(A)(2)(f) of Procedure XV would be
restructured to reflect that the market impact calculation for
securities in the equities
[[Page 83998]]
asset group would be calculated at the security level rather than the
subgroup level, as discussed above. As a result of this change, the
current component that measures the concentration of each Net Unsettled
Position in a subgroup would be removed from Sections I(A)(1)(g)(i)(4)
and I(A)(2)(f)(i)(4) of Procedure XV. References to subgroup
calculations would also be removed in applicable provisions, including
the provisions relating to comparing the calculated market impact cost
at the subgroup level to the volatility charge applicable to the Net
Unsettled Positions and an applicable MLA charge at the subgroup level
and a sentence that states that all MLA charges for each of the
equities subgroups shall be added together to result in one MLA charge
for the equities subgroup. In addition, references to subgroups with
respect to calculations relating to asset groups other than the
equities asset group currently in Sections I(A)(1)(g)(ii) and
I(A)(2)(f)(ii) (i.e., references to the treasury ETP and other ETP
subgroups) would be removed since those would be calculated as part of
the equities asset group, as discussed above.
NSCC would add language to clarify that for each Member, all MLA
charges for each of the asset groups shall be added together to result
in a total MLA charge.
The description of the MLA charge with respect to SFT Positions
would be updated in Rule 56 and Sections I(A)(1)(g) and I(A)(2)(f) of
Procedure XV would be updated to reference Rule 56, as described above.
(v) Implementation Timeframe
NSCC would implement the proposed rule change no later than 90
Business Days after the approval of the proposed rule change by the
Commission. NSCC would announce the effective date of the proposed rule
change by Important Notice posted to its website.
2. Statutory Basis
NSCC believes 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, NSCC
believes the proposed changes are consistent with section 17A(b)(3)(F)
of the Act,\35\ and Rules 17Ad-22(e)(4)(i) and (e)(6)(i), each
promulgated under the Act,\36\ for the reasons described below.
---------------------------------------------------------------------------
\35\ 15 U.S.C. 78q-1(b)(3)(F).
\36\ 17 CFR 240.17Ad-22(e)(4)(i) and (e)(6)(i).
---------------------------------------------------------------------------
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 change to
enhance the MLA charge is designed to assure the safeguarding of
securities and funds which are in NSCC's custody or control or for
which it is responsible because such change is designed to more
accurately calculate the market impact costs to NSCC of liquidating a
Member's portfolio in the event of that Member's default. Specifically,
the proposed enhancements to the MLA charge would allow NSCC to collect
sufficient financial resources to cover the exposure that NSCC may face
regarding increased market impact costs in liquidating Net Unsettled
Positions in a particular group of securities with a similar risk
profile or in a particular asset type that are not captured by the
volatility charge. The proposed enhancements would result in a more
accurate calculation of the impact costs of liquidating a security/
portfolio by moving all ETPs (except for Illiquid Securities) into the
equities asset group and adding a calculation for latent liquidity for
equity ETFs and therefore improve NSCC's ability to address the market
impact costs of liquidating a defaulted Member's portfolio that may
increase when that portfolio includes large Net Unsettled Positions in
a particular group of securities with a similar risk profile or in
particular asset groups.
---------------------------------------------------------------------------
\37\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------
The Clearing Fund is a key tool that NSCC uses to mitigate
potential losses to NSCC associated with liquidating a Member's
portfolio in the event of Member default. Therefore, the proposed
change to enhance the MLA charge would enable NSCC to better address
the increased market impact costs of liquidating Net Unsettled
Positions, in particular securities with risk profiles dependent on the
particular trading market of the security, such that, in the event of
Member default, NSCC's operations would not be disrupted, and non-
defaulting Members would not be exposed to losses they cannot
anticipate or control. In this way, the proposed rule change to enhance
the MLA charge is designed to assure the safeguarding of securities and
funds which are in the custody or control of NSCC or for which it is
responsible, consistent with section 17A(b)(3)(F) of the Act.\38\
---------------------------------------------------------------------------
\38\ Id.
---------------------------------------------------------------------------
NSCC also believes the proposed changes to provide transparency to
the Rules by updating the language relating to how the MLA charge is
calculated with respect to SFT Positions are consistent with the
requirements of section 17A(b)(3)(F) of the Act.\39\ Specifically, by
enhancing the transparency of the Rules, the proposed changes would
allow Members to more efficiently and effectively conduct their
business in accordance with the Rules, which NSCC believes would
promote the prompt and accurate clearance and settlement of securities
transactions.
---------------------------------------------------------------------------
\39\ Id.
---------------------------------------------------------------------------
Rule 17Ad-22(e)(4)(i) under the Act requires that NSCC establish,
implement, maintain and enforce written policies and procedures
reasonably designed to effectively identify, measure, monitor, and
manage its credit exposures to participants and those arising from its
payment, clearing, and settlement processes, including by maintaining
sufficient financial resources to cover its credit exposure to each
participant fully with a high degree of confidence.\40\
---------------------------------------------------------------------------
\40\ 17 CFR 240.17Ad-22(e)(4)(i).
---------------------------------------------------------------------------
As described above, NSCC believes that the proposed changes would
enable it to better identify, measure, monitor, and, through the
collection of Members' Required Fund Deposits, manage its credit
exposures to Members by maintaining sufficient financial resources to
cover those credit exposures fully with a high degree of confidence.
Specifically, NSCC believes that the proposed enhancements to the
MLA charge would effectively mitigate the risks related to large Net
Unsettled Positions of securities in the equities asset group within a
portfolio and would address the potential increased risks NSCC may face
related to its ability to liquidate such positions in the event of a
Member default. The proposed enhancements would result in a more
accurate calculation of the impact costs of liquidating a security/
portfolio by moving all ETPs (except for Illiquid Securities) into the
equities asset group and adding a calculation for latent liquidity for
equity ETFs and therefore improve NSCC's ability to address the market
impact costs of liquidating a defaulted Member's portfolio that may
increase when that portfolio includes large Net Unsettled Positions in
a particular group of securities with a similar risk profile or in
particular asset groups.
Therefore, NSCC believes that the proposal would enhance NSCC's
ability to effectively identify, measure and monitor its credit
exposures and would enhance its ability to maintain sufficient
financial resources to cover its credit exposure to each participant
fully with
[[Page 83999]]
a high degree of confidence. As such, NSCC believes the proposed
changes are consistent with Rule 17Ad-22(e)(4)(i) under the Act.\41\
---------------------------------------------------------------------------
\41\ Id.
---------------------------------------------------------------------------
Rule 17Ad-22(e)(6)(i) under the Act requires that NSCC establish,
implement, maintain and enforce written policies and procedures
reasonably designed to cover its credit exposures to its participants
by establishing a risk-based margin system that, at a minimum,
considers, and produces margin levels commensurate with, the risks and
particular attributes of each relevant product, portfolio, and
market.\42\
---------------------------------------------------------------------------
\42\ 17 CFR 240.17Ad-22(e)(6)(i).
---------------------------------------------------------------------------
Required Fund Deposits are made up of risk-based components (as
margin) that are calculated and assessed daily to limit NSCC's credit
exposures to Members, including the VaR Charge. NSCC's proposed change
to enhance the MLA charge is designed to more effectively address the
risks presented by Net Unsettled Positions in the proposed equities
asset group, including equity ETFs with in-kind creation/redemption
processes. NSCC believes the enhancements of the MLA charge would
enable NSCC to assess a more appropriate level of margin that accounts
for these risks. The proposed enhancements would result in a more
accurate calculation of the impact costs of liquidating a security/
portfolio by moving all ETPs (except for Illiquid Securities) into the
equities asset group and adding a calculation for latent liquidity for
equity ETFs and therefore improve NSCC's ability to address the market
impact costs of liquidating a defaulted Member's portfolio that may
increase when that portfolio includes large Net Unsettled Positions in
a particular group of securities with a similar risk profile or in
particular asset groups. This proposed change is designed to assist
NSCC in maintaining a risk-based margin system that considers, and
produces margin levels commensurate with, the risks and particular
attributes of portfolios that contain large Net Unsettled Positions in
the same asset group and may be more difficult to liquidate in the
event of a Member default. Therefore, NSCC believes the proposed rule
change is consistent with Rule 17Ad-22(e)(6)(i) under the Act.\43\
---------------------------------------------------------------------------
\43\ Id.
---------------------------------------------------------------------------
(B) Clearing Agency's Statement on Burden on Competition
NSCC does not believe the proposed changes to provide transparency
to the Rules by updating the language relating to how the MLA charge is
calculated with respect to SFT Positions would impact competition.
These proposed rule changes would merely enhance the transparency of
the Rules. Therefore, this proposed changes would not affect NSCC's
operations or the rights and obligations of Members. As such, NSCC
believes this proposed rule change to improve the transparency of the
Rules would not have any impact on competition.
NSCC believes that the proposed changes to refine the MLA charge
calculation could have an impact on competition. Specifically, NSCC
believes the proposed changes could burden competition because they
would result in larger Required Fund Deposit amounts for Members when
the additional MLA charges are applicable and result in Required Fund
Deposits that are greater than the amounts calculated pursuant to the
current formula. However, NSCC believes any burden on competition that
may result from the proposed rule change would be necessary and
appropriate in furtherance of the purposes of the Act,\44\ for the
reasons described below.
---------------------------------------------------------------------------
\44\ 15 U.S.C. 78q-1(b)(3)(I).
---------------------------------------------------------------------------
When the proposal results in a larger Required Fund Deposit, the
proposed change could burden competition for Members that have lower
operating margins or higher costs of capital compared to other Members.
However, the increase in Required Fund Deposit would be in direct
relation to the specific risks presented by each Member's Net Unsettled
Positions, and each Member's Required Fund Deposit would continue to be
calculated with the same parameters and at the same confidence level
for each Member. Therefore, Members that present similar Net Unsettled
Positions, regardless of the type of Member, would have similar impacts
on their Required Fund Deposit amounts. As such, NSCC believes that any
burden on competition imposed by the proposed changes would be both
necessary and appropriate in furtherance of NSCC's efforts to mitigate
risks and meet the requirements of the Act, as described in this filing
and further below.
NSCC believes the above described burden on competition that may be
created by the proposed enhancements to the MLA charge would be
necessary in furtherance of the Act, specifically section 17A(b)(3)(F)
of the Act.\45\ As stated above, the proposed enhancements to the MLA
charge are designed to more effectively address the market impact costs
to NSCC of liquidating a Member portfolio in the event of the Member's
default. Specifically, the proposed enhancements to the MLA charge
would allow NSCC to collect sufficient financial resources to cover the
exposure that NSCC may face regarding increased market impact costs in
liquidating Net Unsettled Positions that are not captured by the
volatility charge. Therefore, NSCC believes this proposed change is
consistent with the requirements of section 17A(b)(3)(F) of the Act,
which requires that the Rules be designed to assure the safeguarding of
securities and funds that are in NSCC's custody or control or for which
it is responsible.\46\
---------------------------------------------------------------------------
\45\ 15 U.S.C. 78q-1(b)(3)(F).
\46\ Id.
---------------------------------------------------------------------------
NSCC believes these proposed changes would also support NSCC's
compliance with Rules 17Ad-22(e)(4)(i) and (e)(6)(i) under the Act,
which require NSCC to establish, implement, maintain and enforce
written policies and procedures reasonably designed to (x) effectively
identify, measure, monitor, and manage its credit exposures to
participants and those arising from its payment, clearing, and
settlement processes, including by maintaining sufficient financial
resources to cover its credit exposure to each participant fully with a
high degree of confidence; and (y) cover its credit exposures to its
participants by establishing a risk-based margin system that, at a
minimum, considers, and produces margin levels commensurate with, the
risks and particular attributes of each relevant product, portfolio,
and market.\47\
---------------------------------------------------------------------------
\47\ 17 CFR 240.17Ad-22(e)(4)(i) and (e)(6)(i).
---------------------------------------------------------------------------
As described above, the enhancements to the MLA charge would allow
NSCC to employ a risk-based methodology that would better address the
increased market impact costs that NSCC could face when liquidating Net
Unsettled Positions in particular securities. Therefore, NSCC believes
the proposed changes would better limit NSCC's credit exposures to
Members, consistent with the requirements of Rules 17Ad-22(e)(4)(i) and
(e)(6)(i) under the Act.\48\
---------------------------------------------------------------------------
\48\ Id.
---------------------------------------------------------------------------
The proposed enhancements to the MLA charge would also enable NSCC
to produce margin levels more commensurate with the risks and
particular attributes of each Member's portfolio by measuring the
increased market impact costs that NSCC may face when liquidating a
defaulted Member's portfolio that includes Net Unsettled Positions in
particular securities. Therefore, because the proposed
[[Page 84000]]
changes are designed to provide NSCC with an appropriate measure of the
risks related to market impact costs presented by Members' portfolios,
NSCC believes the proposal is appropriately designed to meet NSCC's
risk management goals and its regulatory obligations.
NSCC believes that it has designed the proposed changes in an
appropriate way in order to meet compliance with its obligations under
the Act. Specifically, the proposal would improve the risk-based
margining methodology that NSCC employs to set margin requirements and
better limit NSCC's credit exposures to its Members. Therefore, as
described above, NSCC believes the proposed changes are necessary and
appropriate in furtherance of NSCC's obligations under the Act,
specifically section 17A(b)(3)(F) of the Act,\49\ and Rules 17Ad-
22(e)(4)(i) and (e)(6)(i) under the Act.\50\
---------------------------------------------------------------------------
\49\ 15 U.S.C. 78q-1(b)(3)(F).
\50\ 17 CFR 240.17Ad-22(e)(4)(i) and (e)(6)(i).
---------------------------------------------------------------------------
(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. 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 <a href="http://www.sec.gov/regulatory-actions/how-to-submit-comments">www.sec.gov/regulatory-actions/how-to-submit-comments</a>. General questions regarding
the rule filing process or logistical questions regarding this filing
should be directed to the Main Office of the Commission's Division of
Trading and Markets at <a href="/cdn-cgi/l/email-protection#06727467626f68616768626b67746d6372754675636528616970"><span class="__cf_email__" data-cfemail="bcc8ceddd8d5d2dbddd2d8d1ddced7d9c8cffccfd9df92dbd3ca">[email protected]</span></a> or 202-551-5777.
NSCC reserves the right to not respond to any comments received.
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 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.
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
<bullet> Use the Commission's internet comment form (<a href="https://www.sec.gov/rules/sro.shtml">https://www.sec.gov/rules/sro.shtml</a>); or
<bullet> Send an email to <a href="/cdn-cgi/l/email-protection#f587809990d8969a9898909b8186b5869096db929a83"><span class="__cf_email__" data-cfemail="740601181159171b1919111a0007340711175a131b02">[email protected]</span></a>. Please include
file number SR-NSCC-2023-011 on the subject line.
Paper Comments
<bullet> 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-2023-011. 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 (<a href="https://www.sec.gov/rules/sro.shtml">https://www.sec.gov/rules/sro.shtml</a>). 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
a.m. and 3 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 (<a href="https://dtcc.com/legal/sec-rule-filings.aspx">https://dtcc.com/legal/sec-rule-filings.aspx</a>). 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-NSCC-2023-011 and should be submitted on
or before December 22, 2023.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\51\
---------------------------------------------------------------------------
\51\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
Christina Z. Milnor,
Assistant Secretary.
[FR Doc. 2023-26390 Filed 11-30-23; 8:45 am]
BILLING CODE 8011-01-P
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This is legal information, not legal advice. Laws vary by jurisdiction and change frequently. Always verify current law with official sources and consult a licensed attorney in your jurisdiction for advice on your specific situation.