Notice2026-04508
Self-Regulatory Organizations; National Securities Clearing Corporation; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Amend the Clearing Agency Stress Testing Framework
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Published
March 9, 2026
Issuing agencies
Securities and Exchange Commission
Full Text
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<title>Federal Register, Volume 91 Issue 45 (Monday, March 9, 2026)</title>
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[Federal Register Volume 91, Number 45 (Monday, March 9, 2026)]
[Notices]
[Pages 11358-11362]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[FR Doc No: 2026-04508]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-104924; File No. SR-NSCC-2026-003]
Self-Regulatory Organizations; National Securities Clearing
Corporation; Notice of Filing and Immediate Effectiveness of a Proposed
Rule Change To Amend the Clearing Agency Stress Testing Framework
March 4, 2026.
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 February 25, 2026, 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.
NSCC 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
[[Page 11359]]
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 Stress Testing Framework (``Framework'') of NSCC and its
affiliates, The Depository Trust Company (``DTC'') and Fixed Income
Clearing Corporation (``FICC,'' and together with NSCC and DTC, the
``Clearing Agencies'').\5\
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\5\ Capitalized terms not defined herein shall have the meaning
assigned to such terms in each of the Clearing Agencies' respective
rules, available at <a href="http://www.dtcc.com/legal/rules-and-procedures">www.dtcc.com/legal/rules-and-procedures</a>.
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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, including through the use of stress testing.\6\ The Clearing
Agencies adopted the 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 their
credit exposures to each participant fully with a high degree of
confidence and testing the sufficiency of those prefunded financial
resources through stress testing.\7\ In this way, the Framework
describes the stress testing activities of each of the Clearing
Agencies and how the Clearing Agencies meet the applicable requirements
of Rules 17ad-22(e)(4) and (7) under the Act.
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\6\ See 17 CFR 240.17ad-22(e)(4) and (7).
\7\ 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).
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Rule 17ad-22(e)(3)(ii) under the Act requires the Clearing Agencies
to, in short, establish, implement and maintain plans for the recovery
and orderly wind-down of the covered clearing agency necessitated by
credit losses, liquidity shortfalls, losses from general business risk,
or any other losses.\8\ The Clearing Agencies' plans for recovery and
orderly wind-down (``Recovery & Wind-down Plans'' or ``RWPs'') are
intended to be used by the respective Boards of Directors and
management in the event a Clearing Agency encounters scenarios that
could potentially prevent it from being able to provide its core
services as a going concern. The RWPs are managed by the Office of
Recovery & Resolution Planning (referred to in the RWPs as the ``R&R
Team'') of the Clearing Agencies' parent company, The Depository Trust
& Clearing Corporation (``DTCC''),\9\ on behalf of each Clearing
Agency, with review and oversight by the DTCC Executive Committee and
the Clearing Agencies' respective Boards of Directors.
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\8\ See 17 CFR 240.17ad-22(e)(3)(ii).
\9\ DTCC operates on a shared service model with respect to NSCC
and its other affiliated clearing agencies, DTC and FICC. Most
corporate functions are established and managed on an enterprise-
wide basis pursuant to intercompany agreements under which it is
generally DTCC that provides relevant services to the Clearing
Agencies.
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In November 2024, the Commission adopted new Rule 17ad-26 under the
Act (``Rule 17ad-26''),\10\ which sets forth additional standards for
the Recovery & Wind-down Plans required to be maintained by Rule 17ad-
22(e)(3)(ii) under the Act. Rule 17ad-26(a)(3) specifically requires
that the RWPs identify and describe scenarios that may potentially
prevent the covered clearing agency from being able to provide its core
services as a going concern, including uncovered credit losses,
uncovered liquidity shortfalls, and general business losses.\11\
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\10\ 17 CFR 240.17ad-26. See Covered Clearing Agency Resilience
and Recovery and Orderly Wind-down Plans, Securities Exchange Act
Release No. 101446 (Oct. 25, 2024), 89 FR 91000 (Nov. 18, 2024) (S7-
10-23).
\11\ See 17 CFR 240.17ad-26(a)(3).
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On June 10, 2025, the Commission approved proposed rule changes by
the Clearing Agencies to amend their respective RWPs to, among other
things, identify and describe scenarios that may potentially prevent
each Clearing Agency from being able to provide its core services as a
going concern.\12\ Such scenarios include uncovered credit losses,
uncovered liquidity shortfalls and general business losses as required
by Rule 17ad-26(a)(3). The scenarios identified in the RWPs (``RWP
Scenarios'') primarily leverage the Clearing Agencies' existing stress
testing methodology.
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\12\ See Securities Exchange Act Release No. 103221 (June 10,
2025), 90 FR 25414 (June 16, 2025) (File Nos. SR-DTC-2025-007, SR-
FICC-2025-010, SR-NSCC-2025-007).
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Proposed Changes
Proposed Changes Related to RWP Scenarios
The Clearing Agencies propose to amend the Framework to provide
additional clarity regarding the role of the Framework and stress
testing team (``Stress Testing Team'') in supporting the R&R Team in
identifying and describing scenarios that may potentially prevent the
covered clearing agency from being able to provide its core services,
as required under Rule 17ad-26.
The Clearing Agencies propose to revise the Executive Summary of
the Framework to provide that the Framework sets forth the manner in
which the Stress Testing Team supports the Recovery & Wind-down Plans
in identifying and describing scenarios that may potentially prevent
the covered clearing agency from being able to provide its core
services, as required under Rule 17ad-26. The Executive Summary would
also be revised to note the applicability of Rule 17ad-26(a)(3) and RWP
Scenarios to various sections of the Framework.
The Clearing Agencies would also revise the Market Risk Stress
Testing Requirements section of the Framework (which would be renamed
to Stress Testing Requirements) to summarize the newly applicable
requirements under Rule 17ad-26(a)(3) for each Clearing Agency to
identify and describe scenarios that may potentially prevent the
covered clearing agency from being able to provide its core services.
The proposed rule change would further provide that the Framework
describes (i) the manner in which the Clearing Agencies determine
inputs and assumptions and associated loss amounts for the uncovered
credit loss and uncovered liquidity shortfall scenarios identified and
described in the RWPs and (ii) the role of the Stress Testing Team in
supporting the R&R Team in identifying and describing the general
business loss scenarios used in the RWPs.\13\ The proposed rule change
[[Page 11360]]
would also clarify that the remaining elements of Rule 17ad-26 as they
relate to RWPs are out of scope for the Framework as they identify
additional requirements unrelated to scenarios that are described in
each Clearing Agency's RWP.
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\13\ As described below, the Stress Testing Team leverages the
Clearing Agencies' existing stress testing methodologies to identify
scenario assumptions and inputs to be used in the RWP Scenarios.
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The Clearing Agencies also propose to add a new section to the
Framework titled Recovery and Wind-down to provide background context
on the RWPs. For example, the proposed rule change would explain how
the RWPs are intended to be used by the Boards of Directors and
management of the Clearing Agencies in the event that a Clearing Agency
encounters scenarios that could potentially prevent it from being able
to provide its core services as identified in compliance with Rule
17ad-26(a)(1) as a going concern, and that each RWP is designed as a
roadmap that collects and organizes, in one place, the tools and
related actions available to the Clearing Agency to address events that
may lead to recovery and/or wind-down.
The proposed new section would also reiterate the requirements of
Rule 17ad-26(a)(3) and describe how the Framework supports the RWPs in
identifying and describing scenarios that may potentially prevent the
covered clearing agency from being able to provide its core services.
Specifically, the proposed rule change would clarify that (i) the
Stress Testing Team is responsible for identifying, developing and
maintaining the assumptions and inputs that will be used to determine
uncovered credit loss and uncovered liquidity shortfall amounts that
may prevent each Clearing Agency from providing their core services as
a going concern; (ii) the Stress Testing Team will leverage existing
stress testing methodologies, as described in the Framework, to
identify scenario assumptions that may potentially prevent the covered
clearing agency from being able to provide its core services in
uncovered credit loss and uncovered liquidity shortfall scenarios; and
(iii) the loss amounts generated by the Stress Testing Team will be
provided to the R&R Team. The proposed rule change would further
clarify how the Stress Testing Team collaborates with the R&R Team and
other stakeholders in identifying and describing the general business
loss scenarios used in the RWPs and maintains such scenarios within its
inventory of informational stress scenarios. The proposed rule change
would also clarify that the tools and steps available to the Clearing
Agencies to address the losses sustained are subject to the Recovery &
Wind-down Plans and their subservient documentation.
The Clearing Agencies also propose to modify the Stress Testing
Methodologies section of the Framework to clarify that scenario
development for informational stress scenarios under the Framework also
includes those used for recovery and wind-down purposes. For example,
the proposed rule change would provide that the recovery and wind-down
scenarios are a subset of the Clearing Agencies' informational stress
scenarios and would include narratives to describe underlying events
and stresses generated by those events that could lead a Clearing
Agency to experience recovery and wind-down. The proposed rule change
would further clarify that the available financial and liquidity
resources are defined in the RWP of each Clearing Agency, and that the
R&R Team, in conjunction with other stakeholders, would be responsible
for identifying within the scenario the steps that the Clearing Agency
would be expected to take to address any losses sustained.
The Clearing Agencies would also update the Stress Testing
Methodologies section of the Framework to include general business
losses as an area of risk identification. The proposed rule change
would describe the term ``general business loss'' as being any other
type of loss event that is not a default loss (e.g., fraud, natural
disaster, cyber event, etc.) and is not separately covered by financial
resources held for the purposes of managing credit and liquidity risk.
The proposed rule change would further clarify that specific business
risks are identified through collaboration with the R&R Team, along
with other teams within the Clearing Agencies as needed.
Finally, the Clearing Agencies would modify the Stress Testing
Governance And Escalation Procedures section of the Framework to
clarify that the usage of the RWP Scenarios as part of the RWP is
governed by each of the Clearing Agencies' respective RWPs.
Other Clarifying, Cleanup and Organizational Changes
In addition to the proposed changes described above, the Clearing
Agencies propose other clarifying, conforming, cleanup and
organizational changes to the Framework to improve the accuracy and
clarity of the document. First, the proposed rule change would update
the Glossary of Key Terms in the Framework. Specifically, the proposed
rule change would modify the definition of the Enterprise Stress
Testing Committee (``ESTC'') to clarify that the ESTC's
responsibilities for stress testing-related issues, matters and/or
concerns at DTC, NSCC, and FICC are described in the ESTC's charter.
The Clearing Agencies would also add a defined term for ``Recovery &
Wind-down Plan'' to mean the plan for the recovery and orderly wind-
down of each Clearing Agency necessitated by credit losses, liquidity
shortfalls, losses from general business risk or any other losses,
adopted by each Clearing Agency pursuant to Rule 17ad-22(e)(3)(ii)
under the Act. The Clearing Agencies would also add a defined term for
``General Business Losses'' that would be aligned with the proposed
description of general business losses discussed above.
The Clearing Agencies also propose to remove a reference to the
DTCC Systemic Risk Office's role in designing hypothetical
macroeconomic scenarios for stress testing to reflect this team's more
limited role in the design process.
In addition, the proposed rule change would update the Framework to
include relevant citations to various rules under the Act and to
reflect their current numbering conventions. The proposed rule change
would also update references to the Framework within the document to
remove ``Market Risk'' from the title to reflect that the Framework
discusses more than just market risk scenarios and would update
references to various DTCC teams to more accurately reflect current
naming conventions and/or responsibilities. Finally, the proposed rule
change would make a number of non-substantive drafting clarifications
throughout the Framework to improve drafting, clarity and organization
of the document.
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 \14\ and Rule 17ad-26
under the Act \15\ for the reasons set forth below.
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\14\ 15 U.S.C. 78q-1(b)(3)(F).
\15\ 17 CFR 240.17ad-26.
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Section 17A(b)(3)(F) of the Act \16\ 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, to
assure the safeguarding
[[Page 11361]]
of securities and funds which are in the custody or control of the
clearing agency or for which it is responsible, and, in general, to
protect investors and the public interest. As described above, the RWPs
are used by the Boards of Directors and management of the Clearing
Agencies in the event the Clearing Agencies encounter scenarios that
could potentially prevent them from being able to provide core services
to the marketplace as a going concern. As part of recovery and wind-
down planning, the RWPs must identify and describe scenarios that may
potentially prevent the covered clearing agency from being able to
provide its core services as a going concern, which include uncovered
credit losses, uncovered liquidity shortfalls and general business
losses. The proposed rule change would update the Framework to provide
additional clarity regarding how the Framework and DTCC Stress Testing
Team support the development and maintenance of the RWP Scenarios that
are included in the Clearing Agencies' RWPs. The identification and
maintenance of RWP Scenarios are essential aspects of recovery and
wind-down planning in that they enable the Clearing Agencies to (i)
evaluate what is necessary to achieve a recovery and, in the event that
recovery fails, ensuring the orderly wind-down of the Clearing Agency
and transfer of core services to a new entity and (ii) make reasonable
and appropriate preparations to achieve a recovery or orderly wind-
down. By facilitating the continuity of the Clearing Agencies' core
clearance and settlement services under such scenarios, the Clearing
Agencies believe the RWPs and the proposed rule change would continue
to promote the prompt and accurate clearance and settlement of
securities transactions and the safeguarding of securities and funds
during the recovery and wind-down process. The Clearing Agencies
therefore believe the proposed rule change would promote the prompt and
accurate clearance and settlement of securities transactions, the
safeguarding of securities and funds which are in the custody or
control of the Clearing Agencies or for which they are responsible, and
the protection of investors and the public interest in accordance with
the requirements of Section 17A(b)(3)(F) of the Act.
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\16\ 15 U.S.C. 78q-1(b)(3)(F).
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Rule 17ad-26 under the Act \17\ sets forth additional standards for
the Recovery & Wind-down Plans required to be maintained by the
Clearing Agencies by Rule 17ad-22(e)(3)(ii) under the Act. Rule 17ad-
26(a)(3) \18\ specifically requires that the RWPs identify and describe
scenarios that may potentially prevent the covered clearing agency from
being able to provide its core services as a going concern, including
uncovered credit losses, uncovered liquidity shortfalls, and general
business losses. The proposed rule change would update the Framework to
provide additional clarity regarding how the Framework and DTCC Stress
Testing Team support the development and maintenance of RWP Scenarios
that are included in the Clearing Agencies' RWPs. The Clearing Agencies
therefore believe the proposed changes to the Framework would
facilitate the identification and description of scenarios that may
potentially prevent the covered clearing agency from being able to
provide its core services as a going concern, including uncovered
credit losses, uncovered liquidity shortfalls, and general business
losses, in accordance with Rule 17ad-26(a)(3) under the Act.
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\17\ See 17 CFR 240.17ad-26.
\18\ See 17 CFR 240.17ad-26(a)(3).
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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 \19\ and Rule 17ad-26 thereunder.\20\
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\19\ 15 U.S.C. 78q-1(b)(3)(F).
\20\ 17 CFR 240.17ad-26.
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(B) Clearing Agency's Statement on Burden on Competition
Section 17A(b)(3)(I) of Act \21\ requires that the rules of a
clearing agency do not impose any burden on competition not necessary
or appropriate in furtherance of the purposes of the Act. The proposed
rule change is primarily designed to update the Framework to (i)
summarize the role of the Clearing Agencies' existing RWPs and the
newly applicable requirements for RWP Scenario identification and
description under Rule 17ad-26(a)(3) and (ii) provide additional
clarity regarding how the Framework and DTCC Stress Testing Team
support the development and maintenance of the Clearing Agencies' RWP
Scenarios. As described above, the Stress Testing Team would leverage
existing stress testing methodologies described in the Framework to
identify scenario assumptions, inputs and associated loss amounts to be
used for the Clearing Agencies' RWP Scenarios. The RWP Scenarios are
currently maintained under the Clearing Agencies' existing RWPs, which
have been approved by the Commission.\22\ The RWPs, including the
scenarios addressed therein, support the continuity of each Clearing
Agency's core services and enable participants to maintain access to
each Clearing Agency's services in the event that the RWPs are ever
triggered by their respective Boards of Directors. The Framework and
its support of the RWPs are not designed to 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.
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\21\ 15 U.S.C. 78q-1(b)(3)(I).
\22\ See supra note 12.
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(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 <a href="http://www.sec.gov/rules-regulations/how-submit-comment">www.sec.gov/rules-regulations/how-submit-comment</a>. 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 <a href="/cdn-cgi/l/email-protection#75010714111c1b12141b111814071e100106350610165b121a03"><span class="__cf_email__" data-cfemail="06727467626f68616768626b67746d6372754675636528616970">[email protected]</span></a> 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
[[Page 11362]]
may designate, it has become effective pursuant to Section 19(b)(3)(A)
of the Act \23\ and Rule 19b-4(f)(6) thereunder.\24\
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\23\ 15 U.S.C. 78s(b)(3)(A).
\24\ 17 CFR 240.19b-4(f)(6).
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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
<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#4735322b226a24282a2a222933340734222469202831"><span class="__cf_email__" data-cfemail="d8aaadb4bdf5bbb7b5b5bdb6acab98abbdbbf6bfb7ae">[email protected]</span></a>. Please include
file number SR-NSCC-2026-003 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-2026-003. 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 filing 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-2026-003 and should be submitted on or
before March 30, 2026.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\25\
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\25\ 17 CFR 200.30-3(a)(12).
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Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2026-04508 Filed 3-6-26; 8:45 am]
BILLING CODE 8011-01-P
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