[Federal Register Volume 85, Number 102 (Wednesday, May 27, 2020)]
[Notices]
[Pages 31828-31832]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2020-11285]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-88911; File Nos. SR-DTC-2020-008; SR-FICC-2020-004; SR-
NSCC-2020-008]


Self-Regulatory Organizations; The Depository Trust Company; 
Fixed Income Clearing Corporation; National Securities Clearing 
Corporation; Order Approving a Proposed Rule Change To Modify the 
Clearing Agency Model Risk Management Framework

May 20, 2020.
    On April 10, 2020, The Depository Trust Company (``DTC''), Fixed 
Income Clearing Corporation (``FICC''), and National Securities 
Clearing Corporation (``NSCC,'' each a ``Clearing Agency,'' and 
collectively, the ``Clearing

[[Page 31829]]

Agencies''), filed with the Securities and Exchange Commission 
(``Commission'') proposed rule changes SR-DTC-2020-008; SR-FICC-2020-
004; SR-NSCC-2020-008, respectively, pursuant to Section 19(b)(1) of 
the Securities Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4 
thereunder.\2\ The proposed rule changes were published for comment in 
the Federal Register on April 21, 2020,\3\ and the Commission received 
no comment letters regarding the changes proposed in the proposed rule 
changes. For the reasons discussed below, the Commission is approving 
the proposed rule changes.\4\
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ Securities Exchange Act Release No. 88640 (April 15, 2020), 
85 FR 22191 (April 21, 2020) (``DTC Notice of Filing''); Securities 
Exchange Act Release No. 88636 (April 15, 2020), 85 FR 22228 (April 
21, 2020) (``FICC Notice of Filing''); Securities Exchange Act 
Release No. 88637 (April 15, 2020), 85 FR 22222 (April 21, 2020) 
(``NSCC Notice of Filing'').
    \4\ Capitalized terms not defined herein are defined in the DTC 
Rules, GSD Rules, MBSD Rules, or NSCC Rules, as applicable, 
available at http://dtcc.com/legal/rules-and-procedures.
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I. Description of the Proposed Rule Change

A. Background

    Each Clearing Agency has established a Model Risk Management 
Framework (``Framework'') \5\ to help it identify, measure, monitor, 
and manage the risks associated with the design, development, 
implementation, use, and validation of quantitative models.\6\ Pursuant 
to the Framework, a model developed for use by any of the Clearing 
Agencies and meeting the above definition for the term ``model'' is 
included and tracked within a model inventory (``Model Inventory'') 
maintained by DTCC's Model Validation and Control Unit (``MVC''), which 
is part of the Group Chief Risk Office. The parent company of the 
Clearing Agencies is The Depository Trust & Clearing Corporation 
(``DTCC''). DTCC operates on a shared services model with respect to 
the Clearing Agencies. Most corporate functions are established and 
managed on an enterprise-wide basis pursuant to intercompany agreements 
under which it is generally DTCC that provides a relevant service to a 
Clearing Agency.
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    \5\ See Securities Exchange Act Release No. 81485 (August 25, 
2017), 82 FR 41433 (August 31, 2017) (File Nos. SR-DTC-2017-008; SR-
FICC-2017-014; SR-NSCC-2017-008) (``2017 Framework Order''). The 
proposed rule changes do not require any changes to (1) the Rules, 
By-Laws and Organization Certificate of DTC (``DTC Rules''), (2) the 
Rulebook of the Government Securities Division of FICC (``GSD 
Rules''), (3) the Clearing Rules of the Mortgage-Backed Securities 
Division of FICC (``MBSD Rules''), or (4) the Rules & Procedures of 
NSCC (``NSCC Rules''), as the Framework is a standalone document.
    \6\ See 2017 Framework Order, 82 FR at 41433. ``[M]odel'' refers 
to a quantitative method, system, or approach that applies 
statistical, economic, financial, or mathematical theories, 
techniques, and assumptions to process input data into quantitative 
estimates. A ``model'' consists of three components: An information 
input component, which delivers assumptions and data to the model; a 
processing component, which transforms inputs into estimates; and a 
reporting component, which translates the estimates into useful 
business information. The definition of ``model'' also covers 
quantitative approaches whose inputs are partially or wholly 
qualitative or based on expert judgment, provided that the output is 
quantitative in nature. See DTC Notice of Filing, 82 FR at 22192; 
FICC Notice of Filing, 82 FR at 22228; NSCC Notice of Filing, 82 FR 
at 22222.
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    The proposed rule changes would amend the Framework to (i) modify 
certain roles and governance arrangements set forth within the 
Framework, (ii) incorporate a description of and references to the 
``Model Risk Tolerance Statement,'' and (iii) make other technical and 
clarifying changes to the text of the Framework, as described below.

B. Modification of Roles and Governance Arrangements

1. Role and Reporting Lines of the Model Owner, MVC, and MRC
    Section 3.1 of the Framework describes how models are developed for 
use by any of the Clearing Agencies and tracked within the Model 
Inventory.\7\ In particular, the Framework currently describes a 
``Model Owner'' \8\ as the person responsible for the development or 
operation of a model being validated by MVC. The proposal would define 
a Model Owner as the person who is designated by the applicable 
business area or support function to be responsible for a particular 
model and who is recorded as the Model Owner for such model by MVC in 
the Model Inventory.
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    \7\ See DTC Notice of Filing, 82 FR at 22192; FICC Notice of 
Filing, 82 FR at 22228; NSCC Notice of Filing, 82 FR at 22223.
    \8\ See 2017 Framework Order, 82 FR at 41434.
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    Currently, the Framework states that the Executive Director of MVC 
reports to the Group Chief Risk Officer rather than to any Model Owner. 
The proposal would change the title of the head of MVC from an 
Executive Director to Managing Director at each Clearing Agency to 
reflect that a more senior officer of the Clearing Agencies would be 
responsible for supervising MVC.\9\ The proposal would also clarify 
that the head of MVC reports to the Group Chief Risk Officer rather 
than to anyone that could be a Model Owner (i.e., anyone who develops 
and operates a model and not only personnel who are currently Model 
Owners). The Clearing Agencies represent that this change is to make 
clear that MVC has an independent reporting line to the Group Chief 
Risk Officer, without potential conflict of reporting to any person 
that could be a Model Owner.\10\ Under the proposal, the Framework 
would further state that the head of MVC is a member of the Management 
Risk Committee (``MRC'').\11\
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    \9\ See DTC Notice of Filing, 82 FR at 22193; FICC Notice of 
Filing, 82 FR at 22229; NSCC Notice of Filing, 82 FR at 22223.
    \10\ See DTC Notice of Filing, 82 FR at 22193; FICC Notice of 
Filing, 82 FR at 22229; NSCC Notice of Filing, 82 FR at 22224.
    \11\ The MRC is the Clearing Agencies' management level 
committee responsible for, among other things, model risk management 
matters. See 2017 Framework Order, 82 FR at 41435.
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2. Processes for Determining Model Materiality and Complexity
    Section 3.2 of the Framework outlines that MVC assigns a 
materiality rating and complexity rating to each model after it is 
added to the Model Inventory.\12\ Currently, all model materiality 
rating and complexity rating assignments are reviewed by at least 
annually by MVC, as well as by the Model Risk Governance Committee 
(``MRGC'').\13\
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    \12\ A model's rating impacts both the prioritization and 
approval authority for that model's validation. See DTC Notice of 
Filing, 82 FR at 22193; FICC Notice of Filing, 82 FR at 22230; NSCC 
Notice of Filing, 82 FR at 22224.
    \13\ See 2017 Framework Order, 82 FR at 41434.
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    The proposal would revise the role of the MRGC, including by 
removing its oversight authority in the Model Validation process and 
leaving MVC as the sole entity responsible for reviewing the model 
materiality and complexity ratings. Moreover, under the proposal, the 
MRGC would serve as a forum for review of model risk matters rather 
than a decision-making body charged with the oversight of such matters. 
The proposal would also revise the MRGC's name by replacing 
``Committee'' with ``Council'' to reflect the MRGC's role as an 
advisory body.\14\
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    \14\ See DTC Notice of Filing, 82 FR at 22193; FICC Notice of 
Filing, 82 FR at 22230; NSCC Notice of Filing, 82 FR at 22224. As 
proposed, the MRGC could provide advice or recommendations regarding 
model risk matters to the interested party of a pertinent model.
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3. Processes for Model Approval and Control
    Section 3.6 of the Framework currently provides that the Financial 
Engineering Unit (``FEU'') within Quantitative Risk Management 
(``QRM'') is responsible for developing, testing, and signing-off on 
new models and enhancements to existing models before

[[Page 31830]]

submitting any new model to MVC for Model Validation and approval. The 
Clearing Agencies state that QRM is a risk management function within 
the Group Chief Risk Office, and that a representative of QRM is the 
Model Owner for all margin models used by the Clearing Agencies.\15\ 
The section further explains that all new models and all material 
changes to existing models undergo Model Validation by MVC and must be 
approved prior to business use. In addition, the section states that 
models that have a materiality rating of `Medium' or `High' must be 
approved by the MRC, after the MRGC has reviewed the model and 
recommended it to the MRC for approval.
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    \15\ See DTC Notice of Filing, 82 FR at 22194; FICC Notice of 
Filing, 82 FR at 22230; NSCC Notice of Filing, 82 FR at 22224.
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    The proposal would transfer FEU's responsibilities to the Model 
Owners to reflect the elimination of the FEU within QRM.\16\ Also, the 
proposal would remove the requirement that Model Validations with a 
materiality rating of `Medium' or `High' be approved by the MRC, after 
the MRGC has reviewed and recommended the model to the MRC for 
approval. As a result of these changes, MVC would have the sole and 
exclusive authority to approve a model.
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    \16\ See id.
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    The Clearing Agencies represent that MVC is best suited to address 
Model Validation issues based on its quantitative and technical 
expertise and knowledge.\17\ Accordingly, the proposal would remove any 
text that indicates that MRC approval is required for any Model 
Validation to be complete and/or for a model to remain in production. 
In addition, consistent with the proposed changes to Section 3.2, the 
proposal would make changes to reflect that the MRGC does not have any 
oversight role for model approval and control.
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    \17\ See id.
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4. Model Performance Monitoring Responsibilities
    Section 3.8 of the Framework currently states that MVC is 
responsible for model performance monitoring, including review of risk-
based models used to calculate margin requirements and relevant 
parameters/threshold indicators, sensitivity analysis, and model 
backtesting results, and preparation of related reports. It also states 
that review of these model performance measures is subject to review by 
the MRGC.
    Under the proposal, the Framework would identify Model Owners as 
responsible for the design and execution of model performance 
monitoring and preparation of model performance monitoring reports. 
Similarly, the proposal would revise the Framework to clarify that QRM, 
which encompasses Model Owners, would be responsible for model 
performance monitoring of the Clearing Agencies' margin models. The 
proposal would also revise the role of MVC with respect to model 
performance monitoring to providing oversight of model performance 
monitoring activities (as opposed to conducting the monitoring) by 
setting organizational standards and providing critical analysis for 
identifying model issues and/or limitations. In addition, the proposal 
would remove the statement that review of model performance measure is 
subject to review by the MRGC.
5. Backtesting Responsibilities
    Section 3.9 of the Framework currently states that MVC is 
responsible for each Clearing Agency's Value-at-Risk (``VaR'') 
backtesting and Clearing Fund Requirement (``CFR'') backtesting. 
Consistent with the changes described above, this section would be 
revised to state that QRM would perform VaR and CFR backtesting, as QRM 
is responsible for performance monitoring functions with respect to 
margin models.
6. Board of Directors and Senior Management Reporting
    Section 4.1 of the Framework currently describes the MRGC as the 
primary forum for MVC's regular reporting of Model Validation 
activities and material model risks identified through regular model 
performance monitoring. The proposal would delete this reference to the 
MRGC's role, as it would no longer have oversight of Model Validation 
and model performance monitoring. In addition, it would add the MRC as 
a recipient of periodic reporting.
7. Escalation
    Section 4.2 describes the processes applicable for further review 
of the key metrics identified in Section 3.9 (Backtesting). Currently, 
such metrics are reviewed by the Market and Liquidity Risk Management 
unit within the Group Chief Risk Office and MVC, and also reported to 
the MRC, on at least a monthly basis. The section further states that 
the MRGC reviews and approves changes to backtesting methodology.
    The proposal would eliminate the provision that MVC would review 
the metrics and clarify that the key metrics are reported to MRC by the 
group within the Group Chief Risk Office responsible for risk 
reporting. The proposal would remove the MRGC's role in review and 
approval of changes to backtesting methodology and instead vest that 
responsibility with MVC to reflect the change in oversight of Model 
Validation from the MRGC to MVC.

C. Incorporation of the Model Risk Tolerance Statement

    The Framework currently includes a description of internal DTCC 
policies and procedures that support the Framework, including the (1) 
DTCC Model Risk Management Policy, (2) DTCC Model Validation 
Procedures, (3) DTCC Model Risk Performance Monitoring Procedures, (4) 
the DTCC Backtesting Procedures, and (5) Market Risk Tolerance 
Statement (``Related Procedures''). The Framework also notes that the 
Related Procedures may be updated or amended.
    The proposal would add the Model Risk Tolerance Statement as one of 
DTCC's internal policies and procedures to support the Framework. The 
proposal would explain that the Model Risk Tolerance Statement sets 
forth, among other things, risk tolerance levels covering model design 
and implementation, including consideration of a model's intended 
purpose and/or its adequacy of performance.
    The proposal would also add an explanation of the existing Market 
Risk Tolerance Statement, stating that it articulates, among other 
things, risk tolerance levels for (i) margin backtests addressing 
backtest coverage and (ii) stress tests covering exposure to extreme 
market moves.
    Further, the proposal would add language to the Framework stating 
that the Model Risk Tolerance Statement and the Market Risk Tolerance 
Statement (each a ``Risk Tolerance Statement'') record the overall risk 
reduction or mitigation objectives as they relate to model risk and 
market risk activities. Under the proposal, the Framework would also 
state that the Risk Tolerance Statements document the risk controls and 
other measures used to manage such activities, including escalation 
requirements in the event of risk metric breaches. Similarly, the 
proposal would also revise the Framework to provide that the Risk 
Tolerance Statements would be reviewed, revised, retired, replaced, or 
approved by the BRC annually, based upon the existing circumstances and 
the reasonable best judgement of management relating to model risk 
management matters.

[[Page 31831]]

D. Other Technical Changes

    The proposal would also make a number of technical changes to the 
Framework. First, Section 3.8 of the Framework currently states that 
model performance monitoring is the process of (i) evaluating an active 
model's ongoing performance based on theoretical tests, (ii) monitoring 
the model's parameters through the use of threshold indicators, and/or 
(iii) backtesting using actual historical data/realizations to test a 
VaR model's predictive power. The Clearing Agencies state that the 
process of model performance monitoring does not always take into 
account theoretical tests, threshold indicators, and/or historical 
data/realizations, but could take some or all of these into account as 
appropriate under the circumstances.\18\ Accordingly, the proposal 
would eliminate references to ``theoretical tests,'' ``threshold 
indicators,'' and ``historical data/realizations'' to provide a more 
accurate description of the Clearing Agencies' model performance 
monitoring process.\19\
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    \18\ See DTC Notice of Filing, 82 FR at 22194; FICC Notice of 
Filing, 82 FR at 22231; NSCC Notice of Filing, 82 FR at 22225.
    \19\ See id.
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    Second, to improve the readability and clarity of the Framework's 
text, the proposal would (1) remove the use of the modifier ``Clearing 
Agency'' with respect to references to models and other parts of the 
Framework, (2) replace ``vendor'' with ``externally purchased'' in 
describing models developed externally, (3) relocate certain sentences, 
and (4) consistently use ``model'' without capitalization.

II. Discussion and Commission Findings

    Section 19(b)(2)(C) of the Act \20\ directs the Commission to 
approve a proposed rule change of a self-regulatory organization if it 
finds that such proposed rule change is consistent with the 
requirements of the Act and rules and regulations thereunder applicable 
to such organization. After carefully considering the proposed rule 
change, the Commission finds that the proposed rule change is 
consistent with the requirements of the Act and the rules and 
regulations thereunder applicable to the Clearing Agencies. In 
particular, the Commission finds that the proposed rule change is 
consistent with Section 17A(b)(3)(F) \21\ of the Act and Rules 17Ad-
22(e)(2)(v), (e)(4)(vii), and (e)(7)(vii) thereunder.\22\
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    \20\ 15 U.S.C. 78s(b)(2)(C).
    \21\ 15 U.S.C. 78q-1(b)(3)(F).
    \22\ 17 CFR 240.17Ad-22(e)(2)(v), (e)(4)(vii), and (e)(7)(vii).
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A. Consistency With Section 17A(b)(3)(F)

    Section 17A(b)(3)(F) of the Act requires, in part, that the rules 
of a clearing agency be designed to assure the safeguarding of 
securities and funds which are in the custody or control of the 
clearing agency or for which it is responsible.\23\
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    \23\ 15 U.S.C. 78q-1(b)(3)(F).
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    As described above, the Framework is designed to identify, measure, 
monitor, and manage the risks related to the design, development, 
implementation, use, and validation of quantitative models. The 
proposal is designed to enhance the Framework by improving the 
governance arrangements relating to the management of the Clearing 
Agencies' quantitative models, expanding internal policies and 
procedures to manage the models, and removing inconsistent and 
inaccurate terminology.
    First, the proposal is designed to clarify and enhance the 
governance structures set forth in the Framework in a number of ways. 
The proposal would clarify and revise the roles of Model Owner and QRM. 
The proposal would revise MRGC's role as advisory and no-decision 
making one, and transfer MRGC's responsibilities to MVC. The proposal 
would transfer the responsibility for approval of Model Validations 
from MRC to MVC. The Clearing Agencies represent that MVC is composed 
of individuals with a high level of expertise relating to Model 
Validation, and that MVC has an independent reporting line to the Group 
Chief Risk Officer, without any potential conflict of reporting to any 
person that could be a Model Owner.\24\ Thus, taken together, under the 
proposal, the governance arrangements set forth in the Framework would 
specify these particular lines of responsibility that ensure 
independence and competency of the group that manages model risk.
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    \24\ See DTC Notice of Filing, 82 FR at 22194; FICC Notice of 
Filing, 82 FR at 22230; NSCC Notice of Filing, 82 FR at 22224. MVC 
is functionally separate from all Clearing Agency areas that develop 
or operate models. See 2017 Framework Order, 82 FR at 41434.
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    Second, the proposal incorporates the Model Risk Tolerance 
Statement in the Framework as one of the Clearing Agencies' internal 
policies and procedures to support the Framework. The Model Risk 
Tolerance Statement should provide additional specificity and clarity 
to the risk tolerance levels and help the Clearing Agencies to manage 
their models within more clearly defined risk tolerance levels. Third, 
the proposal makes other technical and clarifying changes to the text 
that should help facilitate the effective execution of the Framework by 
removing inconsistent use of terminology and adopting more accurate 
terminology.
    With the proposed rule changes designed to enhance the Framework, 
the Clearing Agencies should be able to more effectively manage its 
quantitative models, and in turn, better evaluate and address risk 
presented by Clearing Agencies' members. By effectively evaluating and 
addressing risk presented by members, the Clearing Agencies should be 
able to better address their exposure to members and assure the 
safeguarding of securities and funds which are in Clearing Agencies' 
custody or control. Therefore, for the reasons stated above, the 
Commission believes that the proposed rule changes are consistent with 
the requirements of Section 17A(b)(3)(F) of the Act.\25\
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    \25\ 15 U.S.C. 78q-1(b)(3)(F).
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B. Consistency With Rules 17Ad-22(e)(2)(v)

    Rule 17Ad-22(e)(2)(v) under the Act requires that each covered 
clearing agency establish, implement, maintain and enforce written 
policies and procedures reasonably designed to provide for governance 
arrangements that specify clear and direct lines of responsibility.\26\
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    \26\ 17 CFR 240.17Ad-22(e)(2)(v).
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    As stated above, the proposal clarifies and specifies the 
governance arrangements relating to the management of the Clearing 
Agencies model risk management, including: (1) The officer responsible 
for supervising MVC would be elevated from Executive Director to 
Managing Director; (2) the officer responsible for supervising would 
report directly to the Group Chief Risk Officer rather than any person 
that is part of the development or operation of a model; (3) the MRGC 
would relinquish any decision making authority with regard to model 
risk management issues; (4) MVC would have the sole and exclusive 
authority to approve a model, and would oversee model performance 
monitoring activities; and (5) QRM would perform VaR and CFR 
backtesting. Such changes would clearly specify particular lines of 
responsibilities and a decision making process at each stage of the 
model risk management process. Because the proposal would specify clear 
and direct lines of responsibility, the Commission believes that the 
proposed changes to

[[Page 31832]]

the Framework are consistent with Rule 17Ad-22(e)(2)(v) \27\ under the 
Act.
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    \27\ 17 CFR 240.17Ad-22(e)(2)(v).
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C. Consistency With Rules 17Ad-22(e)(4)(vii) and (e)(7)(vii)

    Rule 17Ad-22(e)(4)(vii) under the Act requires that each covered 
clearing agency 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 performing a model validation for its credit risk models 
not less than annually or more frequently as may be contemplated by the 
covered clearing agency's risk management framework.\28\
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    \28\ 17 CFR 240.17Ad-22(e)(4)(vii).
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    Rule 17Ad-22(e)(7)(vii) under the Act requires, in part, that each 
covered clearing agency establish, implement, maintain and enforce 
written policies and procedures reasonably designed to effectively 
identify, 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 
basis, and its use of intraday liquidity by, at a minimum, performing a 
model validation for its liquidity risk models not less than annually 
or more frequently as may be contemplated by the covered clearing 
agency's risk management framework.\29\
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    \29\ 17 CFR 240.17Ad-22(e)(7)(vii).
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    Rule 17Ad-22(a)(9) under the Act defines a model validation as an 
evaluation of the performance of each material risk management model 
used by a covered clearing agency (and the related parameters and 
assumptions associated with such models), including initial margin 
models, liquidity risk models, and models used to generate clearing or 
guaranty fund requirements, performed by a qualified person who is free 
from influence from the persons responsible for the development or 
operation of the models or policies being validated.\30\
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    \30\ 17 CFR 240.17Ad-22(a)(9).
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    The Framework provides a process for validation of the Clearing 
Agencies' credit and liquidity risk models. The proposal would enhance 
the Framework by clarifying and amending the governance relating to the 
model risk management of these models, including Model Validation, 
expanding internal policies and procedures to manage the models, and 
removing inconsistent and inaccurate terminology.
    In particular, the proposal would state that MVC would have the 
sole and exclusive authority to approve a model and that it has an 
independent reporting line to the Group Chief Risk Officer. The 
Clearing Agencies represent that this change is to make clear that MVC 
would not have potential conflicts of interest by reporting to any 
person that could have been a part of the development or operation of a 
model. Also, the proposal would remove the MRGC's oversight authority 
regarding Model Validation and move that authority to MVC. The Clearing 
Agencies represent that MVC is composed of individuals with a high 
level of quantitative and technical expertise and knowledge.
    The changes set forth in the proposal would clearly define the 
governance applicable to the Model Validation process and assign 
responsibilities to a group that is qualified and free from influence 
from the persons responsible for the development and operation of the 
Clearing Agencies' models. The Framework would continue to provide that 
Model Validations are performed annually. The Commission therefore 
believes that the proposed changes to the Framework are consistent with 
Rule 17Ad-22(e)(4)(vii) \31\ and (e)(7)(vii) \32\ under the Act.
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    \31\ 17 CFR 240.17Ad-22(e)(4)(vii).
    \32\ 17 CFR 240.17Ad-22(e)(7)(vii).
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III. Conclusion

    On the basis of the foregoing, the Commission finds that the 
proposed rule changes are consistent with the requirements of the Act 
and in particular with the requirements of Section 17A of the Act \33\ 
and the rules and regulations promulgated thereunder.
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    \33\ 15 U.S.C. 78q-1.
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    It is therefore ordered, pursuant to Section 19(b)(2) of the Act 
\34\ that proposed rule changes SR-DTC-2020-008, SR-FICC-2020-004, SR-
NSCC-2020-008, be, and hereby are, APPROVED.\35\
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    \34\ 15 U.S.C. 78s(b)(2).
    \35\ In approving the proposed rule changes, the Commission 
considered the proposals' impact on efficiency, competition, and 
capital formation. 15 U.S.C. 78c(f).
    \36\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\36\
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2020-11285 Filed 5-26-20; 8:45 am]
BILLING CODE 8011-01-P