8466 Federal Register / Vol. 89, No. 26 / Wednesday, February 7, 2024 / Notices 

39 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 99234 

(Dec. 22, 2023), 88 FR 89752 (Dec. 28, 2023) (File 

No. SR–DTC–2023–013) (‘‘Notice of Filing’’). 

4Capitalized terms not defined herein are defined 

in the Rules, By-Laws and Organization Certificate 

of DTC (‘‘Rules’’) and the DTC Settlement Service 

Guide (‘‘Settlement Guide’’), available at https://

www.dtcc.com/legal/rules-and-procedures.aspx. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s internet 

comment form (https://www.sec.gov/ 

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include file number SR– 

CboeEDGA–2024–003 on the subject 

line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE, 

Washington, DC 20549–1090. 

All submissions should refer to file 

number SR–CboeEDGA–2024–003. 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 (https://www.sec.gov/ 

rules/sro.shtml). Copies of the 

submission, all subsequent 

amendments, all written statements 

with respect to the proposed rule 

change that are filed with the 

Commission, and all written 

communications relating to the 

proposed rule change between the 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

provisions of 5 U.S.C. 552, will be 

available for website viewing and 

printing in the Commission’s Public 

Reference Room, 100 F Street NE, 

Washington, DC 20549, on official 

business days between the hours of 10 

a.m. and 3 p.m. Copies of the filing also 

will be available for inspection and 

copying at the principal office of the 

Exchange. 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–CboeEDGA–2024–003 and should 

be submitted on or before February 28, 

2024. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.39

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2024–02414 Filed 2–6–24; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[SEC File No. 270–563, OMB Control No. 

3235–0626] 

Proposed Collection; Comment 

Request; Extension: Rule 17g–3 

Upon Written Request, Copies Available 

From: Securities and Exchange 

Commission, Office of FOIA Services. 

100 F Street NE, Washington, DC 

20549–2736. 

Notice is hereby given that pursuant 

to the Paperwork Reduction Act of 1995 

(44 U.S.C. 3501 et seq.), the Securities 

and Exchange Commission 

(‘‘Commission’’) is soliciting comments 

on the existing collection of information 

provided for in Rule 17g–3 (17 CFR 

240.17g–3) under the Securities 

Exchange Act of 1934 (15 U.S.C. 78a et 

seq.). The Commission plans to submit 

this existing collection of information to 

the Office of Management and Budget 

for extension and approval. 

Rule 17g–3 contains certain reporting 

requirements for NRSROs. Specifically, 

NRSROs are required to file with the 

Commission, on an annual basis, 

financial reports containing specified 

financial statements, certain financial 

condition reports, and a report on the 

internal control structure. NRSROs are 

also required to furnish a report of the 

number of credit rating actions taken 

during the most recently completed 

fiscal year. Currently, there are 10 credit 

rating agencies registered as NRSROs 

with the Commission. Based on staff 

experience, the Commission estimates 

that the total burden for respondents to 

comply with Rule 17g–3 is 3,650 hours. 

In addition, the Commission estimates 

an industry-wide annual external cost to 

NRSROs of $350,000 to comply with 

Rule 17g–3, reflecting costs to engage 

the services of independent public 

accountants and outside counsel. 

Written comments are invited on: (a) 

whether the proposed collection of 

information is necessary for the proper 

performance of the functions of the 

Commission, including whether the 

information shall have practical utility; 

(b) the accuracy of the Commission’s 

estimates of the burden of the proposed 

collection of information; (c) ways to 

enhance the quality, utility, and clarity 

of the information on respondents; and 

(d) ways to minimize the burden of the 

collection of information on 

respondents, including through the use 

of automated collection techniques or 

other forms of information technology. 

Consideration will be given to 

comments and suggestions submitted by 

April 8, 2024. 

An agency may not conduct or 

sponsor, and a person is not required to 

respond to, a collection of information 

unless it displays a currently valid OMB 

control number. Please direct your 

written comments to: Dave Bottom, 

Director/Chief Information Officer, 

Securities and Exchange Commission, c/ 

o John Pezzullo, 100 F St NE, 

Washington, DC 20549 or send an email 

to: PRA_Mailbox@sec.gov. 

Dated: February 2, 2024. 

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2024–02489 Filed 2–6–24; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–99456; File No. SR–DTC– 

2023–013] 

Self-Regulatory Organizations; The 

Depository Trust Company; Order 

Approving of Proposed Rule Change 

To Modify the DTC Settlement Service 

Guide 

February 1, 2024. 

I. Introduction 

On December 20, 2023, The 

Depository Trust Company (‘‘DTC’’) 

filed with the Securities and Exchange 

Commission (‘‘Commission’’) proposed 

rule change SR–DTC–2023–013 

(‘‘Proposed Rule Change’’) pursuant to 

Section 19(b)(1) of the Securities 

Exchange Act of 1934 (‘‘Act’’) 1 and Rule 

19b–4 thereunder.2 The Proposed Rule 

Change was published for comment in 

the Federal Register on December 28, 

2023.3 The Commission has received no 

comments on the Proposed Rule 

Change. For the reasons discussed 

below, the Commission is approving the 

Proposed Rule Change.4


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Federal Register / Vol. 89, No. 26 / Wednesday, February 7, 2024 / Notices 8467 

5See The Depository Trust Company, Disclosure 

Framework for Covered Clearing Agencies and 

Financial Market Infrastructures (Mar. 2023) 

(‘‘Disclosure Framework’’), available at https://

www.dtcc.com/-/media/Files/Downloads/legal/ 

policy-and-compliance/DTC_Disclosure_

Framework.pdf. 

6See id. 

7The ‘‘Collateral Monitor’’ of a Participant refers 

to the algebraic sum of (i) the Net Credit or Debit 

Balance of the Participant and (ii) the aggregate 

Collateral Value of the Collateral of the Participant. 

See Rule 1 (definition of ‘‘Collateral Monitor’’), 

supra note 4. 

8See Disclosure Framework, supra note 5, at 54. 

9The ‘‘Net Debit Balance’’ of a Participant is the 

amount by which the Gross Debit Balance of the 

Participant exceeds its Gross Credit Balance. See 

Rule 1 (definition of ‘‘Net Debit Balance’’), supra 

note 4. The ‘‘Gross Debit Balance’’ of a Participant 

refers to the aggregate amount of money DTC debits 

or charges to all the Accounts in all the Account 

Families of the Participant without accounting for 

any amount of money credited thereto. Id. 

(definition of ‘‘Gross Debit Balance’’). The ‘‘Gross 

Credit Balance’’ of a Participant refers to the 

aggregate amount of money DTC credits to all the 

Accounts in all the Account Families of the 

Participant without accounting for any amount of 

money debited or charged thereto. Id. (definition of 

‘‘Gross Credit Balance’’). 

10The ‘‘Collateral’’ of a Participant refers to the 

sum of (i) the Actual Participants Fund Deposit of 

the Participant, (ii) the Actual Preferred Stock 

Investment of a Participant, (iii) all Net Additions 

of the Participant and (iv) any SPP wired by the 

Participant to the Corporation. See id. (definition of 

‘‘Collateral’’); infra note 18. 

11See Notice of Filing, supra note 3, at 89752. 

12See Disclosure Framework, supra note 5, at 53. 

13See id. at 54. 

14See id. 

15See Settlement Guide, supra note 4, at 6; 

definition of Net Debit Balance, supra note 9. 

16 ‘‘Affiliated Family’’ means each Participant that 

controls or is controlled by another Participant and 

each Participant that is under the common control 

of any Person, control meaning the direct or 

indirect ownership of more than 50% of the voting 

securities or other voting interests of any Person. 

See Rule 1 (definition of ‘‘Affiliated Family’’), supra 

note 4. The ‘‘Aggregate Affiliated Family Net Debit 

Cap’’ means the sum of the Net Debit Caps for the 

Participants that are part of an Affiliated Family in 

the manner specified in the Procedures. Id. 

(definition of ‘‘Aggregate Affiliated Family Net 

Debit Cap’’). 

17See Settlement Guide, supra note 4, at 62, 73– 

74. 

18A SPP is Collateral that increases a 

Participant’s Collateral Monitor, but also reduces a 

Participant’s Net Debit Balance. See id. at 73. 

19See Notice of Filing, supra note 3, at 89752. 

20 Id. at 89754. 

21See Settlement Guide, supra note 4, at 74. 

22To determine a Participant’s Net Debit Cap, 

DTC records the Participant’s three highest intraday 

net debit peaks over a rolling 70-Business Day 

period. The Participant’s average of these net debit 

peaks is calculated and multiplied by a factor to 

determine the Participant’s Net Debit Cap, but not 

to exceed $1.80 billion. See id. at 73. DTC increased 

the maximum Net Debit Cap for a Participant to 

$1.80 billion from $1.5 billion in 2001, to reduce 

processing blockages relating to increased trading 

volumes and settlement values, with this increase 

facilitated by a coinciding increase to DTC’s 

liquidity resources. See Securities Exchange Act 

Release No. 44509 (July 3, 2001), 66 FR 36350 (July 

11, 2001) (File No. SR–DTC–2001–09). 

23See Notice of Filing, supra note 3, at 89753. 

II. Background 

DTC serves as a central securities 

depository providing, in part, custodial 

services for equity securities, which 

include the safekeeping, record keeping, 

book-entry transfer, and pledge of 

securities among its Participants.5 DTC 

uses certain risk management controls, 

including its Collateral Monitor and Net 

Debit Cap, to protect the DTC settlement 

system in the event of a Participant 

default by ensuring that at any time the 

settlement obligation of any Participant 

will be fully collateralized and the 

amount due in settlement cannot exceed 

DTC liquidity resources.6

The Collateral Monitor 7 tracks 

whether each Participant has available 

sufficient collateral value to secure 

funding for a Participant’s net 

settlement obligation, in the event of the 

Participant’s default.8 As such, the 

Collateral Monitor requires net debit 

settlement obligations to be fully 

collateralized as they accrue intraday, 

preventing the completion of 

transactions that would cause a 

Participant’s Net Debit Balance 9 to 

exceed the value of the Collateral in the 

Participant’s account.10 DTC states that 

this ensures it will have sufficient 

Collateral to obtain funding for 

settlement if a Participant fails to pay 

for its settlement obligations.11 The 

Collateral Monitor tracks the value of 

Collateral supporting the settlement 

obligation of each Participant, where the 

collateral value of a security is the 

market price less the haircut amount 

determined by DTC.12 Throughout the 

day, debits and credits to the 

Participant’s securities and settlement 

accounts result in corresponding 

changes in its Collateral Monitor.13

When processing a transaction, DTC 

verifies that the deliverers and receiver’s 

Collateral Monitor will not become 

negative when the transaction is 

processed, and when undercollateralized, the transaction will 

remain in a pending status until the 

deficient account has sufficient 

collateral to allow for processing.14

The Net Debit Cap limits the Net 

Debit Balance that a Participant can 

incur, thus limiting any Participant’s net 

debit settlement obligation to an amount 

that can be covered by DTC’s liquidity 

resources at any point during DTC’s 

processing day.15 Likewise, the 

Aggregate Affiliated Family Net Debit 

Cap limits the sum of Net Debit 

Balances of an Affiliated Family of 

Participants, provided that the 

maximum Aggregate Affiliated Family 

Net Debit Cap not exceed the total 

available liquidity resources of DTC.16

When a transaction would cause a 

Participant’s Net Debit Balance to 

exceed its Net Debit Cap, it is not 

processed.17 Instead, the transaction 

remains in a pending status until the 

Participant’s Net Debit Balance is 

sufficiently reduced to allow processing. 

The Net Debit Balance may be reduced 

during the processing day by, among 

other things, receipt of a Delivery 

Versus Payment, which generates 

credits to the Participant’s settlement 

account, or by a Settlement Progress 

Payment (‘‘SPP’’), which are funds that 

may be wired to DTC18 for the 

Participant to prevent its Net Debit Cap 

from blocking its receipt of securities. 

According to DTC, its liquidity 

structure is designed to maintain 

sufficient financial resources to 

complete settlement each business day, 

even in the event of the failure to settle 

of a Participant, or Affiliated Family of 

Participants, with the largest settlement 

obligation.19 DTC calculates its liquidity 

needs per Participant at a legal entity 

level, and further aggregates these 

amounts for an Affiliated Family based 

on the assumption that all such affiliates 

may fail simultaneously.20 DTC states 

that its two key liquidity resources are: 

(i) Required Participants Fund Deposits 

across all Participants of $1.15 billion, 

and (ii) a committed line of credit 

facility (‘‘LOC’’) of $1.9 billion, to which 

DTC may pledge Securities that are 

Collateral of the defaulting Participant 

in order to complete settlement.21

Together, the Participants Fund and 

LOC provide DTC with $3.05 billion in 

total liquidity resources. 

As noted above, DTC sets both the 

maximum Net Debit Cap and the 

Aggregate Affiliated Family Net Debit 

Cap to an amount at or below DTC’s 

liquidity resources.22 Currently, the Net 

Debit Cap for an individual Participant 

is $1.80 billion. The current Aggregate 

Affiliated Family Net Debit Cap is $2.85 

billion, which DTC states is below 

DTC’s total available liquidity resources 

to account for the possibility that a 

defaulting Participant that is part of an 

Affiliated Family may be a lender to the 

LOC.23

III. Description of the Proposed Rule 

Change 

DTC proposes increasing the 

maximum Net Debit Cap from $1.8 

billion to $2.15 billion. DTC states that 

Participants have requested that DTC 

raise the maximum Net Debit Cap to 

reduce transaction blockage and the 

need to make SPPs when reducing the 

Net Debit Balance during the processing 

day, allowing for less transactions in a 


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8468 Federal Register / Vol. 89, No. 26 / Wednesday, February 7, 2024 / Notices 

24See id. 

25See id. 

26The aggregate Participants Fund includes four 

component amounts: the ‘‘Core Fund,’’ the ‘‘Base 

Fund,’’ the ‘‘Incremental Fund,’’ and the ‘‘Liquidity 

Fund.’’ The Core Fund, set by DTC at an aggregate 

amount of $450 million, is comprised of the Base 

Fund and the Incremental Fund. The Base Fund is 

the sum of minimum deposits by all Participants 

and equals the amount that is $7,500 times the 

number of Participants, at any time. The 

Incremental Fund is the balance of the Core Fund 

up to $450 million; this is the amount that must be 

ratably allocated among Participants that are 

required to pay more than a minimum deposit, as 

described in the Settlement Guide. The Liquidity 

Fund component (set at $700 million) applies to 

Participants whose Affiliated Families have Net 

Debit Caps that exceed $2.15 billion. See Settlement 

Guide, supra note 4, at 53–56. 

27See Notice of Filing, supra note 3, at 89752. 

DTC states that the Liquidity Fund is not included 

because that amount only applies to Participants 

whose Affiliated Families have Net Debit Caps that 

exceed $2.15 billion. Id. at n.19. 

28See id. at 89753. DTC explains that the $200 

million buffer is an amount greater than the 

contribution of any lender to the DTC LOC. Id. at 

n.20. 

29As part of the Proposed Rule Change, DTC 

filed, as Exhibit 3, the Impact Study. Pursuant to 

17 CFR 240.24b–2, DTC requested confidential 

treatment of Exhibit 3. 

30 15 U.S.C. 78s(b)(2)(C). 

31 15 U.S.C. 78q–1(b)(3)(F). 

32 17 CFR 240.17Ad–22(e)(7)(i). 

33 15 U.S.C. 78q–1(b)(3)(F). 34 17 CFR 240.17Ad–22(e)(7)(i). 

pending status because Participants may 

maintain a higher Net Debit Balance.24

Specifically, DTC proposes revising two 

references to the existing $1.80 billion 

Net Debit Cap for an individual 

Participant in the Settlement Guide to 

reflect the proposed $2.15 billion Net 

Debit Cap. DTC is not proposing a 

change to the current maximum 

Aggregate Affiliated Family Net Debit 

Cap of $2.85 billion. 

DTC states that the proposed increase 

better aligns the maximum Net Debit 

Cap for an individual Participant with 

DTC’s available liquidity resources.25

According to DTC, the proposed 

increase of $350 million to the Net Debit 

Cap is supported by qualifying liquid 

resources from the $450 million Core 

Fund to which all Participants 

contribute,26 and the $1.90 billion LOC, 

collectively providing $2.35 billion in 

liquidity resources.27 DTC states that 

this $200 million buffer between the 

$2.35 billion in liquidity resources and 

the proposed $2.15 billion Net Debit 

Cap accounts for the possibility that a 

defaulted Participant may also be a 

lender to the LOC.28

DTC conducted an impact study for 

the period January 3, 2022, through 

December 30, 2022 (‘‘Impact Study’’).29

The Impact Study determined the 

liquidity needs across legal entities by 

looking at Participants reaching 90% of 

the current $1.80 billion maximum Net 

Debit Cap, identifying the transactions 

pending under Net Debit Cap limits, and 

any incoming SPPs. The Impact Study 

shows that a number of Participants 

currently capped at the $1.80 billion Net 

Debit Cap would realize an immediate 

benefit from the proposed Net Debit Cap 

increase since the increase would 

enable more transactions to process 

without the need for a Participant to 

wait to reduce its intraday Net Debit 

Balance through Delivery Versus 

Payment credits or SPPs, therefore 

improving transaction processing. 

IV. Discussion and Commission 

Findings 

Section 19(b)(2)(C) of the Act 30

directs the Commission to approve a 

proposed rule change of a selfregulatory 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 

careful review of 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 DTC. In particular, the 

Commission finds that the Proposed 

Rule Change is consistent with Section 

17A(b)(3)(F) of the Act 31 and Rule 

17Ad–22(e)(7)(i) thereunder.32

A. Consistency With Section 

17A(b)(3)(F) of the Act 

Section 17A(b)(3)(F) of the Act 

requires that the rules of a clearing 

agency, such as DTC, be designed to, 

among other things, promote the prompt 

and accurate clearance and settlement of 

securities transactions.33 The 

Commission believes that the Proposed 

Rule Change is consistent with Section 

17A(b)(3)(F) of the Act for the reasons 

stated below. 

As discussed in Part II, DTC uses the 

Net Debit Cap as a risk management 

control to protect the DTC settlement 

system in the event of a Participant 

default, by limiting the settlement net 

debit any Participant can incur at any 

point during the processing day to an 

amount below DTC’s liquidity 

resources. This ensures that DTC 

maintains sufficient financial resources 

to complete settlement in the event of a 

failure to settle by the largest Participant 

or Affiliated Family of Participants. 

Because DTC does not process 

transactions that would result in a 

Participant exceeding its Net Debit Cap 

and these remain as pending until the 

Participant’s Net Debit Balance is 

reduced to where it would no longer 

exceed it, increasing the Net Debit Cap 

would allow more transactions to 

process without the need for a 

Participant to wait for a reduction of its 

intraday Net Debit Balance. The 

Commission has reviewed and analyzed 

the filing materials, including the 

Impact Study, and agrees that there are 

a number of Participants that would 

immediately benefit from the proposed 

increase by seeing less of its 

transactions pend because the 

Participant may maintain a higher Net 

Debit Cap. 

As discussed in Parts II and III, the 

proposed Net Debit Cap increase would 

continue to be supported by sufficient 

DTC qualifying liquid resources, since 

the proposed increase to a $2.15 billion 

Net Debit Cap continues to be below the 

$2.35 billion in liquidity resources that 

the $450 million Core Fund and the 

$1.90 billion LOC collectively provide. 

Because the increase in Net Debit Cap 

should improve transaction processing 

while still being covered by DTC 

liquidity resources in the event of 

default, the Commission finds that the 

Proposed Rule Change should enhance 

DTC’s ability to provide prompt and 

accurate clearance and settlement of 

securities transactions, consistent with 

Section 17A(b)(3)(F) of the Act. 

B. Consistency With Rule 17Ad– 

22(e)(7)(i) 

Rule 17Ad–22(e)(7)(i) requires that, 

among other things, DTC establish, 

implement, maintain and enforce 

written policies and procedures 

reasonably designed to, as applicable, 

effectively measure, monitor, and 

manage the liquidity risk that arises in 

or is borne by the covered clearing 

agency, including measuring, 

monitoring, and managing its settlement 

and funding flows on an ongoing and 

timely basis, and its use of intraday 

liquidity by maintaining sufficient 

liquid resources at the minimum in all 

relevant currencies to effect same-day, 

and, where appropriate, intraday and 

multiday settlement of payment 

obligations with a high degree of 

confidence under a wide range of 

foreseeable stress scenarios, that 

includes, but is not limited to, the 

default of the participant family that 

would generate the largest aggregate 

payment obligation for DTC in extreme 

but plausible market conditions.34

As discussed in Part II, DTC monitors 

settlement flows and net debit 

obligations daily, and employs the Net 

Debit Cap, among other tools, to allow 

it to regularly test the sufficiency of 

liquid resources on an intraday and endof-day basis and adjust to stressed 

circumstances during a settlement day 


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Federal Register / Vol. 89, No. 26 / Wednesday, February 7, 2024 / Notices 8469 

35 Id. 

36 15 U.S.C. 78q–1. 

37 15 U.S.C. 78s(b)(2). 

38 In approving the Proposed Rule Change, the 

Commission considered its impact on efficiency, 

competition, and capital formation. 15 U.S.C. 78c(f). 

39 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3 15 U.S.C. 78s(b)(3)(A)(iii). 

4 17 CFR 240.19b–4(f)(6). 

5See Rule 21.20(d). 

6See Rule 21.22. 

7See Rule 21.23. 

8See Rules 21.20(d)(3), 21.22(d)(1), and 

21.23(d)(1). 

9See Rule 21.20(b) (definition of COA-eligible 

order). 

10A ‘‘Priority Customer’’ means a person or entity 

that is not: (a) a broker or dealer in securities or (b) 

a Professional. A ‘‘Public Customer’’ means a 

Continued 

to protect itself and Participants against 

liquidity exposure under normal and 

stressed market conditions. Specifically, 

the Net Debit Cap limits a Participant’s 

net debit settlement obligation to an 

amount that can be satisfied with DTC 

liquidity resources at any point during 

DTC’s processing day. As discussed in 

Part III, the proposed increase in Net 

Debit Cap from $1.80 billion to $2.15 

billion would continue to be below 

DTC’s available qualifying liquid 

resources when considering the Core 

Fund and LOC collectively, and it 

would not otherwise alter the way DTC 

monitors settlement flows and net debit 

obligations. Additionally, as discussed 

in Part III, the proposed increase 

continues to provide a buffer between 

the liquidity resources and the proposed 

$2.15 billion Net Debit Cap that 

accounts for the possibility that a 

defaulting Participant may also be a 

lender to the LOC. This should allow 

DTC to continue to have sufficient 

liquid resources even when the 

defaulting Participant is a lender to the 

LOC. 

For the reasons above, the 

Commission finds that the Proposed 

Rule Change is consistent with Rule 

17Ad–22(e)(7)(i) under the Act 35

because the proposed Net Debit Cap 

increase would allow DTC to continue 

to manage liquidity risks by maintaining 

sufficient liquid resources to settle its 

payment obligations under a wide range 

of foreseeable stress scenarios, including 

the default of the participant family that 

would generate the largest aggregate 

payment obligation for DTC in extreme 

but plausible market conditions. 

V. Conclusion 

On the basis of the foregoing, the 

Commission finds that the Proposed 

Rule Change is consistent with the 

requirements of the Act, and in 

particular, with the requirements of 

Section 17A of the Act 36 and the rules 

and regulations promulgated 

thereunder. 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act 37 that 

proposed rule change SR–DTC–2023– 

013, be, and hereby is, APPROVED.38

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.39

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2024–02420 Filed 2–6–24; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–99457; File No. SR– 

CboeEDGX–2024–010] 

Self-Regulatory Organizations; Cboe 

EDGX Exchange, Inc.; Notice of Filing 

and Immediate Effectiveness of a 

Proposed Rule Change To Amend Its 

Rules Regarding Early Termination of 

Complex Order Auctions 

February 1, 2024. 

Pursuant to Section 19(b)(1) of the 

Securities Exchange Act of 1934 (the 

‘‘Act’’),1 and Rule 19b–4 thereunder,2

notice is hereby given that on January 

25, 2024, Cboe EDGX Exchange, Inc. 

(the ‘‘Exchange’’ or ‘‘EDGX’’) filed with 

the Securities and Exchange 

Commission (the ‘‘Commission’’) the 

proposed rule change as described in 

Items I and II below, which Items have 

been prepared by the Exchange. The 

Exchange filed the proposal pursuant to 

Section 19(b)(3)(A)(iii) of the Act 3 and 

Rule 19b–4(f)(6) thereunder.4 The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

change from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

Cboe EDGX Exchange, Inc. (the 

‘‘Exchange’’ or ‘‘EDGX Options’’) 

proposes to amend its rules regarding 

early termination of complex order 

auctions. The text of the proposed rule 

change is provided in Exhibit 5. 

The text of the proposed rule change 

is also available on the Exchange’s 

website (http://markets.cboe.com/us/ 

options/regulation/rule_filings/edgx/), 

at the Exchange’s Office of the 

Secretary, and at the Commission’s 

Public Reference Room. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

Exchange 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 

Exchange has prepared summaries, set 

forth in sections A, B, and C below, of 

the most significant aspects of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to amend 

certain of its rules regarding the early 

termination of complex order auctions. 

The Exchange offers several auction 

mechanisms for complex orders, 

including the Complex Order Auction 

(‘‘COA’’),5 the Complex Automated 

Improvement Mechanism (‘‘C–AIM’’),6

and the Complex Solicitation Auction 

Mechanism (‘‘C–SAM’’).7 The Rules 

regarding each of these complex order 

auction mechanisms contain provisions 

that describe what events may cause the 

applicable auction to terminate prior to 

the end of the auction timer.8 These 

provisions generally correspond to the 

pricing requirements to begin an 

auction. Terminating the auction if one 

of these events occurs ensures that the 

auction will not continue if the market 

changes in a manner that would create 

a situation in which the auction would 

not have been permitted to begin. 

COA 

COA is a single-sided auction in 

which an eligible order will be exposed 

for price improvement. Specifically, 

upon receipt of a COA-eligible order,9

the System sends a COA auction 

message to subscribers of data feeds that 

deliver COA auction messages, which 

message identifies certain terms of the 

COA-eligible order. To be COA-eligible, 

a buy (sell) order must, among other 

things, have a price equal to or higher 

(lower) than the synthetic best offer 

(bid) (‘‘SBO (SBB)’’), provided that if 

any of the bids or offers on the simple 

book that comprise the SBB (SBO) is 

represented by a Priority Customer 

order,10 the price must be at least $0.01 


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