Add SECURITY.md (psf#3612)

Author: JelleZijlstra

CHANGES.md

@@ -57,6 +57,9 @@
 <!-- Major changes to documentation and policies. Small docs changes
      don't need a changelog entry. -->
 
+- Document that only the most recent release is supported for security issues;
+  vulnerabilities should be reported through Tidelift (#3612)
+
 ## 23.1.0
 
 ### Highlights

SECURITY.md

@@ -0,0 +1,11 @@
+# Security Policy
+
+## Supported Versions
+
+Only the latest non-prerelease version is supported.
+
+## Security contact information
+
+To report a security vulnerability, please use the
+[Tidelift security contact](https://tidelift.com/security). Tidelift will coordinate the
+fix and disclosure.