[Federal Register Volume 89, Number 150 (Monday, August 5, 2024)]
[Notices]
[Pages 63454-63455]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2024-17146]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-100617; File No. SR-ICC-2024-006]


Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of 
Filing and Immediate Effectiveness of Proposed Rule Change Relating to 
the Stress Testing Framework

July 30, 2024.
    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 July 16, 2024, ICE Clear Credit LLC (``ICC'') 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 primarily by ICC. ICC filed the proposed rule change 
pursuant to Section 19(b)(3)(A) \3\ of the Act and Rule 19b-4(f)(1) \4\ 
thereunder, such that the proposed rule change was immediately 
effective upon filing with the Commission. 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.
    \3\ 15 U.S.C. 78s(b)(3)(A).
    \4\ 17 CFR 240.19b-4(1).
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I. Clearing Agency's Statement of the Terms of Substance of the 
Proposed Rule Change

    The principal purpose of the proposed rule change is to revise the 
ICC Stress Testing Framework (``STF''). These revisions do not require 
any changes to the ICC Clearing Rules (``Rules'').

II. Clearing Agency's Statement of the Purpose of, and Statutory Basis 
for, the Proposed Rule Change

    In its filing with the Commission, ICC included statements 
concerning the purpose of and basis for the proposed rule change, 
security-based swap submission, or advance notice and discussed any 
comments it received on the proposed rule change, security-based swap 
submission, or advance notice. The text of these statements may be 
examined at the places specified in Item IV below. ICC has prepared 
summaries, set forth in sections (A), (B), and (C) below, of the most 
significant aspects of these statements.

(A) Clearing Agency's Statement of the Purpose of, and Statutory Basis 
for, the Proposed Rule Change

(a) Purpose
    ICC proposes to update the STF. The STF sets forth the ICC stress 
testing practices that are focused on ensuring the adequacy of systemic 
risk protections. The proposed changes are limited to clarifying 
language in Appendix A of the STF. ICC believes the proposed changes 
will facilitate the prompt and accurate clearance and settlement of 
securities transactions and derivative agreements, contracts, and 
transactions for which it is responsible. ICC proposes to move forward 
with implementation of these changes following Commission approval of 
the proposed rule change. The proposed changes are described in detail 
as follows.
    ICC proposes to update STF Section 18, ``Appendix A''. Appendix A 
provides details on the various equations used within the STF. ICC 
proposes the addition of a cross-reference to the description of 
Equation 1, Appendix A. Specifically, the descriptive paragraph to 
Equation 1 contains a reference to ``portfolio hypothetical additional 
losses related to the Wrong Way Risk stemming from Clearing Participant 
specific exposure.'' ICC proposes the addition of a cross-reference to 
Section 3 of STF which provides additional details regarding 
``portfolio hypothetical additional losses related to the Wrong Way 
Risk stemming from Clearing Participant specific exposure.'' The 
proposed addition of the cross-reference does not revise ICC's stress 
testing methods or procedures, rather it is intended to further clarify 
the STF as required to address a 2023 Commodity Futures Trading 
Commission exam finding.
    ICC proposes minor updates to Section 1 `Table of Contents' to 
update the page numbers. Also, ICC purposes to update the cross-
reference coding in Section 7, to footnote 10. Lastly, ICC proposes to 
update Section 17 `Revision History' to include the proposed changes.
(b) Statutory Basis
    As discussed herein, the proposed addition of the cross-reference 
to Appendix A in the STF strengthens the STF by clarifying that the 
language in Appendix A relates to Section 3 of the STF. Accordingly, 
ICC believes that the

[[Page 63455]]

proposed changes to the STF are consistent with the prompt and accurate 
clearance and settlement of securities transactions, derivatives 
agreements, contracts, and transactions, the safeguarding of securities 
and funds in the custody or control of ICC or for which it is 
responsible, and the protection of investors and the public interest, 
within the meaning of Section 17(A)(b)(3)(F) of the Act.\5\
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    \5\ 17 CFR 240.17(A)(b)(3)(F).
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    Rule 17Ad-22(e)(4)(vi) \6\ requires each covered clearing agency to 
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 testing the sufficiency of its total financial resources available 
to meet the minimum financial resource requirements, including by 
conducting stress testing of its total financial resources once each 
day using standard predetermined parameters and assumptions; conducting 
a comprehensive analysis on at least a monthly basis of the existing 
stress testing scenarios, models, and underlying parameters and 
assumptions; and reporting the results of its analyses to appropriate 
decision makers at ICC. The proposed rule change continues to ensure 
that ICC's policies and procedures, including the STF, provide a clear 
framework for ICC to conduct stress testing and analysis and report the 
results to appropriate decision makers at ICC, in compliance with this 
requirement. As such, ICC believes the proposed rule change is 
consistent with the requirements of Rule 17Ad-22(e)(4)(vi).\7\
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    \6\ 17 CFR 240.17Ad-22(e)(4)(vi).
    \7\ 17 CFR 240.17Ad-22(e)(4)(vi).
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(B) Clearing Agency's Statement on Burden on Competition

    ICC does not believe the proposed rule change would have any 
impact, or impose any burden, on competition. The proposed changes to 
add a cross-reference to the STF, ICC believes are appropriate in 
furtherance of the risk management of the clearing house. The changes 
to the STF will apply uniformly across all market participants. ICC 
does not believe these changes would affect the costs of clearing or 
the ability of market participants to access clearing. Therefore, ICC 
does not believe the proposed rule change would impose any burden on 
competition that is inappropriate in furtherance of the purposes of the 
Act.

(C) Clearing Agency's Statement on Comments on the Proposed Rule Change

    Written comments relating to the proposed rule change have not been 
solicited or received. ICC will notify the Commission of any written 
comments received by ICC.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    The foregoing rule change has become effective pursuant to section 
19(b)(3)(A) of the Act \8\ and paragraph (f)(1) of the Rule 19b-4 \9\ 
thereunder. 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.
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    \8\ 15 U.S.C. 78s(b)(3)(A).
    \9\ 17 CFR 240.19b-4(f)(1).
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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 [email protected]. Please include 
file number SR-ICC-2024-006 on the subject line.

Paper Comments

     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-ICC-2024-006. 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-regulations/self-regulatory-organization-rulemaking). 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 such filings will also be available for inspection and 
copying at the principal office of ICE Clear Credit and on ICE Clear 
Credit's website at https://www.theice.com/clear-credit/regulation. 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-ICC-2024-006 and should 
be submitted on or before August 26, 2024.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\10\
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    \10\ 17 CFR 200.30-3(a)(12).
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Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2024-17146 Filed 8-2-24; 8:45 am]
BILLING CODE 8011-01-P