[Federal Register Volume 90, Number 241 (Thursday, December 18, 2025)]
[Notices]
[Pages 59272-59275]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2025-23233]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-104396; File No. SR-ICC-2025-013]
Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of
Filing of Proposed Rule Change Relating to the ICC Stress Testing
Framework and the ICC Liquidity Risk Management Framework
December 15, 2025.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
\1\ and Rule 19b-4,\2\ notice is hereby given that on December 1, 2025,
ICE Clear Credit LLC (``ICC'' or ``ICE Clear Credit'') filed with the
Securities and Exchange Commission the proposed rule change as
described in Items I, II and III below, which Items have been primarily
prepared by ICC. 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.
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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'') and ICC Liquidity Risk
Management Framework (``LRMF''). These revisions do not require any
changes to the ICC Clearing Rules.\3\
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\3\ ICC's Rules are available on ICC's public website: https://www.ice.com/publicdocs/clear_credit/ICE_Clear_Credit_Rules.pdf.
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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, 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 revising its STF and LRMF to introduce new stress
scenarios that reflect a period of recent market turmoil related to the
enactment of new U.S. tariffs (the ``U.S. Tariffs Crisis Scenarios'').
ICC also proposes additional updates to reflect current governance
practices and make minor clean-up changes in the STF and LRMF. ICC
believes that such revisions 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 such changes
following Commission approval of the proposed rule change. The proposed
revisions are described in detail as follows.
I. Stress Scenario Changes
ICC proposes to introduce the U.S. Tariffs Crisis Scenarios in the
STF. The STF sets out ICC's stress test methodology, including the
stress scenarios used in ICC's risk management process. The ICC Risk
Department maintains predefined stress scenarios which are divided into
the following four categories: (1) Historically Observed Extreme but
Plausible Market Scenarios,\4\ (2) Historically Observed Extreme but
Plausible Market Scenarios: Severity of Losses in Response to Baseline
Market Events,\5\ (3) Hypothetically Constructed (Forward Looking)
Extreme but Plausible Market Scenarios,\6\ and (4) Extreme Model
Response Tests.\7\
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\4\ Scenarios believed to be potential market outcomes as
historically observed, but with a very low probability of
occurrence.
\5\ Scenarios that replicate observed instrument price
realizations during extreme market events related to the default of
a large market participant, global pandemic problem, and regional or
global economic crisis.
\6\ Scenarios believed to be potential market outcomes created
by enhancing the Historically Observed Extreme but Plausible Market
Scenarios with additional adverse market events.
\7\ Scenarios designed to test the performance of the ICC risk
methodology under extreme conditions and are not expected to be
realized as market outcomes.
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ICC proposes to amend Section 5.1 of the STF, which lists the
Historically Observed Extreme but Plausible Market Scenarios, to add
the proposed U.S. Tariffs Crisis Scenarios. As described in amended
Section 5.1, the proposed scenarios consist of widening and tightening
scenarios and are based on observed relative spread increases and
decreases during the second quarter of 2025. Additional description is
proposed to explain how the scenarios are constructed in terms of
spread changes and end-of-day spread levels.
ICC proposes changes to Section 5.3 of the STF, which sets out the
Hypothetically Constructed (Forward Looking) Extreme but Plausible
Market Scenarios to incorporate the proposed U.S. Tariffs Crisis
Scenarios. The Hypothetically Constructed (Forward Looking) Extreme but
Plausible Market Scenarios are based on Historically Observed Extreme
but Plausible Market Scenarios augmented with adverse credit events and
an additional loss scenario, as set out in the STF. ICC proposes to
include the U.S. Tariffs Crisis Scenarios augmented with adverse credit
events and an additional loss scenario in the bulleted list of
Hypothetically Constructed (Forward Looking) Extreme but Plausible
Market Scenarios.
ICC proposes additional changes to Section 5.4 of the STF, which
sets out the Extreme Model Response Test Scenarios. Such scenarios are
derived from Historically Observed Extreme but Plausible Market
Scenarios by increasing the magnitudes for the widening and tightening
spread scenarios. ICC proposes to include the U.S. Tariffs Crisis
Scenarios in the bulleted list of Extreme Model Response Test
Scenarios.
ICC proposes a conforming change to add the U.S. Tariffs Crisis
Scenarios to a list of Historically Observed and Hypothetically
Constructed Extreme but Plausible Scenarios in Section 14 of the STF.
Such list describes ICC's reporting obligations.
The proposed amendments to the LRMF incorporate the U.S. Tariffs
Crisis Scenarios to ensure unification of the LRMF and STF as ICC
operates stress testing and liquidity stress testing on a unified set
of stress testing scenarios.
Section 3.3.2 of the LRMF sets out the four abovementioned
categories of predefined scenarios that are maintained by the ICC Risk
Department. ICC proposes to incorporate descriptions of the U.S.
Tariffs Crisis Scenarios in Section 3.3.2(a), which contains the
Historically Observed Extreme but Plausible Market Scenarios. Like the
changes discussed above, the proposed scenarios consist of widening and
tightening scenarios and are based on observed relative spread
increases
[[Page 59273]]
and decreases during the second quarter of 2025. Additional language is
proposed to explain how the scenarios are constructed in terms of
spread changes, analogues, and end-of-day spread levels.
ICC proposes updates to memorialize the proposed scenarios as part
of its liquidity stress testing and reporting obligations.
Specifically, ICC proposes to include the proposed scenarios in Table 1
of Section 3.3.3 of the LRMF, which sets out ICC's liquidity stress
testing scenarios. ICC also proposes to add the U.S. Tariffs Crisis
Scenarios to a list of Historically Observed and Hypothetically
Constructed Extreme but Plausible Scenarios in Section 3.3.4 of the
LRMF. Such list describes ICC's reporting obligations.
II. Governance Updates and Clean-Ups
ICC proposes changes to the documentation to add reference to the
recently established Board Risk Committee to reflect current governance
practices and make other minor clean-up changes.\8\ Namely, ICC
proposes edits to Sections 14 and 15 of the STF to incorporate
references to the Board Risk Committee. In Section 14, the proposed
changes note the items that are discussed with the Board Risk Committee
(e.g., risk methodology enhancements and development) as well as the
level of reporting and communication that is provided to the Board Risk
Committee with respect to stress test results and stress test
deficiencies. In Section 15, the proposed changes specify a timely
process for communicating stress test results and associated
recommendations to the Board Risk Committee and discuss the necessity
of obtaining recommendations (for example, related to retiring or
modifying outdated scenarios or portfolios or adding new scenarios or
portfolios) from the Board Risk Committee. Section 15 would also
specify that the STF is subject to Board Risk Committee review at least
annually, in addition to review by the Risk Committee and review and
approval by the Board at least annually. A conforming change is also
proposed to Section 4.3 of the LRMF to memorialize the document's
review at least annually by the Board Risk Committee.
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\8\ ICC previously filed a proposed rule change to establish the
Board Risk Committee. See Securities Exchange Act Release No. 103161
(May 30, 2025), 90 FR 23970 (June 5, 2025) (File No. SR-ICC-2025-
006).
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ICC proposes additional changes to update governance practices in
the LRMF. Amended Section 1.3 of the LRMF states that the Board Risk
Committee is involved in the governance process for the reporting of
liquidity adequacy analysis results, along with ICC senior management,
the Risk Committee, and the Board. ICC proposes minor clean-up changes
to move Figure 1, which contains an overview of the LRMF, to follow a
narrative description of the LRMF in Section 1.4 to promote
understanding and readability of key LRMF elements, namely, liquidity
risk management model, measurement and monitoring, and governance. No
changes are proposed to Figure 1. In Sections 3.3.4, 4.2, and 4.3 of
the LRMF, the proposed changes note the items that are discussed with
the Board Risk Committee (e.g., liquidity risk management methodology
and model enhancements and development) as well as the level of
reporting and communication with respect to stress test results,
liquidity stress test deficiency, and liquidity adequacy analysis that
is provided to the Board Risk Committee.
(b) Statutory Basis
ICC believes that the proposed rule change is consistent with the
requirements of Section 17A of the Act \9\ and the regulations
thereunder applicable to it, including the applicable standards under
Rule 17Ad-22.\10\ In particular, Section 17A(b)(3)(F) of the Act \11\
requires that the rule change be designed to promote the prompt and
accurate clearance and settlement of securities transactions and
derivative agreements, contracts and transactions cleared by ICC, to
assure the safeguarding of securities and funds in the custody or
control of ICC or for which it is responsible, and to protect investors
and the public interest.
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\9\ 15 U.S.C. 78q-1.
\10\ 17 CFR 240.17Ad-22.
\11\ 15 U.S.C. 78q-1(b)(3)(F).
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As discussed herein, the proposed rule change would revise the STF
and LRMF to introduce the U.S. Tariffs Crisis Scenarios. ICC also
proposes additional updates to reflect current governance practices and
make minor clean-up changes in the documentation. The proposed
revisions strengthen the STF and LRMF through the introduction of the
U.S. Tariffs Crisis Scenarios, which would complement the current
scenarios and add additional insight into potential weaknesses in the
ICC risk management methodology. ICC also proposes making additional
minor updates to reflect current governance practices in the STF and
LRMF. Such changes ensure that the documentation remains up-to-date,
clear and transparent to support the effectiveness of ICC's governance
arrangements that support ICC's stress testing and liquidity risk
management practices. Such changes, as well as the proposed clean-ups
moving Figure 1, promote understanding and readability of the LRMF,
including with respect to ICC's stress testing and liquidity risk
management practices. ICC believes that having policies and procedures
that clearly and accurately document its stress testing and liquidity
risk management practices are an important component to the
effectiveness of ICC's risk management system and support ICC's ability
to maintain adequate financial resources, which promotes 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. Accordingly, in ICC's view, the proposed rule change is
designed to promote the prompt and accurate clearance and settlement of
the contracts cleared at ICC, to assure the safeguarding of securities
and funds in the custody or control of ICC or for which it is
responsible, and to protect investors and the public interest, within
the meaning of Section 17A(b)(3)(F) of the Act.\12\
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\12\ Id.
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The amendments would also satisfy relevant requirements of Rule
17Ad-22.\13\ Rule 17Ad-22(e)(2)(i) and (v) \14\ requires each covered
clearing agency to establish, implement, maintain, and enforce written
policies and procedures reasonably designed to provide for governance
arrangements that are clear and transparent and specify clear and
direct lines of responsibility. As discussed above, the proposed
changes reflect current ICC governance arrangements in the STF and
LRMF. Specifically, ICC proposes adding references to the recently
established Board Risk Committee. Such changes ensure that the STF and
LRMF are up-to-date and clearly assign and document responsibility and
accountability for relevant items to the Board Risk Committee. As such,
in ICC's view, the proposed rule change continues to ensure that ICC
maintains policies and procedures that are reasonably designed to
provide for clear and transparent governance arrangements and specify
clear and direct lines of responsibility,
[[Page 59274]]
consistent with Rule 17Ad-22(e)(2)(i) and (v).\15\
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\13\ 17 CFR 240.17Ad-22.
\14\ 17 CFR 240.17ad-22(e)(2)(i) and (v).
\15\ Id.
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Rule 17Ad-22(e)(3)(i) \16\ requires ICC to establish, implement,
maintain and enforce written policies and procedures reasonably
designed to maintain a sound risk management framework for
comprehensively managing legal, credit, liquidity, operational, general
business, investment, custody, and other risks that arise in or are
borne by it, which includes risk management policies, procedures, and
systems designed to identify, measure, monitor, and manage the range of
risks that arise in or are borne by it, that are subject to review on a
specified periodic basis and approved by the Board annually. The
proposed updates would ensure further clarity and transparency in the
STF and LRMF by making minor clean-up changes to the documentation and
regarding the review of the documents composing ICC's risk management
framework (including the STF and LRMF) by the Board Risk Committee,
which would promote the successful maintenance and operation of ICC's
risk management framework. As such, the amendments would satisfy the
requirements of Rule 17Ad-22(e)(3)(i).\17\
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\16\ 17 CFR 240.17ad-22(e)(3)(i).
\17\ Id.
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Rule 17Ad-22(e)(4)(ii) \18\ requires ICC 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 maintaining additional
financial resources at the minimum to enable it to cover a wide range
of foreseeable stress scenarios that include, but are not limited to,
the default of the two participant families that would potentially
cause the largest aggregate credit exposure for ICC in extreme but
plausible market conditions. The introduction of the proposed U.S.
Tariffs Crisis Scenarios would complement the current scenarios in the
documentation and add additional insight into potential weaknesses in
the ICC risk management methodology, thereby supporting ICC's ability
to manage its financial resources. Additional revisions memorialize
current governance arrangements in the STF, which provides further
clarity and transparency regarding ICC's stress testing practices,
thereby strengthening the documentation related to ICC' stress testing
methodology. As such, the proposed amendments would strengthen ICC's
ability to maintain its financial resources and withstand the pressures
of defaults, consistent with the requirements of Rule 17Ad-
22(e)(4)(ii).\19\
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\18\ 17 CFR 240.17ad-22(e)(4)(ii).
\19\ Id.
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Rule 17Ad-22(e)(7)(i) \20\ requires each covered clearing agency to
establish, implement, maintain, and enforce written policies and
procedures reasonably designed to 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 the covered clearing agency in extreme but
plausible market conditions. As noted above, the introduction of the
proposed U.S. Tariffs Crisis Scenarios would complement the current
scenarios in the documentation and add additional insight into
potential weaknesses in the ICC liquidity risk management methodology,
thereby supporting ICC's ability to ensure that it maintains sufficient
liquidity resources. Additional revisions to the LRMF provide further
clarity and transparency regarding ICC's liquidity stress testing
practices to strengthen the documentation surrounding ICC's liquidity
stress testing methodology, including by memorializing current
governance arrangements and ensuring uniformity with the STF. As such,
the proposed amendments would promote ICC's ability to ensure that it
maintains sufficient liquid resources in accordance with the
requirements of Rule 17Ad-22(e)(7)(i).\21\
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\20\ 17 CFR 240.17Ad-22(e)(7)(i).
\21\ Id.
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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
ICC's STF and LRMF will apply uniformly across all market participants.
ICC does not believe these amendments would affect the costs of
clearing or the ability of market participants to access clearing.
Therefore, ICC does not believe the proposed rule change imposes 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
Received From Members, Participants or Others
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
Within 45 days of the date of publication of this notice in the
Federal Register or within such longer period up to 90 days (i) as the
Commission may designate if it finds such longer period to be
appropriate and publishes its reasons for so finding or (ii) as to
which the self-regulatory organization consents, the Commission will:
(A) by order approve or disapprove such proposed rule change, or
(B) institute proceedings to determine whether the proposed rule
change should be disapproved.
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-regulations/self-regulatory-organization-rulemaking);
or
Send an email to [email protected]. Please include
file number SR-ICC-2025-013 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-2025-013. 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 of submission. The Commission will post all
comments on the Commission's internet website (https://www.sec.gov/
rules-regulations/self-regulatory-organization-
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rulemaking). Copies of such filings will be available for inspection
and copying at the principal office of ICE Clear Credit and on ICE
Clear Credit's website at https://www.ice.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-2025-013 and should
be submitted on or before January 8, 2026.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\22\
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\22\ 17 CFR 200.30-3(a)(12).
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Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2025-23233 Filed 12-17-25; 8:45 am]
BILLING CODE 8011-01-P