Notice2024-17146
Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change Relating to the Stress Testing Framework
Primary source
Metadata and text below are from the Federal Register, a public-domain U.S. government work. Always verify the official published version before relying on it for any legal matter.
Published
August 5, 2024
Issuing agencies
Securities and Exchange Commission
Full Text
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<title>Federal Register, Volume 89 Issue 150 (Monday, August 5, 2024)</title>
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[Federal Register Volume 89, Number 150 (Monday, August 5, 2024)]
[Notices]
[Pages 63454-63455]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[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
<bullet> Use the Commission's internet comment form (<a href="https://www.sec.gov/rules/sro.shtml">https://www.sec.gov/rules/sro.shtml</a>); or
<bullet> Send an email to <a href="/cdn-cgi/l/email-protection#0f7d7a636a226c6062626a617b7c4f7c6a6c21686079"><span class="__cf_email__" data-cfemail="651710090048060a0808000b1116251600064b020a13">[email protected]</span></a>. Please include
file number SR-ICC-2024-006 on the subject line.
Paper Comments
<bullet> 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 (<a href="https://www.sec.gov/rules-regulations/self-regulatory-organization-rulemaking">https://www.sec.gov/rules-regulations/self-regulatory-organization-rulemaking</a>). 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 <a href="https://www.theice.com/clear-credit/regulation">https://www.theice.com/clear-credit/regulation</a>. 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
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