Notice2026-01741
Self-Regulatory Organizations; ICE Clear Credit LLC; Order Approving Proposed Rule Change Relating to the ICC Stress Testing Framework and the ICC Liquidity Risk Management 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
January 29, 2026
Issuing agencies
Securities and Exchange Commission
Full Text
<html>
<head>
<title>Federal Register, Volume 91 Issue 19 (Thursday, January 29, 2026)</title>
</head>
<body><pre>
[Federal Register Volume 91, Number 19 (Thursday, January 29, 2026)]
[Notices]
[Pages 3946-3949]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[FR Doc No: 2026-01741]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-104689; File No. SR-ICC-2025-013]
Self-Regulatory Organizations; ICE Clear Credit LLC; Order
Approving Proposed Rule Change Relating to the ICC Stress Testing
Framework and the ICC Liquidity Risk Management Framework
January 26, 2026.
I. Introduction
On December 1, 2025, ICE Clear Credit LLC (``ICC'') filed with the
Securities and Exchange Commission (``Commission''), pursuant to
Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act'') \1\
and Rule 19b-4 thereunder,\2\ a 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 (the ``Proposed Rule Change''). The
Proposed Rule Change was published for comment in the Federal Register
on December 18, 2025.\3\ The Commission has not received any comments
on the Proposed Rule Change. For the reasons discussed below, the
Commission is approving the Proposed Rule Change.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ Securities Exchange Act Release No. 34-104396 (Dec. 15,
2025), 90 FR 59272 (Dec. 18, 2025) (File No. SR-ICC-2025-013)
(``Notice'').
---------------------------------------------------------------------------
II. Description of the Proposed Rule Change
ICC is registered with the Commission as a clearing agency for the
purpose of clearing credit default swap (``CDS'') CDS contracts.\4\ ICC
clears CDS contracts for its members, which it refers to as Clearing
Participants. Clearing CDS contracts for Clearing Participants presents
certain risks to ICC, such as exposure to systemic risk, which may
include, but is not limited to, historic and current market volatility,
and fluctuating interest rates. ICC measures and attempts to protect
against such systemic risk by performing stress tests and, at times,
adjusting the parameters underlying these stress-testing scenarios. The
STF describes ICC's stress testing practices, including the scenarios
that ICC uses to conduct stress tests.\5\
---------------------------------------------------------------------------
\4\ Capitalized terms not otherwise defined herein have the
meanings assigned to them in ICC's Clearing Rules, the STF, or the
LRMF, as applicable.
\5\ For additional information regarding the STF, see Self-
Regulatory Organizations; ICE Clear Credit LLC; Order Approving
Proposed Rule Change Relating to the Stress Testing Framework,
Securities Exchange Act Release No. 34-98496 (Sep. 25, 2023), 88 FR
67405 (Sep. 29, 2023) (File No. SR-ICC-2023-012).
---------------------------------------------------------------------------
Clearing CDS contracts for Clearing Participants also exposes ICC
to liquidity risk, meaning the risk that ICC may not, in certain
situations such as the default of a Clearing Participant, have
sufficient cash or other liquid financial resources to meet its
obligations. ICC manages and attempts to protect against such liquidity
risk by, among other things, measuring and monitoring its liquidity
resources and needs. In doing so, ICC performs stress tests to
determine what its liquidity resources and needs may be in certain
stressed market conditions. The LRMF describes ICC's liquidity stress
testing practices, including the scenarios that ICC uses to conduct
stress tests.
ICC is proposing to revise its STF and LRMF to introduce new stress
scenarios that reflect a recent period of market turmoil related to the
enactment of new U.S. tariffs (the ``U.S. Tariffs Crisis Scenarios'').
ICC is also proposing additional updates to reflect current governance
practices and make clean-up changes in their STF and LRMF.
A. Stress Scenario Changes
ICC proposes to introduce the U.S. Tariffs Crisis Scenarios into
its STF and LRMF. As noted above, the STF describes ICC's stress-
testing methodology, including the stress scenarios used in ICC's risk
management process, and the LRMF similarly describes ICC's liquidity
testing methodology, including liquidity-related stress testing.
The ICC Risk Department maintains a set of predefined stress
scenarios, which are organized into four categories: (1) Historically
Observed Extreme but Plausible Market Scenarios,\6\ (2) Historically
Observed Extreme but Plausible Market Scenarios: Severity of Losses in
Response to Baseline Market Events,\7\ (3) Hypothetically Constructed
(Forward Looking) Extreme but Plausible Market Scenarios,\8\ and (4)
Extreme Model Response Tests.\9\
---------------------------------------------------------------------------
\6\ These are scenarios believed to be potential market outcomes
as historically observed, but with a very low probability of
occurrence.
\7\ These are 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.
\8\ These are scenarios believed to be potential market outcomes
created by enhancing the Historically Observed Extreme but Plausible
Market Scenarios with additional adverse market events.
\9\ These are scenarios designed to test the performance of the
ICC risk methodology under extreme conditions and are not expected
to be realized as market outcomes.
---------------------------------------------------------------------------
ICC proposes to amend Section 5.1 of the STF, which lists the
Historically Observed Extreme but Plausible Market Scenarios, to
include the proposed U.S. Tariffs Crisis Scenarios. As reflected in
amended Section 5.1, the U.S. Tariffs Crisis Scenarios include both
widening and tightening cases calibrated to observed relative spread
increases and decreases during the second quarter of 2025. ICC also
proposes additional explanatory language describing scenario
construction, including applicable spread changes and end-of-day spread
levels.
ICC is also proposing 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. As described in the STF, these hypothetically
constructed scenarios build on the Historically Observed Extreme but
Plausible Market Scenarios by adding adverse credit events and an
additional loss scenario. Consistent with that approach, ICC is
proposing to include the U.S. Tariffs 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. These scenarios are
derived from the Historically Observed Extreme but Plausible Market
Scenarios by increasing the magnitudes of the widening and tightening
spread shocks. ICC proposes to include the U.S. Tariffs Crisis
Scenarios in the bulleted list of Extreme Model Response Test
Scenarios.
Additionally, ICC proposes a confirming update to Section 14 of the
STF to add the U.S. Tariffs Crisis Scenarios to the list of
Historically Observed and Hypothetically Constructed Extreme but
Plausible
[[Page 3947]]
Scenarios referenced for ICC's reporting obligations.
In the same manner as the STF, ICC proposes amendments to the LRMF
to incorporate the U.S. Tariffs Crisis Scenarios and align the LRMF
with the STF, so that ICC's stress testing and liquidity stress testing
are performed using a unified set of stress scenarios.\10\
---------------------------------------------------------------------------
\10\ Notice, 90 FR at 59272.
---------------------------------------------------------------------------
Section 3.3.2 of the LRMF describes the four categories of
predefined scenarios maintained by the ICC Risk Department. These
categories are the same as those in the STF, described above. ICC is
proposing to add descriptions of the U.S. Tariffs Crisis Scenarios to
section 3.3.2(a), which addresses the Historically Observed Extreme but
Plausible Market Scenarios. Consistent with the STF changes described
above, the proposed scenarios include both widening and tightening
cases calibrated to observed relative spread increases and decreases
during the second quarter of 2025. ICC is also proposing additional
language describing scenario construction, including spread changes,
analogues, and end-of-day spread levels.
ICC is further proposing updates to reflect the U.S. Tariffs Crisis
Scenarios in ICC's liquidity stress testing and reporting framework.
Specifically, ICC proposes to include the 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 the
list of Historically Observed and Hypothetically Constructed Extreme
but Plausible Scenarios in Section 3.3.4 of the LRMF, which describes
ICC's reporting obligations.
B. Governance Updates and Clean-Ups
ICC is proposing to update the documentation to reflect current
governance practices, including adding references to the recently
established Board Risk Committee, and to make other conforming and
clean-up revisions.\11\ Specifically, ICC proposes edits to Sections 14
and 15 of the STF to incorporate references to the Board Risk
Committee.
---------------------------------------------------------------------------
\11\ 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).
---------------------------------------------------------------------------
In Section 14, the proposed changes identify matters that are
discussed with the Board Risk Committee (e.g., risk methodology
enhancements and development) and describe the level of reporting and
communication provided to the Board Risk Committee regarding stress
test results and stress test deficiencies.
In Section 15, the proposed changes establish a timely process for
communicating stress test results and related recommendations to the
Board Risk Committee, and they address the need to obtain
recommendations from the Board Risk Committee. Section 15 would also
provide that the STF is subject to review by the Board Risk Committee
at least annually, in addition to review by the Risk Committee and the
annual review and approval by the Board.
ICC is also proposing a conforming change to Section 4.3 of the
LRMF to memorialize that the document is reviewed by the Board Risk
Committee at least annually.
ICC further proposes updates to governance-related provisions in
the LRMF. Amended Section 1.3 of the LRMF would reflect that the Board
Risk Committee participates in the governance process for reporting
liquidity adequacy analysis results, together with ICC senior
management, the Risk Committee, and the Board.
ICC also proposes editorial revisions to improve readability,
including relocating Figure 1 (which provides an overview of the LRMF)
to appear after the narrative description of the LRMF in Section 1.4,
to better support understanding of key LRMF elements, namely, the
liquidity risk management model, measurement and monitoring, and
governance. No changes are proposed to Figure 1.
Finally, in Sections 3.3.4, 4.2, and 4.3 of the LRMF, the proposed
changes would identify matters discussed with the Board Risk Committee
(e.g., liquidity risk management methodology and model enhancements and
development) and describe the level of reporting and communication
provided to the Board Risk Committee with respect to the stress test
results, liquidity stress test deficiencies, and liquidity adequacy
analysis.
III. Discussion and Commission Findings
Section 19(b)(2)(C) of the Act requires the Commission to approve a
proposed rule change of a self-regulatory organization if it finds that
the proposed rule change is consistent with the requirements of the Act
and the rules and regulations thereunder applicable to the
organization.\12\ Under the Commission's Rules of Practice, the
``burden to demonstrate that a proposed rule change is consistent with
the Exchange Act and the rules and regulations issued thereunder . . .
is on the self-regulatory organization [`SRO'] that proposed the rule
change.'' \13\ The description of a proposed rule change, its purpose
and operation, its effect, and a legal analysis of its consistency with
applicable requirements must all be sufficiently detailed and specific
to support an affirmative Commission finding,\14\ and any failure of an
SRO to provide this information may result in the Commission not having
a sufficient basis to make an affirmative finding that a proposed rule
change is consistent with the Exchange Act and the applicable rules and
regulations.\15\ Moreover, ``unquestioning reliance'' on an SRO's
representations in a proposed rule change is not sufficient to justify
Commission approval of a proposed rule change.\16\
---------------------------------------------------------------------------
\12\ 15 U.S.C. 78s(b)(2)(C).
\13\ Rule 700(b)(3), Commission Rules of Practice, 17 CFR
201.700(b)(3).
\14\ Id.
\15\ Id.
\16\ Susquehanna Int'l Group, LLP v. Securities and Exchange
Commission, 866 F.3d 442, 447 (D.C. Cir. 2017).
---------------------------------------------------------------------------
After carefully considering 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 ICC. More specifically, the Commission finds that the
Proposed Rule Change is consistent with Section 17A(b)(3)(F) of the Act
\17\ and Rules 17ad-22(e)(2)(i) and (v), 17ad-22(e)(3)(i), 17ad-
22(e)(4)(vi), and 17ad-22(e)(7)(vi) \18\ thereunder, as described in
detail below.
---------------------------------------------------------------------------
\17\ 15 U.S.C. 78q-1(b)(3)(F).
\18\ 17 CFR 240.17ad-22(e)(2)(i) and (v), (e)(3)(i), (e)(4)(vi),
and (e)(7)(vi).
---------------------------------------------------------------------------
A. Consistency With Section 17A(b)(3)(F) of the Act
Under Section 17A(b)(3)(F) of the Act, ICC's rules, among other
things, must be ``designed to promote the prompt and accurate clearance
and settlement of securities transactions and . . . to assure the
safeguarding of securities and funds which are in the custody or
control of the clearing agency or for which it is responsible . . . .''
\19\ Based on a review of the record, and for the reasons discussed
below, the Proposed Rule Change is consistent with Section
17A(b)(3)(F).
---------------------------------------------------------------------------
\19\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------
As discussed above, 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 clean-up changes in the documentation. Such changes ensure that
the documentation remains
[[Page 3948]]
up to date to support the effectiveness of ICC's governance
arrangements that support ICC's stress testing and liquidity risk
management practices. Having policies and procedures that clearly and
accurately document stress testing and liquidity risk management
practices 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.
Moreover, the proposed U.S. Tariffs Crisis Scenarios would augment
ICC's existing stress testing of its financial resources and liquidity
resources. These additional scenarios could help ICC identify
situations where its financial resources or liquidity resources could
become insufficient, thereby leading ICC to supplement those resources.
Because ICC may need its financial resources and liquidity resources to
continue providing clearance and settlement of securities transactions
and safeguarding funds in stressed market conditions, such as a
Clearing Participant default, adding the U.S. Tariffs Crisis Scenarios
is consistent with Section 17A(b)(3)(F) of the Act.\20\
---------------------------------------------------------------------------
\20\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------
Accordingly, the Proposed Rule Change is consistent with the
requirements of Section 17A(b)(3)(F) of the Act.\21\
---------------------------------------------------------------------------
\21\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------
B. Consistency With Rule 17Ad-22(e)(2)(i) and (v)
Rule 17Ad-22(e)(2)(i) and (v) \22\ requires each covered clearing
agency to establish, implement, maintain, and enforce written policies
and procedures reasonably designed to provide governance arrangements
that are clear and transparent and specify clear and direct lines of
responsibility. Based on a review of the record, and for the reasons
discussed below, the Proposed Rule Change is consistent with Rule 17Ad-
22(e)(2)(i) and (v).\23\
---------------------------------------------------------------------------
\22\ 17 CFR 240.17ad-22(e)(2)(i) and (v).
\23\ 17 CFR 240.17ad-22(e)(2)(i) and (v).
---------------------------------------------------------------------------
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, clear, and clearly assign and document
responsibility and accountability for relevant items to the Board Risk
Committee.
Accordingly, the Proposed Rule Change is consistent with the
requirements of Rule 17Ad-22(e)(2)(i) and (v).\24\
---------------------------------------------------------------------------
\24\ Id.
---------------------------------------------------------------------------
C. Consistency With Rule 17Ad-22(e)(3)(i)
Rule 17Ad-22(e)(3)(i) \25\ 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.
---------------------------------------------------------------------------
\25\ 17 CFR 240.17ad-22(e)(3)(i).
---------------------------------------------------------------------------
The proposed updates would ensure clarity and transparency in the
STF and LRMF by making 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 maintenance and operation of ICC's risk
management framework. The proposed updates also would clarify that the
Board Risk Committee must review the STF and LRMF annually.
Accordingly, the Proposed Rule Change is consistent with the
requirements of Rule 17Ad-22(e)(3)(i).\26\
---------------------------------------------------------------------------
\26\ Id.
---------------------------------------------------------------------------
D. Consistency With Rule 17Ad-22(e)(4)(vi)
Rule 17Ad-22(e)(4)(vi) \27\ 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 testing the
sufficiency of its total financial resources available to meet the
minimum financial resource requirements under Rule 17ad-22(e)(4)(ii) by
conducting stress testing of its total financial resources once each
day using standard predetermined parameters and assumptions.
---------------------------------------------------------------------------
\27\ 17 CFR 240.17ad-22(e)(4)(vi).
---------------------------------------------------------------------------
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 augmenting ICC's current stress testing practices
and enhancing its ability to conduct stress testing of its total
financial resources. Moreover, these additional scenarios could help
ICC identify situations where its financial resources could become
insufficient, thereby leading ICC to supplement 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.
Accordingly, the Proposed Rule Change is consistent with the
requirements of Rule 17Ad-22(e)(4)(vi).\28\
---------------------------------------------------------------------------
\28\ 17 CFR 240.17ad-22(e)(4)(ii).
---------------------------------------------------------------------------
E. Consistency With Rule 17Ad-22(e)(7)(vi)
Rule 17Ad-22(e)(7)(vi) \29\ requires ICC 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 ICC, including by, among other things,
determining the amount and regularly testing the sufficiency of the
liquid resources held for purposes of meeting the minimum liquid
resource requirement under Rule 17ad-22(e)(7)(i) by conducting stress
testing of its liquidity resources at least once each day using
standard and predetermined parameters and assumptions.
---------------------------------------------------------------------------
\29\ 17 CFR 240.17Ad-22(e)(7)(vi).
---------------------------------------------------------------------------
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. These additional scenarios
would augment ICC's current stress testing and could help ICC identify
situations where its liquidity resources could become insufficient,
thereby leading ICC to supplement its liquidity resources. Additional
revisions to the LRMF provide 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.
Accordingly, the Proposed Rule Change is consistent with the
[[Page 3949]]
requirements of Rule 17Ad-22(e)(7)(vi).\30\
---------------------------------------------------------------------------
\30\ Id.
---------------------------------------------------------------------------
IV. 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, Section 17A(b)(3)(F) of the Act \31\ and Rules 17ad-
22(e)(2)(i) and (v), 17ad-22(e)(3)(i), 17ad-22(e)(4)(vi), and 17ad-
22(e)(7)(vi) thereunder.\32\
---------------------------------------------------------------------------
\31\ 15 U.S.C. 78q-1(b)(3)(F).
\32\ 17 CFR 240.17ad-22(e)(2)(i) and (v), (e)(3)(i), (e)(4)(vi),
and (e)(7)(vi).
---------------------------------------------------------------------------
It is therefore ordered pursuant to Section 19(b)(2) of the Act
that the proposed rule change (SR-ICC-2025-013) be, and hereby is,
approved.\33\
---------------------------------------------------------------------------
\33\ In approving the proposed rule change, the Commission
considered the proposal's impacts on efficiency, competition, and
capital formation. 15 U.S.C. 78c(f).
For the Commission by the Division of Trading and Markets,
pursuant to delegated authority.\34\
---------------------------------------------------------------------------
\34\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2026-01741 Filed 1-28-26; 8:45 am]
BILLING CODE 8011-01-P
</pre></body>
</html>Indexed from Federal Register on January 29, 2026.
This is legal information, not legal advice. Laws vary by jurisdiction and change frequently. Always verify current law with official sources and consult a licensed attorney in your jurisdiction for advice on your specific situation.