82 FR 58034 - Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change to the ICC Stress Testing Framework and the ICC Liquidity Risk Management Framework

SECURITIES AND EXCHANGE COMMISSION

Federal Register Volume 82, Issue 235 (December 8, 2017)

Page Range		58034-58035
FR Document		2017-26449
Federal Register, Volume 82 Issue 235 (Friday, December 8, 2017)
[Federal Register Volume 82, Number 235 (Friday, December 8, 2017)]
[Notices]
[Pages 58034-58035]
From the Federal Register Online  [www.thefederalregister.org]
[FR Doc No: 2017-26449]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-82211; File No. SR-ICC-2017-014]


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

December 4, 2017.
    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 November 27, 2017, ICE Clear Credit LLC (``ICC'') filed with the 
Securities and Exchange Commission (``Commission'') the proposed rule 
change described in Items I, II, and III below, which Items have been 
primarily prepared by ICC. ICC filed the proposed rule change pursuant 
to Section 19(b)(3)(A) of the Act,\3\ and Rule 19b-4(f)(3) 
thereunder,\4\ so that the proposal was 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(f)(3).
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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 changes is to make clarifying 
revisions to the ICC Stress Testing Framework and the ICC Liquidity 
Stress Testing Framework.

[[Page 58035]]

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 and 
discussed any comments it received on the proposed rule change. 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

    ICC proposes revisions to its Stress Testing Framework and 
Liquidity Risk Management Framework. Specifically, ICC proposes 
clarifying changes to document current aspects of its stress testing 
and liquidity stress testing practices. The proposed changes are 
described in detail as follows.
    ICC proposes changes to its Stress Testing Framework to provide 
further clarity regarding its calculation of the Foreign Exchange 
(``FX'') shock percentages utilized in ICC's stress testing practices. 
Specifically, ICC proposes adding language noting that ICC calculates a 
FX shock percentage for each considered risk horizon.
    ICC proposes changes to its Liquidity Risk Management Framework to 
provide further clarify regarding the applicability of FX adverse 
stress scenarios to its predefined liquidity stress tests. 
Specifically, ICC proposes adding language noting that adverse stress 
scenarios are applied to the Historically Observed Extreme but 
Plausible scenarios and Hypothetically Constructed Extreme but 
Plausible scenarios. ICC also added a description of its FX shock 
percentage calculation to the ICC Liquidity Risk Management Framework.
    Section 17(A)(b)(3)(F) of the Act \5\ requires, among other things, 
that the rules of a clearing agency be designed to protect investors 
and the public interest and to comply with the provisions of the Act 
and the rules and regulations thereunder. ICC believes that the 
proposed rule change is consistent with the requirements of the Act and 
the rules and regulations thereunder applicable to ICC, in particular, 
Section 17(A)(b)(3)(F),\6\ because ICC believes that the proposed rule 
change will protect investors and the public interest, as the proposed 
revision provides additional clarity regarding ICC's stress testing and 
liquidity stress testing practices. As such, the proposed rule change 
is designed to protect investors and the public interest within the 
meaning of Section 17(A)(b)(3)(F) \7\ of the Act. Further, through 
these revisions, ICC is complying with a directive from the CFTC by 
including requested clarifying details in its Stress Testing Framework 
and Liquidity Risk Management Framework.
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    \5\ 15 U.S.C. 78q-1(b)(3)(F).
    \6\ Id.
    \7\ 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. ICC is adding clarifying 
details regarding its current stress testing and liquidity stress 
testing practices and not making any substantive changes to its overall 
stress testing and liquidity stress testing practices. Therefore, ICC 
does not believe the changes 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

    The foregoing rule change has become effective pursuant to Section 
19(b)(3)(A) \8\ of the Act and paragraph (f)(3) of Rule 19b-4 
thereunder.\9\ 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)(3).
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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 (http://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
File Number SR-ICC-2017-014 on the subject line.

Paper Comments

    Send paper comments in triplicate to Secretary, Securities and 
Exchange Commission, 100 F Street NE., Washington, DC 20549-1090.

All submissions should refer to File Number SR-ICC-2017-014. 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 Web site (http://www.sec.gov/rules/sro.shtml). 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 Web site 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 
10:00 a.m. and 3:00 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 Web site at https://www.theice.com/clear-credit/regulation.
    All comments received will be posted without change. Persons 
submitting comments are cautioned that we do not redact or edit 
personal identifying information from comment submissions. You should 
submit only information that you wish to make available publicly. All 
submissions should refer to File Number SR-ICC-2017-014 and should be 
submitted on or before December 29, 2017.

    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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Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-26449 Filed 12-7-17; 8:45 am]
 BILLING CODE 8011-01-P
58034 Federal Register / Vol. 82, No. 235 / Friday, December 8, 2017 / Notices

limited time prohibition in the rule for subject line if email is used. To help the Accordingly, the Commission finds
releasing material information after the Commission process and review your good cause for approving the proposed
Exchange’s official closing time, a listed comments more efficiently, please use rule change, as modified by Amendment
company is never expected to withhold only one method. The Commission will No. 1, on an accelerated basis, pursuant
material information if doing so would post all comments on the Commission’s to Section 19(b)(2) of the Exchange Act.
violate Regulation FD under the Act. Internet Web site (http://www.sec.gov/
VI. Conclusion
The Commisison notes that this rules/sro.shtml). Copies of the
exception in the new rule requirement submission, all subsequent It is therefore ordered, pursuant to
ensures that listed companies will not amendments, all written statements Section 19(b)(2) of the Exchange Act,21
be prohibited from disclosing material with respect to the proposed rule that the proposed rule change (SR–
information following a non-intentional change that are filed with the NYSE–2017–32), as modified by
disclosure in compliance with Commission, and all written Amendment No. 1, be, and hereby is,
Regulation FD, even if the closing communications relating to the approved.
auction on the Exchange has not yet proposed rule change between the For the Commission, by the Division of
been completed. The Commisison Commission and any person, other than Trading and Markets, pursuant to delegated
believes that this provision is designed those that may be withheld from the authority.22
to ensure, among other things, that all public in accordance with the Eduardo A. Aleman,
market participants have equal access to provisions of 5 U.S.C. 552, will be Assistant Secretary.
information that is material to trading in available for Web site viewing and [FR Doc. 2017–26459 Filed 12–7–17; 8:45 am]
the securities of listed companies and printing in the Commission’s Public BILLING CODE 8011–01–P
therefore finds it is consistent with the Reference Room, 100 F Street NE.,
protection of investors and the public Washington, DC 20549, on official
interest.19 Finally, the Commission business days between the hours of SECURITIES AND EXCHANGE
believes that making clear the official 10:00 a.m. and 3:00 p.m. Copies of the COMMISSION
closing time of the Exchange is filing also will be available for
[Release No. 34–82211; File No. SR–ICC–
consistent with investor protection and inspection and copying at the principal
2017–014]
the public interest in that it reduces office of the Exchange. All comments
potential confusion in determining received will be posted without change. Self-Regulatory Organizations; ICE
when the rule applies. Persons submitting comments are Clear Credit LLC; Notice of Filing and
Accordingly, for the reasons cautioned that we do not redact or edit Immediate Effectiveness of Proposed
discussed above, the Commission finds personal identifying information from Rule Change to the ICC Stress Testing
that the proposed rule change, as comment submissions. You should Framework and the ICC Liquidity Risk
modified by Amendment No. 1, is submit only information that you wish Management Framework
consistent with the Exchange Act. to make available publicly. All
submissions should refer to File December 4, 2017.
IV. Solicitation of Comments
Number SR–NYSE–2017–32 and should Pursuant to Section 19(b)(1) of the
Interested persons are invited to be submitted on or before December 29, Securities Exchange Act of 1934
submit written data, views, and 2017. (‘‘Act’’),1 and Rule 19b–4 thereunder,2
arguments concerning the foregoing, notice is hereby given that on November
including whether this filing, as V. Accelerated Approval of Proposed 27, 2017, ICE Clear Credit LLC (‘‘ICC’’)
modified by whether Amendment No. 1, Rule Change, as Modified by filed with the Securities and Exchange
is consistent with the Exchange Act. Amendment No. 1 Commission (‘‘Commission’’) the
Comments may be submitted by any of The Commission finds good cause, proposed rule change described in Items
the following methods: pursuant to Section 19(b)(2) of the I, II, and III below, which Items have
Electronic Comments Exchange Act, to approve the proposed been primarily prepared by ICC. ICC
rule change, as modified by Amendment filed the proposed rule change pursuant
• Use the Commission’s Internet No. 1, prior to the 30th day after the to Section 19(b)(3)(A) of the Act,3 and
comment form (http://www.sec.gov/ date of publication of Amendment No. Rule 19b–4(f)(3) thereunder,4 so that the
rules/sro.shtml); or 1 in the Federal Register. As discussed proposal was effective upon filing with
• Send an email to rule-comments@ the Commission. The Commission is
above, Amendment No. 1 explicitly
sec.gov. Please include File Number SR– publishing this notice to solicit
makes clear that the proposed
NYSE–2017–32 on the subject line. comments on the proposed rule change
restriction on issuing material news will
Paper Comments not apply when a listed company is from interested persons.
• Send paper comments in triplicate publicly disclosing material information I. Clearing Agency’s Statement of the
to Secretary, Securities and Exchange following a non-intentional disclosure Terms of Substance of the Proposed
Commission, 100 F Street NE., in order to comply with Regulation Rule Change
Washington, DC 20549–1090. FD.20 The Commission believes that this
revision provides greater clarity on the The principal purpose of the
All submissions should refer to File proposed changes is to make clarifying
application of the proposed
Number SR–NYSE–2017–32. This file revisions to the ICC Stress Testing
amendments to Section 202.06 of the
number should be included on the Framework and the ICC Liquidity Stress
Manual and removes uncertainty as to
sradovich on DSK3GMQ082PROD with NOTICES

the new prohibitions in the Exchange Testing Framework.
19 The Commission notes that it expects listed

companies to comply with their obligations under rules and a listed company’s obligation 21 15 U.S.C. 78f(b)(2).
the federal securities laws, including Regulation to make disclosures that would be 22 17 CFR 200.30–3(a)(12).
FD, notwithstanding provisions in the Exchange required under Regulation FD pursuant 1 15 U.S.C. 78s(b)(1).
rules that require listed companies to provide the to the federal securities laws. 2 17 CFR 240.19b–4.
Exchange advance notice of material news
3 15 U.S.C. 78s(b)(3)(A).
announcements, such as in Section 202.05 (B) of the
Manual. 20 See supra note 6. 4 17 CFR 240.19b–4(f)(3).

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Federal Register / Vol. 82, No. 235 / Friday, December 8, 2017 / Notices 58035

II. Clearing Agency’s Statement of the testing and liquidity stress testing • Send an email to rule-comments@
Purpose of, and Statutory Basis for, the practices. As such, the proposed rule sec.gov. Please include File Number SR–
Proposed Rule Change change is designed to protect investors ICC–2017–014 on the subject line.
In its filing with the Commission, ICC and the public interest within the
meaning of Section 17(A)(b)(3)(F) 7 of Paper Comments
included statements concerning the
purpose of and basis for the proposed the Act. Further, through these Send paper comments in triplicate to
rule change and discussed any revisions, ICC is complying with a Secretary, Securities and Exchange
comments it received on the proposed directive from the CFTC by including
Commission, 100 F Street NE.,
rule change. The text of these statements requested clarifying details in its Stress
Washington, DC 20549–1090.
may be examined at the places specified Testing Framework and Liquidity Risk
in Item IV below. ICC has prepared Management Framework. All submissions should refer to File
summaries, set forth in sections (A), (B), (B) Clearing Agency’s Statement on Number SR–ICC–2017–014. This file
and (C) below, of the most significant Burden on Competition number should be included on the
aspects of these statements. subject line if email is used. To help the
ICC does not believe the proposed Commission process and review your
(A) Clearing Agency’s Statement of the rule change would have any impact, or
Purpose of, and Statutory Basis for, the comments more efficiently, please use
impose any burden, on competition. ICC only one method. The Commission will
Proposed Rule Change is adding clarifying details regarding its post all comments on the Commission’s
ICC proposes revisions to its Stress current stress testing and liquidity stress Internet Web site (http://www.sec.gov/
Testing Framework and Liquidity Risk testing practices and not making any
rules/sro.shtml). Copies of the
Management Framework. Specifically, substantive changes to its overall stress
submission, all subsequent
ICC proposes clarifying changes to testing and liquidity stress testing
practices. Therefore, ICC does not amendments, all written statements
document current aspects of its stress
testing and liquidity stress testing believe the changes impose any burden with respect to the proposed rule
practices. The proposed changes are on competition that is inappropriate in change that are filed with the
described in detail as follows. furtherance of the purposes of the Act. Commission, and all written
ICC proposes changes to its Stress communications relating to the
Testing Framework to provide further (C) Clearing Agency’s Statement on proposed rule change between the
clarity regarding its calculation of the Comments on the Proposed Rule Commission and any person, other than
Foreign Exchange (‘‘FX’’) shock Change those that may be withheld from the
percentages utilized in ICC’s stress Written comments relating to the public in accordance with the
testing practices. Specifically, ICC proposed rule change have not been provisions of 5 U.S.C. 552, will be
proposes adding language noting that solicited or received. ICC will notify the available for Web site viewing and
ICC calculates a FX shock percentage for Commission of any written comments printing in the Commission’s Public
each considered risk horizon. received by ICC. Reference Room, 100 F Street NE.,
ICC proposes changes to its Liquidity Washington, DC 20549, on official
Risk Management Framework to provide III. Date of Effectiveness of the
Proposed Rule Change business days between the hours of
further clarify regarding the 10:00 a.m. and 3:00 p.m. Copies of such
applicability of FX adverse stress The foregoing rule change has become filings will also be available for
scenarios to its predefined liquidity effective pursuant to Section
inspection and copying at the principal
stress tests. Specifically, ICC proposes 19(b)(3)(A) 8 of the Act and paragraph
adding language noting that adverse office of ICE Clear Credit and on ICE
(f)(3) of Rule 19b–4 thereunder.9 At any
stress scenarios are applied to the Clear Credit’s Web site at https://
time within 60 days of the filing of the
Historically Observed Extreme but proposed rule change, the Commission www.theice.com/clear-credit/regulation.
Plausible scenarios and Hypothetically summarily may temporarily suspend All comments received will be posted
Constructed Extreme but Plausible such rule change if it appears to the without change. Persons submitting
scenarios. ICC also added a description Commission that such action is comments are cautioned that we do not
of its FX shock percentage calculation to necessary or appropriate in the public redact or edit personal identifying
the ICC Liquidity Risk Management interest, for the protection of investors, information from comment submissions.
Framework. or otherwise in furtherance of the You should submit only information
Section 17(A)(b)(3)(F) of the Act 5 purposes of the Act. that you wish to make available
requires, among other things, that the publicly. All submissions should refer
rules of a clearing agency be designed to IV. Solicitation of Comments
to File Number SR–ICC–2017–014 and
protect investors and the public interest Interested persons are invited to should be submitted on or before
and to comply with the provisions of submit written data, views, and
the Act and the rules and regulations December 29, 2017.
arguments concerning the foregoing,
thereunder. ICC believes that the including whether the proposed rule For the Commission, by the Division of
proposed rule change is consistent with change is consistent with the Act. Trading and Markets, pursuant to delegated
the requirements of the Act and the Comments may be submitted by any of authority.10
rules and regulations thereunder the following methods: Eduardo A. Aleman,
applicable to ICC, in particular, Section Assistant Secretary.
Electronic Comments
sradovich on DSK3GMQ082PROD with NOTICES

17(A)(b)(3)(F),6 because ICC believes [FR Doc. 2017–26449 Filed 12–7–17; 8:45 am]
that the proposed rule change will • Use the Commission’s Internet
BILLING CODE 8011–01–P
protect investors and the public interest, comment form (http://www.sec.gov/
as the proposed revision provides rules/sro.shtml); or
additional clarity regarding ICC’s stress
7 Id.
5 15 U.S.C. 78q–1(b)(3)(F). 8 15 U.S.C. 78s(b)(3)(A).
6 Id. 9 17 CFR 240.19b–4(f)(3). 10 17 CFR 200.30–3(a)(12).

VerDate Sep<11>2014 20:38 Dec 07, 2017 Jkt 244001 PO 00000 Frm 00089 Fmt 4703 Sfmt 9990 E:\FR\FM\08DEN1.SGM 08DEN1
Document Created: 2017-12-08 01:43:58
Document Modified: 2017-12-08 01:43:58
Category		Regulatory Information
Collection		Federal Register
sudoc Class		AE 2.7: GS 4.107: AE 2.106:
Publisher		Office of the Federal Register, National Archives and Records Administration
Section		Notices
FR Citation		82 FR 58034