83 FR 53136 - Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change Relating to ICC's Stress Testing Framework and ICC's Liquidity Risk Management Framework
SECURITIES AND EXCHANGE COMMISSION Federal Register Volume 83, Issue 203 (October 19, 2018)
Federal Register Volume 83, Issue 203 (October 19, 2018)
| Page Range | 53136-53138 | |
| FR Document | 2018-22776 |
[Federal Register Volume 83, Number 203 (Friday, October 19, 2018)] [Notices] [Pages 53136-53138] From the Federal Register Online [www.thefederalregister.org] [FR Doc No: 2018-22776] ----------------------------------------------------------------------- SECURITIES AND EXCHANGE COMMISSION [Release No. 34-84424; File No. SR-ICC-2018-010] Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change Relating to ICC's Stress Testing Framework and ICC's Liquidity Risk Management Framework October 15, 2018. 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 October 1, 2018, 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 prepared primarily by ICC. ICC filed the proposed rule changes pursuant to Section 19(b)(3)(A) of the Act,\3\ and Rule 19b-4(f)(4)(ii) thereunder,\4\ so that the proposal 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. --------------------------------------------------------------------------- \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)(4)(ii). --------------------------------------------------------------------------- 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 and the ICC Liquidity Risk Management Framework. 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 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 (a) Purpose ICC proposes revising its Stress Testing Framework and its Liquidity Risk Management Framework. Specifically, ICC proposes clarifying changes regarding current aspects of its stress testing and liquidity stress testing practices to address comments received from independent validations, as well as additional clean-up changes. The independent validator comments revolve around clarification updates that do not change ICC's current stress testing and liquidity stress testing practices. ICC's proposed changes to address the independent validator comments include updates to correct inconsistencies between section numbering and the table of contents, ensure that scenarios are categorized consistently across the ICC Stress Testing Framework and the ICC Liquidity Risk Management Framework, define potentially unclear terminology, and clarify or include additional detail relating to potentially ambiguous phrases or text such that ICC's documentation provides a clearer view of its stress testing and liquidity stress testing practices. ICC believes 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. The proposed revisions are described in detail as follows. Stress Testing Framework ICC proposes revisions to the Stress Testing Framework to address independent validator comments and to make clarification and clean-up changes to enhance readability. ICC proposes clean-up changes to the Table of Contents to add two sections, which are not new to the document, but were previously excluded from the Table of Contents. ICC also proposes, for clarity, updates to the `Overview' section to abbreviate ``Risk Committee'' to ``RC.'' ICC proposes corresponding changes throughout the document. ICC proposes amendments to the `Predefined Scenarios' section of the Stress Testing Framework. ICC proposes to divide the predefined scenarios into four categories. Previously, the Stress Testing Framework divided the predefined scenarios into three categories by combining the Historically Observed Extreme but Plausible Market Scenarios: Severity of Losses in Response to a Baseline Credit Event and the Hypothetically Constructed (Forward Looking) Extreme but Plausible Market Scenarios into one category. ICC proposes to separate these scenarios into two categories to maintain uniformity throughout the Stress Testing Framework since each represents a distinct sub- section in the `Predefined Scenarios' section of the Stress Testing Framework. Additionally, ICC proposes to categorize the Discordant Spread Scenarios (i.e., scenarios designed to reproduce significant discordant outcomes during the considered period) and the Opposite Discordant Spread Scenarios (i.e., scenarios constructed using the opposite discordant outcomes to those observed during the considered period) as Historically Observed Extreme but Plausible to ensure consistency with the scenarios classified as Historically Observed Extreme but Plausible in the Liquidity Risk Management Framework, which include the Discordant Spread Scenarios and the Opposite Discordant Spread Scenarios. ICC proposes clarifying changes to the `Display of Discordant Behavior among Instrument Groups' section. ICC proposes to more clearly define discordant change as discordant relative spread move. ICC proposes to add clarifying language to define the market depth of sovereign reference entities in terms of the observed weekly trading volumes from the Depository Trust & Clearing Corporation (``DTCC''). In addition, ICC proposes to include language to clarify that the historical period selected to represent the greatest combined discordant change for sovereign reference entities can be different from the one selected for corporate single names (``SNs''). ICC proposes enhancements to the `Reverse Stress Testing: Guaranty Fund Adequacy Analysis' section to provide additional clarity regarding how ICC performs such analysis. Specifically, ICC proposes to add explanatory language to note that, upon the simultaneous default of two Clearing Participant (``CP'') affiliate groups (``AGs''), ICC considers additional adverse spread realizations and idiosyncratic credit events associated with reference obligations on which the stress tested CP sold protection. ICC proposes enhancements to the `Interest Rate Sensitivity Analysis' [[Page 53137]] section to further clarify its analysis. To avoid confusing interest rate shocks as haircuts, ICC proposes to clarify that interest rate shocks used for stress testing are based on interest rate shocks observed during historical periods used to estimate haircuts. ICC proposes clarification changes to the `Guaranty Fund Sizing Sensitivity Analysis' section. ICC's Guaranty Fund (``GF'') model aims to establish financial resources that are sufficient to cover hypothetical losses associated with the simultaneous credit events where up to five SN Risk Factor Groups (``RFGs'') \5\ are impacted. In that, two of the selected SN RFGs are CP AGs (i.e., Cover-2 GF sizing) and the other three RFGs are non-CP RFGs. Under the alternative combination, three of the selected SN RFGs are CP AGs (i.e., Cover-3 GF sizing) and the other two RFGs are non-CP RFGs. Given that two or three of the selected SN RFGs are CP AGs, ICC proposes to provide specific reference to CP AGs when referring to Cover-2 and Cover-3 GF sizing. ICC proposes corresponding changes throughout the document when referencing Cover-2 and Cover-3. --------------------------------------------------------------------------- \5\ ICC deems each SN reference entity a Risk Factor. ICC deems a set of SN Risk Factors related by a common parental ownership structure a RFG. --------------------------------------------------------------------------- ICC proposes updates to the `Interpretation of Results' section. For clarity, ICC proposes revisions to specify when it assesses Cover-2 in terms of two CP AGs generating the largest uncollateralized stress losses (i.e., stress losses over their corresponding financial resources) versus two CP AGs generating the largest consumption of the GF. ICC proposes incorporating the Discordant Spread Scenarios and the Opposite Discordant Spread Scenarios in its list of Historically Observed and Hypothetically Constructed Extreme but Plausible Scenarios to ensure consistency with the Historically Observed Extreme but Plausible Scenarios set forth in the Liquidity Risk Management Framework, which include the Discordant Spread Scenarios and the Opposite Discordant Spread Scenarios. In addition, ICC proposes to further clarify the role of large position requirements, noting that large position requirements, although initially excluded, are included in the available total margin used to cover hypothetical losses from stress test results. ICC proposes amending the `Post-Stress Testing Review & Governance Structure' section to more clearly reflect the ICC Risk Department's reporting and stress testing obligations. The proposed changes clarify that, for each considered stress scenario, the ICC Risk Department creates and reviews stress testing results for all applicable CP AGs. The proposed changes further specify which scenarios are provided weekly for reporting purposes and which are provided monthly to the Risk Committee. The proposed changes also note the ICC Risk Department's reporting obligation if deficiencies are uncovered during analysis of certain Cover-2 stress scenarios, along with the ICC Risk Department's obligation to execute stress testing regularly for all CP AGs. Liquidity Risk Management Framework ICC proposes revisions to its Liquidity Risk Management Framework to make clean-up changes and clarification changes in response to independent validator comments. Specifically, ICC proposes to revise the `Discordant Scenario' sub-section to more clearly define discordant change as discordant relative spread move. In addition, consistent with the Stress Testing Framework, ICC proposes modifying the `Required Analysis' section to more clearly reflect the ICC Risk Department's reporting and stress testing obligations. ICC proposes to note that, for each considered stress scenario, the ICC Risk Department executes stress testing daily for all applicable CP AGs. ICC also proposes to specify which scenarios are provided weekly for reporting purposes and which are provided monthly to the Risk Committee. (b) Statutory Basis Section 17A(b)(3)(F) of the Act \6\ requires, among other things, that the rules of a clearing agency be designed to promote the prompt and accurate clearance and settlement of securities transactions, and to the extent applicable, derivative agreements, contracts and transactions; 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; and to comply with the provisions of the Act and the rules and regulations thereunder. ICC believes that the proposed rule changes are consistent with the requirements of the Act and the rules and regulations thereunder applicable to ICC, in particular, to Section 17(A)(b)(3)(F),\7\ because ICC believes that the proposed rule changes will promote the prompt and accurate clearance and settlement of securities transactions, derivatives agreements, contracts, and transactions, and contribute to the safeguarding of securities and funds associated with security-based swap transactions in ICC's custody or control, or for which ICC is responsible. The proposed changes to the Stress Testing Framework and the Liquidity Risk Management Framework to address independent validator comments provide additional clarity and transparency regarding ICC's stress testing and liquidity stress testing practices and enhance ICC's approach to identifying potential weaknesses in the risk methodology as well as the methodology for testing the sufficiency of ICC's liquidity resources. The clarification and clean-up changes that enhance readability further ensure that the documentation of ICC's Stress Testing Framework and Liquidity Risk Management Framework remains up-to-date, clear, and transparent. ICC believes that having policies and procedures that clearly and accurately document ICC's stress testing and liquidity stress testing practices are an important component to the effectiveness of ICC's risk management system, which promotes the prompt and accurate clearance and settlement of securities transactions, derivatives agreements, contracts, and transactions and contributes to the safeguarding of securities and funds associated with security-based swap transactions in ICC's custody or control, or for which ICC is responsible. As such, the proposed rule changes are designed to promote the prompt and accurate clearance and settlement of securities transactions, derivatives agreements, contracts, and transactions and to contribute to the safeguarding of securities and funds associated with security-based swap transactions in ICC's custody or control, or for which ICC is responsible within the meaning of Section 17A(b)(3)(F) of the Act.\8\ --------------------------------------------------------------------------- \6\ 15 U.S.C. 78q-1(b)(3)(F). \7\ Id. \8\ Id. --------------------------------------------------------------------------- In addition, the proposed revisions to the Stress Testing Framework and the Liquidity Risk Management Framework are consistent with the relevant requirements of Rule 17Ad-22.\9\ Rule 17Ad-22(b)(3) \10\ requires ICC to establish, implement, maintain and enforce written policies and procedures reasonably designed to maintain sufficient financial resources to withstand, at a minimum, a default by the two CP families to which it has the largest exposures in extreme but plausible market conditions. The proposed changes to the Stress Testing Framework and the Liquidity Risk Management Framework provide further clarity and transparency regarding ICC's [[Page 53138]] stress testing and liquidity stress testing practices and enhance ICC's approach to identifying potential weaknesses in the risk methodology as well as the methodology for testing the sufficiency of ICC's liquidity resources, thereby ensuring that ICC maintains sufficient financial resources to withstand, at a minimum, a default by the two CP families to which it has the largest exposures in extreme but plausible market conditions, consistent with the requirements of Rule 17Ad-22(b)(3).\11\ --------------------------------------------------------------------------- \9\ 17 CFR 240.17Ad-22. \10\ 17 CFR 240.17Ad-22(b)(3). \11\ Id. --------------------------------------------------------------------------- Rule 17Ad-22(d)(8) \12\ requires ICC to establish, implement, maintain and enforce written policies and procedures reasonably designed to have governance arrangements that are clear and transparent to fulfill the public interest requirements in Section 17A of the Act.\13\ By updating the Stress Testing Framework and the Liquidity Risk Management Framework so that the documents more clearly reflect the assignment of responsibilities to the ICC Risk Department in terms of reporting and stress testing obligations, the proposed changes will ensure that ICC's governance of the Stress Testing Framework and the Liquidity Risk Management Framework is clear, transparent, and documented accurately, consistent with the requirements of Rule 17Ad- 22(d)(8).\14\ --------------------------------------------------------------------------- \12\ 17 CFR 240.17Ad-22(d)(8). \13\ 15 U.S.C. 78q-1. \14\ 17 CFR 240.17Ad-22(d)(8). --------------------------------------------------------------------------- (B) Clearing Agency's Statement on Burden on Competition ICC does not believe the proposed rule changes would have any impact, or impose any burden, on competition. The proposed changes to ICC's Stress Testing Framework and ICC's Liquidity Risk Management Framework will apply uniformly across all market participants. Therefore, ICC does not believe the proposed rule 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 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 The foregoing rule change has become effective pursuant to Section 19(b)(3)(A) of the Act and paragraph (f) of Rule 19b-4 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. 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 CommentsUse 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-2018-010 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-2018-010. 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 (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 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 10:00 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 website 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-2018-010 and should be submitted on or before November 9, 2018. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.\15\ Eduardo A. Aleman, Assistant Secretary. --------------------------------------------------------------------------- \15\ 17 CFR 200.30-3(a)(12). --------------------------------------------------------------------------- [FR Doc. 2018-22776 Filed 10-18-18; 8:45 am] BILLING CODE 8011-01-P
![53136 Federal Register / Vol. 83, No. 203 / Friday, October 19, 2018 / Notices
All submissions should refer to File rule change and discussed any to divide the predefined scenarios into
Number SR–GEMX–2018–35 and comments it received on the proposed four categories. Previously, the Stress
should be submitted on or before rule change. The text of these statements Testing Framework divided the
November 9, 2018. may be examined at the places specified predefined scenarios into three
For the Commission, by the Division of in Item IV below. ICC has prepared categories by combining the Historically
Trading and Markets, pursuant to delegated summaries, set forth in sections (A), (B), Observed Extreme but Plausible Market
authority.12 and (C) below, of the most significant Scenarios: Severity of Losses in
Eduardo A. Aleman, aspects of these statements. Response to a Baseline Credit Event and
Assistant Secretary. the Hypothetically Constructed
(A) Clearing Agency’s Statement of the (Forward Looking) Extreme but
[FR Doc. 2018–22777 Filed 10–18–18; 8:45 am] Purpose of, and Statutory Basis for, the Plausible Market Scenarios into one
BILLING CODE 8011–01–P Proposed Rule Change category. ICC proposes to separate these
(a) Purpose scenarios into two categories to
SECURITIES AND EXCHANGE maintain uniformity throughout the
ICC proposes revising its Stress
COMMISSION Stress Testing Framework since each
Testing Framework and its Liquidity
represents a distinct sub-section in the
[Release No. 34–84424; File No. SR–ICC– Risk Management Framework.
‘Predefined Scenarios’ section of the
2018–010] Specifically, ICC proposes clarifying
Stress Testing Framework. Additionally,
changes regarding current aspects of its
ICC proposes to categorize the
Self-Regulatory Organizations; ICE stress testing and liquidity stress testing Discordant Spread Scenarios (i.e.,
Clear Credit LLC; Notice of Filing and practices to address comments received scenarios designed to reproduce
Immediate Effectiveness of a Proposed from independent validations, as well as significant discordant outcomes during
Rule Change Relating to ICC’s Stress additional clean-up changes. The the considered period) and the Opposite
Testing Framework and ICC’s Liquidity independent validator comments Discordant Spread Scenarios (i.e.,
Risk Management Framework revolve around clarification updates scenarios constructed using the opposite
that do not change ICC’s current stress discordant outcomes to those observed
October 15, 2018. testing and liquidity stress testing
Pursuant to Section 19(b)(1) of the during the considered period) as
practices. ICC’s proposed changes to Historically Observed Extreme but
Securities Exchange Act of 1934 address the independent validator
(‘‘Act’’),1 and Rule 19b–4 thereunder,2 Plausible to ensure consistency with the
comments include updates to correct scenarios classified as Historically
notice is hereby given that on October inconsistencies between section
1, 2018, ICE Clear Credit LLC (‘‘ICC’’) Observed Extreme but Plausible in the
numbering and the table of contents, Liquidity Risk Management Framework,
filed with the Securities and Exchange ensure that scenarios are categorized
Commission (‘‘Commission’’) the which include the Discordant Spread
consistently across the ICC Stress Scenarios and the Opposite Discordant
proposed rule change described in Items Testing Framework and the ICC
I, II, and III below, which Items have Spread Scenarios.
Liquidity Risk Management Framework, ICC proposes clarifying changes to the
been prepared primarily by ICC. ICC define potentially unclear terminology,
filed the proposed rule changes ‘Display of Discordant Behavior among
and clarify or include additional detail Instrument Groups’ section. ICC
pursuant to Section 19(b)(3)(A) of the relating to potentially ambiguous proposes to more clearly define
Act,3 and Rule 19b–4(f)(4)(ii) phrases or text such that ICC’s discordant change as discordant relative
thereunder,4 so that the proposal was documentation provides a clearer view spread move. ICC proposes to add
immediately effective upon filing with of its stress testing and liquidity stress clarifying language to define the market
the Commission. The Commission is testing practices. ICC believes such depth of sovereign reference entities in
publishing this notice to solicit revisions will facilitate the prompt and terms of the observed weekly trading
comments on the proposed rule change accurate clearance and settlement of volumes from the Depository Trust &
from interested persons. securities transactions and derivative Clearing Corporation (‘‘DTCC’’). In
I. Clearing Agency’s Statement of the agreements, contracts, and transactions addition, ICC proposes to include
Terms of Substance of the Proposed for which it is responsible. The language to clarify that the historical
Rule Change proposed revisions are described in period selected to represent the greatest
detail as follows. combined discordant change for
The principal purpose of the
proposed rule change is to revise the Stress Testing Framework sovereign reference entities can be
ICC Stress Testing Framework and the different from the one selected for
ICC proposes revisions to the Stress corporate single names (‘‘SNs’’).
ICC Liquidity Risk Management Testing Framework to address ICC proposes enhancements to the
Framework. These revisions do not independent validator comments and to ‘Reverse Stress Testing: Guaranty Fund
require any changes to the ICC Clearing make clarification and clean-up changes Adequacy Analysis’ section to provide
Rules (‘‘Rules’’). to enhance readability. ICC proposes additional clarity regarding how ICC
II. Clearing Agency’s Statement of the clean-up changes to the Table of performs such analysis. Specifically,
Purpose of, and Statutory Basis for, the Contents to add two sections, which are ICC proposes to add explanatory
Proposed Rule Change not new to the document, but were language to note that, upon the
In its filing with the Commission, ICC previously excluded from the Table of simultaneous default of two Clearing
Contents. ICC also proposes, for clarity, Participant (‘‘CP’’) affiliate groups
amozie on DSK3GDR082PROD with NOTICES1
included statements concerning the
purpose of and basis for the proposed updates to the ‘Overview’ section to (‘‘AGs’’), ICC considers additional
abbreviate ‘‘Risk Committee’’ to ‘‘RC.’’ adverse spread realizations and
12 17 CFR 200.30–3(a)(12).
ICC proposes corresponding changes idiosyncratic credit events associated
1 15 U.S.C. 78s(b)(1). throughout the document. with reference obligations on which the
2 17 CFR 240.19b–4. ICC proposes amendments to the stress tested CP sold protection.
3 15 U.S.C. 78s(b)(3)(A). ‘Predefined Scenarios’ section of the ICC proposes enhancements to the
4 17 CFR 240.19b–4(f)(4)(ii). Stress Testing Framework. ICC proposes ‘Interest Rate Sensitivity Analysis’
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![53138 Federal Register / Vol. 83, No. 203 / Friday, October 19, 2018 / Notices
stress testing and liquidity stress testing of the Act and paragraph (f) of Rule information from comment submissions.
practices and enhance ICC’s approach to 19b–4 thereunder. At any time within You should submit only information
identifying potential weaknesses in the 60 days of the filing of the proposed rule that you wish to make available
risk methodology as well as the change, the Commission summarily may publicly. All submissions should refer
methodology for testing the sufficiency temporarily suspend such rule change if to File Number SR–ICC–2018–010 and
of ICC’s liquidity resources, thereby it appears to the Commission that such should be submitted on or before
ensuring that ICC maintains sufficient action is necessary or appropriate in the November 9, 2018.
financial resources to withstand, at a public interest, for the protection of For the Commission, by the Division of
minimum, a default by the two CP investors, or otherwise in furtherance of Trading and Markets, pursuant to delegated
families to which it has the largest the purposes of the Act. authority.15
exposures in extreme but plausible IV. Solicitation of Comments Eduardo A. Aleman,
market conditions, consistent with the Assistant Secretary.
requirements of Rule 17Ad–22(b)(3).11 Interested persons are invited to
[FR Doc. 2018–22776 Filed 10–18–18; 8:45 am]
Rule 17Ad–22(d)(8) 12 requires ICC to submit written data, views, and
BILLING CODE 8011–01–P
establish, implement, maintain and arguments concerning the foregoing,
enforce written policies and procedures including whether the proposed rule
reasonably designed to have governance change is consistent with the Act.
SECURITIES AND EXCHANGE
arrangements that are clear and Comments may be submitted by any of
COMMISSION
transparent to fulfill the public interest the following methods:
requirements in Section 17A of the [Release No. 34–84426; File No. SR–DTC–
Electronic Comments 2018–008]
Act.13 By updating the Stress Testing
• Use the Commission’s internet
Framework and the Liquidity Risk Self-Regulatory Organizations; The
comment form (http://www.sec.gov/
Management Framework so that the Depository Trust Company; Notice of
rules/sro.shtml); or
documents more clearly reflect the • Send an email to rule-comments@ Filing and Immediate Effectiveness of
assignment of responsibilities to the ICC sec.gov. Please include File Number SR– Proposed Rule Change To Amend the
Risk Department in terms of reporting ICC–2018–010 on the subject line. Clearing Agency Policy on Capital
and stress testing obligations, the Requirements and the Clearing Agency
proposed changes will ensure that ICC’s Paper Comments Capital Replenishment Plan
governance of the Stress Testing • Send paper comments in triplicate
Framework and the Liquidity Risk to Secretary, Securities and Exchange October 15, 2018.
Management Framework is clear, Commission, 100 F Street NE, Pursuant to Section 19(b)(1) of the
transparent, and documented Washington, DC 20549. Securities Exchange Act of 1934
accurately, consistent with the All submissions should refer to File (‘‘Act’’) 1 and Rule 19b–4 thereunder,2
requirements of Rule 17Ad–22(d)(8).14 Number SR–ICC–2018–010. This file notice is hereby given that on October
number should be included on the 4, 2018, The Depository Trust Company
(B) Clearing Agency’s Statement on (‘‘DTC’’) filed with the Securities and
Burden on Competition subject line if email is used. To help the
Commission process and review your Exchange Commission (‘‘Commission’’)
ICC does not believe the proposed the proposed rule change as described
comments more efficiently, please use
rule changes would have any impact, or in Items I, II and III below, which Items
only one method. The Commission will
impose any burden, on competition. have been prepared by the clearing
post all comments on the Commission’s
The proposed changes to ICC’s Stress agency. DTC filed the proposed rule
internet website (http://www.sec.gov/
Testing Framework and ICC’s Liquidity change pursuant to Section 19(b)(3)(A)
rules/sro.shtml). Copies of the
Risk Management Framework will apply of the Act 3 and Rule 19b–4(f)(4)
submission, all subsequent
uniformly across all market participants. thereunder.4 The Commission is
amendments, all written statements
Therefore, ICC does not believe the publishing this notice to solicit
with respect to the proposed rule
proposed rule changes impose any comments on the proposed rule change
change that are filed with the
burden on competition that is from interested persons.
Commission, and all written
inappropriate in furtherance of the
communications relating to the I. Clearing Agency’s Statement of the
purposes of the Act.
proposed rule change between the Terms of Substance of the Proposed
(C) Clearing Agency’s Statement on Commission and any person, other than Rule Change
Comments on the Proposed Rule those that may be withheld from the The proposed rule change consists of
Change Received From Members, public in accordance with the amendments to (i) the Clearing Agency
Participants or Others provisions of 5 U.S.C. 552, will be Policy on Capital Requirements
Written comments relating to the available for website viewing and (‘‘Capital Policy’’ or ‘‘Policy’’) of DTC
proposed rule change have not been printing in the Commission’s Public and its affiliates, National Securities
solicited or received. ICC will notify the Reference Room, 100 F Street NE, Clearing Corporation (‘‘NSCC’’) and
Commission of any written comments Washington, DC 20549, on official Fixed Income Clearing Corporation
received by ICC. business days between the hours of (‘‘FICC,’’ and together with DTC and
10:00 a.m. and 3:00 p.m. Copies of such NSCC, the ‘‘Clearing Agencies’’); and (ii)
III. Date of Effectiveness of the filings will also be available for the Clearing Agency Capital
Proposed Rule Change inspection and copying at the principal
amozie on DSK3GDR082PROD with NOTICES1
Replenishment Plan (‘‘Capital
The foregoing rule change has become office of ICE Clear Credit and on ICE Replenishment Plan’’ or ‘‘Plan’’) of the
effective pursuant to Section 19(b)(3)(A) Clear Credit’s website at https://
www.theice.com/clear-credit/regulation. 15 17 CFR 200.30–3(a)(12).
11 Id. All comments received will be posted 1 15 U.S.C. 78s(b)(1).
12 17 CFR 240.17Ad–22(d)(8). without change. Persons submitting 2 17 CFR 240.19b–4.
13 15 U.S.C. 78q–1. comments are cautioned that we do not 3 15 U.S.C. 78s(b)(3)(A).
14 17 CFR 240.17Ad–22(d)(8). redact or edit personal identifying 4 17 CFR 240.19b–4(f)(4).
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Document Created: 2018-10-19 01:25:08
Document Modified: 2018-10-19 01:25:08
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