Self-Regulatory Organizations; ICE Clear Credit LLC; Order Approving Proposed Rule Change Relating to ICC's Liquidity Risk Management Framework and ICC's Stress Testing Framework, 46844-46845 [2017-21540]
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Federal Register / Vol. 82, No. 193 / Friday, October 6, 2017 / Notices
This meeting will be webcast live at
the Web address—https://www.nrc.gov/.
SECURITIES AND EXCHANGE
COMMISSION
Week of October 30, 2017—Tentative
[Release No. 34–81797; File No. SR–ICC–
2017–012]
There are no meetings scheduled for
the week of October 30, 2017.
There are no meetings scheduled for
the week of November 6, 2017.
Self-Regulatory Organizations; ICE
Clear Credit LLC; Order Approving
Proposed Rule Change Relating to
ICC’s Liquidity Risk Management
Framework and ICC’s Stress Testing
Framework
Week of November 13, 2017—Tentative
October 2, 2017.
Week of November 6, 2017—Tentative
asabaliauskas on DSKBBXCHB2PROD with NOTICES
There are no meetings scheduled for
the week of November 13, 2017.
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Dated: October 4, 2017.
Denise L. McGovern,
Policy Coordinator, Office of the Secretary.
[FR Doc. 2017–21755 Filed 10–4–17; 4:15 pm]
18:40 Oct 05, 2017
II. Description of the Proposed Rule
Change
In connection with clearing Single
Name (‘‘SN’’) credit default swaps
(‘‘CDS’’) referencing ICC Clearing
Participants (‘‘CPs’’), ICC has proposed
changes to its Stress Testing Framework
and Liquidity Risk Management
Framework, which ICC believes will
enhance its stress testing and liquidity
stress testing practices. The proposed
rule change would expand the stress test
scenarios that ICC considers to be
extreme but plausible by incorporating
additional losses related to the expected
loss given default of all names not
explicitly assumed to enter a state of
default in a CP’s portfolio.4 The
proposed change would similarly
amend the stress scenarios described in
ICC’s Liquidity Risk Management
Framework, which ICC stated is
necessary to ensure consistency across
its documents.5 The proposed change
would also incorporate an enhanced
analysis of profits and losses (‘‘P/L’’)
arising out of General Wrong-Way Risk
(‘‘GWWR’’) generated by SNs in the
III. Discussion and Commission
Findings
Section 19(b)(2)(C) of the Act 11
directs the Commission to approve a
proposed rule change of a selfregulatory organization if it finds that
such proposed rule change is consistent
with the requirements of the Act and the
rules and regulations thereunder
applicable to such organization.
Section 17A(b)(3)(F) 12 of the Act
requires, inter alia, that the rules of a
clearing agency be designed to assure
the safeguarding of securities and funds
which are in the custody or control of
the clearing agency, or for which it is
Jkt 244001
1 15
6 Notice,
2 17
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I. Introduction
On August 22, 2017, 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
(SR–ICC–2017–012) to amend the ICC
Liquidity Risk Management Framework
and the ICC Stress Testing Framework.
The proposed rule change was
published for comment in the Federal
Register on August 31, 2017.3 The
Commission received no comment
letters regarding the proposed change.
For the reasons discussed below, the
Commission is approving the proposed
rule change.
Banking and Sovereign sectors.6
Further, the proposed change would
clarify ICC’s current view that certain
GWWR and contagion stress scenarios
are extreme, but not plausible, and that
such scenarios would be reviewed for
informational purposes only.7
The proposed change would enhance
ICC’s guaranty fund sizing process by
adding a new sensitivity analysis. This
new analysis would contemplate the
default of three CP SNs and two non-CP
SNs. This analysis would be in addition
to the current sizing approach, which
contemplates the default of two CP SNs
and three non-CP SNs. While not
immediately requiring the collection of
additional resources, ICC stated that the
proposed change could provide a
potential remedy where deficiencies are
identified in ICC’s current sizing
methodology.8
ICC also proposes to add an interest
rate sensitivity analysis in order to
comply with CFTC Regulation 17 CFR
39.36. The proposed interest rate
sensitivity analysis would shock the
Euro and USD interest rate curves up
and down to see which scenario would
lead to further erosion of ICC’s guaranty
fund. ICC stated that this analysis would
have no impact on its guaranty fund
sizing methodology.9
The proposed change also includes
amendments to ICC’s approach to
Specific Wrong-Way Risk (‘‘SWWR’’)
P/L to expand the SWWR P/L to
incorporate losses arising in connection
with defaulting CP specific exposures,
and also adds a description of ICC’s
current client stress testing practices.
ICC stated that these changes were
proposed for consistency with specific
CFTC regulations.10
7 Id.
U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 Securities Exchange Act Release No. 81486
(August 25, 2017), 82 FR 41454 (August 31, 2017)
(SR–ICC–2017–012) (‘‘Notice’’).
4 Notice, 82 FR at 41455.
5 Notice, 82 FR at 41455–56.
PO 00000
Frm 00092
Fmt 4703
Sfmt 4703
82 FR at 41455.
8 Id.
9 Id.
10 Id.
11 15
12 15
E:\FR\FM\06OCN1.SGM
U.S.C. 78s(b)(2)(C).
U.S.C. 78q–1(b)(3)(F).
06OCN1
asabaliauskas on DSKBBXCHB2PROD with NOTICES
Federal Register / Vol. 82, No. 193 / Friday, October 6, 2017 / Notices
responsible. Rule 17Ad–22(b)(3) 13
requires, inter alia, that a registered
clearing agency acting as a central
counterparty for security-based swaps
shall 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 participant families to which
it has the largest exposures in extreme
but plausible market conditions, in its
capacity as a central counterparty for
security-based swaps.
The Commission finds that the
proposed rule change, which enhances
ICC’s Stress Testing Framework and
Liquidity Risk Management Framework,
is consistent with section 17A 14 of the
Act and Rule 17Ad–22 15 thereunder. As
noted above, in response to the clearing
of SN CDS referencing CPs, the
proposed change would expand the
range of stress tests that ICC considers
to be extreme but plausible. The
Commission has reviewed the Notice
and ICC’s rules, policies, and
procedures, and believes that the
expanded range of extreme but plausible
scenarios, supplemented by the
information that will be provided by
certain additional GWWR and contagion
stress scenarios considered to be
extreme but implausible, enhance ICC’s
processes for estimating the amount of
financial resources ICC should collect.
Additionally, while adoption of the
sensitivity analyses described above
will not immediately require ICC to
collect additional financial resources, it
will provide ICC with additional risk
management information. Further, ICC
stated that at least in some cases, one of
the newly added analyses could provide
a potential remedy where deficiencies
are identified in ICC’s current sizing
methodology.16 Consequently, the
Commission believes that the proposed
rule change is reasonably designed to
ensure that ICC maintains sufficient
financial resources in accordance with
the requirements of Rule 17Ad–22(b)(3)
and will thereby enhance ICC’s ability
to safeguard the securities and funds of
CPs in the event of participant defaults.
As a result, the Commission finds that
the proposed change is consistent with
the requirements of section 17A of the
Act and the relevant provisions of Rule
17Ad–22.
IV. Conclusion
It is therefore ordered pursuant to
section 19(b)(2) of the Act that the
13 17
CFR 240.17Ad–22(b)(3).
U.S.C. 78q–1.
15 17 CFR 240.17Ad–22.
16 Notice, 82 FR at 41455.
14 15
VerDate Sep<11>2014
18:40 Oct 05, 2017
Jkt 244001
proposed rule change (SR–ICC–2017–
012) be, and hereby is, approved.17
For the Commission by the Division of
Trading and Markets, pursuant to delegated
authority.18
Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017–21540 Filed 10–5–17; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–81791; File No. SR–NYSE–
2017–50]
Self-Regulatory Organizations; New
York Stock Exchange LLC; Notice of
Filing and Immediate Effectiveness of
Proposed Rule Change To Amend Its
Price List To Permit Affiliated Member
Organizations That Are Supplemental
Liquidity Providers
October 2, 2017.
Pursuant to section 19(b)(1) 1 of the
Securities Exchange Act of 1934 (the
‘‘Act’’) 2 and Rule 19b–4 thereunder,3
notice is hereby given that, on
September 25, 2017, New York Stock
Exchange LLC (‘‘NYSE’’ or the
‘‘Exchange’’) filed with the Securities
and Exchange Commission (the
‘‘Commission’’) the proposed rule
change as described in Items I, II, and
III below, which Items have been
prepared by the self-regulatory
organization. The Commission is
publishing this notice to solicit
comments on the proposed rule change
from interested persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The Exchange proposes to amend its
Price List to permit affiliated member
organizations that are Supplemental
Liquidity Providers (‘‘SLPs’’) on the
Exchange to obtain the most favorable
rate when (1) at least one affiliate
satisfies the quoting requirements for
SLPs in assigned securities, and (2) the
combined SLPs’ aggregate volumes
satisfy the adding liquidity volume
requirements for SLP tiered and nontiered rates. The Exchange proposes to
implement the proposed changes on
September 25, 2017.4 The proposed rule
17 In approving the proposed rule change, the
Commission considered the proposal’s impact on
efficiency, competition, and capital formation. 15
U.S.C. 78c(f).
18 17 CFR 200.30–3(a)(12).
1 15 U.S.C. 78s(b)(1).
2 15 U.S.C. 78a.
3 17 CFR 240.19b–4.
4 The Exchange originally filed to amend the
Price List on August 31, 2017 (SR–NYSE–2017–46),
PO 00000
Frm 00093
Fmt 4703
Sfmt 4703
46845
change is available on the Exchange’s
Web site at www.nyse.com, at the
principal office of the Exchange, and at
the Commission’s Public Reference
Room.
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission, the
self-regulatory organization 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 those statements may be examined at
the places specified in Item IV below.
The Exchange has prepared summaries,
set forth in sections A, B, and C below,
of the most significant parts of such
statements.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and the
Statutory Basis for, the Proposed Rule
Change
1. Purpose
The Exchange proposes to amend its
Price List to permit affiliated member
organizations that are SLPs on the
Exchange to obtain the most favorable
rate when (1) at least one affiliate
satisfies the quoting requirements for
SLPs in assigned securities, and (2) the
combined SLPs’ aggregate volumes
satisfy the adding liquidity volume
requirements for SLP tiered and nontiered rates.
The proposed changes would be
applicable to all SLP transactions,
regardless of price of the security.
The Exchange proposes to implement
these changes to its Price List effective
September 25, 2017.
Proposed Rule Change
SLPs are eligible for certain credits
when adding liquidity to the Exchange.
The amount of the credit is currently
determined by the ‘‘tier’’ for which the
SLP qualifies, which is based on the
SLP’s level of quoting and ADV of
liquidity added by the SLP in assigned
securities.
Currently, SLP Tier 3 provides that
when adding liquidity to the NYSE in
securities with a share price of $1.00 or
more, an SLP is eligible for a credit of
$0.0023 per share traded if the SLP (1)
meets the 10% average or more quoting
requirement in an assigned security
pursuant to Rule 107B and (2) adds
liquidity for all assigned SLP securities
withdrew such filing on September 13, 2017, and
refiled the same day (SR–NYSE–2017–48). SR–
NYSE–48 [sic] was subsequently withdrawn and
replaced by this filing.
E:\FR\FM\06OCN1.SGM
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]]>Agencies
[Federal Register Volume 82, Number 193 (Friday, October 6, 2017)]
[Notices]
[Pages 46844-46845]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-21540]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-81797; File No. SR-ICC-2017-012]
Self-Regulatory Organizations; ICE Clear Credit LLC; Order
Approving Proposed Rule Change Relating to ICC's Liquidity Risk
Management Framework and ICC's Stress Testing Framework
October 2, 2017.
I. Introduction
On August 22, 2017, 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 (SR-ICC-2017-012)
to amend the ICC Liquidity Risk Management Framework and the ICC Stress
Testing Framework. The proposed rule change was published for comment
in the Federal Register on August 31, 2017.\3\ The Commission received
no comment letters regarding the proposed 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. 81486 (August 25, 2017),
82 FR 41454 (August 31, 2017) (SR-ICC-2017-012) (``Notice'').
---------------------------------------------------------------------------
II. Description of the Proposed Rule Change
In connection with clearing Single Name (``SN'') credit default
swaps (``CDS'') referencing ICC Clearing Participants (``CPs''), ICC
has proposed changes to its Stress Testing Framework and Liquidity Risk
Management Framework, which ICC believes will enhance its stress
testing and liquidity stress testing practices. The proposed rule
change would expand the stress test scenarios that ICC considers to be
extreme but plausible by incorporating additional losses related to the
expected loss given default of all names not explicitly assumed to
enter a state of default in a CP's portfolio.\4\ The proposed change
would similarly amend the stress scenarios described in ICC's Liquidity
Risk Management Framework, which ICC stated is necessary to ensure
consistency across its documents.\5\ The proposed change would also
incorporate an enhanced analysis of profits and losses (``P/L'')
arising out of General Wrong-Way Risk (``GWWR'') generated by SNs in
the Banking and Sovereign sectors.\6\ Further, the proposed change
would clarify ICC's current view that certain GWWR and contagion stress
scenarios are extreme, but not plausible, and that such scenarios would
be reviewed for informational purposes only.\7\
---------------------------------------------------------------------------
\4\ Notice, 82 FR at 41455.
\5\ Notice, 82 FR at 41455-56.
\6\ Notice, 82 FR at 41455.
\7\ Id.
---------------------------------------------------------------------------
The proposed change would enhance ICC's guaranty fund sizing
process by adding a new sensitivity analysis. This new analysis would
contemplate the default of three CP SNs and two non-CP SNs. This
analysis would be in addition to the current sizing approach, which
contemplates the default of two CP SNs and three non-CP SNs. While not
immediately requiring the collection of additional resources, ICC
stated that the proposed change could provide a potential remedy where
deficiencies are identified in ICC's current sizing methodology.\8\
---------------------------------------------------------------------------
\8\ Id.
---------------------------------------------------------------------------
ICC also proposes to add an interest rate sensitivity analysis in
order to comply with CFTC Regulation 17 CFR 39.36. The proposed
interest rate sensitivity analysis would shock the Euro and USD
interest rate curves up and down to see which scenario would lead to
further erosion of ICC's guaranty fund. ICC stated that this analysis
would have no impact on its guaranty fund sizing methodology.\9\
---------------------------------------------------------------------------
\9\ Id.
---------------------------------------------------------------------------
The proposed change also includes amendments to ICC's approach to
Specific Wrong-Way Risk (``SWWR'') P/L to expand the SWWR P/L to
incorporate losses arising in connection with defaulting CP specific
exposures, and also adds a description of ICC's current client stress
testing practices. ICC stated that these changes were proposed for
consistency with specific CFTC regulations.\10\
---------------------------------------------------------------------------
\10\ Id.
---------------------------------------------------------------------------
III. Discussion and Commission Findings
Section 19(b)(2)(C) of the Act \11\ directs the Commission to
approve a proposed rule change of a self-regulatory organization if it
finds that such proposed rule change is consistent with the
requirements of the Act and the rules and regulations thereunder
applicable to such organization.
---------------------------------------------------------------------------
\11\ 15 U.S.C. 78s(b)(2)(C).
---------------------------------------------------------------------------
Section 17A(b)(3)(F) \12\ of the Act requires, inter alia, that the
rules of a clearing agency be designed to assure the safeguarding of
securities and funds which are in the custody or control of the
clearing agency, or for which it is
[[Page 46845]]
responsible. Rule 17Ad-22(b)(3) \13\ requires, inter alia, that a
registered clearing agency acting as a central counterparty for
security-based swaps shall 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 participant families to which it has the largest exposures in
extreme but plausible market conditions, in its capacity as a central
counterparty for security-based swaps.
---------------------------------------------------------------------------
\12\ 15 U.S.C. 78q-1(b)(3)(F).
\13\ 17 CFR 240.17Ad-22(b)(3).
---------------------------------------------------------------------------
The Commission finds that the proposed rule change, which enhances
ICC's Stress Testing Framework and Liquidity Risk Management Framework,
is consistent with section 17A \14\ of the Act and Rule 17Ad-22 \15\
thereunder. As noted above, in response to the clearing of SN CDS
referencing CPs, the proposed change would expand the range of stress
tests that ICC considers to be extreme but plausible. The Commission
has reviewed the Notice and ICC's rules, policies, and procedures, and
believes that the expanded range of extreme but plausible scenarios,
supplemented by the information that will be provided by certain
additional GWWR and contagion stress scenarios considered to be extreme
but implausible, enhance ICC's processes for estimating the amount of
financial resources ICC should collect.
---------------------------------------------------------------------------
\14\ 15 U.S.C. 78q-1.
\15\ 17 CFR 240.17Ad-22.
---------------------------------------------------------------------------
Additionally, while adoption of the sensitivity analyses described
above will not immediately require ICC to collect additional financial
resources, it will provide ICC with additional risk management
information. Further, ICC stated that at least in some cases, one of
the newly added analyses could provide a potential remedy where
deficiencies are identified in ICC's current sizing methodology.\16\
Consequently, the Commission believes that the proposed rule change is
reasonably designed to ensure that ICC maintains sufficient financial
resources in accordance with the requirements of Rule 17Ad-22(b)(3) and
will thereby enhance ICC's ability to safeguard the securities and
funds of CPs in the event of participant defaults. As a result, the
Commission finds that the proposed change is consistent with the
requirements of section 17A of the Act and the relevant provisions of
Rule 17Ad-22.
---------------------------------------------------------------------------
\16\ Notice, 82 FR at 41455.
---------------------------------------------------------------------------
IV. Conclusion
It is therefore ordered pursuant to section 19(b)(2) of the Act
that the proposed rule change (SR-ICC-2017-012) be, and hereby is,
approved.\17\
---------------------------------------------------------------------------
\17\ In approving the proposed rule change, the Commission
considered the proposal's impact on efficiency, competition, and
capital formation. 15 U.S.C. 78c(f).
\18\ 17 CFR 200.30-3(a)(12).
For the Commission by the Division of Trading and Markets,
pursuant to delegated authority.\18\
Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-21540 Filed 10-5-17; 8:45 am]
BILLING CODE 8011-01-P
