Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of Filing of Proposed Rule Change Relating to the Stress Testing Framework, 56899-56901 [2023-17857]

Download as PDF Federal Register / Vol. 88, No. 160 / Monday, August 21, 2023 / Notices communications relating to the proposed rule change between the Commission and any person, other than those that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be available for website viewing and printing in the Commission’s Public Reference Room, 100 F Street NE, Washington, DC 20549, on official business days between the hours of 10 a.m. and 3 p.m. Copies of the filing also will be available for inspection and copying at the principal office of the Exchange. Do not include personal identifiable information in submissions; you should submit only information that you wish to make available publicly. We may redact in part or withhold entirely from publication submitted material that is obscene or subject to copyright protection. All submissions should refer to file number SR–BOX–2023–22 and should be submitted on or before September 11, 2023. I. Clearing Agency’s Statement of the Terms of Substance of the Proposed Rule Change The principal purpose of the proposed rule change is to revise the ICC Stress Testing Framework (‘‘STF’’). These revisions do not require any changes to the ICC Clearing Rules (‘‘Rules’’). For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.35 Sherry R. Haywood, Assistant Secretary. (A) Clearing Agency’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change [FR Doc. 2023–17859 Filed 8–18–23; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–98140; File No. SR–ICC– 2023–012) Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of Filing of Proposed Rule Change Relating to the Stress Testing Framework ddrumheller on DSK120RN23PROD with NOTICES1 August 15, 2023. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (the ‘‘Act’’),1 and Rule 19b–4 thereunder,2 notice is hereby given that on August 8, 2023, ICE Clear Credit LLC (‘‘ICC’’) 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 primarily by ICC. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. 35 17 CFR 200.30–3(a)(12). U.S.C. 78s(b)(1). 2 17 CFR 240.19b–4. 1 15 VerDate Sep<11>2014 18:17 Aug 18, 2023 Jkt 259001 II. Clearing Agency’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, ICC included statements concerning the purpose of and basis for the proposed rule change, security-based swap submission, or advance notice and discussed any comments it received on the proposed rule change, securitybased swap submission, or advance notice. The text of these statements may be examined at the places specified in Item IV below. ICC has prepared summaries, set forth in sections (A), (B), and (C) below, of the most significant aspects of these statements. (a) Purpose ICC proposes to update the STF. The STF sets forth the ICC stress testing practices that are focused on ensuring the adequacy of systemic risk protections. The proposed changes are limited to updating the stress period of the default-free Euro discount interest rate curve used in ICC’s interest rate sensitivity analysis and providing additional clarifying language to the STF. ICC believes the proposed changes will facilitate the prompt and accurate clearance and settlement of securities transactions and derivative agreements, contracts, and transactions for which it is responsible. ICC proposes to move forward with implementation of these changes following Commission approval of the proposed rule change. The proposed changes are described in detail as follows. ICC proposes to update STF Section 11, ‘‘Interest Rate Sensitivity Analysis’’, which describes ICC’s interest rate sensitivity analysis to account for the risks associated with changes to defaultfree discount interest rates. The STF currently incorporates two, currency specific, stress test parallel shifts (i.e., up, and down) of the default-free discount interest rate for both CDS and CDS Index Options instruments. The magnitude of the interest rate stress scenarios reflects the largest shock, estimated using the collateral haircut model, during a selected stress period PO 00000 Frm 00108 Fmt 4703 Sfmt 4703 56899 for the applicable sovereign debt, and such selected stress periods are subject to periodic review. Following such review, ICC proposes to update the stress period used to shock the EURO default-free discount interest rate. The reasoning behind such proposed change is to respond to the current volatile interest rate period which began in 2022 and continues into 2023 due to the fast pace of U.S. Dollar and Euro interest rate increases. The impact to Euro interest rate volatility has been significant due to the sudden and rapid increases in Euro interest rates by the European Central Bank in an effort to curb multi-decade high inflation. Such interest rate volatility observed during this currently ongoing ‘‘2022/2023 inflation crisis period’’ is greater than the interest rate volatility observed in the Euro stress period currently in place in the STF (i.e., the ‘‘western European credit crisis period’’ which occurred in 2011–2012). Specifically, the magnitude of the collateral haircuts observed in the currently ongoing ‘‘2022/2023 inflation crisis period’’ exceed the collateral haircuts observed during the ‘‘western European credit crisis period.’’ Therefore, ICC proposes to replace the current ‘‘western European credit crisis period’’ stress period with the ‘‘2022/ 2023 inflation crisis period’’ stress period in Section 11 of the STF. Such proposed change is prudent, from a risk perspective, as it improves ICC’s interest rate sensitivity analysis by referencing the higher interest rate volatility stress period. As the current inflation crisis remains ongoing, ICC will continue to monitor interest rate volatility for any new volatility peak observed in the current ‘‘2022/2023 inflation crisis period.’’. In addition, ICC proposes to make analogous clarifying language changes to the identification of the default-free USD discount interest rate curve in Section 11 of the STF to remove the specific dates of the applicable stress period (i.e., the 2008/ 2009 credit crisis period). (b) Statutory Basis As discussed herein, the proposed changes update the default-free Euro discount interest rate curve used in ICC’s interest rate sensitivity analysis to reflect the interest rate shocks observed during the recent 2022–2023 inflation crisis period. Such proposed change strengthens the STF by updating the Euro stress period. Accordingly, ICC believes that the proposed changes to the STF are consistent with the prompt and accurate clearance and settlement of securities transactions, derivatives agreements, contracts, and transactions, the safeguarding of securities and funds E:\FR\FM\21AUN1.SGM 21AUN1 ddrumheller on DSK120RN23PROD with NOTICES1 56900 Federal Register / Vol. 88, No. 160 / Monday, August 21, 2023 / Notices in the custody or control of ICC or for which it is responsible, and the protection of investors and the public interest, within the meaning of Section 17(A)(b)(3)(F) of the Act.3 In addition, the proposed changes to the STF are consistent with the relevant requirements of Rule 17Ad–22.4 Rule 17Ad–22(b)(3) 5 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 STF provide further clarity and transparency regarding ICC’s stress testing practices, including updating the stress periods used in ICC’s interest rate sensitivity analysis. The proposed revisions also support ICC’s ability to maintain sufficient risk requirements and enhance ICC’s approach to identifying potential weaknesses in the risk management system by updating time periods to existing stress testing hypotheticals, 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).6 The amendments would also satisfy relevant requirements of Rule 17Ad– 22.7 Rule 17Ad–22(e)(4)(ii) 8 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 maintaining additional financial resources at the minimum to enable it to cover a wide range of foreseeable stress scenarios that include, but are not limited to, the default of the two participant families that would potentially cause the largest aggregate credit exposure for ICC in extreme but plausible market conditions. The proposed amendments enhance ICC’s ability to manage its financial resources by updating a stress period used in ICC’s interest rate sensitivity analysis. The proposed amendments add descriptive detail to be 3 17 CFR 240.17(A)(b)(3)(F). CFR 240.17Ad–22. 5 17 CFR 240.17Ad–22(b)(3). 6 Id. 7 17 CFR 240.17Ad–22. 8 17 CFR 240.17Ad–22(e)(4)(ii). 4 17 VerDate Sep<11>2014 18:17 Aug 18, 2023 clearer, which would ensure transparency and strengthen the documentation, thereby supporting the effectiveness of ICC’s risk management system. The proposed clarifying language further enhances the readability of the STF and ensures that it remains up-to-date, clear, and transparent. As such, the proposed amendments would strengthen ICC’s ability to maintain its financial resources and withstand the pressures of defaults, consistent with the requirements of Rule 17Ad–22(e)(4)(ii).9 Rule 17Ad–22(e)(4)(vi) 10 requires each covered clearing agency to establish, implement, maintain, and enforce written policies and procedures reasonably designed to effectively identify, measure, monitor, and manage its credit exposures to participants and those arising from its payment, clearing, and settlement processes, including by testing the sufficiency of its total financial resources available to meet the minimum financial resource requirements, including by conducting stress testing of its total financial resources once each day using standard predetermined parameters and assumptions; conducting a comprehensive analysis on at least a monthly basis of the existing stress testing scenarios, models, and underlying parameters and assumptions; and reporting the results of its analyses to appropriate decision makers at ICC. The proposed rule change continues to ensure that ICC’s policies and procedures, including the STF, provide a clear framework for ICC to conduct stress testing and analysis and report the results to appropriate decision makers at ICC, in compliance with this requirement. As such, ICC believes the proposed rule change is consistent with the requirements of Rule 17Ad–22(e)(4)(vi).11 (B) Clearing Agency’s Statement on Burden on Competition ICC does not believe the proposed rule change would have any impact, or impose any burden, on competition. The proposed changes to the STF update the stress period used in ICC’s interest rate sensitivity analysis and make other clarifying changes, which ICC believes are appropriate in furtherance of the risk management of the clearing house. The changes to the STF will apply uniformly across all market participants. ICC does not believe these changes would affect the costs of clearing or the ability of market 9 Id. 10 17 11 17 Jkt 259001 PO 00000 CFR 240.17Ad–22(e)(4)(vi). CFR 240.17Ad–22(e)(4)(vi). Frm 00109 Fmt 4703 Sfmt 4703 participants to access clearing. Therefore, ICC does not believe the proposed rule change would impose any burden on competition that is inappropriate in furtherance of the purposes of the Act. (C) Clearing Agency’s Statement on Comments on the Proposed Rule Change 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 and Timing for Commission Action Within 45 days of the date of publication of this notice in the Federal Register or within such longer period up to 90 days (i) as the Commission may designate if it finds such longer period to be appropriate and publishes its reasons for so finding or (ii) as to which the self-regulatory organization consents, the Commission will: (A) by order approve or disapprove such proposed rule change, or (B) institute proceedings to determine whether the proposed rule change should be disapproved. 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 (https://www.sec.gov/ rules/sro.shtml); or • Send an email to rule-comments@ sec.gov. Please include file number SR– ICC–2023–012 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–2023–012. 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 (https://www.sec.gov/ rules/sro.shtml). Copies of the submission, all subsequent amendments, all written statements E:\FR\FM\21AUN1.SGM 21AUN1 Federal Register / Vol. 88, No. 160 / Monday, August 21, 2023 / Notices with respect to the proposed rule change that are filed with the Commission, and all written communications relating to the proposed rule change between the Commission and any person, other than those that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be available for website viewing and printing in the Commission’s Public Reference Room, 100 F Street NE, Washington, DC 20549, on official business days between the hours of 10 a.m. and 3 p.m. Copies of such filings also will 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. Do not include personal identifiable information in submissions; you should submit only information that you wish to make available publicly. We may redact in part or withhold entirely from publication submitted material that is obscene or subject to copyright protection. All submissions should refer to File Number SR–ICC–2023–012 and should be submitted on or before September 11, 2023. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.12 Sherry R. Haywood, Assistant Secretary. [FR Doc. 2023–17857 Filed 8–18–23; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–98138; File No. SR–ICEEU– 2023–019] Self-Regulatory Organizations; ICE Clear Europe Limited; Notice of Filing of Proposed Rule Change Relating to Amendments to the Model Risk Policy ddrumheller on DSK120RN23PROD with NOTICES1 August 15, 2023. 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 August 4, 2023, ICE Clear Europe Limited (‘‘ICE Clear Europe’’ or the ‘‘Clearing House’’) filed with the Securities and Exchange Commission (‘‘Commission’’) the proposed rule changes described in Items I, II and III below, which Items have been prepared primarily by ICE Clear Europe. The Commission is publishing this notice to solicit 12 17 CFR 200.30–3(a)(12). U.S.C. 78s(b)(1). 2 17 CFR 240.19b–4. 18:17 Aug 18, 2023 I. Clearing Agency’s Statement of the Terms of Substance of the Proposed Rule Change ICE Clear Europe Limited (‘‘ICE Clear Europe’’ or the ‘‘Clearing House’’) proposes to modify its Model Risk Governance Framework (to be renamed the Model Risk Policy) (the ‘‘Model Risk Policy’’ or the ‘‘Policy’’) 3 to make certain enhancements to the Clearing House’s current policy and practices as they pertain to model and parameter risks. II. Clearing Agency’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, ICE Clear Europe 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. ICE Clear Europe has prepared summaries, set forth in sections (A), (B), and (C) below, of the most significant aspects of such statements. (A) Clearing Agency’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change (a) Purpose ICE Clear Europe is proposing to amend its Model Risk Governance Framework (to be renamed the Model Risk Policy) to expand its current scope to include certain risk frameworks and to distinguish between ‘‘Business As Usual’’ (‘‘BAU’’) and non-BAU parameter changes, among other changes discussed herein. The amendments would expand the scope of the Policy to include risk frameworks used to quantify, aggregate and manage the risks of the Clearing House. The amendments would further clarify that references to ‘‘model’’ in the rest of the document would refer to both models and risk frameworks. The discussion of the architecture supporting the Policy would be revised to also include guidelines for the remediation of validation findings relating to models. The amendments would also state that changes to risk parameters would be categorized as significant and not significant. This would follow the same categorization under the existing Policy with respect to model changes. A 3 Capitalized terms used but not defined herein have the meanings specified in the ICE Clear Europe Clearing Rules and the Policy. 1 15 VerDate Sep<11>2014 comments on the proposed rule change from interested persons. Jkt 259001 PO 00000 Frm 00110 Fmt 4703 Sfmt 4703 56901 footnote referencing a specific ESMA opinion as providing the criteria defining model change significance would be revised to state more generally that the criteria will be in accordance with prevailing regulatory opinions, guidelines or requirements (in order to take into account any other regulatory positions that may be in effect from time to time). Moreover, the changes to parameters would be categorized as Business as Usual (‘‘BAU’’) and NonBAU. Changes considered BAU would be defined as changes in the parameters resulting from the application of existing methodologies as part of a regular review or calibration exercise. Non-BAU changes would be all other changes. The amendments would clarify that the definition of BAU would be in accordance with existing regulatory guidelines. The amendments would also clarify certain governance responsibilities. The Board would be responsible for the approval of significant non-BAU changes to risk parameters. Auto Pilot versus Production deviations beyond BAU thresholds will generally follow a similar governance process to that for changes in parameters but given that these deviations are usually time sensitive and driven by stressed market conditions, the Clearing House will need the ability to act quickly to ensure market stability. Thus, for these situations the governance process will involve Board notification rather than Board pre-approval and Risk Oversight Department review rather than full independent pre-validation. The Model Oversight Committee would be responsible for establishing and maintaining a model inventory and assigning a specific owner to each model (a function currently performed by the First Line). The Model Oversight Committee would also be responsible for approving non-significant non-BAU changes to risk parameters and for reviewing significant non-BAU changes to risk parameters for recommendation to the Board. In addition, the committee would be responsible for approving changes to model documentation. The First Line responsibilities would also be modified by the amendments. As noted above, the First Line would no longer be responsible for establishing and maintaining a model inventory and assigning a specific owner to each model as that responsibility would be moved to the Model Oversight Committee. The First Line would be responsible for proposing and seeking approval for non-BAU changes to risk parameters (as it currently does for models, model changes, and model retirements). Similarly, the First Line E:\FR\FM\21AUN1.SGM 21AUN1

Agencies

SECURITIES AND EXCHANGE COMMISSION

[Federal Register Volume 88, Number 160 (Monday, August 21, 2023)]
[Notices]
[Pages 56899-56901]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2023-17857]


-----------------------------------------------------------------------

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-98140; File No. SR-ICC-2023-012)


Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of 
Filing of Proposed Rule Change Relating to the Stress Testing Framework

August 15, 2023.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(the ``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given 
that on August 8, 2023, ICE Clear Credit LLC (``ICC'') 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 primarily by ICC. 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.
---------------------------------------------------------------------------

I. Clearing Agency's Statement of the Terms of Substance of the 
Proposed Rule Change

    The principal purpose of the proposed rule change is to revise the 
ICC Stress Testing Framework (``STF''). These revisions do not require 
any changes to the ICC Clearing Rules (``Rules'').

II. Clearing Agency's Statement of the Purpose of, and Statutory Basis 
for, the Proposed Rule Change

    In its filing with the Commission, ICC included statements 
concerning the purpose of and basis for the proposed rule change, 
security-based swap submission, or advance notice and discussed any 
comments it received on the proposed rule change, security-based swap 
submission, or advance notice. The text of these statements may be 
examined at the places specified in Item IV below. ICC has prepared 
summaries, set forth in sections (A), (B), and (C) below, of the most 
significant aspects of these statements.

(A) Clearing Agency's Statement of the Purpose of, and Statutory Basis 
for, the Proposed Rule Change

(a) Purpose
    ICC proposes to update the STF. The STF sets forth the ICC stress 
testing practices that are focused on ensuring the adequacy of systemic 
risk protections. The proposed changes are limited to updating the 
stress period of the default-free Euro discount interest rate curve 
used in ICC's interest rate sensitivity analysis and providing 
additional clarifying language to the STF. ICC believes the proposed 
changes will facilitate the prompt and accurate clearance and 
settlement of securities transactions and derivative agreements, 
contracts, and transactions for which it is responsible. ICC proposes 
to move forward with implementation of these changes following 
Commission approval of the proposed rule change. The proposed changes 
are described in detail as follows.
    ICC proposes to update STF Section 11, ``Interest Rate Sensitivity 
Analysis'', which describes ICC's interest rate sensitivity analysis to 
account for the risks associated with changes to default-free discount 
interest rates. The STF currently incorporates two, currency specific, 
stress test parallel shifts (i.e., up, and down) of the default-free 
discount interest rate for both CDS and CDS Index Options instruments. 
The magnitude of the interest rate stress scenarios reflects the 
largest shock, estimated using the collateral haircut model, during a 
selected stress period for the applicable sovereign debt, and such 
selected stress periods are subject to periodic review. Following such 
review, ICC proposes to update the stress period used to shock the EURO 
default-free discount interest rate.
    The reasoning behind such proposed change is to respond to the 
current volatile interest rate period which began in 2022 and continues 
into 2023 due to the fast pace of U.S. Dollar and Euro interest rate 
increases. The impact to Euro interest rate volatility has been 
significant due to the sudden and rapid increases in Euro interest 
rates by the European Central Bank in an effort to curb multi-decade 
high inflation. Such interest rate volatility observed during this 
currently ongoing ``2022/2023 inflation crisis period'' is greater than 
the interest rate volatility observed in the Euro stress period 
currently in place in the STF (i.e., the ``western European credit 
crisis period'' which occurred in 2011-2012). Specifically, the 
magnitude of the collateral haircuts observed in the currently ongoing 
``2022/2023 inflation crisis period'' exceed the collateral haircuts 
observed during the ``western European credit crisis period.''
    Therefore, ICC proposes to replace the current ``western European 
credit crisis period'' stress period with the ``2022/2023 inflation 
crisis period'' stress period in Section 11 of the STF. Such proposed 
change is prudent, from a risk perspective, as it improves ICC's 
interest rate sensitivity analysis by referencing the higher interest 
rate volatility stress period. As the current inflation crisis remains 
ongoing, ICC will continue to monitor interest rate volatility for any 
new volatility peak observed in the current ``2022/2023 inflation 
crisis period.''. In addition, ICC proposes to make analogous 
clarifying language changes to the identification of the default-free 
USD discount interest rate curve in Section 11 of the STF to remove the 
specific dates of the applicable stress period (i.e., the 2008/2009 
credit crisis period).
(b) Statutory Basis
    As discussed herein, the proposed changes update the default-free 
Euro discount interest rate curve used in ICC's interest rate 
sensitivity analysis to reflect the interest rate shocks observed 
during the recent 2022-2023 inflation crisis period. Such proposed 
change strengthens the STF by updating the Euro stress period. 
Accordingly, ICC believes that the proposed changes to the STF are 
consistent with the prompt and accurate clearance and settlement of 
securities transactions, derivatives agreements, contracts, and 
transactions, the safeguarding of securities and funds

[[Page 56900]]

in the custody or control of ICC or for which it is responsible, and 
the protection of investors and the public interest, within the meaning 
of Section 17(A)(b)(3)(F) of the Act.\3\
---------------------------------------------------------------------------

    \3\ 17 CFR 240.17(A)(b)(3)(F).
---------------------------------------------------------------------------

    In addition, the proposed changes to the STF are consistent with 
the relevant requirements of Rule 17Ad-22.\4\ Rule 17Ad-22(b)(3) \5\ 
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 STF provide further 
clarity and transparency regarding ICC's stress testing practices, 
including updating the stress periods used in ICC's interest rate 
sensitivity analysis. The proposed revisions also support ICC's ability 
to maintain sufficient risk requirements and enhance ICC's approach to 
identifying potential weaknesses in the risk management system by 
updating time periods to existing stress testing hypotheticals, 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).\6\
---------------------------------------------------------------------------

    \4\ 17 CFR 240.17Ad-22.
    \5\ 17 CFR 240.17Ad-22(b)(3).
    \6\ Id.
---------------------------------------------------------------------------

    The amendments would also satisfy relevant requirements of Rule 
17Ad-22.\7\ Rule 17Ad-22(e)(4)(ii) \8\ 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 maintaining 
additional financial resources at the minimum to enable it to cover a 
wide range of foreseeable stress scenarios that include, but are not 
limited to, the default of the two participant families that would 
potentially cause the largest aggregate credit exposure for ICC in 
extreme but plausible market conditions. The proposed amendments 
enhance ICC's ability to manage its financial resources by updating a 
stress period used in ICC's interest rate sensitivity analysis. The 
proposed amendments add descriptive detail to be clearer, which would 
ensure transparency and strengthen the documentation, thereby 
supporting the effectiveness of ICC's risk management system. The 
proposed clarifying language further enhances the readability of the 
STF and ensures that it remains up-to-date, clear, and transparent. As 
such, the proposed amendments would strengthen ICC's ability to 
maintain its financial resources and withstand the pressures of 
defaults, consistent with the requirements of Rule 17Ad-
22(e)(4)(ii).\9\
---------------------------------------------------------------------------

    \7\ 17 CFR 240.17Ad-22.
    \8\ 17 CFR 240.17Ad-22(e)(4)(ii).
    \9\ Id.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(4)(vi) \10\ requires each covered clearing agency 
to establish, implement, maintain, and enforce written policies and 
procedures reasonably designed to effectively identify, measure, 
monitor, and manage its credit exposures to participants and those 
arising from its payment, clearing, and settlement processes, including 
by testing the sufficiency of its total financial resources available 
to meet the minimum financial resource requirements, including by 
conducting stress testing of its total financial resources once each 
day using standard predetermined parameters and assumptions; conducting 
a comprehensive analysis on at least a monthly basis of the existing 
stress testing scenarios, models, and underlying parameters and 
assumptions; and reporting the results of its analyses to appropriate 
decision makers at ICC. The proposed rule change continues to ensure 
that ICC's policies and procedures, including the STF, provide a clear 
framework for ICC to conduct stress testing and analysis and report the 
results to appropriate decision makers at ICC, in compliance with this 
requirement. As such, ICC believes the proposed rule change is 
consistent with the requirements of Rule 17Ad-22(e)(4)(vi).\11\
---------------------------------------------------------------------------

    \10\ 17 CFR 240.17Ad-22(e)(4)(vi).
    \11\ 17 CFR 240.17Ad-22(e)(4)(vi).
---------------------------------------------------------------------------

(B) Clearing Agency's Statement on Burden on Competition

    ICC does not believe the proposed rule change would have any 
impact, or impose any burden, on competition. The proposed changes to 
the STF update the stress period used in ICC's interest rate 
sensitivity analysis and make other clarifying changes, which ICC 
believes are appropriate in furtherance of the risk management of the 
clearing house. The changes to the STF will apply uniformly across all 
market participants. ICC does not believe these changes would affect 
the costs of clearing or the ability of market participants to access 
clearing. Therefore, ICC does not believe the proposed rule change 
would impose any burden on competition that is inappropriate in 
furtherance of the purposes of the Act.

(C) Clearing Agency's Statement on Comments on the Proposed Rule Change 
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 and Timing for 
Commission Action

    Within 45 days of the date of publication of this notice in the 
Federal Register or within such longer period up to 90 days (i) as the 
Commission may designate if it finds such longer period to be 
appropriate and publishes its reasons for so finding or (ii) as to 
which the self-regulatory organization consents, the Commission will:
    (A) by order approve or disapprove such proposed rule change, or
    (B) institute proceedings to determine whether the proposed rule 
change should be disapproved.

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 (https://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
file number SR-ICC-2023-012 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-2023-012. 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 (https://www.sec.gov/rules/sro.shtml). 
Copies of the submission, all subsequent amendments, all written 
statements

[[Page 56901]]

with respect to the proposed rule change that are filed with the 
Commission, and all written communications relating to the proposed 
rule change between the Commission and any person, other than those 
that may be withheld from the public in accordance with the provisions 
of 5 U.S.C. 552, will be available for website viewing and printing in 
the Commission's Public Reference Room, 100 F Street NE, Washington, DC 
20549, on official business days between the hours of 10 a.m. and 3 
p.m. Copies of such filings also will 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.
    Do not include personal identifiable information in submissions; 
you should submit only information that you wish to make available 
publicly. We may redact in part or withhold entirely from publication 
submitted material that is obscene or subject to copyright protection. 
All submissions should refer to File Number SR-ICC-2023-012 and should 
be submitted on or before September 11, 2023.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\12\
---------------------------------------------------------------------------

    \12\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2023-17857 Filed 8-18-23; 8:45 am]
BILLING CODE 8011-01-P

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