65194 Federal Register / Vol. 83, No. 243 / Wednesday, December 19, 2018 / Notices 

14 15 U.S.C. 78s(b)(3)(A)(ii). 

15 17 CFR 240.19b–4(f)(2). 16 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 84480 

(Oct. 24, 2018), 83 FR 54635. 

4 15 U.S.C. 78s(b)(2). 

5 Id. 

will result in Participants being charged 

or credited appropriately for their PIP 

and COPIP transactions and is designed 

to enhance competition in Auction 

transactions on BOX. Submitting an 

order is entirely voluntary and 

Participants can determine which type 

of order they wish to submit, if any, to 

the Exchange. 

Finally, the Exchange notes that it 

operates in a highly competitive market 

in which market participants can 

readily favor competing exchanges. In 

such an environment, the Exchange 

must continually review, and consider 

adjusting, its fees and credits to remain 

competitive with other exchanges. For 

the reasons described above, the 

Exchange believes that the proposed 

rule change reflects this competitive 

environment. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

No written comments were either 

solicited or received. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The foregoing rule change has become 

effective pursuant to Section 

19(b)(3)(A)(ii) of the 

Exchange Act 14 and Rule 19b–4(f)(2) 

thereunder,15 because it establishes or 

changes a due, or fee. 

At any time within 60 days of the 

filing of the proposed rule change, the 

Commission summarily may 

temporarily suspend the rule change if 

it appears to the Commission that the 

action is necessary or appropriate in the 

public interest, for the protection of 

investors, or would otherwise further 

the purposes of the Act. If the 

Commission takes such action, the 

Commission shall institute proceedings 

to determine whether the proposed rule 

should be approved or 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 (http://www.sec.gov/ 

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include File Number SR– 

BOX–2018–36 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE, 

Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–BOX–2018–36. 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 

filing also will be available for 

inspection and copying at the principal 

office of the Exchange. 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–BOX–2018–36, and should 

be submitted on or before January 9, 

2019. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.16

Eduardo A. Aleman, 

Deputy Secretary. 

[FR Doc. 2018–27411 Filed 12–18–18; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–84816; File No. SR– 

CboeBZX–2018–066] 

Self-Regulatory Organizations; Cboe 

BZX Exchange, Inc.; Notice of 

Designation of a Longer Period for 

Commission Action on Proposed Rule 

Change To Permit the Listing and 

Trading of P.M.-Settled Series on 

Certain Broad-Based Index Options on 

a Pilot Basis 

December 13, 2018. 

On October 11, 2018, Cboe BZX 

Exchange, Inc. 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 to 

permit the listing and trading of P.M.- 

settled series on certain broad-based 

index options on a pilot basis. The 

proposed rule change was published for 

comment in the Federal Register on 

October 30, 2018.3 The Commission has 

received no comment letters on the 

proposed rule change. 

Section 19(b)(2) of the Act 4 provides 

that, within 45 days of the publication 

of notice of the filing of a proposed rule 

change, or within such longer period up 

to 90 days as the Commission may 

designate if it finds such longer period 

to be appropriate and publishes its 

reasons for so finding or as to which the 

self-regulatory organization consents, 

the Commission shall either approve the 

proposed rule change, disapprove the 

proposed rule change, or institute 

proceedings to determine whether the 

proposed rule change should be 

disapproved. The 45th day after 

publication of the notice for this 

proposed rule change is December 14, 

2018. The Commission is extending this 

45-day time period. 

The Commission finds that it is 

appropriate to designate a longer period 

within which to take action on the 

proposed rule change so that it has 

sufficient time to consider the proposed 

rule change. Accordingly, the 

Commission, pursuant to Section 

19(b)(2) of the Act,5 designates January 

28, 2019 as the date by which the 

Commission shall either approve or 

disapprove or institute proceedings to 

determine whether to disapprove the 


amozie on DSK3GDR082PROD with NOTICES1
Federal Register / Vol. 83, No. 243 / Wednesday, December 19, 2018 / Notices 65195 

6 17 CFR 200.30–3(a)(31). 

1Capitalized terms used but not defined herein 

have the meanings specified in the Rules. 

2 15 U.S.C. 78s(b)(1). 

3 17 CFR 240.19b–4. 

4 15 U.S.C. 78s(b)(3)(A). 

5 17 CFR 240.19b–4(f)(4)(ii). 

6Sub-account refers to the definition of Margin 

Account as per the Rules. 

proposed rule change (File Number SR– 

CboeBZX–2018–066). 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.6

Eduardo A. Aleman, 

Deputy Secretary. 

[FR Doc. 2018–27406 Filed 12–18–18; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–84810; File No. SR–ICEEU– 

2018–021] 

Self-Regulatory Organizations; ICE 

Clear Europe Limited; Notice of Filing 

and Immediate Effectiveness of 

Proposed Rule Change Relating to the 

F&O Stress Testing Policy 1

December 13, 2018. 

Pursuant to Section 19(b)(1) of the 

Securities Exchange Act of 1934 

(‘‘Act’’),2 and Rule 19b–4 thereunder,3

notice is hereby given that on December 

6, 2018, ICE Clear Europe Limited (‘‘ICE 

Clear Europe’’ or ‘‘The Clearing House’’) 

filed with the Securities and Exchange 

Commission (‘‘Commission’’) the 

proposed rule change as described in 

Items I, II and III below, which Items 

have been prepared by ICE Clear 

Europe. ICE Clear Europe filed the 

proposed rule change pursuant to 

Section 19(b)(3)(A) of the Act,4 and Rule 

19b–4(f)(4)(ii) thereunder,5 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. 

I. Clearing Agency’s Statement of the 

Terms of Substance of the Proposed 

Rule Change 

ICE Clear Europe proposes to update 

and formalize its Futures and Options 

Stress Testing Policy (the ‘‘F&O Stress 

Testing Policy’’). 

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 

these statements. 

(A) Clearing Agency’s Statement of the 

Purpose of, and Statutory Basis for, the 

Proposed Rule Change 

(a) Purpose 

ICE Clear Europe proposes to update 

and formalize its F&O Stress Testing 

Policy. The Clearing Risk Department is 

the owner of the F&O Stress Testing 

Policy and is responsible for ensuring 

that it remains up-to-date and that it is 

reviewed in accordance with policy 

requirements. The policy is to be 

reviewed annually by the F&O Risk 

Committee and the Board Risk 

Committee. 

The objective of the F&O Stress 

Testing Policy is to ensure the F&O 

Guaranty Fund is adequate to cover at 

least the two largest Clearing Member 

uncollateralised losses (i.e., losses over 

Clearing Member account’s 

requirements). The F&O Guaranty Fund 

protects the Clearing House against 

losses over and above margin that may 

be experienced during periods of 

extreme market volatility. Stress tests 

are used to test the adequacy of the F&O 

Guaranty Fund size. 

The F&O Stress Testing Policy 

describes ICE Clear Europe’s stress test 

principles, including frequency and 

reporting. The stress test results of 

Clearing Member portfolios are 

calculated daily and reported internally 

on a daily basis. The F&O Risk 

Committee reviews historical daily 

stress test results on a bi-monthly basis. 

The Clearing House will review 

internally the stress scenarios on a 

regular basis and inform the F&O Risk 

Committee where additions or changes 

to the scenarios employed have a 

material impact on the stress results. 

The F&O Stress Testing Policy also 

provides an overview of ICE Clear 

Europe’s stress loss calculation and 

stress shock calibration methodologies. 

The F&O Stress Testing Policy 

describes and defines the types of F&O 

stress testing scenarios and their 

application. The Clearing House has two 

types of scenarios used to size the F&O 

Guaranty Fund: Historical and 

theoretical scenarios. The historical 

stress scenarios aim to select the most 

significant historic events in terms of 

extreme price movement of the relevant 

underlyings, and then replicate as 

accurately as possible the historic event 

that has been selected across the full 

range of cleared products and apply 

these stress tests to contemporary 

positions. Theoretical scenarios are 

constructed using plausible 

combinations of extreme price moves 

that are not contained within the set of 

historical scenarios, including group or 

sector specific stresses. The 

development of these hypothetical and 

extreme scenarios is tailored to the 

specific risks of the products and 

markets served. They are designed to 

measure the response of Clearing 

Members’ portfolios to extreme 

conditions, and to assess the sufficiency 

of the available Guaranty Fund. 

Additionally, for other theoretical 

scenarios, ICE Clear Europe constructs 

theoretical scenarios, which are 

constructed of changes to 

macroeconomic events that are 

considered plausible given qualitative 

analysis of current market and 

geopolitical conditions. These scenarios 

are labelled ‘‘hypothetical’’. 

The policy also describes ICE Clear 

Europe’s reverse stress testing practices, 

which act as a tool to supplement 

existing stress analysis. Such scenarios 

follow the similar frequency and 

reporting as the standard stress test 

scenarios. Rather than sizing the F&O 

Guaranty Fund, these scenarios examine 

the magnitude of the stress required to 

exhaust the F&O Guaranty Fund size. 

Both historical reverse stress tests and 

theoretical reverse stress tests are 

performed. Reverse stress test scenarios 

results are reviewed and presented 

monthly to the F&O Risk Committee. 

The F&O Stress Testing Policy 

describes how ICE Clear Europe 

aggregates stress test results. The 

uncollateralised stress losses across all 

scenarios per Clearing Member and subaccount 6 are calculated. The worst case 

result for each Clearing Member, by subaccount including segregated sponsored 

principal accounts, is then compared 

with the margin account’s requirements 

in respect of the Clearing Member. 

Where the stress testing result is greater 

than the margin account’s requirements, 

by sub-account, this modelled loss 

above requirement or shortfall is 

recorded as an uncollateralised stress 

testing loss. In order to derive the two 

largest uncollateralised losses, 

individual uncollateralised stress loss at 

each Clearing Member account is 

aggregated into the financial institution 

group. 

The F&O Stress Testing Policy also 

describes how stress test results are 

reviewed and escalated. As noted above, 

daily stress testing results must be 


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