Federal Register / Vol. 89, No. 191 / Wednesday, October 2, 2024 / Notices 80285 

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

2 17 CFR 240.19b–4. 

3 ICC’s Back-Testing Framework summarizes its 

formal statistical approach to determining whether 

its Value-at-Risk (VaR) model can reliably forecast 

risk. 

4Securities Exchange Act Release No. 100679 

(Aug. 8, 2024), 89 FR 66154 (Aug. 14, 2024) (File 

No. SR–ICC–2024–008) (‘‘Notice of Filing’’). 

5Capitalized terms not otherwise defined herein 

have the meanings assigned to them in ICC’s BTF 

or Clearing Rules, as applicable. 

6 ‘‘Margin-period-of-risk or ‘MPOR’ is a maturity 

factor that is applied to reflect the length of 

exposure period over which the defaulted portfolio 

is exposed to changes in value.’’ Securities 

Exchange Act Release No. 100008 (Apr. 22, 2024), 

89 FR 32496 (Apr. 26, 2024) (File No. SR–ICC– 

2024–003) (‘‘Notice of Filing’’). 

7Currently, the BTF assigns a standardized P/L 

value of $0.00 to such positions. 

domestic shipping services contract to 

the list of Negotiated Service 

Agreements in the Mail Classification 

Schedule’s Competitive Products List. 

DATES: Date of required notice: October 

2, 2024. 

FOR FURTHER INFORMATION CONTACT: 

Sean C. Robinson, 202–268–8405. 

SUPPLEMENTARY INFORMATION: The 

United States Postal Service® hereby 

gives notice that, pursuant to 39 U.S.C. 

3642 and 3632(b)(3), on September 23, 

2024, it filed with the Postal Regulatory 

Commission a USPS Request to Add 

Priority Mail Express, Priority Mail & 

USPS Ground Advantage® Contract 379 

to Competitive Product List. Documents 

are available at www.prc.gov, Docket 

Nos. MC2024–735, K2024–28. 

Sean C. Robinson, 

Attorney, Corporate and Postal Business Law. 

[FR Doc. 2024–22676 Filed 10–1–24; 8:45 am] 

BILLING CODE 7710–12–P 

POSTAL SERVICE 

Product Change—Priority Mail 

Express, Priority Mail, and USPS 

Ground Advantage® Negotiated 

Service Agreement 

AGENCY: Postal ServiceTM. 

ACTION: Notice. 

SUMMARY: The Postal Service gives 

notice of filing a request with the Postal 

Regulatory Commission to add a 

domestic shipping services contract to 

the list of Negotiated Service 

Agreements in the Mail Classification 

Schedule’s Competitive Products List. 

DATES: Date of required notice: October 

2, 2024. 

FOR FURTHER INFORMATION CONTACT: 

Sean C. Robinson, 202–268–8405. 

SUPPLEMENTARY INFORMATION: The 

United States Postal Service® hereby 

gives notice that, pursuant to 39 U.S.C. 

3642 and 3632(b)(3), on September 24, 

2024, it filed with the Postal Regulatory 

Commission a USPS Request to Add 

Priority Mail Express, Priority Mail & 

USPS Ground Advantage® Contract 384 

to Competitive Product List. Documents 

are available at www.prc.gov, Docket 

Nos. MC2024–740, K2024–33. 

Sean C. Robinson, 

Attorney, Corporate and Postal Business Law. 

[FR Doc. 2024–22682 Filed 10–1–24; 8:45 am] 

BILLING CODE 7710–12–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34-34–101196; File No. SR– 

ICC–2024–008] 

Self-Regulatory Organizations; ICE 

Clear Credit LLC; Order Approving 

Proposed Rule Change Relating to the 

ICC Back-Testing Framework 

September 26, 2024. 

I. Introduction 

On July 30, 2024, ICE Clear Credit 

LLC (‘‘ICC’’) filed with the Securities 

and Exchange Commission 

(‘‘Commission’’), pursuant to Section 

19(b)(2) of the Securities Exchange Act 

of 1934 (the ‘‘Act’’) 1 and Rule 19b–4 

thereunder,2 a proposed rule change to 

amend its Back-Testing Framework 

(‘‘BTF’’).3 The proposed rule change 

was published for comment in the 

Federal Register on August 23, 2024.4

The Commission did not receive 

comments regarding the proposed rule 

change. For the reasons discussed 

below, the Commission is approving the 

proposed rule change. 

II. Description of the Proposed Rule 

Change 

A. Background 

ICC is registered with the Commission 

as a clearing agency for the purpose of 

clearing Credit Default Swap (‘‘CDS’’) 

contracts.5 In addition to clearing CDS 

contracts, ICC also clears options to 

purchase index CDS contracts, which 

are also known as ‘‘Index Swaptions.’’ 

As noted above, the proposed rule 

change would amend ICC’s BTF. The 

BTF describes how ICC conducts backtesting and how ICC remediates poor 

back-testing results. The proposed rule 

change would amend ICC’s BTF to (1) 

better describe how ICC treats its backtesting Index Swaption positions that 

expire in-the-money and within the 

margin period of risk (‘‘MPOR’’),6 and 

(2) make other updates and 

clarifications. 

B. Index Swaption Positions 

ICC’s proposed rule change would 

revise Subsection 2.4 (‘‘Detailed DailyPortfolio Back-Testing Results’’) of the 

BTF to (1) add a description of ICC’s 

treatment of expiring in-the-money and 

within-the-MPOR Index Swaption 

positions, and (2) add an illustrative 

example in the form of a new Table 5. 

1. Subsection 2.4: Description of 

Expiring In-the-Money Index Swaption 

Positions 

The proposed rule change would 

revise Subsection 2.4 to explain how 

ICC treats its back-testing Index 

Swaption positions that expire in-themoney and within the MPOR. ICC 

proposes that when a particular 

portfolio contains Index Swaption 

positions that expire within the MPOR, 

ICC would replace the Mark-to-Market 

(‘‘MTM’’) values of the expired option 

positions with the corresponding 

Intrinsic Values (‘‘IV’’). In doing so, ICC 

would use the end-of-day (‘‘EOD’’) 

prices as of the given day that ICC is 

back-testing. 

In carrying out this process, ICC 

would use the following assumptions, 

as noted in the revised Subsection 2.4: 7

i. The IV is positive for a bought option 

position and negative for a sold option 

position that is in-the-money. 

ii. The option position with positive IV 

results in an option exercise on the 

expiration date and reflects the positive value 

to the option holder buying/selling the 

underling index position at the fixed strike 

price and selling/buying the underlying 

index position at the EOD-price for a profit. 

iii. The sold option position, with negative 

IV, results in the assignment of an underlying 

index position to the seller of the option on 

the expiration date. 

iv. The assigned underlying index position 

could be bought or sold protection depending 

on the type of sold option instrument. 

v. The unrealized P/L for the exercised/ 

assigned option positions are computed 

against the underlying MTM value for all 

days after the CDS index option’s expiration 

date. 

2. Addition of Table 5 to Subsection 2.4 

The proposed rule change also would 

add to Subsection 2.4 a new Table 5, 

entitled ‘‘Minimum 5-Day P/L Detail for 

Expiring Options Positions.’’ Table 5 

would provide an illustrative example 

of the back-testing computation 

described in the BTF and the unrealized 

profit/loss (‘‘P/L’’) for an in-the-money 

Index Swaption position that expires 

within the MPOR. 


lotter on DSK11XQN23PROD with NOTICES1
80286 Federal Register / Vol. 89, No. 191 / Wednesday, October 2, 2024 / Notices 

8 15 U.S.C. 78s(b)(2)(C). 

9Rule 700(b)(3), Commission Rules of Practice, 17 

CFR 201.700(b)(3). 

10 Id. 

11 Id. 

12Susquehanna Int’l Group, LLP v. Securities and 

Exchange Commission, 866 F.3d 442, 447 (D.C. Cir. 

2017) (‘‘Susquehanna’’). 

13 15 U.S.C. 78q–1(b)(3)(F). 

14 17 CFR 240.17Ad–22(e)(6)(vi)(A). 

15 15 U.S.C. 78q–1(b)(3)(F). 

16 15 U.S.C. 78q–1(b)(3)(F). 

17 17 CFR 240.17Ad–22(e)(6)(vi)(A). 

18 17 CFR 240.17Ad–22(e)(6)(vi)(A). 

19 15 U.S.C. 78q–1(b)(3)(F). 

20 17 CFR 240.17Ad–22(e)(6)(vi)(A). 

21 15 U.S.C. 78s(b)(2). 

22 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). 

C. Other Additions and Revisions to 

Table 3, Table 4, and Section 6 

In addition to the changes related to 

Index Swaption positions, the proposed 

rule change also would make updates 

and clarifications to other sections of 

the BTF. The proposed rule change 

would change references from ‘‘P&L’’ in 

Table 3 and Table 4 to ‘‘P/L’’ to 

consistently refer to ‘‘profit or loss’’ 

throughout the BTF. Moreover, the 

proposed rule change would update 

Section 6, ‘‘Revision History,’’ to reflect 

the revisions proposed herein. Finally, 

the proposed rule change would add a 

new footnote 1 in Subsection 1.1. This 

footnote would explain that the term 

‘‘Net Asset Value’’ is also referred to and 

is equivalent to ‘‘Mark-to-Market,’’ as 

used in the BTF. 

III. Discussion and Commission 

Findings 

Section 19(b)(2)(C) of the Act 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.8 Under 

the Commission’s Rules of Practice, the 

‘‘burden to demonstrate that a proposed 

rule change is consistent with the 

Exchange Act and the rules and 

regulations issued thereunder . . . is on 

the self-regulatory organization 

[(‘‘SRO’’)] that proposed the rule 

change.’’ 9

The description of a proposed rule 

change, its purpose and operation, its 

effect, and a legal analysis of its 

consistency with applicable 

requirements, must all be sufficiently 

detailed and specific to support an 

affirmative Commission finding,10 and 

any failure of an SRO to provide this 

information may result in the 

Commission not having a sufficient 

basis to make an affirmative finding that 

a proposed rule change is consistent 

with the Exchange Act and the 

applicable rules and regulations.11

Moreover, ‘‘unquestioning reliance’’ on 

an SRO’s representations in a proposed 

rule change is not sufficient to justify 

Commission approval of a proposed rule 

change.12

After carefully considering the 

proposed rule change, the Commission 

finds that the proposed rule change is 

consistent with the requirements of the 

Exchange Act and the rules and 

regulations thereunder applicable to 

ICC. For the reasons given below, the 

Commission finds that the proposed 

rule change is consistent with Section 

17A(b)(3)(F) of the Act 13 and Rule 

17Ad–22(e)(6)(vi)(A).14

A. Consistency With Section 

17A(b)(3)(F) of the Act 

Section 17A(b)(3)(F) of the Act 

requires, among other things, that the 

rules of ICC be designed, to promote the 

prompt and accurate clearance and 

settlement of securities transactions.15

As noted above, the proposed rule 

change primarily would add to the BTF 

description of how ICC back-tests Index 

Swaptions positions that expire in-themoney within the MPOR. The proposed 

rule change also would ensure the 

consistent use of the term ‘‘P/L’’ and 

explain the equivalence of the terms 

‘‘Net Asset Value’’ and ‘‘Mark-toMarket.’’ 

The enhanced description of ICC’s 

approach to back-testing Index 

Swaptions positions that expire in-themoney within the MPOR would 

strengthen ICC’s back-testing by making 

the results a more accurate 

representation of potential P/L for such 

positions. Under the BTF as revised, ICC 

would calculate P/L for such positions, 

using the assumptions and process 

described above, rather than just 

assuming zero value for all as per the 

current practice. 

Consistent use of the term ‘‘P/L’’ and 

establishing the equivalence of the 

terms ‘‘Net Asset Value’’ and ‘‘Mark-toMarket’’ would also strengthen ICC’s 

back-testing. The changes would help 

ensure the consistent and clear 

operation of the BTF by eliminating any 

potential confusion among the use of 

these terms. This should, in turn, help 

support the accuracy and reliability of 

ICC’s back-testing. 

Thus, the proposed rule change 

would help ensure that ICC continues to 

reliably forecast risk and that its backtesting accurately verifies that the 

number of actual, observed losses is 

consistent with the number of projected 

losses. Because ICC uses back-testing to 

forecast and manage the risk associated 

with clearing Index Swaption 

transactions, these improvements to the 

BTF should help ICC avoid losses that 

could result from the mismanagement of 

such risk. Because such losses could 

disrupt ICC’s ability to operate and thus 

clear and settle transactions, the 

Commission finds the proposed rule 

change would promote the prompt and 

accurate clearance and settlement of 

securities and derivative transactions. 

Therefore, the Commission finds that 

the proposed rule change is consistent 

with Section 17A(b)(3)(F) of the Act.16

B. Consistency With Rule 17Ad– 

22(e)(6)(vi)(A) of the Act 

Rule 17Ad–22(e)(6)(vi)(A) requires 

ICC to establish, implement, maintain, 

and enforce written policies and 

procedures reasonably designed to cover 

its credit exposures to its participants by 

establishing a risk-based margin system 

that, at a minimum is monitored by 

management on an ongoing basis and is 

regularly reviewed, tested, and verified 

by conducting backtests of its margin 

model at least once each day using 

standard predetermined parameters and 

assumptions.17

The proposed changes described 

above will enhance ICC’s risk-based 

margin system by enhancing ICC’s 

ability to calculate P/L more precisely 

for back-testing by factoring in accurate 

P/L values of ITM Index Swaption 

positions. This enhancement, along 

with the other changes detailed herein, 

will ensure that the predetermined 

parameters and assumptions (here, the 

BTF) that ICC management relies upon 

to regularly review, test, and verify its 

margin requirements are more accurate 

than the previous iteration of ICC’s riskbased margin system. 

Therefore, the Commission finds that 

the proposed rule change is consistent 

with Rule 17Ad–22(e)(6)(vi)(A).18

IV. Conclusion 

Based on the foregoing, the 

Commission finds that the proposed 

rule change is consistent with the 

requirements of the Act and with the 

requirements of Section 17A(b)(3)(F) of 

the Act 19 and Rule 17Ad– 

22(e)(6)(vi)(A).20

It is therefore ordered pursuant to 

Section 19(b)(2) of the Act 21 that the 

proposed rule change (SR–ICC–2024– 

008), be, and hereby is, approved.22


lotter on DSK11XQN23PROD with NOTICES1
Federal Register / Vol. 89, No. 191 / Wednesday, October 2, 2024 / Notices 80287 

23 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3This proposal was initially filed on September 

3, 2024, as SR–BX–2024–034. On September 13, 

2024, SR–BX–2024–034 was withdrawn and 

replaced with the instant filing to clarify the time 

period for availability of historical information. 

4A ‘‘Current Distributor’’ is any firm that 

purchases either the End of Day Product for the 

current month, or the Intra-Day Product for the 

current month in the same month that the 36 

months of historical End of Day or Intra-Day data 

is ordered. 

5The most recent 36 months is measured based 

on the date of purchase of the 36 months of data 

by a Current Distributor. 

6Every options series trades as a distinct symbol; 

the terms ‘‘series’’ and ‘‘symbol’’ are therefore 

synonyms. 

7See Securities Exchange Act Release No. 100792 

(August 21, 2024), 89 FR 68676 (August 27, 2024) 

(SR–BX–2024–028). 

8This would include the aggregate number of 

‘‘opening purchase transactions,’’ defined as a BX 

Options Transaction that creates or increases a long 

position in an options contract, see Options 1, 

Section 1(a)(35), and the aggregate number of 

‘‘opening writing transactions,’’ defined as a BX 

Options Transaction that creates or increases a short 

position in an options contract. See Options 1, 

Section 1(a)(36). 

9The term ‘‘Customer’’ applies to any transaction 

that is identified by a Participant for clearing in the 

Customer range at The Options Clearing 

Corporation (‘‘OCC’’) which is not for the account 

of broker or dealer or for the account of a 

‘‘Professional’’ (as that term is defined in Options 

1, Section 1(a)(48)). See Options 7, Section 1(a). 

10The term ‘‘Broker-Dealer’’ applies to any 

transaction which is not subject to any of the other 

transaction fees applicable within a particular 

category. See Options 7, Section 1(a). 

11The term ‘‘BX Options Market Maker’’ is a 

Participant that has registered as a Market Maker on 

BX Options pursuant to Options 2, Section 1, and 

must also remain in good standing pursuant to 

Options 2, Section 9. In order to receive Market 

Maker pricing in all securities, the Participant must 

be registered as a BX Options Market Maker in at 

least one security. See Options 7, Section 1(a). 

12The term ‘‘Firm’’ applies to any transaction that 

is identified by a Participant for clearing in the Firm 

range at OCC. See Options 7, Section 1(a). 

13The term ‘‘Professional’’ means any person or 

entity that (i) is not a broker or dealer in securities, 

and (ii) places more than 390 orders in listed 

options per day on average during a calendar month 

for its own beneficial account(s) pursuant to 

Options 1, Section 1(a)(48). All Professional orders 

shall be appropriately marked by Participants. See 

Options 7, Section 1(a). 

14This would include the aggregate number of 

‘‘closing purchase transactions’’ in the affected 

series, defined as a BX Options Transaction that 

reduces or eliminates a short position in an options 

contract, see Options 1, Section 1(a)(19), and the 

aggregate number of ‘‘closing writing transactions,’’ 

defined as a BX Options Transaction that reduces 

or eliminates a long position in an options contract. 

See Options 1, Section 1(a)(20). 

15These are the same types of information 

available on PHOTO, and the other trade outline 

products offered by Nasdaq exchanges. 

16The additional fields are: First Trade Price, 

High Trade Price, Low Trade Price, Last Trade 

Price, Underlying Close, Moneyness, Total 

Exchange volume, Total Industry Volume for the 

Series, and Open Interest. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.23

Vanessa A. Countryman, 

Secretary. 

[FR Doc. 2024–22563 Filed 10–1–24; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–101195; File No. SR–BX– 

2024–036] 

Self-Regulatory Organizations; Nasdaq 

BX, Inc.; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change To Initiate Fees for the 

Distribution of BX Trade Outline 

September 26, 2024. 

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 

September 13, 2024, Nasdaq BX, Inc. 

(‘‘BX’’ or ‘‘Exchange’’) filed with the 

Securities and Exchange Commission 

(‘‘SEC’’ or ‘‘Commission’’) the proposed 

rule change as described in Items I, II, 

and III, below, which Items have been 

prepared by the Exchange. 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 initiate fees 

for the distribution of BX Trade Outline. 

The text of the proposed rule change 

is available on the Exchange’s website at 

https://listingcenter.nasdaq.com/ 

rulebook/bx/rules, 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 

Exchange 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. The 

Exchange has prepared summaries, set 

forth in sections A, B, and C below, of 

the most significant aspects of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The purpose of the proposed rule 

change is to initiate fees for the 

distribution of BX Trade Outline. 

Distributor fees will be $750 per month 

for the End of Day product, and $1,500 

per month for the Intra-Day product.3

Historical data will be available 

through ad hoc requests for information 

for $500 per month of End of Day 

information, and $750 per month for 

historical information. Current 

Distributors 4 will also be able to 

purchase the most recent 36 months of 

historical data 5 at the discounted price 

of $6,000 for End of Day information, 

and $9,000 for Intra-Day information. 

Historical information will be available 

starting in December 2014. 

BX Options Trade Outline 

BX Options Trade Outline will 

provide aggregate quantity and volume 

information for trades on the Exchange 

for all series 6 during a trading session.7

Information is provided in the following 

categories: (i) total exchange volume for 

Intra-Day information and total 

exchange and industry volume for End 

of Day information for each reported 

series; (ii) open interest for the series; 

(iii) aggregate quantity of trades and 

aggregate trade volume effected to open 

a position,8 characterized by origin type 

(Customers,9 Broker-Dealers,10 BX 

Options Market Makers,11 Firms,12 and 

Professionals 13); and (iv) aggregate 

quantity of trades and aggregate trade 

volume effected to close a position,14

characterized by origin type (Customers, 

Broker-Dealers, BX Options Market 

Makers, Firms, and Professionals).15

Information will be provided on an 

End of Day, Intra-Day, and historical 

basis. 

End of Day Information 

The BX Trade Outline End of Day file 

will provide opening buy, closing buy, 

opening sell and closing sell 

information, including option first trade 

price, option high trade price, option 

low trade price, and option last trade 

price. 

The End of Day file will be updated 

during an overnight process with 

additional fields 16 and will be available 

the following morning, providing 

aggregate data for the entire trading 

session. 

Intra-Day Information 

Intra-Day information will be released 

in scheduled ‘‘snapshots’’ available 


lotter on DSK11XQN23PROD with NOTICES1