Federal Register / Vol. 87, No. 69 / Monday, April 11, 2022 / Notices 21227 

21See supra note 4. As noted above, the Exchange 

states that if it requires temporary relief from the 

rule requirements identified in this proposal 

beyond July 31, 2022, it may submit a separate rule 

filing to extend the effectiveness of the temporary 

relief under these rules. 

22For purposes only of waiving the 30-day 

operative delay, the Commission has considered the 

proposed rule change’s impact on efficiency, 

competition, and capital formation. See 15 U.S.C. 

78c(f). 

23 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3Self-Regulatory Organizations; ICE Clear Europe 

Limited; Notice of Filing of Proposed Rule Change 

Relating to Amendments to the ICE Clear Europe 

CDS Clearing Stress Testing Policy and CDS 

Clearing Back-Testing Policy, Exchange Act Release 

No. 94280 (Feb. 18, 2022); 87 FR 10878 (Feb. 25, 

2022) (SR–ICEEU–2022–004) (‘‘Notice’’). 

applicable, any extension thereof.21 For 

these reasons, the Commission believes 

that waiver of the 30-day operative 

delay for this proposal is consistent 

with the protection of investors and the 

public interest. Accordingly, the 

Commission hereby waives the 30-day 

operative delay and designates the 

proposal operative upon filing.22

At any time within 60 days of the 

filing of the proposed rule change, the 

Commission summarily may 

temporarily suspend such rule change if 

it appears to the Commission that such 

action is necessary or appropriate in the 

public interest, for the protection of 

investors, or otherwise in furtherance of 

the purposes of the Act. 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– 

NASDAQ–2022–028 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–NASDAQ–2022–028. 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 the 

filing also will be available for 

inspection and copying at the principal 

office of the Exchange. All comments 

received will be posted without change; 

the Commission does not edit personal 

identifying information from 

submissions. You should submit only 

information that you wish to make 

available publicly. All submissions 

should refer to File Number SR– 

NASDAQ–2022–028 and should be 

submitted on or before May 2, 2022. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.23

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–07625 Filed 4–8–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94607; File No. SR–ICEEU– 

2022–004] 

Self-Regulatory Organizations; ICE 

Clear Europe Limited; Order Approving 

Proposed Rule Change Relating to 

Amendments to the ICE Clear Europe 

CDS Clearing Stress-Testing Policy 

and CDS Clearing Back-Testing Policy 

April 5, 2022. 

I. Introduction 

On February 10, 2022, ICE Clear 

Europe Limited (‘‘ICE Clear Europe’’) 

filed with the Securities and Exchange 

Commission (‘‘Commission’’), pursuant 

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

Exchange Act of 1934 (the ‘‘Act’’),1 and 

Rule 19b–4 thereunder,2 a proposed rule 

change to amend its CDS Clearing BackTesting Policy (‘‘CDS Back-Testing 

Policy’’) and CDS Clearing StressTesting Policy (‘‘CDS Stress-Testing 

Policy’’). The proposed rule change was 

published for comment in the Federal 

Register on February 25, 2022.3 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 

The proposed rule change would 

amend the CDS Clearing Back-Testing 

Policy and CDS Clearing Stress-Testing 

Policy to remediate the findings of an 

independent validation. The discussion 

below describes the proposed 

amendments in the order they appear in 

each policy. 

i. CDS Back-Testing Policy 

The proposed rule change first would 

correct the capitalization of the title of 

Section 2.1. In that section, the 

proposed rule change also would correct 

a typographical error by replacing the 

word ‘‘follow’’ with ‘‘follows.’’ In 

addition to those typographical 

corrections, the proposed rule change 

would add new language at the end of 

the section. This new language would 

explain that ICE Clear Europe conducts 

several types of backtests and that ICE 

Clear Europe adopts all the available 

reliable and validated data for each 

backtest in order to assess the model 

performance over a long period, where 

stress market conditions and 

idiosyncratic events are likely to have 

manifested. 

Next, the proposed rule change would 

add a new Section 2.2 and re-number 

the remaining sections accordingly. 

New Section 2.2 would explain that ICE 

Clear Europe backtests the CDS risk 

model with overlapping data and nonoverlapping data. This section also 

would explain that ICE Clear Europe 

prefers to backtest with non-overlapping 

data for static portfolios. Because the 

CDS risk model covers a multi-days risk 

horizon, the lack of sufficiently long 

data sets limits ICE Clear Europe’s 

ability to use non-overlapping data, 

however. ICE Clear Europe would 

address this limitation by using 

overlapping data to make a statistically 

significant sample. 

This new Section 2.2, as well as the 

new language at the end of Section 2.1, 

would document ICE Clear Europe’s 

existing practice of backtesting using 

overlapping data and non-overlapping 

data, and, in doing so, using all the 

available reliable and validated data for 

each backtest in order to assess the 

model performance over a long period. 


lotter on DSK11XQN23PROD with NOTICES1
21228 Federal Register / Vol. 87, No. 69 / Monday, April 11, 2022 / Notices 

4For a general description of the BTLS, see BIS, 

revisions to market risk disclosure requirements, 

available at https://www.bis.org/bcbs/publ/ 

d484.htm. 

5The proposed rule change would make similar 

updates to these terms throughout the CDS BackTesting Policy. 

6 ICE Clear Europe calculates daily back-testing 

results for each Clearing Member’s account for each 

of the 5 business days beginning 10 business days 

prior to the reporting date for house accounts (or 

7 business days beginning 14 business days prior 

to the reporting period for client accounts). For each 

backtested day, ICE Clear Europe calculates the 

maximum observed unrealized loss with positions 

from the relevant Clearing Member’s accounts as of 

that day. Table 2 shows an example of this 

reporting. 

7As explained in ICE Clear Europe’s CDS Risk 

Model Description, the term risk factor refers to a 

CDS index, sub-index, or single-name. See SelfRegulatory Organizations; ICE Clear Europe 

Limited; Order Approving Proposed Rule Change 

Relating to the ICE Clear Europe CDS Clearing 

Stress Testing Policy, CDS End of Day Price 

Discovery Policy, CDS Risk Model Description and 

CDS Risk Policy and CDS Parameters Review 

Procedures, Exchange Act Release No. 91586 (Apr. 

16, 2021); 86 FR 21418 (Apr. 22, 2021) (SR–ICEEU– 

2021–006). 

8Notice, 87 FR at 10879. 

9Notice, 87 FR at 10880. 

10 15 U.S.C. 78s(b)(2)(C). 

11 15 U.S.C. 78q–1(b)(3)(F). 

Backtesting using overlapping data 

potentially double-counts exceedances 

if the exceedances occur when data 

overlap. Because of this possible 

double-counting, backtesting with nonoverlapping data is the preferred 

approach, but ICE Clear Europe still 

conducts backtesting with overlapping 

data, using all available reliable and 

validated data, to ensure it has an 

appropriate sample size. 

The proposed rule change next would 

amend re-numbered Section 2.4 

(currently Section 2.2), which describes 

the Basel Traffic Light System 

(‘‘BTLS’’).4 The proposed rule change 

would explain how ICE Clear Europe 

addresses one of the main assumptions 

of the BTLS, which is that excessive 

losses are time independent. As 

described above, ICE Clear Europe relies 

on overlapping data as necessary to 

ensure sufficiently long backtesting data 

sets. Conducting backtests with 

overlapping data could double-count 

exceedances if the exceedances occur 

when the data overlap. Because the 

BTLS assumes that exceedances are 

time independent, however, ICE Clear 

Europe corrects the number of 

consecutive exceedances within the risk 

time horizon. 

The proposed rule change would renumber current Section 2.3 to Section 

3.1, and add a title for a new Section 3 

immediately before re-numbered 

Section 3.1. The proposed rule change 

would change the title of re-numbered 

Section 3.1 to Multi-days horizon 

backtesting. Within re-numbered 

Section 3.1, the proposed rule change 

would make four clarifications. First, 

the proposed rule change would specify 

that the observed loss is the minimum 

net asset value change over 5 days for 

house accounts, as distinct from 7 days 

for client accounts. Second, the 

proposed rule change would specify 

that the difference between the 

maximum observed unrealized loss and 

the backtested component of initial 

margin is also known as the ‘‘back-test 

exceedances.’’ Third, the proposed rule 

change would clarify that the maximum 

observed unrealized loss is also known 

as the ‘‘worst N-days P&L.’’ 5 Finally, 

the proposed rule change would explain 

that ICE Clear Europe’s use of the worst 

N-days P&L may lead to multiple 

consecutive backtest exceedances 

following one large market move in the 

overlapping backtesting approach. 

Next, the proposed rule change would 

correct the capitalization of the title of 

Section 3.2 (re-numbered from Section 

2.4). In that section the proposed rule 

change also would explain that the last 

two examples in Table 2 could be the 4- 

days P/L or 3-days P/L.6

In Section 3.3 (re-numbered from 

Section 2.5), the proposed rule change 

would clarify that a minimum of one 

year of observations is required to 

define the statistical significance of 

backtesting results. 

The proposed rule change would 

correct the capitalization of the title of 

Section 3.4 (re-numbered from Section 

2.6). In that section the proposed rule 

change also would describe how ICE 

Clear Europe backtests special strategy 

portfolios. ICE Clear Europe backtests 

special strategy portfolios that cover 

certain trading strategies, such as Index 

arbitrage. The proposed rule change also 

would specify that the Clearing Risk 

Department reviews backtest results at 

the 99.5% quantile monthly, while 

backtest results at the 99.75% quantile 

would be reviewed on an ad-hoc basis, 

when there is a large market move. 

Finally, the proposed rule change would 

delete a table showing portfolio 

construction for special strategy 

backtesting because it is unnecessary in 

light of the new detail added to Section 

3.4. 

The proposed rule change would 

correct the capitalization of the title of 

Section 3.5 (re-numbered from Section 

2.7). 

The proposed rule would add a new 

section numbered 3.6 to explain how 

ICE Clear Europe backtests stylized 

portfolios. Stylized portfolios are 

portfolios that replicate certain trading 

strategies. This new section would 

explain that the Clearing Risk 

Department backtests a series of stylized 

portfolios when ICE Clear Europe clears 

a new risk factor.7 ICE Clear Europe 

backtests these portfolios, which 

replicate trading strategies, to assess the 

CDS risk model’s treatment of the new 

risk factors. ICE Clear Europe also 

backtests risk factors that have the 

largest open interest. ICE Clear Europe 

represents that these changes reflect 

current backtesting practice and are 

intended to more clearly document such 

practices in the CDS Back-Testing 

Policy.8

The proposed rule change would 

correct the capitalization of the title of 

Section 3.7 (re-numbered from Section 

2.8). 

Finally, the proposed rule change 

would amend Section 4 (re-numbered 

from Section 3). Section 4 would 

describe ICE Clear Europe’s univariate 

backtesting. The proposed rule change 

would clarify that the Clearing Risk 

Department reviews backtest results at 

the 99.5% quantile monthly and reports 

these results to the Model Oversight 

Committee monthly. Backtest results at 

the 99.75% quantile would be reviewed 

ad-hoc, when stress market conditions 

might cause breaches at the 99.5% 

quantile. 

ii. CDS Stress-Testing Policy 

The proposed rule change would 

make one change to the CDS StressTesting Policy. In Section 4.1.2 the 

proposed rule change would add the 

words ‘‘and hypothetical’’ to a 

paragraph describing forward-looking 

credit events scenarios. The change 

would clarify that the described 

forward-looking credit events scenarios 

are based on both historically observed 

and hypothetical extreme but plausible 

market scenarios. ICE Clear Europe 

represents that this change reflects 

current stress-testing practice.9

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.10 For 

the reasons discussed below, the 

Commission finds that the proposed 

rule change is consistent with Section 

17A(b)(3)(F) of the Act,11 and Rules 


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Federal Register / Vol. 87, No. 69 / Monday, April 11, 2022 / Notices 21229 

12 17 CFR 240.17Ad–22(e)(4)(vi)(A) and 17 CFR 

240.17Ad–22(e)(6)(vi)(A). 

13 15 U.S.C. 78q–1(b)(3)(F). 

14 15 U.S.C. 78q–1(b)(3)(F). 

15 15 U.S.C. 78q–1(b)(3)(F). 

16 17 CFR 240.17Ad–22(e)(4)(i)–(iii). 

17 17 CFR 240.17Ad–22(e)(4)(vi)(A). 

18The CDS Stress-Testing Policy requires that ICE 

Clear Europe conduct stress testing daily. See SelfRegulatory Organizations; ICE Clear Europe 

Limited; Order Approving Proposed Rule Change 

Relating to Amendments to the ICE Clear Europe 

CDS Risk Policy (the ‘‘CDS Risk Policy’’), CDS 

Clearing Back-Testing Policy (the ‘‘Back-Testing 

Policy’’) and CDS Stress-Testing Policy (the ‘‘StressTesting Policy’’) (Collectively, the ‘‘CDS Policies’’), 

Exchange Act Release No. 85236 (Mar. 1, 2019); 84 

FR 8348 (Mar. 7, 2019) (SR–ICEEU–2018–010). 

19 17 CFR 240.17Ad–22(e)(4)(vi)(A). 

17Ad–22(e)(4)(vi)(A) and 17Ad– 

22(e)(6)(vi)(A) thereunder.12

i. 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 ICE Clear Europe be designed to 

promote the prompt and accurate 

clearance and settlement of securities 

transactions and, to the extent 

applicable, derivative agreements, 

contracts, and transactions.13 Based on 

its review of the record, and for the 

reasons discussed below, the 

Commission believes the proposed 

changes to the CDS Back-Testing Policy 

and CDS Stress-Testing Policy are 

consistent with the promotion of the 

prompt and accurate clearance and 

settlement of securities transactions. 

The Commission believes that the 

proposed rule change would make the 

CDS Back-Testing Policy and CDS 

Stress-Testing Policy easier to use and 

apply. One way it would do so is by 

explaining ICE Clear Europe’s 

backtesting and stress testing practices. 

These practices would include: A 

preference for backtesting using nonoverlapping data; corrections to 

exceedances in overlapping data to 

conform to the assumption from the 

BTLS that losses are time-independent; 

the requirement of a minimum of one 

year of observations to define the 

statistical significance of backtesting 

results; use of all available reliable and 

validated data for each backtest; and, 

with respect to the CDS Stress-Testing 

Policy, that forward-looking credit event 

scenarios are based on both historically 

observed and hypothetical extreme but 

plausible market scenarios. The 

Commission believes that documenting 

these practices in ICE Clear Europe’s 

policies should facilitate more 

consistent and predictable backtesting 

and stress testing. 

Another way the proposed rule 

change would make the CDS BackTesting Policy easier to use and apply 

is by explaining how ICE Clear Europe 

backtests special strategy portfolios. The 

proposed rule change would describe 

the set of portfolios used in backtesting 

of special strategy portfolios, and also 

would explain how ICE Clear Europe 

reviews and reports results at 99.5% 

quantiles and 99.75% quantiles for 

special strategy portfolios and 

univariate backtesting. The proposed 

rule change also would explain how ICE 

Clear Europe backtests stylized 

portfolios when it clears a new risk 

factor. The Commission believes that 

documenting such additional 

explanations would help to clarify how 

ICE Clear Europe backtests portfolios 

that use special trading strategies and 

reports the results of those backtests. 

The proposed rule change also would 

make the CDS Back-Testing Policy 

easier to use and apply by clarifying 

certain terminology used in the policy 

and by correcting typographical errors. 

For example, the proposed rule change 

would clarify that the shortfall between 

the maximum observed unrealized loss 

and the backtested component of initial 

margin is also known as ‘‘back-test 

exceedances’’ and that the maximum 

observed unrealized loss is also known 

as ‘‘worst N-days P&L.’’ The proposed 

rule also would clarify that the observed 

loss is calculated as the minimum net 

asset value change over 5 days for house 

accounts as distinct from 7 days for 

client accounts, and that the last two 

examples in Table 2 could be the 4-days 

P/L or 3-days P/L. In addition to these 

clarifications, the proposed rule change 

would correct typographical errors and 

re-number sections. The Commission 

believes these particular changes would 

help to increase the clarity and accuracy 

of the CDS Back-Testing Policy. 

Because ICE Clear Europe backtests 

and stress tests the CDS risk model 

using the CDS Back-Testing Policy and 

CDS Stress-Testing Policy, the 

Commission believes that these 

improvements to the policies would 

improve ICE Clear Europe’s backtesting 

and stress testing. Improved backtesting 

and stress testing should help ICE Clear 

Europe to find deficiencies in, and 

correct, the CDS risk model. Better risk 

models should, in turn, increase the 

likelihood that ICE Clear Europe will 

have sufficient financial resources in 

excess of margin to address losses that 

could arise from the default of a 

Clearing Member. The Commission 

believes that by increasing the 

likelihood that ICE Clear Europe will 

have sufficient financial resources, the 

proposed rule change would enhance 

ICE Clear Europe’s ability to continue to 

promptly and accurately clear and settle 

securities transactions during periods of 

market stress, consistent with Section 

17A(b)(3)(F) of the Act.14

Therefore, the Commission finds that 

the proposed rule change is consistent 

with Section 17A(b)(3)(F) of the Act.15

ii. Consistency With Rule 17Ad– 

22(e)(4)(vi)(A) Under the Act 

Rule 17Ad–22(e)(4)(vi)(A) requires 

that ICE Clear Europe 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 under Rule 17Ad– 

22(e)(4)(i) through (iii),16 as applicable, 

by conducting stress testing of its total 

financial resources once each day using 

standard predetermined parameters and 

assumptions.17 As discussed above, the 

Commission believes the proposed rule 

change should improve ICE Clear 

Europe’s CDS Stress-Testing Policy by 

clarifying that the forward-looking 

credit events scenarios are based on 

both historically observed and 

hypothetical extreme but plausible 

market scenarios. Because ICE Clear 

Europe uses the CDS Stress-Testing 

Policy and the forward-looking credit 

event scenarios to conduct daily stress 

testing of its total financial resources, 

the Commission believes this aspect of 

the proposed rule change should help to 

ensure that ICE Clear Europe conducts 

stress testing of its total financial 

resources once each day using standard 

predetermined parameters and 

assumptions, including forward-looking 

credit event scenarios that are based on 

both historically observed and 

hypothetical extreme but plausible 

market scenarios.18

Therefore, the Commission finds that 

this aspect of the proposed rule change 

is consistent with Rule 17Ad– 

22(e)(4)(vi)(A).19

iii. Consistency With Rule 17Ad– 

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

Rule 17Ad–22(e)(6)(vi)(A) requires 

that ICE Clear Europe 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 


lotter on DSK11XQN23PROD with NOTICES1
21230 Federal Register / Vol. 87, No. 69 / Monday, April 11, 2022 / Notices 

20 17 CFR 240.17Ad–22(e)(6)(vi)(A). 

21The CDS Back-Testing Policy requires that ICE 

Clear Europe conduct back-testing daily. See SelfRegulatory Organizations; ICE Clear Europe 

Limited; Order Approving Proposed Rule Change 

Relating to Amendments to the ICE Clear Europe 

CDS Risk Policy (the ‘‘CDS Risk Policy’’), CDS 

Clearing Back-Testing Policy (the ‘‘Back-Testing 

Policy’’) and CDS Stress-Testing Policy (the ‘‘StressTesting Policy’’) (Collectively, the ‘‘CDS Policies’’), 

Exchange Act Release No. 85236 (Mar. 1, 2019); 84 

FR 8348 (Mar. 7, 2019) (SR–ICEEU–2018–010). 

22 17 CFR 240.17Ad–22(e)(6)(vi)(A). 

23 15 U.S.C. 78q–1(b)(3)(F). 

24 17 CFR 240.17Ad–22(e)(4)(vi)(A) and 17 CFR 

240.17Ad–22(e)(6)(vi)(A). 

25 15 U.S.C. 78s(b)(2). 

26 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). 

27 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3 17 CFR 240.19b–4(f)(6). 

4 If the Exchange seeks to provide additional 

temporary relief from the rule requirements 

identified in this proposed rule change beyond July 

31, 2022, the Exchange will submit a separate rule 

filing to further extend the temporary extension of 

time. The amended Exchange rules will revert to 

their original form at the conclusion of the 

temporary relief period and any extension thereof. 

5See Securities Exchange Act Release No. 94430 

(March 16, 2022), 87 FR 16262 (March 22, 2022) 

(Notice of Filing and Immediate Effectiveness of 

File No. SR–FINRA–2022–004) (‘‘FINRA Filing’’). 

The Exchange notes that the FINRA Filing also 

proposed to temporarily amend FINRA Rules 9261, 

9524, and 9830, which govern hearings in 

connection with appeals of disciplinary actions, 

eligibility proceedings, and temporary and 

permanent cease and desist orders. The Exchange’s 

Rules 9261, 9524, and 9830 incorporate by 

reference The Nasdaq Stock Market LLC rules, 

which are the subject of a separate filing. See SR– 

NASDAQ–2022–028. Therefore, the Exchange is not 

proposing to adopt that aspect of the FINRA Filing. 

6See Securities Exchange Act Release No. 93853 

(December 22, 2021), 86 FR 74164 (December 29, 

2021) (Notice of Filing and Immediate Effectiveness 

of File No. SR–Phlx–2021–75); see also Securities 

Exchange Act Release No. 92906 (September 9, 

2021), 86 FR 51404 (September 15, 2021) (Notice of 

Filing and Immediate Effectiveness of File No. SR– 

Phlx–2021–49); Securities Exchange Act Release 

No. 91766 (May 4, 2021), 86 FR 25014 (May 10, 

2021) (Notice of Filing and Immediate Effectiveness 

of File No. SR–Phlx–2021–27); Securities Exchange 

Act Release No. 90758 (December 21, 2020), 85 FR 

85782 (December 29, 2020) (Notice of Filing and 

Immediate Effectiveness of File No. SR–Phlx–2020– 

053). 

by conducting backtests of its margin 

model at least once each day using 

standard predetermined parameters and 

assumptions.20 As discussed above, the 

Commission believes the changes to the 

CDS Back-Testing Policy would overall 

make the policy easier to use and apply. 

Because ICE Clear Europe uses the CDS 

Back-Testing Policy to conduct daily 

backtests of its margin model, the 

Commission believes these aspects of 

the proposed rule change should help to 

ensure that ICE Clear Europe conducts 

backtests of its margin model at least 

once each day using standard 

predetermined parameters and 

assumptions.21 Therefore, the 

Commission finds that this aspect of the 

proposed rule change is consistent with 

Rule 17Ad–22(e)(6)(vi)(A).22

IV. Conclusion 

On the basis of the foregoing, the 

Commission finds that the proposed 

rule change is consistent with the 

requirements of the Act, and in 

particular, with the requirements of 

Section 17A(b)(3)(F) of the Act,23 and 

Rules 17Ad–22(e)(4)(vi)(A) and 17Ad– 

22(e)(6)(vi)(A) thereunder.24

It is therefore ordered pursuant to 

Section 19(b)(2) of the Act 25 that the 

proposed rule change (SR–ICEEU–2022– 

004) be, and hereby is, approved.26

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.27

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–07623 Filed 4–8–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94611; File No. SR–Phlx– 

2022–15] 

Self-Regulatory Organizations; Nasdaq 

PHLX LLC; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change To Extend the Expiration 

Date of the Temporary Amendments 

Concerning Video Conference 

Hearings 

April 5, 2022. 

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 March 23, 

2022, Nasdaq PHLX LLC (‘‘Phlx’’ or 

‘‘Exchange’’) filed with the Securities 

and Exchange Commission (‘‘SEC’’ or 

‘‘Commission’’) the proposed rule 

change as described in Items I and II 

below, which Items have been prepared 

by the Exchange. The Exchange has 

designated the proposed rule change as 

constituting a ‘‘non-controversial’’ rule 

change under paragraph (f)(6) of Rule 

19b–4 under the Act,3 which renders 

the proposal effective upon receipt of 

this filing by the Commission. 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 extend the 

expiration date of the temporary 

amendments in SR–Phlx–2020–53 from 

March 31, 2022, to July 31, 2022.4 The 

proposed rule change would not make 

any changes to the text of the Exchange 

rules. 

The text of the proposed rule change 

is available on the Exchange’s website at 

https://listingcenter.nasdaq.com/ 

rulebook/phlx/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 Exchange proposes to continue to 

harmonize Exchange Rule General 3, 

Section 16 with recent changes by the 

Financial Industry Regulatory 

Authority, Inc. (‘‘FINRA’’) to its Rule 

1015 in response to the COVID–19 

global health crisis and the 

corresponding need to restrict in-person 

activities.5 The Exchange originally 

filed proposed rule change SR–Phlx– 

2020–53, which allows the Exchange 

Review Council (‘‘ERC’’) to conduct 

hearings in connection with appeals of 

Membership Application Program 

decisions, on a temporary basis, by 

video conference, if warranted by the 

current COVID–19-related public health 

risks posed by an in-person hearing. In 

December 2021, the Exchange filed a 

proposed rule change, SR–Phlx–2021– 

75, to extend the expiration date of the 

temporary amendments in SR–Phlx– 

2020–53 from December 31, 2021, to 

March 31, 2022.6 While there are 

material signs of improvement, 

uncertainty still remains for the coming 

months. The continued presence of 

COVID–19 variants, dissimilar 


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