Federal Register / Vol. 82, No. 155 / Monday, August 14, 2017 / Notices 37917 

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

2 17 CFR 240.19b–4. 

3Exchange Act Release No. 34–81132 (July 12, 

2017), 82 FR 32895 (July 18, 2017) (SR–ICC–2017– 

011) (‘‘Notice’’). 

4 17 CFR 39.11; 17 CFR 39.33; 17 CFR 39.36. 

5The Liquidity Requirements component also 

reflects the changes to ICC’s liquidity thresholds for 

Euro (‘‘EUR’’) denominated products approved by 

the Commission in rule filing ICC–2017–002. See 

Exchange Act Release No. 34–80324 (Mar. 28, 

2017), 82 FR 16244 (Apr. 3, 2017). 

6See Schedule 401 of the ICC Rules. 7 17 CFR 39.33. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.27

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–17053 Filed 8–11–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81347; File No. SR–ICC– 

2017–011] 

Self-Regulatory Organizations; ICE 

Clear Credit LLC; Order Granting 

Accelerated Approval of Proposed 

Rule Change Relating to the ICC 

Liquidity Risk Management Framework 

and the ICC Stress Testing Framework 

August 8, 2017. 

I. Introduction 

On June 28, 2017, ICE Clear Credit 

LLC (‘‘ICC’’ or ‘‘ICE Clear Credit’’) filed 

with the Securities and Exchange 

Commission (‘‘Commission’’), pursuant 

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

Exchange Act of 1934 (‘‘Exchange 

Act’’) 1 and Rule 19b–4 thereunder,2 a 

proposed rule change (SR–ICC–2017– 

011) to revise the ICC Liquidity Risk 

Management Framework and the ICC 

Stress Testing Framework. The 

proposed rule change was published for 

comment in the Federal Register on July 

12, 2017.3 The Commission did not 

receive comments regarding the 

proposed changes. For the reasons 

discussed below, the Commission is 

approving the proposed rule change on 

an accelerated basis. 

II. Description of the Proposed Rule 

Change 

ICC stated that the proposed revisions 

to its Liquidity Risk Management 

Framework and Stress Testing 

Framework are for the purpose of 

revising its liquidity monitoring 

program to enhance compliance with 

U.S. Commodity Futures Trading 

Commission (‘‘CFTC’’) regulations, 

including Regulations 39.11, 39.33, and 

39.36.4 ICC represented that the 

proposed revisions will also facilitate 

the prompt and accurate clearance and 

settlement of securities transactions and 

derivative agreements, contracts, and 

transactions for which it is responsible. 

These revisions would not require any 

changes to the ICC Clearing Rules 

(‘‘Rules’’). 

A. Liquidity Risk Management 

Framework 

ICC proposed to reorganize the format 

of the Liquidity Risk Management 

Framework to consist of three elements: 

Liquidity Risk Management Model; 

Measurement and Monitoring; and 

Governance. The Regulatory 

Requirements element, previously 

included as an element of the 

framework, would be deleted; however, 

the regulatory requirements applicable 

to liquidity risk management would still 

be referenced in the framework. 

1. Liquidity Risk Management Model 

ICC proposed to enhance the 

description of several components of its 

Liquidity Risk Management Model. As 

revised, the Liquidity Risk Management 

Model now includes, but is not limited 

to, the following components: CurrencySpecific Risk Requirements; Acceptable 

Collateral; Liquidity Requirements; 

Collateral Valuation Methodology; 

Investment Strategy; Clearing 

Participant (‘‘CP’’) Deposits as a 

Liquidity Pool, Liquidity Facilities 

(including committed repo facilities and 

committed foreign exchange (‘‘FX’’) 

facilities); and Liquidity Waterfall. 

For the Currency-Specific Risk 

Requirements component, ICC proposed 

to add language to cross reference ICC’s 

current policy of maintaining cash and 

collateral assets posted by CPs (on 

behalf of themselves and/or their 

clients) to meet currency-specific Initial 

Margin (‘‘IM’’) and Guaranty Fund 

(‘‘GF’’) requirements, to ensure ICC has 

sufficient total resources in the required 

currencies of denomination. 

With respect to the Liquidity 

Requirements component,5 ICC 

proposed to add a cross reference to 

ICC’s requirement that each CP 

contribute to the GF a minimum of 20 

million wholly in U.S. Dollars (‘‘USD’’), 

which is not a change but rather a 

restatement of ICC’s current rules.6

Further, ICC proposed revisions to 

extend ICC’s margin risk horizon up to 

6-days in order to account for the risk 

associated with clearing Asia Pacific 

products. This change would apply 

throughout the framework. 

With respect to the Liquidity 

Facilities component, ICC proposed 

revisions to add reference to its 

committed repurchase facility, 

consisting of committed repo lines from 

multiple financial institutions (as 

opposed to committed repurchase 

agreements as before), and its recently 

instituted committed FX facilities for 

converting USD cash to EUR cash. ICC 

also proposed removing reference to FX 

Swaps and Immediate FX Spot 

Transactions because these 

arrangements are not committed and 

therefore are not ‘‘qualifying liquidity 

resources’’ under CFTC Regulation 

39.33, according to ICC.7 ICC also 

proposed removing reference to the 

Intercontinental Exchange, Inc. 

committed line of credit because ICC no 

longer participates in the arrangement. 

In the Liquidity Waterfall component, 

ICC proposed revisions to its definition 

of Available Liquidity Resources 

(‘‘ALR’’) to note that ALR consists of the 

available deposits currently in cash of 

the required currency of denomination 

and the cash equivalent of the available 

deposits in collateral types that ICC can 

convert to cash, in the required currency 

of denomination, using all sources of 

liquidity available to it. For reference, 

the Liquidity Waterfall classifies ALR 

on any given day into four levels. Level 

One includes the House IM and GF cash 

deposits of the defaulting CP. Level Two 

includes GF cash deposits of ICC and 

non-defaulting CPs. Level Three 

includes House IM cash deposits of the 

non-defaulting CPs. Level Four includes 

committed repo facilities and FX 

facilities, as described above in the 

changes to the Liquidity Facilities 

component. 

A few of the Liquidity Risk 

Management Model components would 

remain the same or substantially the 

same. The Acceptable Collateral 

component would remain the same and 

will note that CPs may post IM and GF 

deposits that meet ICC’s acceptable 

collateral criteria as described in ICC’s 

Treasury Operations Policies and 

Procedures and Schedule 401 of the ICC 

Rules. The Investment Strategy 

component would remain substantially 

the same and was proposed to be 

revised to note that, when beneficial, 

ICC diversifies its cash investments 

across multiple depository institutions 

to reduce its liquidity exposure to any 

single depository. The CP Deposits as a 

Liquidity Pool and Collateral Valuation 

Methodology components also would 

remain substantially the same. 

2. Measurement and Monitoring 

With respect to the Measurement and 

Monitoring element of the Liquidity 

Risk Management Framework, ICC 


sradovich on DSK3GMQ082PROD with NOTICES
37918 Federal Register / Vol. 82, No. 155 / Monday, August 14, 2017 / Notices 

8 17 CFR 39.33. 

9See Basel Committee on Banking Supervision 

(‘‘BCBS’’), Supervisory Framework for the use of 

‘‘Backtesting’’ in Conjunction with the Internal 

Models Approach to Market Risk Capital 

Requirements (Jan. 1996). 

10See BCBS, Amendment to the Capital Accord 

to Incorporate Market Risk (Jan. 1996). 

11 17 CFR 39.33(c)(1)(ii). 

12 Id. 

13 ICC’s cover-2 analysis considers the liquidity 

resources provided by the defaulting CPs, the GF, 

IM liquidity resources provided by the nondefaulting CPs and ICC, and any externally 

available liquidity resources. 

proposed changes to the Methodology 

section to change the calculation for 

ALR. In response to CFTC feedback to 

ensure consistency with CFTC 

Regulation 39.33,8 ICC proposed 

replacing the estimation of minimum 

ALR based on risk requirements with 

the observation of cash and collateral on 

deposit (excluding cash that will be 

unavailable by the applicable ICC 

Payout Deadline because it has been 

invested by ICC). Accordingly, ICC 

proposed removing the section from the 

Liquidity Risk Management Framework 

which described the process for 

computing the estimation of minimum 

ALR. In addition, ICC proposed 

removing other references throughout 

the framework related to the estimation 

of minimum ALR. Thus, under its 

revised approach, ICC proposed 

executing stress test analysis by using 

the amount of liquid assets currently on 

deposit. 

ICC proposed additional changes to 

the Methodology section. Among other 

things, the proposed revisions clarify 

that ICC’s measurement and monitoring 

methodology assesses the adequacy of 

ICC’s established liquidity resources in 

response to historically observed and 

hypothetically created (forward looking) 

scenarios with risk horizons up to and 

including 6-days. The analyzed 

scenarios feature assumptions that 

directly impact the ability of ICC to 

meet its payment obligations. Based on 

available IM and GF collateral on 

deposit on the day of the considered 

default(s), the analysis determines 

currency-specific ALR by liquidity 

waterfall level, and compares these 

ALRs to the currency-specific Liquidity 

Obligations resulting from the analyzed 

scenarios on each day of the considered 

time horizon. According to ICC, to be 

conservative, the analysis assumes no 

client-related ALR and that only the 

day-1 ALR are available throughout the 

considered time horizon (i.e., the 

analysis does not consider ICC’s ability 

during the considered time horizon to 

liquefy non-cash collateral on deposit or 

transform the currency of cash on 

deposit). 

In addition, ICC proposed changes to 

the Historical Analysis section of the 

Measurement and Monitoring element 

of the Liquidity Risk Management 

Framework. ICC proposed adding 

language to note that, as part of its 

historical liquidity analysis, ICC 

analyzes historical data sets to assess 

the level of liquidity coverage achieved 

for each currency. Under the revised 

framework, ICC would continue to 

conduct a historical liquidity analysis 

on both an individual affiliate group 

(‘‘AG’’) basis and a cover-2 basis. 

ICC also proposed the use of the Basel 

Traffic Light System 9 to determine if 

the minimum cash component of its risk 

requirements truly covers historically 

observed 1-day liquidity obligations 

with a 99% level of confidence. ICC’s 

risk requirements are designed to meet 

at least a 99% N-day VaR equivalent 

level of coverage. CPs must meet their 

IM and GF requirements with a 

minimum cash component equivalent to 

the 1-day portion of the N-day 

requirement, computed using the 

square-root-of-time approach.10

ICC proposed additional 

enhancements to consider the 

simultaneous default of the two worstcase AGs of CPs, rather than the two 

worst-case CPs, which, according to 

ICC, is consistent with CFTC 

regulations, including CFTC Regulation 

39.33(c)(1)(ii).11 Under the revised 

framework, when computing a CP’s 

combined house and client origin 

liquidity obligation for the purposes of 

selecting which AGs are considered to 

be in a state of default, ICC proposed to 

eliminate the application of house 

origin gains against client origin losses, 

or house origin losses against client 

origin gains. This analysis is designed to 

demonstrate to what extent the liquidity 

resources available to ICC were 

sufficient to meet historical single and 

multi-day cover-2 Liquidity Obligations, 

consistent with CFTC Regulation 

39.33(c)(1)(ii), according to ICC.12

ICC also proposed enhancements to 

note that, for each day of its historical 

analysis and on a currency specific 

basis, its Risk Department explores 

predefined cover-2 scenarios 

considering the default of the CPs 

within two AGs creating the largest 

remaining Liquidity Obligation after 

applying the IM and GF cash deposits 

of each constituent CP to that CP’s 

Liquidity Obligation.13

ICC proposed clarifying changes to 

note that the prices considered for 

historical analysis purposes are ‘‘dirty’’ 

prices as they include riskless 

(deterministic) payments (e.g., upfront 

fees, coupon payments, credit event 

payments, interest on mark-to-market 

margin). ICC proposed adding 

explanatory language regarding its 

calculation of the N-day worst-case 

cumulative (combined house and client 

origin) liquidity obligations. ICC also 

proposed removing a measurement and 

monitoring framework diagram, 

representing that the diagram was no 

longer relevant or necessary in light of 

the larger changes to the framework. 

Finally, ICC proposed revisions to 

note that ICC reports cover-2 results 

from the observed immediate liquidity 

obligation scenarios and the worst-case 

five-day liquidity obligation scenarios to 

various audiences, depending on the 

results. ICC notes that the results should 

exhibit no deficiencies of the combined 

resources in Levels One through Four of 

the Liquidity Waterfall. 

ICC proposed changes to the Stress 

Testing Analysis section of the 

Measurement and Monitoring element 

of the Liquidity Risk Management 

Framework. ICC proposed recategorizing and adding to the stress 

testing scenarios. Under the revised 

approach, ICC would enhance its 

description of its historically observed 

extreme but plausible market scenarios 

to note that the scenarios define spread 

or price shocks based on observations 

during specific historical events. The 

historical data set from which ICC 

derives the proposed scenarios will 

continue to begin on April 1, 2007 and 

include periods of extreme market 

events such as the Bear Stearns collapse, 

the Lehman Brothers default, the 2009 

Credit Crisis, the US ‘‘Flash Crash’’ 

event, and the European Sovereign 

Crisis. The scenarios are similar to the 

stress testing currently performed under 

the financial resources Stress Testing 

Framework. 

ICC proposed eliminating all 

scenarios not expected to be realized as 

market outcomes (i.e., those considered 

extreme and not plausible). Under the 

revised approach, ICC would continue 

to have the ability to execute liquidity 

analyses based on extreme but not 

plausible scenarios on an ad-hoc basis. 

Further, ICC proposed to add 1-day, 2- 

day, and N-day analogues in place of 

existing 5-day scenarios. Under the 

revised framework, each historically 

observed scenario would have three 

analogues: one representing a 1-day 

horizon, one representing a 2-day 

horizon, and one representing an N-day 

horizon. Previously, only analogues 

representing an N-day horizon were 

considered. The addition of the 1-day 

analogue would demonstrate ICC’s 

ability to meet its immediate payment 

obligations over a one-day period (e.g., 

intraday and same-day obligations), 


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Federal Register / Vol. 82, No. 155 / Monday, August 14, 2017 / Notices 37919 

14 17 CFR 39.33(c)(1)(ii). 

while the 2-day and N-day analogues 

would demonstrate ICC’s ability to meet 

its payment obligations over a multiday 

period. 

ICC also proposed adding a number of 

hypothetically constructed (forward 

looking) extreme but plausible market 

scenarios comprised of a given 

historically observed extreme but 

plausible market scenario and 

additional stress enhancements 

representing forward looking 

hypothetical adverse market events. 

Specifically, two sets of hypothetically 

constructed (forward looking) extreme 

but plausible market scenarios were 

proposed: loss-given default scenarios 

and one-service-provider-down 

scenarios. The loss-given default 

scenarios consider the addition of up to 

three adverse credit events including 

the holder of the considered portfolio, 

one additional CP name, and one 

additional non-CP name. The oneservice-provider-down scenarios 

consider a reduction in ALR designed to 

represent ICC’s worst-case exposure to a 

single service provider at which it 

maintains cash deposits or investments, 

due to ICC’s potential inability to access 

those deposits and/or investments when 

required. ICC proposed that the 

reduction in ALR used in the oneservice-provider-down scenarios is 

based on ICC’s analysis of the 

diversification of its deposits and 

investments across its multiple service 

providers. Additionally, ICC proposed 

revisions to further describe its analysis 

under the above referenced scenarios. 

ICC proposed revisions to consider 

the simultaneous default of the two 

worst-case AGs of CPs, rather than the 

two worst-case CPs, to conform with 

CFTC regulations, including CFTC 

Regulation 39.33(c)(1)(ii), as ICC 

interprets such regulations.14 Under the 

proposed revisions, ICC would perform 

cover-2 analysis in which, for each 

scenario, it determines the two AGs 

creating the largest remaining Liquidity 

Obligation after applying the IM and GF 

cash deposits of each constituent CP to 

its own Liquidity Obligation. ICC would 

compare the remaining Liquidity 

Obligation of the AG to the remaining 

liquidity resources to determine if there 

are sufficient resources to meet the 

obligation. 

ICC proposed enhancements to 

describe its cover-N analysis in which, 

for each scenario, it first considers the 

default of one AG, then the defaults of 

two AGs, then three AGs, and so forth. 

The sequence of selecting AGs is based 

on the remaining Liquidity Obligation 

associated with the constituent CP’s 

portfolios after applying the IM and GF 

cash deposits of each constituent CP to 

its own Liquidity Obligation. AGs are 

sequenced from largest to smallest 

remaining Liquidity Obligation. For 

each set of AGs considered to be in a 

state of default (1 AG, 2 AGs, 3 AGs, 

etc.), ICC compares the total remaining 

Liquidity Obligation to the remaining 

liquidity resources to determine if there 

are sufficient resources to meet the 

obligation. In this way, ICC determines 

how many AGs it would require to be 

in a state of default to consume all 

available liquidity resources. 

To determine the Liquidity 

Obligations in the above analysis, ICC 

applies the stress scenarios to actual 

cleared portfolios to determine a 

currency-specific profit/loss for each 

CP, representing the largest cumulative 

loss over the specified risk horizon. The 

considered profit/loss in the analysis is 

the sum of the upfront fee changes 

corresponding to the clean prices 

associated with the hypothetical 

scenarios, and excluding the riskless 

(deterministic) payments. 

To determine ICC’s liquidity needs for 

each scenario, ICC’s Risk Department 

computes Liquidity Obligations for 

futures commission merchant and 

broker-dealer CPs by combining the net 

payments for house and client origin 

accounts. For the purposes of selecting 

defaulting AGs, ICC’s Risk Department 

does not offset client origin losses with 

house origin gains, or offset house origin 

losses with client origin gains. 

3. Governance 

With respect to the Governance 

element of the Liquidity Risk 

Management Framework, the Required 

Analysis and Interpretation of Results 

and Potential Actions sections would 

remain substantially the same. The 

Model Validation section would be 

revised to note that the Liquidity Risk 

Management Framework is under the 

purview of the Model Validation 

Framework and subject to initial 

validations. 

In the Materiality and Reporting 

Framework section, ICC proposed a 

change that would note that, at each ICC 

Risk Committee meeting, ICC’s Risk 

Department would provide a summary 

of historical liquidity analysis and 

liquidity stress testing analysis intended 

to demonstrate the adequacy of ICC’s 

liquidity resources to cover Liquidity 

Obligations over N-days. Such analyses 

would also include any instance where 

Level Three resources were required to 

meet Liquidity Obligations in response 

to any of the considered historical 

liquidity or liquidity stress testing 

scenarios. 

Further, ICC proposed revisions to 

note that, when exceedances of funded 

and/or unfunded resources are 

identified, ICC’s Risk Department would 

be required to report them to the senior 

management team and the ICC Risk 

Committee, and (i) demonstrate that the 

breaches do not highlight a significant 

liquidity risk management weaknesses 

or (ii) recommend specific liquidity risk 

management model enhancements that 

produce an adequate increase in funded 

and/or unfunded liquidity resources 

under the identified scenario(s). In 

addition to the reporting described 

above, ICC’s Risk Department would 

also report to the ICC Risk Committee 

any instances where the Basel Traffic 

Light System categorizes the number of 

observed exceedances in its individual 

AG historical analysis as being in the 

predefined ‘‘red zone.’’ In these 

instances, ICC’s Risk Department would 

discuss with ICC’s Risk Committee the 

appropriateness of its liquidity 

thresholds, and if appropriate, make 

revisions. 

B. Stress Testing Framework 

ICC proposed revisions to its Stress 

Testing Framework to unify the stress 

testing scenarios with the liquidity 

stress testing scenarios set forth in the 

Liquidity Risk Management Framework. 

ICC operates its stress testing and 

liquidity stress testing on a unified set 

of stress testing scenarios and systems. 

As such, revisions to the stress testing 

scenarios are necessary to ensure 

scenario unification following changes 

to the Liquidity Risk Management 

Framework. The proposed revisions are 

described in detail as follows. 

ICC proposed to introduce Risk Factor 

specific scenarios for all stress test 

scenarios. Previously, corporate single 

names were considered at the sector 

level, as opposed to the Risk Factor 

level. This change would be reflected 

throughout the framework. 

ICC also proposed to add clarifying 

language to note that the predefined 

stress testing scenarios set forth in its 

Stress Testing Framework would be 

applied to all cleared instruments, and 

that name-specific scenarios would be 

applied to all sovereign and corporate 

reference entities. 

ICC proposed revisions to extend 

ICC’s margin risk horizon up to 6-days, 

to account for the risk associated with 

clearing Asia Pacific products. This 

change would apply throughout the 

framework. 

ICC also proposed to revise its 

description of the Historically Observed 

Extreme but Plausible Market Scenarios 

section to note that the stress spread 

changes considered as part of each 


sradovich on DSK3GMQ082PROD with NOTICES
37920 Federal Register / Vol. 82, No. 155 / Monday, August 14, 2017 / Notices 

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

16 15 U.S.C. 78q–1(b)(3)(F). 17 15 U.S.C. 78s(b)(2)(C)(iii). 

18 12 U.S.C. 5462(8)(A)(ii). 

19 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). 

20 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

scenario are extracted from the market 

history of the most actively traded 

instrument for the considered Risk 

Factors. 

ICC proposed to revise the 

Hypothetically Constructed (Forward 

Looking) Extreme but Plausible Market 

Scenarios section to ensure consistency 

with the loss-given default stress 

scenario set forth in the Liquidity Risk 

Management Framework, which 

combines a given historically observed 

extreme but plausible market scenario 

with explicit Jump-to-Default events. 

The proposed revisions specify that 

there would be up to two reference 

entities selected for a hypothetical 

adverse credit event. 

Finally, ICC proposed to revise the 

description of the discordant scenarios 

(i.e., scenarios under which selected 

risk factors move in opposite directions) 

in the Stress Testing Framework to 

reflect the introduction of Risk Factor 

specific scenarios. According to ICC, the 

discordant scenarios are designed to 

reproduce significant discordant market 

outcomes observed during the 

considered historical period. ICC creates 

discordant scenarios for North 

American corporate single names and 

indices; European corporate single 

names and indices; and sovereign 

reference entities. 

III. Discussion and Commission 

Findings 

Section 19(b)(2)(C) of the Exchange 

Act directs the Commission to approve 

a proposed rule change of a selfregulatory organization if it finds that 

such proposed rule change is consistent 

with the requirements of the Exchange 

Act and the rules and regulations 

thereunder applicable to such 

organization.15 Section 17A(b)(3)(F) of 

the Exchange Act requires, among other 

things, that the rules of a registered 

clearing agency be designed to promote 

the prompt and accurate clearance and 

settlement of securities transactions 

and, to the extent applicable, derivative 

agreements, contracts, and 

transactions.16 Rule 17Ad–22(d)(11) 

requires, in relevant part, that a 

registered clearing agency establish 

default procedures that ensure that the 

clearing agency can take timely action to 

contain losses and liquidity pressures 

and to continue meeting its obligations 

in the event of a participant default. 

The Commission finds that the 

proposed rule change, which revises 

ICC’s Liquidity Risk Management 

Framework and makes conforming 

changes to ICC’s Stress Testing 

Framework, is consistent with Section 

17A of the Exchange Act and Rule 

17Ad–22(d)(11) thereunder. As 

represented by ICC, the various 

elements set forth in the Liquidity Risk 

Management Framework, and described 

above, ensure that ICC has sufficient 

liquidity resources to effectively 

measure, monitor, and manage its 

liquidity risk. Further, ICC represented 

the Liquidity Risk Management 

Framework supports ICC’s ability to 

maintain sufficient liquid resources in 

all relevant currencies to effect sameday and, where appropriate, intraday 

and multiday settlement of payment 

obligations with a high degree of 

confidence under a wide range of 

potential stress scenarios. ICC 

represented that changes to the Stress 

Testing Framework were necessary 

following recent changes to the 

Liquidity Risk Management Framework, 

as ICC operates its stress testing and 

liquidity stress testing on a unified set 

of stress testing scenarios and systems. 

ICC stated that its stress testing practices 

will continue to ensure the adequacy of 

systemic risk protections. ICC 

represented that the revised stress test 

scenarios set forth in the Stress Testing 

Framework will continue to ensure that 

ICC maintains sufficient financial 

resources to withstand a default by the 

CP family to which it has the largest 

exposure in extreme but plausible 

market conditions. The Commission 

therefore believes that the proposed 

revisions to the ICC Liquidity Risk 

Management Framework and Stress 

Testing Framework are designed to 

promote the prompt and accurate 

settlement of securities transactions, 

derivatives agreements, contracts, and 

transactions for which ICC is 

responsible, consistent with Section 

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

Furthermore, for similar reasons, the 

Commission finds that the proposed 

revisions are consistent with the 

requirements of Rule 17Ad–22(d)(11). 

Section 19(b)(2)(C)(iii) of the 

Exchange Act allows the Commission to 

approve a proposed rule change earlier 

than 30 days after the date of 

publication of the notice of the 

proposed rule change in the Federal 

Register where the Commission finds 

good cause for so doing and publishes 

the reason for the finding.17 In its filing, 

ICC requested that the Commission 

approve the proposed rule change on an 

accelerated basis for good cause shown. 

ICC represented that the amendments to 

ICC’s Liquidity Risk Management 

Framework and Stress Testing 

Framework set forth in the proposed 

rule change further ICC’s compliance 

with CFTC regulations. The 

Commission also notes that the CFTC is 

the supervisory agency for ICC under 

Section 803(8)(A)(ii) of the Payment, 

Clearing, and Settlement Supervision 

Act of 2010.18 Based on the foregoing, 

the Commission finds that good cause 

exists to approve the proposed rule 

change on an accelerated basis pursuant 

to Section 19(b)(2)(C)(iii) of the 

Exchange Act. 

IV. Conclusion 

It is therefore ordered pursuant to 

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

that the proposed rule change (SR–ICC– 

2017–011) be, and hereby is, approved 

on an accelerated basis.19

For the Commission by the Division of 

Trading and Markets, pursuant to delegated 

authority.20

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–17052 Filed 8–11–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81351; File No. SR–BOX– 

2017–25] 

Self-Regulatory Organizations; BOX 

Options Exchange LLC; Notice of 

Filing and Immediate Effectiveness of 

a Proposed Rule Change To Amend 

BOX Rule 7170 (Nullification and 

Adjustment of Options Transactions 

Including Obvious Errors) 

August 8, 2017. 

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 3, 

2017, BOX Options Exchange LLC (the 

‘‘Exchange’’) filed with the Securities 

and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change as described in Items I and II 

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. 


sradovich on DSK3GMQ082PROD with NOTICES