46844 Federal Register / Vol. 82, No. 193 / Friday, October 6, 2017 / Notices 

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

2 17 CFR 240.19b–4. 

3Securities Exchange Act Release No. 81486 

(August 25, 2017), 82 FR 41454 (August 31, 2017) 

(SR–ICC–2017–012) (‘‘Notice’’). 

4Notice, 82 FR at 41455. 

5Notice, 82 FR at 41455–56. 

6Notice, 82 FR at 41455. 

7 Id. 

8 Id. 

9 Id. 

10 Id. 

11 15 U.S.C. 78s(b)(2)(C). 

12 15 U.S.C. 78q–1(b)(3)(F). 

This meeting will be webcast live at 

the Web address—http://www.nrc.gov/. 

Week of October 30, 2017—Tentative 

There are no meetings scheduled for 

the week of October 30, 2017. 

Week of November 6, 2017—Tentative 

There are no meetings scheduled for 

the week of November 6, 2017. 

Week of November 13, 2017—Tentative 

There are no meetings scheduled for 

the week of November 13, 2017. 

* * * * * 

The schedule for Commission 

meetings is subject to change on short 

notice. For more information or to verify 

the status of meetings, contact Denise 

McGovern at 301–415–0681 or via email 

at Denise.McGovern@nrc.gov. 

* * * * * 

The NRC Commission Meeting 

Schedule can be found on the Internet 

at: http://www.nrc.gov/public-involve/ 

public-meetings/schedule.html. 

* * * * * 

The NRC provides reasonable 

accommodation to individuals with 

disabilities where appropriate. If you 

need a reasonable accommodation to 

participate in these public meetings, or 

need this meeting notice or the 

transcript or other information from the 

public meetings in another format (e.g., 

braille, large print), please notify 

Kimberly Meyer, NRC Disability 

Program Manager, at 301–287–0739, by 

videophone at 240–428–3217, or by 

email at Kimberly.Meyer-Chambers@

nrc.gov. Determinations on requests for 

reasonable accommodation will be 

made on a case-by-case basis. 

* * * * * 

Members of the public may request to 

receive this information electronically. 

If you would like to be added to the 

distribution, please contact the Nuclear 

Regulatory Commission, Office of the 

Secretary, Washington, DC 20555 (301– 

415–1969), or email 

Brenda.Akstulewicz@nrc.gov or 

Patricia.Jimenez@nrc.gov. 

Dated: October 4, 2017. 

Denise L. McGovern, 

Policy Coordinator, Office of the Secretary. 

[FR Doc. 2017–21755 Filed 10–4–17; 4:15 pm] 

BILLING CODE 7590–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81797; File No. SR–ICC– 

2017–012] 

Self-Regulatory Organizations; ICE 

Clear Credit LLC; Order Approving 

Proposed Rule Change Relating to 

ICC’s Liquidity Risk Management 

Framework and ICC’s Stress Testing 

Framework 

October 2, 2017. 

I. Introduction 

On August 22, 2017, ICE Clear Credit 

LLC (‘‘ICC’’) 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 

(SR–ICC–2017–012) to amend 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 August 31, 2017.3 The 

Commission received no comment 

letters regarding the proposed change. 

For the reasons discussed below, the 

Commission is approving the proposed 

rule change. 

II. Description of the Proposed Rule 

Change 

In connection with clearing Single 

Name (‘‘SN’’) credit default swaps 

(‘‘CDS’’) referencing ICC Clearing 

Participants (‘‘CPs’’), ICC has proposed 

changes to its Stress Testing Framework 

and Liquidity Risk Management 

Framework, which ICC believes will 

enhance its stress testing and liquidity 

stress testing practices. The proposed 

rule change would expand the stress test 

scenarios that ICC considers to be 

extreme but plausible by incorporating 

additional losses related to the expected 

loss given default of all names not 

explicitly assumed to enter a state of 

default in a CP’s portfolio.4 The 

proposed change would similarly 

amend the stress scenarios described in 

ICC’s Liquidity Risk Management 

Framework, which ICC stated is 

necessary to ensure consistency across 

its documents.5 The proposed change 

would also incorporate an enhanced 

analysis of profits and losses (‘‘P/L’’) 

arising out of General Wrong-Way Risk 

(‘‘GWWR’’) generated by SNs in the 

Banking and Sovereign sectors.6

Further, the proposed change would 

clarify ICC’s current view that certain 

GWWR and contagion stress scenarios 

are extreme, but not plausible, and that 

such scenarios would be reviewed for 

informational purposes only.7

The proposed change would enhance 

ICC’s guaranty fund sizing process by 

adding a new sensitivity analysis. This 

new analysis would contemplate the 

default of three CP SNs and two non-CP 

SNs. This analysis would be in addition 

to the current sizing approach, which 

contemplates the default of two CP SNs 

and three non-CP SNs. While not 

immediately requiring the collection of 

additional resources, ICC stated that the 

proposed change could provide a 

potential remedy where deficiencies are 

identified in ICC’s current sizing 

methodology.8

ICC also proposes to add an interest 

rate sensitivity analysis in order to 

comply with CFTC Regulation 17 CFR 

39.36. The proposed interest rate 

sensitivity analysis would shock the 

Euro and USD interest rate curves up 

and down to see which scenario would 

lead to further erosion of ICC’s guaranty 

fund. ICC stated that this analysis would 

have no impact on its guaranty fund 

sizing methodology.9

The proposed change also includes 

amendments to ICC’s approach to 

Specific Wrong-Way Risk (‘‘SWWR’’) 

P/L to expand the SWWR P/L to 

incorporate losses arising in connection 

with defaulting CP specific exposures, 

and also adds a description of ICC’s 

current client stress testing practices. 

ICC stated that these changes were 

proposed for consistency with specific 

CFTC regulations.10

III. Discussion and Commission 

Findings 

Section 19(b)(2)(C) of the Act 11

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 Act and the 

rules and regulations thereunder 

applicable to such organization. 

Section 17A(b)(3)(F) 12 of the Act 

requires, inter alia, that the rules of a 

clearing agency be designed to assure 

the safeguarding of securities and funds 

which are in the custody or control of 

the clearing agency, or for which it is 


asabaliauskas on DSKBBXCHB2PROD with NOTICES
Federal Register / Vol. 82, No. 193 / Friday, October 6, 2017 / Notices 46845 

13 17 CFR 240.17Ad–22(b)(3). 

14 15 U.S.C. 78q–1. 

15 17 CFR 240.17Ad–22. 

16Notice, 82 FR at 41455. 

17 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). 

18 17 CFR 200.30–3(a)(12). 

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

2 15 U.S.C. 78a. 

3 17 CFR 240.19b–4. 

4The Exchange originally filed to amend the 

Price List on August 31, 2017 (SR–NYSE–2017–46), 

withdrew such filing on September 13, 2017, and 

refiled the same day (SR–NYSE–2017–48). SR– 

NYSE–48 [sic] was subsequently withdrawn and 

replaced by this filing. 

responsible. Rule 17Ad–22(b)(3) 13

requires, inter alia, that a registered 

clearing agency acting as a central 

counterparty for security-based swaps 

shall establish, implement, maintain, 

and enforce written policies and 

procedures reasonably designed to 

maintain sufficient financial resources 

to withstand, at a minimum, a default 

by the two participant families to which 

it has the largest exposures in extreme 

but plausible market conditions, in its 

capacity as a central counterparty for 

security-based swaps. 

The Commission finds that the 

proposed rule change, which enhances 

ICC’s Stress Testing Framework and 

Liquidity Risk Management Framework, 

is consistent with section 17A 14 of the 

Act and Rule 17Ad–22 15 thereunder. As 

noted above, in response to the clearing 

of SN CDS referencing CPs, the 

proposed change would expand the 

range of stress tests that ICC considers 

to be extreme but plausible. The 

Commission has reviewed the Notice 

and ICC’s rules, policies, and 

procedures, and believes that the 

expanded range of extreme but plausible 

scenarios, supplemented by the 

information that will be provided by 

certain additional GWWR and contagion 

stress scenarios considered to be 

extreme but implausible, enhance ICC’s 

processes for estimating the amount of 

financial resources ICC should collect. 

Additionally, while adoption of the 

sensitivity analyses described above 

will not immediately require ICC to 

collect additional financial resources, it 

will provide ICC with additional risk 

management information. Further, ICC 

stated that at least in some cases, one of 

the newly added analyses could provide 

a potential remedy where deficiencies 

are identified in ICC’s current sizing 

methodology.16 Consequently, the 

Commission believes that the proposed 

rule change is reasonably designed to 

ensure that ICC maintains sufficient 

financial resources in accordance with 

the requirements of Rule 17Ad–22(b)(3) 

and will thereby enhance ICC’s ability 

to safeguard the securities and funds of 

CPs in the event of participant defaults. 

As a result, the Commission finds that 

the proposed change is consistent with 

the requirements of section 17A of the 

Act and the relevant provisions of Rule 

17Ad–22. 

IV. Conclusion 

It is therefore ordered pursuant to 

section 19(b)(2) of the Act that the 

proposed rule change (SR–ICC–2017– 

012) be, and hereby is, approved.17

For the Commission by the Division of 

Trading and Markets, pursuant to delegated 

authority.18

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–21540 Filed 10–5–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81791; File No. SR–NYSE– 

2017–50] 

Self-Regulatory Organizations; New 

York Stock Exchange LLC; Notice of 

Filing and Immediate Effectiveness of 

Proposed Rule Change To Amend Its 

Price List To Permit Affiliated Member 

Organizations That Are Supplemental 

Liquidity Providers 

October 2, 2017. 

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

Securities Exchange Act of 1934 (the 

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

notice is hereby given that, on 

September 25, 2017, New York Stock 

Exchange LLC (‘‘NYSE’’ or the 

‘‘Exchange’’) filed with the Securities 

and Exchange Commission (the 

‘‘Commission’’) the proposed rule 

change as described in Items I, II, and 

III below, which Items have been 

prepared by the self-regulatory 

organization. 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 amend its 

Price List to permit affiliated member 

organizations that are Supplemental 

Liquidity Providers (‘‘SLPs’’) on the 

Exchange to obtain the most favorable 

rate when (1) at least one affiliate 

satisfies the quoting requirements for 

SLPs in assigned securities, and (2) the 

combined SLPs’ aggregate volumes 

satisfy the adding liquidity volume 

requirements for SLP tiered and nontiered rates. The Exchange proposes to 

implement the proposed changes on 

September 25, 2017.4 The proposed rule 

change is available on the Exchange’s 

Web site at www.nyse.com, 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 

self-regulatory organization 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 those 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 parts of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and the 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to amend its 

Price List to permit affiliated member 

organizations that are SLPs on the 

Exchange to obtain the most favorable 

rate when (1) at least one affiliate 

satisfies the quoting requirements for 

SLPs in assigned securities, and (2) the 

combined SLPs’ aggregate volumes 

satisfy the adding liquidity volume 

requirements for SLP tiered and nontiered rates. 

The proposed changes would be 

applicable to all SLP transactions, 

regardless of price of the security. 

The Exchange proposes to implement 

these changes to its Price List effective 

September 25, 2017. 

Proposed Rule Change 

SLPs are eligible for certain credits 

when adding liquidity to the Exchange. 

The amount of the credit is currently 

determined by the ‘‘tier’’ for which the 

SLP qualifies, which is based on the 

SLP’s level of quoting and ADV of 

liquidity added by the SLP in assigned 

securities. 

Currently, SLP Tier 3 provides that 

when adding liquidity to the NYSE in 

securities with a share price of $1.00 or 

more, an SLP is eligible for a credit of 

$0.0023 per share traded if the SLP (1) 

meets the 10% average or more quoting 

requirement in an assigned security 

pursuant to Rule 107B and (2) adds 

liquidity for all assigned SLP securities 


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