[Federal Register: November 24, 2006 (Volume 71, Number 226)]
[Proposed Rules]
[Page 67833]
[DOCID:fr24no06-22]

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ENVIRONMENTAL PROTECTION AGENCY

40 CFR Part 62

[EPA-R06-OAR-2006-0570; FRL-8247-1]

Approval and Promulgation of State Plans for Designated
Facilities and Pollutants: Bernalillo County, NM

AGENCY: Environmental Protection Agency (EPA).

ACTION: Proposed rule.

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SUMMARY: EPA is proposing approval of the section 111(d) Plan submitted
by City of Albuquerque (Bernalillo County), New Mexico, on May 24,
2006, to implement and enforce the Emission Guidelines (EG) for
existing Municipal Solid Waste (MSW) Landfills. The EG require
delegated municipalities to develop plans to reduce landfill gas
emissions from all MSWs. Finally, this action also proposes to approve
the concomitant delegation of authority to implement 40 CFR part 60,
subparts WWW and Cc.

DATES: Written comments must be received on or before December 26,
2006.

ADDRESSES: Comments may be mailed to Mr. Thomas Diggs, Chief, Air
Planning Section (6PD-L), Environmental Protection Agency, 1445 Ross
Avenue, Suite 1200, Dallas, Texas 75202-2733. Comments may also be
submitted electronically or through hand delivery/courier by following
the detailed instructions in the Addresses section of the direct final
rule located in the rules section of this Federal Register.

FOR FURTHER INFORMATION CONTACT: Mr. Kenneth W. Boyce, Air Planning
Section (6PD-L), Environmental Protection Agency, Region 6, 1445 Ross
Avenue, Suite 700, Dallas, Texas 75202-2733 at<PHONE_NUMBER>, or
<EMAIL_ADDRESS>

SUPPLEMENTARY INFORMATION: In the final rules section of this Federal
Register, EPA is approving the State's SIP submittal as a direct final
rule without prior proposal because the Agency views this as a
noncontroversial submittal and anticipates no adverse comments. A
detailed rationale for the approval is set forth in the direct final
rule. If no adverse comments are received in response to this action
rule, no further activity is contemplated. If EPA receives relevant
adverse comments, the direct final rule will be withdrawn and all
public comments received will be addressed in a subsequent final rule
based on this proposed rule. The EPA will not institute a second
comment period. Any parties interested in commenting on this action
should do so at this time. Please note that if EPA receives relevant
adverse comment on an amendment, paragraph, or section of this rule and
if that provision may be severed from the remainder of the rule, EPA
may adopt as final those provisions of the rule that are not the
subject of an adverse comment.
    For additional information, see the direct final rule which is
located in the rules section of this Federal Register.

    Dated: November 9, 2006.
Lawrence E. Starfield,
Acting Regional Administrator, Region 6.
[FR Doc. E6-19860 Filed 11-22-06; 8:45 am]

BILLING CODE 6560-50-P


[Federal Register Volume 76, Number 210 (Monday, October 31, 2011)]
[Notices]
[Page 67177]
[FR Doc No: 2011-28106]

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DEPARTMENT OF ENERGY

Federal Energy Regulatory Commission

[Project Nos. 14171-000, 14186-000,14197-000]

Riverbank Hydro No. 18 LLC, Lock Hydro Friends Fund XXXV, FFP
Project 57 LLC; Notice of Competing Preliminary Permit Applications
Accepted for Filing and Soliciting Comments, Motions To Intervene, and
Competing Applications

    On May 2, 2011, Riverbank Hydro No. 18 LLC (Riverbank), and on May
3, 2011, Lock Hydro Friends Fund XXXV (Lock Hydro), and FFP Project 57
LLC (FFP 57) filed preliminary permit applications, pursuant to section
4(f) of the Federal Power Act, proposing to study the feasibility of a
hydropower project at the U.S. Army Corps of Engineers' (Corps)
Kentucky River Lock & Dam No. 4, located on the Kentucky River, in
Franklin County, Kentucky. The sole purpose of a preliminary permit, if
issued, is to grant the permit holder priority to file a license
application during the permit term. A preliminary permit does not
authorize the permit holder to perform any land-disturbing activities
or otherwise enter upon lands or waters owned by others without the
owners' express permission.
    Riverbank's Project No. 14171-000 would consist of: (1) A forebay;
(2) an intake structure; (3) a powerhouse containing one generating
unit with a total capacity of 5.0 megawatts (MW); (4) a tailrace
structure; and (5) a 0.6-mile-long, 25 kilo-volt (kV) transmission
line. The project would have an estimated average annual generation of
20.0 gigawatt-hours (GWh), and operate run-of-river utilizing surplus
water from the Kentucky River Lock & Dam No. 4, as directed by the
Corps.
    Applicant Contact: Mr. Kuo-Bao Tong, Riverbank Power Corporation,
Royal Bank Plaza, South Tower, P.O. Box 166, 200 Bay Street, Suite
3230, Toronto, ON, Canada M5J2J4.<PHONE_NUMBER> x 154.
    Lock Hydro's Project No. 14186-000 would consist of: (1) One lock
frame modules, the frame module will be 45-feet long, 20-feet-high and
contain four generating units with a total combined capacity of 3.0 MW;
(2) a new switchyard containing a transformer; and (3) a proposed 4.0-
mile-long, 115 kV transmission line to an existing distribution line.
The proposed project would have an average annual generation of 13.149
GWh, and operate run-of-river utilizing surplus water from the Kentucky
River Lock & Dam No. 4, as directed by the Corps.
    Applicant Contact: Mr. Wayne F. Krouse, Hydro Green Energy, 5090
Richmond Avenue 390, Houston, TX 77056.<PHONE_NUMBER> x 709.
    FFP 57's Project No. 14197-000 would consist of: (1) An 450-foot-
long, 200-foot-wide approach channel; (2) a powerhouse, located on the
northeastern side of the dam, containing two generating units with a
total capacity of 5.4 MW; (3) a 300-foot-long, 125-foot-wide tailrace;
(4) a 4.16/25 KV substation; and (5) a 600-foot-long, 25 kV
transmission line. The proposed project would have an average annual
generation of 21.6 GWh, and operate run-of-river utilizing surplus
water from the Kentucky River Lock & Dam No. 4, as directed by the
Corps.
    Applicant Contact: Ms. Ramya Swaminathan, Free Flow Power Corp.,
239 Causeway Street, Suite 300, Boston, MA 02114.<PHONE_NUMBER>.
    FERC Contact: Michael Spencer<EMAIL_ADDRESS>(202) 502-
6093.
    Deadline for filing comments, motions to intervene, competing
applications (without notices of intent), or notices of intent to file
competing applications: 60 days from the issuance of this notice.
Competing applications and notices of intent must meet the requirements
of 18 CFR 4.36. Comments, motions to intervene, notices of intent, and
competing applications may be filed electronically via the Internet.
See 18 CFR 385.2001(a)(1)(iii) and the instructions on the Commission's
Web site http://www.ferc.gov/docs-filing/efiling.asp. Commenters can
submit brief comments up to 6,000 characters, without prior
registration, using the eComment system at http://www.ferc.gov/docs-filing/ecomment.asp. You must include your name and contact information
at the end of your comments. For assistance, please contact FERC Online
Support. Although the Commission strongly encourages electronic filing,
documents may also be paper-filed. To paper-file, mail an original and
seven copies to: Kimberly D. Bose, Secretary, Federal Energy Regulatory
Commission, 888 First Street, NE., Washington, DC 20426.
    More information about this project, including a copy of the
application, can be viewed or printed on the ``eLibrary'' link of the
Commission's Web site at http://www.ferc.gov/docs-filing/elibrary.asp.
Enter the docket number (P-14171-000, or P-14197-000) in the docket
number field to access the document. For assistance, contact FERC
Online Support.

    Dated: October 25, 2011.
Kimberly D. Bose,
 Secretary.
[FR Doc. 2011-28106 Filed 10-28-11; 8:45 am]
BILLING CODE 6717-01-P


[Federal Register Volume 85, Number 137 (Thursday, July 16, 2020)]
[Notices]
[Pages 43272-43276]
[FR Doc No: 2020-15306]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-89286; File No. SR-ICC-2020-009]

Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of
Proposed Rule Change Relating to the ICC Risk Management Framework, ICC
Risk Management Model Description, ICC Risk Parameter Setting and
Review Policy, ICC Stress Testing Framework, and ICC Liquidity Risk
Management Framework

July 10, 2020.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
\1\ and Rule 19b-4 \2\, notice is hereby given that on July 1, 2020,
ICE Clear Credit LLC (``ICC'') filed with the Securities and Exchange
Commission the proposed rule change as described in Items I, II, and
III below, which Items have been prepared primarily by ICC. The
Commission is publishing this notice to solicit comments on the
proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Clearing Agency's Statement of the Terms of Substance of the
Proposed Rule Change

    The principal purpose of the proposed rule change is to make
changes to ICC's Risk Management Framework (``RMF''), Risk Management
Model Description (``RMMD''), Risk Parameter Setting and Review Policy
(``RPSRP''), Stress Testing Framework (``STF''), and Liquidity Risk
Management Framework (``LRMF''). These revisions do not require any
changes to the ICC Clearing Rules.

II. Clearing Agency's Statement of the Purpose of, and Statutory Basis
for, the Proposed Rule Change

    In its filing with the Commission, ICC included statements
concerning the purpose of and basis for the proposed rule change,
security-based swap submission, or advance notice and discussed any
comments it received on the proposed rule change, security-based swap
submission, or advance notice. The text of these statements may be
examined at the places specified in Item IV below. ICC has prepared
summaries, set forth in sections (A), (B), and (C) below, of the most
significant aspects of these statements.

(A) Clearing Agency's Statement of the Purpose of, and Statutory Basis
for, the Proposed Rule Change

(a) Purpose
    ICC proposes revising its RMF, RMMD, RPSRP, STF, and LRMF. The
proposed amendments would update certain stress scenario naming
conventions to be more generic and introduce stress scenarios related
to the Coronavirus pandemic and oil price war in March 2020 (``COVID-
19/Oil Crisis Scenarios''). The proposed amendments would also make
clarification changes, including adding additional transparency and
clarity with respect to ICC's liquidity risk management practices. ICC
believes that such revisions will facilitate the prompt and accurate
clearance and settlement of securities transactions and derivative
agreements, contracts, and transactions for which it is responsible.
ICC proposes to move forward with implementation of such changes
following Commission approval of the proposed rule change.\3\

The proposed revisions are described in detail as follows.
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    \3\ ICC has filed with the Commission changes related to
clearing credit default index swaptions (``Index Swaptions''), which
ICC intends to implement following the completion of the ICC
governance process surrounding the Index Swaptions product expansion
and Commission approval of any related policies and procedures. SEC
Release No. 34-87297 (Oct. 15, 2019) (approval), 84 FR 56270 (Oct.
21, 2019) (SR-ICC-2019-007); SEC Release No. 34-89142 (June 24,
2020) (approval), 85 FR 39226 (June 30, 2020) (SR-ICC-2020-002); SEC
Release No. 34-89072 (June 16, 2020) (notice), 85 FR 37483 (June 22,
2020) (SR-ICC-2020-008). ICC similarly proposes to implement any
changes in this proposed rule change that impact the documentation
in respect of Index Swaptions after completion of the governance
process surrounding the Index Swaptions product expansion and
Commission approval of any related policies and procedures.
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I. Updated Stress Scenario Naming Conventions and Clarifications
    The proposed revisions consist of replacing naming conventions for
stress scenarios associated with the Lehman Brothers (``LB'') default
with more generic naming conventions associated with extreme price
changes, namely extreme price decreases and increases (the ``Extreme
Price Change Scenarios'').
Risk Management Framework
    ICC proposes to replace references to the LB default with more
generic references to extreme market events. Currently, to achieve
anti-procyclicality (``APC'') of initial margin requirements, Section
IV.B.1 discusses two price based scenarios, associated with price
decreases and increases, and states that the considered stress price
changes are derived from market behavior during and after the LB
default period. ICC proposes to replace the LB default with a reference
to extreme market events to state that the considered stress price
changes are derived from extreme market events related to the default
of a large market participant, global pandemic problem, regional or
global economic crisis. Moreover, to achieve APC of Guaranty Fund
sizing, Section IV.E.1 of the current RMF discusses two price based
scenarios, associated with price decreases and increases, and states
that the considered stress price changes are derived from market
behavior during and after the LB default period. ICC proposes to
similarly replace the LB default with a reference to extreme market
events.
Risk Management Model Description
    ICC proposes related changes to incorporate the Extreme Price
Change Scenarios into the RMMD. ICC would replace references and
notations to the scenarios associated with the LB default with the
Extreme Price Change Scenarios throughout the document in both the
Initial Margin and Guaranty Fund Methodology sections. ICC would
introduce the Extreme Price Change Scenarios in Section VII.3.3, which
discusses APC measures. Currently, this section examines instrument
price changes observed during the LB default. As amended, this section
would examine instrument price changes observed during extreme market
events and would include considerations related to the greatest price
decreases and increases over a number of consecutive trading days
during the period of extreme market events. This section would also
state that the Extreme Price Change Scenarios reflect extreme market
events related to the default of a large market participant, global
pandemic problem, regional or global economic crisis and would explain
how these scenarios are derived. Moreover, this section would introduce
a factor that would be associated with one of the Extreme Price Change
Scenarios and reference the RPSRP for details on how it is set. In the
context of Index Swaptions, the formulas used would also be updated to
reference the Extreme Price Change Scenarios in Section VII.3.3 and
minor clarifications would be included for certain descriptions
associated with option instruments in respect of the remaining time to
expiry in Sections VII.3.3 and X.3.1.
    ICC also proposes other minor clarification or clean-up changes to
the RMMD. Specifically, ICC proposes to add language to clarify a
notation in an equation in Section VII.1.2.1 and update cross-
references in Section IX.
Risk Parameter Setting and Review Policy
    ICC proposes corresponding changes that incorporate the Extreme
Price Change Scenarios into the RPSRP. Table 1 in Section 1.1 contains
ICC's core model parameters and would be amended to incorporate the
abovementioned factor associated with one of the Extreme Price Change
Scenarios. In Section 1.7, ICC proposes another category of parameters
associated with the integrated spread response model component, namely
the APC level parameters, and a new subsection to correspond to this
category. ICC proposes to introduce the Extreme Price Change Scenarios
in this subsection. As discussed above, the Extreme Price Change
Scenarios consider the greatest observed price decreases and increases
over a number of consecutive trading days within the period of extreme
market events related to the default of a large market participant,
global pandemic problem, regional or global economic crisis. Moreover,
ICC would set out how these scenarios are derived as well as how the
abovementioned factor is estimated. ICC would further summarize the
associated review and governance process, including the reviewers and
any prerequisites to the implementation of parameter updates.
II. Introduction of New Stress Scenarios and Clarifications
    The proposed changes to the STF and the LRMF introduce the COVID-
19/Oil Crisis Scenarios. Additional proposed changes to the LRMF
provide transparency and clarity with respect to ICC's liquidity risk
management practices and ensure scenario unification among the STF and
LRMF as ICC operates its stress testing and liquidity stress testing on
a unified set of stress testing scenarios.
Stress Testing Framework
    ICC proposes to amend the STF to introduce the COVID-19/Oil Crisis
Scenarios. In Section 3, ICC would define extreme market events to
include the Coronavirus pandemic and the simultaneous occurrence of the
oil price war. In Section 5, the category of scenarios deemed as
Historically Observed Extreme but Plausible Market Scenarios: Severity
of Losses in Response to a Baseline Credit Event would be renamed more
generally to Historically Observed Extreme but Plausible Market
Scenarios: Severity of Losses in Response to Baseline Market Events and
the associated description would be updated to replace the LB default
with a more general description of extreme market events (i.e., events
related to the default of a large market participant, global pandemic
problem, and regional or global economic crisis). ICC proposes
conforming changes to Section 5.2, which corresponds to this category
of scenarios, including updating the heading and adding a general
description of the category followed by the associated scenarios, which
would include the COVID-19/Oil Crisis Scenarios, in bulleted form. ICC
also proposes to incorporate reference to the COVID-19/Oil Crisis
Scenarios into the other categories of scenarios, namely Hypothetically
Constructed (Forward Looking) Extreme but Plausible Market Scenarios
and Extreme Model Response Test Scenarios in Sections 5.3 and 5.4,
respectively, and to replace references to LB default with more general
references to baseline market events and price changes in Section 5.4.
In Section 13, ICC proposes to add the COVID-19/Oil Crisis Scenarios to
the list of Historically Observed and Hypothetically Constructed
Extreme but Plausible Scenarios. Also, in Section 13, ICC proposes to
remove a footnote to avoid redundancy as such information can be found
in the text of Section 14.
Liquidity Risk Management Framework
    The proposed amendments to the LRMF incorporate the COVID-19/Oil
Crisis Scenarios, provide additional clarity with respect to ICC's
liquidity risk management practices, and ensure unification of the LRMF
and STF, including with respect to scenario descriptions and governance
procedures.

    ICC proposes revisions to Section 2 to provide additional clarity
on ICC's liquidity risk management practices. ICC would add explanatory
language classifying scenarios as ``extreme and not expected to be
realized'' and ``extreme but plausible'' based on risk horizons in
Section 2.3 and reference such classifications throughout the document,
particularly in Section 3. ICC would clarify actions that it can take
only in the event of a CP default, specifically related to pledgeable
collateral in Section 2.6, and actions that it can take irrespective of
a CP default or non-default scenario, related to accessing committed
repurchase (``repo'') and committed foreign exchange (``FX'')
facilities in Section 2.7. ICC proposes revisions to Section 2.8 that
describes ICC's liquidity waterfall, which defines the order, to the
extent practicable, that ICC uses its available liquid resources
(``ALR'') to meet its currency-specific cash payment obligations. ALR
consist of the available deposits currently in cash of the required
denomination, and the cash equivalent of the available deposits in
collateral types that ICC can convert to cash, in the required currency
of denomination, rapidly enough to meet the relevant, currency-specific
deadlines by which ICC must meet its liquidity obligations (``ICC
Payout Deadlines''). Under the amendments, to enable an assessment of
the impact of a service provider becoming unavailable and/or overnight
investments not unwinding by the relevant ICC Payout Deadlines, the
cash on deposit component of ALR considered across all levels of the
liquidity waterfall may be adjusted to be a portion, the Available
Percentage (``AP''), of the actual cash on deposit. The proposed
amendments further discuss the determinations of ALR if the analysis
assumes the use of the committed repo facilities.
    ICC proposes amendments to Section 3.3 that provide additional
clarity or promote consistency between the STF and LRMF. The proposed
changes add background on ICC's stress testing analysis and reorganize
Section 3.3 into four parts. Proposed Section 3.3.1 describes ICC's
stress test methodology that uses a set of stress scenarios and
establishes if the ALRs are sufficient to cover hypothetical liquidity
obligations. This section also includes language describing the Forward
Looking (Hypothetically Constructed) Scenarios that is consistent with
the STF, such as details on their construction and on the calculation
of Loss-Given-Default (``LGD'') and Expected LGD with respect to these
scenarios. Proposed subpart (a) details ICC's cover-2 analysis, which
demonstrates to what extent the required liquidity resources available
to ICC were sufficient to meet single and multi-day cover-2 liquidity
obligations under the considered scenarios.
    Proposed Section 3.3.2 sets forth the predefined scenarios that ICC
maintains for liquidity stress testing and is divided into the
following consistent with the STF: (a) Historically Observed Extreme
but Plausible Market Scenarios, (b) Historically Observed Extreme but
Plausible Market Scenarios: Severity of Losses in Response to Baseline
Market Events, (c) Hypothetically Constructed (Forward Looking) Extreme
but Plausible Market Scenarios, and (d) Extreme Model Response Tests.
ICC would incorporate the COVID-19/Oil Crisis Scenarios in part (b) and
amend the terminology describing the LGD scenarios in part (c),
including by consistently referring to reference entity groups as Risk
Factor Groups (``RFGs''),\4\ more specifically defining references
entities and CP RFGs, and specifying the reference entities in a RFG
for stress testing. In part (c), ICC would clarify its description of
the one-service-provider-down scenarios which consider a reduction in
ALR designed to represent ICC's exposure to service providers at which
it maintains cash deposits, invested cash deposits or collateral
against invested cash deposits, due to ICC's potential inability to
access those accounts when required. ICC also proposes to update
terminology to incorporate the AP in part (c) and add details on the
ICC Risk Department's analysis of the AP.
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    \4\ ICC deems each single name reference entity a Risk Factor.
ICC deems a set of single name Risk Factors related by a common
parental ownership structure a RFG.
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    ICC proposes additional amendments to Section 3.3.3 regarding its
stress testing analysis approach. ICC proposes to add explanatory
language related to portfolios that present specific wrong way risk and
regarding sequencing defaulting CP AGs for stress scenarios. Table 1,
which lists scenarios used in ICC's liquidity stress testing and
assigns each scenario to a group for reporting purposes, would be
amended to incorporate additional columns detailing the corresponding
report and classification/frequency and reorganized to add additional
groups and scenarios (e.g., the COVID-19/Oil Crisis Scenarios) for
completeness.
    In proposed Section 3.3.4, ICC discusses its interpretation of
liquidity stress test results, including governance procedures for
enhancing the liquidity risk management methodology and procedures to
meet its reporting obligations. Proposed Figure 2 further illustrates
ICC's categorization of hypothetical losses. Specifically, depending on
whether there are sufficient liquidity resources across certain levels
of the liquidity waterfall, stress test results could be in one of
three zones (green, yellow, or red) that have different reporting
requirements. Results in the red zone are considered poor and reporting
to the ICC Risk Committee or the Board would be required.
    ICC proposes additional clarification changes to the LRMF. ICC
proposes language in Section 4.3 regarding its determination of poor
stress testing and/or historical analysis, noting the ICC individuals
responsible for making such determination, who would be the same
individuals designated in the STF as responsible for determining poor
stress testing performance. Proposed Section 6 is an appendix that sets
forth the computation of liquidity resources and remaining liquidity
resources across the levels of the liquidity waterfall, including
formulas for calculating currency-specific cash ALRs and currency-
specific cash remaining ALRs. Such changes are explanatory and do not
amend the methodology. ICC also proposes to update Table 2, which
illustrates a specific report, to reorganize and include additional
groups to be consistent with amended Table 1.
    ICC proposes other minor clarification or non-material clean-up
changes to the LRMF. The proposed revisions update terminology to
clarify an objective of the framework in Section 1.3 and abbreviate a
defined term in Section 1.4. The proposed changes also add quotation
marks around a defined term in Section 2.3; clarify ICC's use of ALR in
Section 2.8, including by moving two sentences earlier in the section
and incorporating reference to required currencies of denomination; and
rephrase a sentence for clarity in Section 2.8.4. ICC proposes to
include terminology updates with respect to the scenarios described in
Sections 3.1 and 3.3 for consistency and clarity and to amend Section
3.3.2 to make certain terms lowercase, renumber subsections, update
formatting, and add and update relevant cross-references. Additionally,
ICC proposes minor terminology clarifications in describing its stress
test analysis in Section 3.3.3 and ICC's governance procedures in
Sections 4.1 through 4.3, such as making certain terms lowercase, more
clearly describing certain terms, and abbreviating defined terms.

(b) Statutory Basis
    ICC believes that the proposed rule change is consistent with the
requirements of Section 17A of the Act \5\ and the regulations
thereunder applicable to it, including the applicable standards under
Rule 17Ad-22.\6\ In particular, Section 17A(b)(3)(F) of the Act \7\
requires that the rule change be consistent with the prompt and
accurate clearance and settlement of securities transactions and
derivative agreements, contracts and transactions cleared by ICC, the
safeguarding of securities and funds in the custody or control of ICC
or for which it is responsible, and the protection of investors and the
public interest. As discussed herein, the proposed rule change would
update certain stress scenario naming conventions to be more generic,
introduce the COVID-19/Oil Crisis Scenarios, and make clarification
changes in the documentation. The proposed changes updating the stress
scenario naming conventions to be more generic afford ICC with the
necessary flexibility to update such stress scenarios, thereby
strengthening the documentation of the RMF, RMMD, and RPSRP and
ensuring that the documentation remains up-to-date, transparent, and
focused on clearly articulating the policies and procedures used to
support ICC's risk management system. The proposed revisions also
strengthen the STF and LRMF through the introduction of the COVID-19/
Oil Crisis Scenarios, which would complement the current scenarios and
add additional insight into potential weaknesses in the ICC risk
management methodology. The proposed clarification and clean-up changes
would further ensure readability and transparency, including with
respect to ICC's risk methodology and practices in the RMMD and ICC's
liquidity risk management practices in the LRMF. ICC believes that
having policies and procedures that clearly and accurately document its
risk management practices, including stress testing, liquidity stress
testing, and risk parameter setting and review, are an important
component to the effectiveness of ICC's risk management system and
support ICC's ability to maintain adequate financial resources and
sufficient liquid resources, which promotes the prompt and accurate
clearance and settlement of securities transactions, derivatives
agreements, contracts, and transactions, the safeguarding of securities
and funds in the custody or control of ICC or for which it is
responsible, and the protection of investors and the public interest.
Accordingly, in ICC's view, the proposed rule change is consistent with
the prompt and accurate clearance and settlement of securities
transactions, derivatives agreements, contracts, and transactions, the
safeguarding of securities and funds in the custody or control of ICC
or for which it is responsible, and the protection of investors and the
public interest, within the meaning of Section 17A(b)(3)(F) of the
Act.\8\
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    \5\ 15 U.S.C. 78q-1.
    \6\ 17 CFR 240.17Ad-22.
    \7\ 15 U.S.C. 78q-1(b)(3)(F).
    \8\ Id.
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    The amendments would also satisfy relevant requirements of Rule
17Ad-22.\9\ Rule 17Ad-22(e)(2)(i), (iii), and (v) \10\ requires each
covered clearing agency \11\ to establish, implement, maintain, and
enforce written policies and procedures reasonably designed to provide
for governance arrangements that are clear and transparent; support the
public interest requirements of Section 17A of the Act \12\ applicable
to clearing agencies, and the objectives of owners and participants;
and specify clear and direct lines of responsibility. ICC's RMF, RMMD,
RPSRP, STF, and LRMF clearly assign and document responsibility and
accountability for risk decisions and require consultation or approval
from relevant parties. Moreover, the proposed changes clearly define
the governance procedures associated with the APC level parameters in
the RPSRP and the interpretation of liquidity stress test results and
the determination of poor stress testing and/or historical analysis in
the LRMF, thereby providing additional transparency into ICC's
governance arrangements and specifying clear and direct lines of
responsibility. For instance, the proposed amendments in the LRMF set
out the different reporting requirements applicable to stress test
results based on three zones and note the ICC individuals responsible
for the determination of poor stress testing and historical analysis.
In ICC's view, the proposed rule change continues to ensure that ICC
maintains policies and procedures that are reasonably designed to
provide for clear and transparent governance arrangements that support
the public interest requirements of Section 17A of the Act \13\
applicable to clearing agencies, and the objectives of owners and
participants, and specify clear and direct lines of responsibility,
consistent with Rule 17Ad-22(e)(2)(i), (iii), and (v).\14\
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    \9\ 17 CFR 240.17Ad-22.
    \10\ 17 CFR 240.17Ad-22(e)(2)(i), (iii), and (v).
    \11\ ICC will be a covered clearing agency subject to Rule 17ad-
22(e) as of the effective date (July 13, 2020) as a result of the
amended definition. 17 CFR 240.17Ad-22; Release No. 34-88616; File
No. S7-23-16 (April 9, 2020), 85 FR 28853 (May 14, 2020).
    \12\ 15 U.S.C. 78q-1.
    \13\ Id.
    \14\ 17 CFR 240.17Ad-22(e)(2)(i), (iii), and (v).
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    Rule 17Ad-22(e)(4)(ii) \15\ requires each covered clearing agency
to 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 maintaining additional financial resources at the minimum to enable
it to cover a wide range of foreseeable stress scenarios that include,
but are not limited to, the default of the two participant families
that would potentially cause the largest aggregate credit exposure for
the covered clearing agency in extreme but plausible market conditions.
The introduction of the COVID-19/Oil Crisis Scenarios would complement
the current scenarios in the documentation and add additional insight
into potential weaknesses in the ICC risk management methodology,
thereby supporting ICC's ability to manage its financial resources.
Moreover, the proposed changes updating the stress scenario naming
conventions to be more generic afford ICC with the necessary
flexibility to update such stress scenarios and the proposed
clarification and clean-up changes further ensure the readability and
transparency of the documentation, thereby strengthening the
documentation and ensuring that it remains up-to-date, clear, and
transparent to support the effectiveness of ICC's risk management
system. As such, the proposed amendments would strengthen ICC's ability
to maintain its financial resources and withstand the pressures of
defaults, consistent with the requirements of Rule 17Ad-
22(e)(4)(ii).\16\
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    \15\ 17 CFR 240.17Ad-22(e)(4)(ii).
    \16\ Id.
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    Rule 17Ad-22(e)(7)(i) \17\ requires each covered clearing agency to
establish, implement, maintain, and enforce written policies and
procedures reasonably designed to effectively measure, monitor, and
manage the liquidity risk that arises in or is borne by the covered
clearing agency, including measuring, monitoring, and managing its
settlement and funding flows on an ongoing and timely basis, and its
use of intraday liquidity by

maintaining sufficient liquid resources at the minimum in all relevant
currencies to effect same-day and, where appropriate, intraday and
multiday settlement of payment obligations with a high degree of
confidence under a wide range of foreseeable stress scenarios that
includes, but is not limited to, the default of the participant family
that would generate the largest aggregate payment obligation for the
covered clearing agency in extreme but plausible market conditions. The
introduction of the COVID-19/Oil Crisis Scenarios would complement the
current scenarios in the documentation and add additional insight into
potential weaknesses in the ICC liquidity risk management methodology,
thereby supporting ICC's ability to ensure that it maintains sufficient
liquidity resources. The proposed clarification changes to the LRMF
provide further clarity and transparency regarding ICC's liquidity
stress testing practices to strengthen the documentation surrounding
ICC's liquidity stress testing methodology, including by providing
additional scenario descriptions and details on the computation of
liquidity resources, and ensuring uniformity with the STF. In terms of
its liquidity risk management model, the proposed revisions also
clarify actions that ICC can take only in the event of a CP default,
specifically related to pledgeable collateral, and actions that it can
take irrespective of a CP default or non-default scenario, related to
accessing committed repo and committed FX facilities. The proposed
changes to the LRMF further enhance ICC's approach to identifying
potential weaknesses in the liquidity risk management system with
additional procedures related to the determination of poor stress
testing and/or historical analysis. As such, the proposed amendments
would promote ICC's ability to ensure that it maintains sufficient
liquid resources in accordance with the requirements of Rule 17Ad-
22(e)(7)(i).\18\
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    \17\ 17 CFR 240.17Ad-22(e)(7)(i).
    \18\ Id.
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(B) Clearing Agency's Statement on Burden on Competition

    ICC does not believe the proposed rule change would have any
impact, or impose any burden, on competition. The proposed changes to
ICC's RMF, RMMD, RPSRP, STF, and LRMF will apply uniformly across all
market participants. Therefore, ICC does not believe the proposed rule
change imposes any burden on competition that is inappropriate in
furtherance of the purposes of the Act.

(C) Clearing Agency's Statement on Comments on the Proposed Rule Change
Received From Members, Participants or Others

    Written comments relating to the proposed rule change have not been
solicited or received. ICC will notify the Commission of any written
comments received by ICC.

III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action

    Within 45 days of the date of publication of this notice in the
Federal Register or within such longer period up to 90 days (i) as the
Commission may designate if it finds such longer period to be
appropriate and publishes its reasons for so finding or (ii) as to
which the self-regulatory organization consents, the Commission will:
    (A) By order approve or disapprove such proposed rule change, or
    (B) institute proceedings to determine whether the proposed rule
change should be 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<EMAIL_ADDRESS>Please include
File Number SR-ICC-2020-009 on the subject line.

Paper Comments

    Send paper comments in triplicate to Secretary, Securities and
Exchange Commission, 100 F Street NE, Washington, DC 20549.

All submissions should refer to File Number SR-ICC-2020-009. This file
number should be included on the subject line if email is used. To help
the Commission process and review your comments more efficiently,
please use only one method. The Commission will post all comments on
the Commission's internet website (http://www.sec.gov/rules/sro.shtml).
Copies of the submission, all subsequent amendments, all written
statements with respect to the proposed rule change that are filed with
the Commission, and all written communications relating to the proposed
rule change between the Commission and any person, other than those
that may be withheld from the public in accordance with the provisions
of 5 U.S.C. 552, will be available for website viewing and printing in
the Commission's Public Reference Room, 100 F Street NE, Washington, DC
20549, on official business days between the hours of 10:00 a.m. and
3:00 p.m. Copies of such filings will also be available for inspection
and copying at the principal office of ICE Clear Credit and on ICE
Clear Credit's website at https://www.theice.com/clear-credit/regulation.
    All comments received will be posted without change. Persons
submitting comments are cautioned that we do not redact or edit
personal identifying information from comment submissions. You should
submit only information that you wish to make available publicly. All
submissions should refer to File Number SR-ICC-2020-009 and should be
submitted on or before August 6, 2020.
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    \19\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\19\
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2020-15306 Filed 7-15-20; 8:45 am]
BILLING CODE 8011-01-P