Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of Filing of Proposed Rule Change Relating to the ICC Stress Testing Framework and the ICC Liquidity Risk Management Framework

<NOTICE> SECURITIES AND EXCHANGE COMMISSION <DEPDOC>[Release No. 34-104396; File No. SR-ICC-2025-013]</DEPDOC> <SUBJECT>Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of Filing of Proposed Rule Change Relating to the ICC Stress Testing Framework and the ICC Liquidity Risk Management Framework</SUBJECT> <DATE>December 15, 2025.</DATE> Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934  <SU>1</SU> <FTREF/> and Rule 19b-4, <SU>2</SU> <FTREF/> notice is hereby given that on December 1, 2025, ICE Clear Credit LLC (“ICC” or “ICE Clear Credit”) filed with the Securities and Exchange Commission the proposed rule change as described in Items I, II and III below, which Items have been primarily prepared by ICC. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. <FTNT> <SU>1</SU>  15 U.S.C. 78s(b)(1). </FTNT> <FTNT> <SU>2</SU>  17 CFR 240.19b-4. </FTNT> <HD SOURCE="HD1">I. Clearing Agency's Statement of the Terms of Substance of the Proposed Rule Change</HD> The principal purpose of the proposed rule change is to revise the ICC Stress Testing Framework (“STF”) and ICC Liquidity Risk Management Framework (“LRMF”). These revisions do not require any changes to the ICC Clearing Rules. <SU>3</SU> <FTREF/> <FTNT> <SU>3</SU>  ICC's Rules are available on ICC's public website: <E T="03">https://www.ice.com/publicdocs/clear_credit/ICE_Clear_Credit_Rules.pdf.</E> </FTNT> <HD SOURCE="HD1">II. Clearing Agency's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change</HD> 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. <HD SOURCE="HD2">(A) Clearing Agency's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change</HD> <HD SOURCE="HD3">(a) Purpose</HD> ICC proposes revising its STF and LRMF to introduce new stress scenarios that reflect a period of recent market turmoil related to the enactment of new U.S. tariffs (the “U.S. Tariffs Crisis Scenarios”). ICC also proposes additional updates to reflect current governance practices and make minor clean-up changes in the STF and LRMF. 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. The proposed revisions are described in detail as follows. <HD SOURCE="HD1">I. Stress Scenario Changes</HD> ICC proposes to introduce the U.S. Tariffs Crisis Scenarios in the STF. The STF sets out ICC's stress test methodology, including the stress scenarios used in ICC's risk management process. The ICC Risk Department maintains predefined stress scenarios which are divided into the following four categories: (1) Historically Observed Extreme but Plausible Market Scenarios, <SU>4</SU> <FTREF/> (2) Historically Observed Extreme but Plausible Market Scenarios: Severity of Losses in Response to Baseline Market Events, <SU>5</SU> <FTREF/> (3) Hypothetically Constructed (Forward Looking) Extreme but Plausible Market Scenarios, <SU>6</SU> <FTREF/> and (4) Extreme Model Response Tests. <SU>7</SU> <FTREF/> <FTNT> <SU>4</SU>  Scenarios believed to be potential market outcomes as historically observed, but with a very low probability of occurrence. </FTNT> <FTNT> <SU>5</SU>  Scenarios that replicate observed instrument price realizations during extreme market events related to the default of a large market participant, global pandemic problem, and regional or global economic crisis. </FTNT> <FTNT> <SU>6</SU>  Scenarios believed to be potential market outcomes created by enhancing the Historically Observed Extreme but Plausible Market Scenarios with additional adverse market events. </FTNT> <FTNT> <SU>7</SU>  Scenarios designed to test the performance of the ICC risk methodology under extreme conditions and are not expected to be realized as market outcomes. </FTNT> ICC proposes to amend Section 5.1 of the STF, which lists the Historically Observed Extreme but Plausible Market Scenarios, to add the proposed U.S. Tariffs Crisis Scenarios. As described in amended Section 5.1, the proposed scenarios consist of widening and tightening scenarios and are based on observed relative spread increases and decreases during the second quarter of 2025. Additional description is proposed to explain how the scenarios are constructed in terms of spread changes and end-of-day spread levels. ICC proposes changes to Section 5.3 of the STF, which sets out the Hypothetically Constructed (Forward Looking) Extreme but Plausible Market Scenarios to incorporate the proposed U.S. Tariffs Crisis Scenarios. The Hypothetically Constructed (Forward Looking) Extreme but Plausible Market Scenarios are based on Historically Observed Extreme but Plausible Market Scenarios augmented with adverse credit events and an additional loss scenario, as set out in the STF. ICC proposes to include the U.S. Tariffs Crisis Scenarios augmented with adverse credit events and an additional loss scenario in the bulleted list of Hypothetically Constructed (Forward Looking) Extreme but Plausible Market Scenarios. ICC proposes additional changes to Section 5.4 of the STF, which sets out the Extreme Model Response Test Scenarios. Such scenarios are derived from Historically Observed Extreme but Plausible Market Scenarios by increasing the magnitudes for the widening and tightening spread scenarios. ICC proposes to include the U.S. Tariffs Crisis Scenarios in the bulleted list of Extreme Model Response Test Scenarios. ICC proposes a conforming change to add the U.S. Tariffs Crisis Scenarios to a list of Historically Observed and Hypothetically Constructed Extreme but Plausible Scenarios in Section 14 of the STF. Such list describes ICC's reporting obligations. The proposed amendments to the LRMF incorporate the U.S. Tariffs Crisis Scenarios to ensure unification of the LRMF and STF as ICC operates stress testing and liquidity stress testing on a unified set of stress testing scenarios. Section 3.3.2 of the LRMF sets out the four abovementioned categories of predefined scenarios that are maintained by the ICC Risk Department. ICC proposes to incorporate descriptions of the U.S. Tariffs Crisis Scenarios in Section 3.3.2(a), which contains the Historically Observed Extreme but Plausible Market Scenarios. Like the changes discussed above, the proposed scenarios consist of widening and tightening scenarios and are based on observed relative spread increases and decreases during the second quarter of 2025. Additional language is proposed to explain how the scenarios are constructed in terms of spread changes, analogues, and end-of-day spread levels. ICC proposes updates to memorialize the proposed scenarios as part of its liquidity stress testing and reporting obligations. Specifically, ICC proposes to include the proposed scenarios in Table 1 of Section 3.3.3 of the LRMF, which sets out ICC's liquidity stress testing scenarios. ICC also proposes to add the U.S. Tariffs Crisis Scenarios to a list of Historically Observed and Hypothetically Constructed Extreme but Plausible Scenarios in Section 3.3.4 of the LRMF. Such list describes ICC's reporting obligations. <HD SOURCE="HD1">II. Governance Updates and Clean-Ups</HD> ICC proposes changes to the documentation to add reference to the recently established Board Risk Committee to reflect current governance practices and make other minor clean-up changes. <SU>8</SU> <FTREF/> Namely, ICC proposes edits to Sections 14 and 15 of the STF to incorporate references to the Board Risk Committee. In Section 14, the proposed changes note the items that are discussed with the Board Risk Committee ( <E T="03">e.g.,</E> risk methodology enhancements and development) as well as the level of reporting and communication that is provided to the Board Risk Committee with respect to stress test results and stress test deficiencies. In Section 15, the proposed changes specify a timely process for communicating stress test results and associated recommendations to the Board Risk Committee and discuss the necessity of obtaining recommendations (for example, related to retiring or modifying outdated scenarios or portfolios or adding new scenarios or portfolios) from the Board Risk Committee. Section 15 would also specify that the STF is subject to Board Risk Committee review at least annually, in addition to review by the Risk Committee and review and approval by the Board at least annually. A conforming change is also proposed to Section 4.3 of the LRMF to memorialize the document's review at least annually by the Board Risk Committee. <FTNT> <SU>8</SU>  ICC previously filed a proposed rule change to establish the Board Risk Committee. <E T="03">See</E> Securities Exchange Act Release No. 103161 (May 30, 2025), 90 FR 23970 (June 5, 2025) (File No. SR-ICC-2025-006). </FTNT> ICC proposes additional changes to update governance practices in the LRMF. Amended Section 1.3 of the LRMF states that the Board Risk Committee is involved in the governance process for the reporting of liquidity adequacy analysis results, along with ICC senior management, the Risk Committee, and the Board. ICC proposes minor clean-up changes to move Figure 1, which co ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ Preview showing 10k of 23k characters. 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