[Federal Register Volume 85, Number 215 (Thursday, November 5, 2020)]
[Notices]
[Pages 70700-70701]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2020-24498]



[[Page 70700]]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-90299; File No. SR-ICC-2020-012]


Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of 
Filing and Immediate Effectiveness of Proposed Rule Change Relating to 
ICC's Fee Schedule

October 30, 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 October 23, 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. ICC filed 
the proposed rule change pursuant Section 19(b)(3)(A) of the Act \3\ 
and Rule 19b-4(f)(2) thereunder,\4\ such that the proposed rule change 
was immediately effective upon filing with the Commission. 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.
    \3\ 15 U.S.C. 78s(b)(3)(A).
    \4\ 17 CFR 240.19b-4(f)(2).
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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 implement 
clearing fees for credit default index swaptions (``Index Swaptions'') 
in connection with the launch of the clearing of Index Swaptions.

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 and 
discussed any comments it received on the proposed rule change. The 
text of these statements may be examined at the places specified in 
Item IV below. 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
    The proposed changes are intended to implement clearing fees for 
Index Swaptions in connection with the launch of the clearing of Index 
Swaptions. ICC has previously filed with the Commission changes to 
certain other policies and procedures related to clearing Index 
Swaptions (the ``Swaption Rule Filings'').\5\ As discussed in the 
Swaption Rule Filings, pursuant to an Index Swaption, one party (the 
``Swaption Buyer'') has the right (but not the obligation) to cause the 
other party (the ``Swaption Seller'') to enter into an index credit 
default swap transaction at a pre-determined strike price on a 
specified expiration date on specified terms. In the case of Index 
Swaptions that would be cleared by ICC, the underlying index credit 
default swap would be limited to certain CDX and iTraxx Europe index 
credit default swaps that are accepted for clearing by ICC, and which 
would be automatically cleared by ICC upon exercise of the Index 
Swaption by the Swaption Buyer in accordance with its terms.\6\ The 
proposed changes are set forth in Exhibit 5 hereto [sic], and described 
in detail as follows.
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    \5\ As set out in the Swaption Rule Filings, ICC intends to 
implement the changes described in the Swaption Rule Filings 
following completion of the ICC governance process surrounding the 
Index Swaptions product expansion. SEC Release No. 34-87297 (October 
15, 2019) (approval), 84 FR 56270 (October 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. 34-89436 
(July 31, 2020) (approval), 85 FR 47827 (August 6, 2020) (SR-ICC-
2020-008); SEC Release No. 34-89948 (September 22, 2020) (approval), 
85 FR 60845 (September 28, 2020) (SR-ICC-2020-010).
    \6\ Index Swaptions are also referred to herein and in the 
Swaption Rule Filings as ``index options'' or ``index CDS options'', 
or in similar terms.
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    ICC maintains a Clearing Participant (``CP'') fee schedule \7\ and 
client fee schedule \8\ (collectively, the ``fee schedule'') that are 
publicly available on its website, which ICC proposes to update in 
connection with the clearing of Index Swaptions. Specifically, ICC 
proposes to update the fee schedule to establish clearing fees for 
Index Swaptions, which are intended to come into effect upon the launch 
of clearing of Index Swaptions, subject to the completion of the ICC 
governance process surrounding the Index Swaptions product expansion 
and any regulatory review or approval process. Currently, clearing fees 
for single name and index credit default swap (``CDS'') contracts are 
due by CPs and clients in accordance with the product, amount and 
currency set out in the fee schedule. ICC proposes to incorporate 
clearing fees for Index Swaptions into the fee schedule, which would 
similarly be due by CPs and clients in accordance with the product, 
amount and currency set out in the fee schedule. Specifically, Index 
Swaption fees (per million) for CPs would be $3 for North American and 
Sovereign products and [euro]3 for European products, and for clients 
would be $4 for USD denominated products and [euro]4 for EUR 
denominated products.
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    \7\ CP fee details available at:
    https://www.theice.com/publicdocs/clear_credit/ICE_Clear_Credit_Fees_Clearing_Participant.pdf.
    \8\ Client fee details available at:
    https://www.theice.com/publicdocs/clear_credit/ICE_Clear_Credit_Fees.pdf. As specified, all fees are charged 
directly to a client's CP.
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(b) Statutory Basis
    ICC believes that the proposed rule change is consistent with the 
requirements of the Act, including Section 17A of the Act \9\ and the 
regulations thereunder applicable to it. More specifically, the 
proposed rule change establishes or changes a member due, fee or other 
charge imposed by ICC under Section 19(b)(3)(A)(ii) of the Act \10\ and 
Rule 19b-4(f)(2) \11\ thereunder. ICC believes the proposed rule change 
is consistent with the requirements of the Act and the rules and 
regulations thereunder applicable to ICC, in particular, to Section 
17A(b)(3)(D),\12\ which requires that the rules of the clearing agency 
provide for the equitable allocation of reasonable dues, fees, and 
other charges among its participants.
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    \9\ 15 U.S.C. 78q-1.
    \10\ 15 U.S.C. 78s(b)(3)(A)(ii).
    \11\ 17 CFR 240.19b-4(f)(2).
    \12\ 15 U.S.C. 78q-1(b)(3)(D).
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    ICC believes that the fees for Index Swaptions have been set at an 
appropriate level and provide market participants with the additional 
flexibility to have their Index Swaptions cleared as ICC continues to 
develop, maintain and provide safe and efficient clearing services to 
the market. In ICC's view, the fees are reasonable as they correspond 
with the costs and expenses to ICC in offering clearing of Index 
Swaptions, including the investment ICC has made with respect to 
clearing such products (e.g., technology and development), and they 
consider current market activity as well as anticipated market activity 
with respect to clearing Index Swaptions at ICC. Namely, in determining 
the appropriate level, ICC discussed the proposed fees with market 
participants and its Board (who approved the fees) and took into 
account factors such as anticipated volume, revenue, expenses, and 
market participation in this clearing service, including based on 
different fee levels. More specifically, Index Swaption fees would be 
slightly less than index fees (per million) and are designed to 
encourage market participation in this

[[Page 70701]]

clearing service while properly compensating ICC for the risks, costs 
and expenses of clearing Index Swaptions. Client fees would be higher 
than CP fees for Index Swaptions, which is in line with ICC's current 
single name and index fees, given the responsibilities and obligations 
of CPs to ICC as opposed to clients. Accordingly, the proposed fees 
appropriately balance the costs of clearing and expenses incurred by 
ICC and provide a reasonable fee structure for market participants.
    Moreover, the fees for Index Swaptions will apply equally to all 
market participants clearing Index Swaptions and therefore the proposed 
rule change provides for the equitable allocation of reasonable dues, 
fees and other charges among participants, within the meaning of 
Section 17A(b)(3)(D) of the Act.\13\ ICC therefore believes that the 
proposed rule change is consistent with the requirements of Section 17A 
of the Act \14\ and the regulations thereunder applicable to it and is 
appropriately filed pursuant to Section 19(b)(3)(A) of the Act \15\ and 
paragraph (f)(2) of Rule 19b-4 \16\ thereunder.
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    \13\ Id.
    \14\ 15 U.S.C. 78q-1.
    \15\ 15 U.S.C. 78s(b)(3)(A).
    \16\ 17 CFR 240.19b-4(f)(2).
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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 not necessary or 
appropriate in furtherance of the purpose of the Act. As discussed 
above, the proposed changes incorporate reasonable clearing fees for 
Index Swaptions into ICC's fee schedule and will apply uniformly across 
all market participants. The implementation of such changes does not 
preclude other market participants from offering such instruments for 
clearing. Moreover, ICC does not believe that the amendments would 
adversely affect the ability of market participants to access clearing 
services. Accordingly, ICC does not believe the amendments impose any 
burden on competition not necessary or appropriate in furtherance of 
the purpose 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

    The foregoing rule change has become effective pursuant to Section 
19(b)(3)(A) of the Act \17\ and paragraph (f) of Rule 19b-4 \18\ 
thereunder. At any time within 60 days of the filing of the proposed 
rule change, the Commission summarily may temporarily suspend such rule 
change if it appears to the Commission that such action is necessary or 
appropriate in the public interest, for the protection of investors, or 
otherwise in furtherance of the purposes of the Act.
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    \17\ 15 U.S.C. 78s(b)(3)(A).
    \18\ 17 CFR 240.19b-4(f)(2).
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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 protected]. Please include 
File Number SR-ICC-2020-012 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-2020-012. 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-2020-012 and should be 
submitted on or before November 27, 2020.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\19\
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    \19\ 17 CFR 200.30-3(a)(12).
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Jill M. Peterson,
Assistant Secretary.

[FR Doc. 2020-24498 Filed 11-4-20; 8:45 am]
BILLING CODE 8011-01-P