[Federal Register Volume 86, Number 69 (Tuesday, April 13, 2021)]
[Notices]
[Pages 19311-19313]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2021-07489]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-91489; File No. SR-ICC-2021-007]


Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of 
Filing of Proposed Rule Change Relating to ICC's Treasury Operations 
Policies and Procedures

April 7, 2021.
    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 March 29, 2021, 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 revise the 
ICC Treasury Operations Policies and Procedures (``Treasury Policy''). 
These revisions do not require any changes to the ICC Clearing Rules 
(the ``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 to revise its Treasury Policy. The proposed amendments 
consist of clarifications and updates with respect to governance 
arrangements and collateral asset haircuts and include other minor 
clean-up changes. 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 make such changes effective following 
Commission approval of the proposed rule change. The proposed revisions 
are described in detail as follows.
    ICC proposes to amend the ``Revision History'' section of the 
Treasury Policy. The proposed changes correct a statement indicating 
that the document's revision history is limited to the last three 
years. The proposed changes memorialize the review and approval process 
of the document, which consists of review by the Risk Committee and 
review and approval by the Board at least annually. Additionally, ICC 
would update the revision history table to include the most recent 
changes to the document.
    ICC proposes updates and clarification changes to the ``Collateral 
Assets Risk Management Framework'' appendix (``Appendix 6''). Under the 
Treasury Policy, ICC accounts for the risk associated with fluctuations 
in the value of collateral assets by applying haircuts. Haircuts are 
calculated by the ICC Risk Department (the ``Risk Department'') on an 
on-going basis and described in more detail in Appendix 6. ICC proposes 
changes in Appendix 6 that update the measure of daily changes for 
collateral assets such as sovereign debt. The proposed changes would 
amend and remove certain language that differentiates between yield 
rates greater than and less than or equal to one basis point in respect 
of sovereign debt collateral haircuts. Such amendments do not represent 
a change to the methodology and would provide a more generalized and 
consistent collateral risk management framework for sovereign debt. ICC 
proposes additional clarifications, including with respect to time 
series used for sovereign debt collateral haircuts and a formula 
regarding a risk factor specific haircut. ICC also proposes a 
grammatical update to change a reference to ``haircuts'' from plural to 
singular.
    ICC further proposes additional detail on the process of reviewing 
and updating collateral asset haircuts. Appendix 6 currently states 
that such haircuts are reviewed monthly. ICC proposes to clarify that 
haircuts are established by the Risk Department within their respective 
intervals and are reviewed at least monthly to determine the need for 
updates. ICC also proposes to specify any discretion provided to the 
Risk Department during periods of extreme market stress with respect to 
updating collateral asset haircuts.
(b) Statutory Basis
    Section 17A(b)(3)(F) of the Act \3\ requires, among other things, 
that the rules of a 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; to assure the safeguarding of securities and funds which 
are in the custody or control of the clearing agency or for which it is 
responsible; and to comply with the provisions of the Act and the rules 
and regulations thereunder. ICC believes that 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 
17(A)(b)(3)(F),\4\ because ICC believes that the proposed rule change 
will promote the prompt and accurate clearance and settlement of 
securities transactions, derivatives agreements, contracts, and 
transactions, and contribute to the safeguarding of securities and 
funds associated with security-based swap transactions in ICC's custody 
or control, or for which ICC is responsible. As described above, the 
proposed rule change would allow ICC to make certain clarifications and 
updates to the Treasury Policy, including with respect to collateral 
asset

[[Page 19312]]

haircuts in the appendix. The proposed amendments to Appendix 6 update 
the measure of daily changes for collateral assets such as sovereign 
debt. Such amendments do not represent a change to the methodology and 
would provide a more generalized and consistent collateral risk 
management framework for sovereign debt. The additional clarifications 
and updates strengthen the governance arrangements set out in the 
Treasury Policy and promote clarity, including by memorializing the 
review and approval process for the document, providing additional 
detail on the Risk Department's process for reviewing and updating 
haircuts, and making clean-up changes to improve readability. The 
proposed updates thus ensure that the documentation of ICC's Treasury 
Policy remains up-to-date, transparent, and focused on clearly 
articulating the policies and procedures used to support ICC's treasury 
functions, which promotes the prompt and accurate clearance and 
settlement of securities transactions, derivatives agreements, 
contracts, and transactions and contributes to the safeguarding of 
securities and funds which are in the custody or control of ICC or for 
which it is responsible. As such, the proposed rule change is designed 
to promote the prompt and accurate clearance and settlement of 
securities transactions, derivatives agreements, contracts, and 
transactions and to contribute to the safeguarding of securities and 
funds associated with security-based swap transactions in ICC's custody 
or control, or for which ICC is responsible within the meaning of 
Section 17A(b)(3)(F) of the Act.\5\
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    \3\ 15 U.S.C. 78q-1(b)(3)(F).
    \4\ Id.
    \5\ Id.
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    The amendments would also satisfy relevant requirements of Rule 
17Ad-22.\6\ Rule 17Ad-22(e)(2)(i) and (v) \7\ requires each covered 
clearing agency to establish, implement, maintain, and enforce written 
policies and procedures reasonably designed to provide for governance 
arrangements that are clear and transparent and specify clear and 
direct lines of responsibility. The proposed changes strengthen the 
governance procedures and arrangements detailed in the Treasury Policy. 
The amended ``Revision History'' section memorializes the review and 
approval of the document by relevant groups at least annually. Amended 
Appendix 6 more clearly defines the roles and responsibilities of the 
Risk Department regarding reviewing and updating collateral asset 
haircuts, including any discretion provided to the Risk Department 
during periods of extreme market stress with respect to updating 
collateral asset haircuts. As such, 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 and specify clear and direct lines of 
responsibility, consistent with Rule 17Ad-22(e)(2)(i) and (v).\8\
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    \6\ 17 CFR 240.17Ad-22.
    \7\ 17 CFR 240.17Ad-22(e)(2)(i) and (v).
    \8\ Id.
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    Rule 17Ad-22(e)(3)(i) \9\ requires each covered clearing agency to 
establish, implement, maintain, and enforce written policies and 
procedures reasonably designed to maintain a sound risk management 
framework for comprehensively managing legal, credit, liquidity, 
operational, general business, investment, custody, and other risks 
that arise in or are borne by the covered clearing agency, which 
includes risk management policies, procedures, and systems designed to 
identify, measure, monitor, and manage the range of risks that arise in 
or are borne by the covered clearing agency, that are subject to review 
on a specified periodic basis and approved by the Board annually. ICC 
maintains a sound risk management framework that identifies, measures, 
monitors, and manages the range of risks that it faces. As described 
above, ICC accounts for the risk associated with fluctuations in the 
value of collateral assets by applying haircuts under the Treasury 
Policy. The proposed changes update the measure of daily changes for 
collateral assets such as sovereign debt, which would provide a more 
generalized and consistent collateral risk management framework for 
sovereign debt, and make other clarifications to ensure that the 
Treasury Policy remains effective and clear. Moreover, the Treasury 
Policy is a key aspect of ICC's risk management approach, and the 
proposed amendments would memorialize that the document is reviewed by 
the Risk Committee and reviewed and approved by the Board at least 
annually. As such, the amendments would satisfy the requirements of 
Rule 17Ad-22(e)(3)(i).\10\
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    \9\ 17 CFR 240.17Ad-22(e)(3)(i).
    \10\ Id.
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    Rule 17Ad-22(e)(5) \11\ requires each covered clearing agency to 
establish, implement, maintain, and enforce written policies and 
procedures reasonably designed to limit the assets it accepts as 
collateral to those with low credit, liquidity, and market risks, and 
set and enforce appropriately conservative haircuts and concentration 
limits if the covered clearing agency requires collateral to manage its 
or its participants' credit exposure; and require a review of the 
sufficiency of its collateral haircuts and concentration limits to be 
performed not less than annually. The Treasury Policy limits the assets 
ICC accepts as collateral to those with low credit, liquidity, and 
market risks. The proposed amendments provide additional detail on the 
process of reviewing and updating collateral asset haircuts, including 
clarifying that haircuts are established by the Risk Department within 
their respective intervals and are reviewed at least monthly to 
determine the need for updates. As such, the amendments would satisfy 
the requirements of Rule 17Ad-22(e)(5).\12\
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    \11\ 17 CFR 240.17Ad-22(e)(5).
    \12\ 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 Treasury Policy 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

[[Page 19313]]

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-2021-007 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-2021-007. 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-2021-007 and should be 
submitted on or before May 4, 2021.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\13\
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    \13\ 17 CFR 200.30-3(a)(12).
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J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021-07489 Filed 4-12-21; 8:45 am]
BILLING CODE 8011-01-P