[Federal Register Volume 86, Number 215 (Wednesday, November 10, 2021)]
[Notices]
[Pages 62588-62590]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2021-24529]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-93523; File No. SR-ICEEU-2021-020]


Self-Regulatory Organizations; ICE Clear Europe Limited; Notice 
of Filing of Proposed Rule Change Relating to Amendments to the ICE 
Clear Europe Liquidity Management Procedures and Investment Management 
Procedures

November 4, 2021.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that 
on October 22, 2021, ICE Clear Europe Limited (``ICE Clear Europe'' or 
the ``Clearing House'') filed with the Securities and Exchange 
Commission (``Commission'') the proposed rule changes described in 
Items I, II and III below, which Items have been prepared primarily by 
ICE Clear Europe. 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 amendments is for ICE Clear 
Europe to amend its Liquidity Management Procedures and Investment 
Management Procedures to make certain clarifications and updates.

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

    In its filing with the Commission, ICE Clear Europe 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. ICE Clear Europe has prepared summaries, 
set forth in sections (A), (B), and (C) below, of the most significant 
aspects of such statements.

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

(a) Purpose
    ICE Clear Europe is proposing to amend its Liquidity Management 
Procedures to (i) reflect that cash substitution requests may be as a 
source of payment obligations relevant to liquidity management, (ii) 
include certain additional procedures and requirements for the Clearing 
House with respect to adding new accounts or amending existing accounts 
with counterparties and (iii) clarify how intraday collateral is being 
monitored. ICE Clear Europe also proposes to amend its Investment 
Management Procedures to (i) add additional detail with respect to 
Maximum Issuer/Counterparty Concentration Limits in respect of reverse 
repurchase agreements and (ii) add additional concentration limits for 
investment of customer funds of FCM/BD Clearing Members.
I. Liquidity Management Procedures
    The list of payment obligations relating to liquidity management 
would be revised to reflect explicitly that any cash substitution 
requests by Clearing Members would be a source of payment obligations. 
The amendment does not reflect a change in any Clearing House practice 
or source of obligations but is intended to make the list more 
comprehensive.
    A new section relating to special considerations for account 
opening would be added. The amendments would provide that when the 
Clearing House is adding new accounts or amending existing accounts 
with counterparties, the Treasury Department would advise the Legal and 
Compliance Departments in accordance with relevant departmental 
procedures to ensure that relevant banking agreements are modified, any 
side or acknowledge letters are obtained and any required regulatory 
submissions are timely made, as appropriate. Such scenarios would 
include the opening of new accounts for futures customer funds in 
accordance with CFTC Sec.  1.20(g).
    Provisions relating to haircutting of non-cash collateral and cash 
collateral in currencies other than the required currency would be 
amended to correct the reference to the Credit Risk team (not the 
Clearing Risk team) that monitors the price of such assets. The 
amendments would also state that the price of such assets would be 
monitored during the day against the applied haircuts, as a 
clarification that reflects current practice. The statement that the 
Credit Risk team would call for additional IM in the event of a 
shortfall in the value of the collateral held would be removed as 
unnecessary to be in the Liquidity Management Procedures as that is 
addressed in other existing Clearing House policies.
    Other technical, typographical and formatting edits would be made.
II. Investment Management Procedures
    In the Table of Authorised Investments and Concentration Limits for 
Cash from CMs and from Skin In The Game (the ``Table''), the Maximum 
Issuer/Counterparty Concentration Limits applicable to reverse 
repurchase agreements would be revised to clarify that the numerical 
concentration limits are based on total cash balance per counterparty 
group, consistent with existing practice. Additionally, a footnote 
would be added to such section to provide that breaches of those issuer 
limits for reverse repurchase agreements solely due to valuation 
differences or operational failure/error will not be considered as a 
breach of policy. Such updates are to provide additional detail about 
existing practices in order to provide clarification and are not 
intended to reflect any change such practices.
    The Table would also be updated to add an additional concentration 
limits for FCM customer funds. Specifically, with respect to reverse 
repurchase agreements, the Maximum Issuer/Counterparty Concentration 
Limits would be 25% of total FCM customer cash balance per counterparty 
group. The amendment is intended to document an existing limitation 
based on CFTC Rule 1.25.
(b) Statutory Basis
    ICE Clear Europe believes that the amendments to the Liquidity 
Management Procedures and the Investment Management Procedures are 
consistent with the requirements of Section 17A of the Act \3\ and the 
regulations thereunder applicable to it. In particular, Section 
17A(b)(3)(F) of the Act \4\ 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

[[Page 62589]]

applicable, derivative agreements, contracts, and transactions, the 
safeguarding of securities and funds in the custody or control of the 
clearing agency or for which it is responsible, and the protection of 
investors and the public interest.
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    \3\ 15 U.S.C. 78q-1.
    \4\ 15 U.S.C. 78q-1(b)(3)(F).
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    The proposed amendments to the Liquidity Management Procedures and 
the Investment Management Procedures are designed to update certain of 
the Clearing House's practices with respect to the management of 
liquidity and investments, respectively. The proposed updates to the 
Liquidity Management Procedures would more clearly certain practices 
relating to monitoring of collateral prices and enhance certain account 
opening procedures. The proposed updates to the Investment Management 
Procedures would clarify certain concentration limits relating to 
investments of assets provided by Clearing Members. The proposed 
amendments thus enhance the overall risk management of the Clearing 
House and promote the accuracy and stability of the Clearing House's 
policies and procedures and the prompt and accurate clearance and 
settlement of cleared contracts. The proposed amendments to the 
Liquidity Management Procedures and the Investment Management 
Procedures are thus also generally consistent with the protection of 
investors and the public interest in the safe operation of the Clearing 
House. The updates to each of the Liquidity Management Procedures and 
the Investment Management Procedures will also facilitate safe 
management of the cash held by the Clearing House from Clearing 
Member's and their customers, and thus enhance the safeguarding of 
securities and funds in ICE Clear Europe's custody or control or for 
which it is responsible. Accordingly, the amendments satisfy the 
requirements of Section 17A(b)(3)(F).\5\
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    \5\ 15 U.S.C. 78q-1(b)(3)(F).
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    The proposed revisions to the Liquidity Management Procedures and 
the Investment Management Procedures are also consistent with relevant 
provisions of Rule 17Ad-22. Rule 17Ad-22(e)(3)(i) \6\ requires clearing 
agencies to maintain a sound risk management framework that identifies, 
measures, monitors and manages the range of risks that it faces. As 
described above, the proposed updates to the Liquidity Management 
Procedures are intended to more clearly document and enhance certain 
policies, practices and considerations for monitoring and reviewing 
liquidity risks. The proposed updates to the Investment Management 
Procedures would provide further description with respect to the 
Clearing House's investments, as described above, particularly with 
respect to concentration limits applicable to reverse repurchase 
agreements. The proposed amendments would thus strengthen the 
management of potential counterparty investment risks, and risk 
management more generally. In ICE Clear Europe's view, the amendments 
are therefore consistent with the requirements of Rule 17Ad-
22(e)(3)(i).\7\
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    \6\ 17 CFR 240.17 Ad-22(e)(3)(i).
    \7\ 17 CFR 240.17 Ad-22(e)(3)(i).
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    Rule 17A-22(e)(16) requires clearing agencies to safeguard their 
own and their ``participants' assets, minimize the risk of loss and 
delay in access to these assets, and invest such assets in instruments 
with minimal credit, market and liquidity risks.'' \8\ As discussed 
above, the amendments to the Liquidity Management Procedures are 
intended to enhance account opening procedures, which will facilitate 
protection of assets of Clearing Members and their customers provided 
to the Clearing House. The proposed updates to the Investment 
Management Procedures would clarify Maximum Issuer/Counterparty 
Concentration Limits applied in connection with the investment of 
assets of Clearing Members and their customers. As such, the revised 
Liquidity Management Procedures and Investment Management Procedures 
will help enable the Clearing House to safeguard such assets and 
minimize the risk of loss from liquidity and investment risks, 
consistent with the requirements of Rule 17Ad-22(e)(16).\9\
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    \8\ 17 CFR 240.17Ad-22(e)(16).
    \9\ 17 CFR 240.17Ad-22(e)(16).
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(B) Clearing Agency's Statement on Burden on Competition

    ICE Clear Europe does not believe the proposed documents would have 
any impact, or impose any burden, on competition not necessary or 
appropriate in furtherance of the purposes of the Act. The changes are 
being proposed in order to update the Liquidity Management Procedures 
and the Investment Management Procedures to provide clarifications and 
additional details where necessary in order to reflect existing 
practices and are not intended to impose new requirements on Clearing 
Members. The terms of clearing are not otherwise changing. ICE Clear 
Europe does not believe that proposed amendments would adversely affect 
competition among Clearing Members or other market participants or 
affect the ability of market participants to access clearing generally. 
Therefore, ICE Clear Europe 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 amendments have not been 
solicited or received by ICE Clear Europe. ICE Clear Europe will notify 
the Commission of any written comments received with respect to the 
proposed rule change and adoption.

III. Date of Effectiveness of the Proposed Rule Change, Security-Based 
Swap Submission and Advance Notice 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 protected]. Please include 
File Number SR-ICEEU-2021-020 on the subject line.

Paper Comments

     Send paper comments in triplicate to Secretary, Securities 
and Exchange Commission, 100 F Street NE, Washington, DC 20549-1090.

All submissions should refer to File Number SR-ICEEU-2021-020. 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

[[Page 62590]]

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 Europe and on ICE 
Clear Europe's website at https://www.theice.com/clear-europe/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-ICEEU-2021-020 and should be 
submitted on or before December 1, 2021.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\10\
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    \10\ 17 CFR 200.30-3(a)(12).
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Jill M. Peterson,
Assistant Secretary.
[FR Doc. 2021-24529 Filed 11-9-21; 8:45 am]
BILLING CODE 8011-01-P