[Federal Register Volume 87, Number 135 (Friday, July 15, 2022)]
[Notices]
[Pages 42530-42532]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2022-15117]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-95244; File No. SR-ICC-2022-009]


Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of 
Filing and Immediate Effectiveness of Proposed Rule Change Relating to 
the Risk Management Framework and the Risk Management Model Description

July 11, 2022.
    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 June 30, 2022, ICE Clear Credit LLC (``ICC'') filed with 
the Securities and Exchange Commission (``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 to Section 19(b)(3)(A) of the Act \3\ and Rule 19b-4(f)(1) 
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)(1).
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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 Risk Management Framework (``RMF'') and the ICC Risk Management 
Model Description (``RMMD'') (collectively, the ``Risk Management 
Policies''). 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 revisions to the Risk Management Policies. The 
proposed amendments consist of clarifications that are intended to 
promote consistency across related provisions in ICC's Rules and 
procedures and would not change any current risk methodologies, 
practices, or requirements. ICC believes the proposed changes 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 shortly after filing with the Commission, on or about 
July 18, 2022. The proposed rule change is described in detail as 
follows.
    ICC proposes language clarifications to the Risk Management 
Policies to ensure consistency with the ICC Rules. Under ICC Rule 
801(a)(ii), the required contribution to the Guaranty Fund

[[Page 42531]]

(``GF'') for each Clearing Participant (``CP'') is recalculated daily, 
and if such calculation results in an increase of 5% or more, the 
required contribution for such CP is reset to the higher level. The 
proposed changes replicate the ``increase of 5% or more'' language in 
related provisions in the RMF and RMMD to ensure that language in the 
RMF and RMMD clearly and consistently reflects ICC's current practices. 
Section IV.E.4 of the RMF calls for additional GF contributions if a 
CP's daily estimated GF requirements exceed 5% of their prior day's GF 
collateral on deposit. The proposed changes specify that the estimated 
GF requirements exceed by an increase of 5% or more the prior day's GF 
collateral on deposit. Under Section XI of the RMMD, ICC executes a GF 
call if the model GF allocation for a CP exceeds the total GF amount on 
deposit by more than 5%. The proposed changes specify that the model GF 
allocation exceed by an increase of 5% or more the total GF amount on 
deposit. These revisions would not change current risk methodologies, 
practices, or requirements and are intended to ensure that language in 
the RMF and RMMD clearly reflects ICC's current practices. Moreover, 
such changes ensure consistency across related provisions in the ICC 
Rules and procedures.
(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.
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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).
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    The proposed rule change is limited to language clarifications 
designed to promote consistency across related provisions in ICC's 
Rules and procedures. Namely, the proposed changes incorporate the 
``increase of 5% or more'' language from ICC Rule 801(a)(ii) in related 
provisions in the RMF and RMMD to ensure that language in these 
documents clearly reflects ICC's current practices. The amendments 
would not change current risk methodologies, practices, or 
requirements. These amendments strengthen the Risk Management Policies 
as they provide clarity with respect to current practices to ensure 
that the RMF and RMMD remain up-to-date, transparent, and effective. 
Such changes also promote readability and understanding regarding 
current provisions associated with GF calls, thereby promoting the 
successful maintenance and operation of the Risk Management Policies. 
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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    \8\ Id.
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    The amendments would also satisfy relevant requirements of Rule 
17Ad-22.\9\ Rule 17Ad-22(e)(3)(i) \10\ requires ICC 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 it, 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 it, 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. The Risk 
Management Policies are key aspects of ICC's risk management approach, 
and the proposed amendments would ensure further clarity and 
transparency in the documentation, which would promote the successful 
maintenance and operation of the Risk Management Policies. As such, the 
amendments would satisfy the requirements of Rule 17Ad-22(e)(3)(i).\11\
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    \9\ 17 CFR 240.17Ad-22.
    \10\ 17 CFR 240.17Ad-22(e)(3)(i).
    \11\ Id.
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    Rule 17Ad-22(e)(4)(ii) \12\ requires ICC 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 ICC in extreme but 
plausible market conditions. The proposed changes promote uniformity 
across related provisions in the ICC Rules and procedures to avoid 
potential confusion and to ensure clarity with respect to GF calls in 
the Risk Management Policies, such that ICC's Rules and procedures 
remain consistent, effective, clear, and transparent. The changes more 
clearly articulate current practices regarding GF calls, thereby 
strengthening the Risk Management Policies by ensuring completeness and 
clear guidance. 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).\13\
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    \12\ 17 CFR 240.17Ad-22(e)(4)(ii).
    \13\ Id.
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    Rule 17Ad-22(e)(6)(i) \14\ requires ICC to establish, implement, 
maintain, and enforce written policies and procedures reasonably 
designed to cover its credit exposures to its participants by 
establishing a risk-based margin system that, at a minimum, considers, 
and produces margin levels commensurate with, the risks and particular 
attributes of each relevant product, portfolio, and market. As 
described above, the proposed language updates promote clarity and 
transparency in the Risk Management Policies, ensure consistent 
language with the ICC Rules, and do not change current risk 
methodologies, practices, or requirements. ICC's margin methodology 
will continue to consider and produce margin levels commensurate with 
the risks and particular attributes of each relevant product, 
portfolio, and market, consistent with the requirements of Rule 17Ad-
22(e)(6)(i).\15\
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    \14\ 17 CFR 240.17Ad-22(e)(6)(i).
    \15\ 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 
the Risk Management Policies will apply uniformly across all market 
participants. They are limited to language

[[Page 42532]]

clarifications and designed to promote consistency across related 
provisions in ICC's Rules and procedures without changing any current 
risk methodologies, practices, or requirements. ICC does not believe 
these amendments would affect the costs of clearing or the ability of 
market participants to access clearing. Therefore, ICC does not believe 
the proposed rule change would impose 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

    The foregoing rule change has become effective pursuant to Section 
19(b)(3)(A) of the Act and paragraph (f) of Rule 19b-4 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.

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-2022-009 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-2022-009. 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-2022-009 and should be 
submitted on or before August 5, 2022.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\16\
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    \16\ 17 CFR 200.30-3(a)(12).
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J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2022-15117 Filed 7-14-22; 8:45 am]
BILLING CODE 8011-01-P