[Federal Register Volume 91, Number 8 (Tuesday, January 13, 2026)]
[Notices]
[Pages 1368-1370]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2026-00427]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-104559; File No. SR-ICC-2025-014]
Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of
Filing of Proposed Rule Change Relating to the ICC Collateral Risk
Management Framework
January 8, 2026.
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 December 29,
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.
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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
Collateral Risk Management Framework (``CRMF''). These revisions do not
require any changes to the ICC Clearing Rules (the ``Rules'').\3\
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\3\ ICC's Rules are available on its public website: https://www.ice.com/publicdocs/clear_credit/ICE_Clear_Credit_Rules.pdf.
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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.
[[Page 1369]]
(A) Clearing Agency's Statement of the Purpose of, and Statutory Basis
for, the Proposed Rule Change
(a) Purpose
ICC proposes revising its CRMF, which includes the collateral
assets risk management methodology used to set collateral haircuts.
More specifically, the CRMF describes ICC's quantitative risk
management approach that accounts for the risk associated with
fluctuations of collateral asset prices through the application of
haircut factors. ICC believes the proposed revisions described below
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 primary purpose of the proposed rule change is to amend the
CRMF to address independent validator recommendations. The proposed
changes remove outdated references to multiple risk measures and more
clearly describe ICC's practice of rounding haircut factors and
performing back-testing analysis. Overall, such changes do not amend
ICC's collateral assets risk management methodology and are intended to
provide additional transparency in the CRMF.
ICC proposes minor changes to remove outdated references to
multiple risk measures in the CRMF. Currently, ICC considers one risk
measure (i.e., Expected Shortfall) to determine haircut factors that
capture potential collateral value losses. References to multiple risk
measures stem from an earlier version of the CRMF, which considered two
risk measures (i.e., Expected Shortfall and Value-at-Risk at two
different risk horizons and quantiles) and utilized the more
conservative of the two to determine haircut factors that capture
potential collateral value losses.\4\ Accordingly, ICC proposes
amending Sections I and III to remove any remaining reference to Value-
at-Risk and change related terminology, such as ``risk measures'' and
``risk horizons'', from plural to singular.
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\4\ See Securities Exchange Act Release No. 100274 (June 5,
2024), 89 FR 49252 (June 11, 2024) (File No. SR-ICC-2024-003)
(amending the CRMF to remove the Value-at-Risk risk measure from
ICC's haircut model approach).
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ICC proposes clarifications to more clearly describe its practice
of rounding haircut factors via a rounding interval in Section I.c. ICC
proposes to begin Section I.c. with additional background on the
execution and review of collateral haircut factor estimations. Such
practice is not new and is currently reflected in Section III, which
describes the governance associated with the CRMF. ICC proposes to
specify the purpose of rounding estimated haircut factors to ensure
appropriate stability and some conservative bias in between periodic
reviews. ICC also proposes to describe the rounding interval and the
levels within the interval that are considered to achieve stability.
ICC would also specify how final haircut factors are set for currency
pairs and for sovereign debt collateral to ensure conservative
haircuts. As noted above, such changes do not amend ICC's collateral
assets risk management methodology and are intended to more clearly
reflect current practices.
ICC proposes clarifications to Section III of the CRMF to more
clearly describe the back-testing sample size or ``lookback period''
used in its analysis. Currently, Section III discusses the review of
the collateral haircut model's performance, including back-testing of
applicable risk factors. The proposed revisions describe the rationale
for selecting lookback periods, consistent with ICC's Back-Testing
Framework.\5\ Specifically, ICC proposes language explaining the
benefits of a maximum lookback period, including the use of a larger
sample size to reduce potential bias and arbitrariness related to a
fixed-length rolling window. Additional changes discuss ICC's actions
in the event of new observed exceedances, including the consideration
of shorter lookback periods, and describe ICC's rationale for the
minimum back-testing window length. Such language is proposed for
transparency regarding how ICC evaluates collateral haircut model
performance and responds to new exceedances within the CRMF. Moreover,
such changes do not amend ICC's back-testing methodology and practices,
and the proposed language regarding lookback periods is consistent with
ICC's Back-Testing Framework.\6\
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\5\ See Securities Exchange Act Release No. 93388 (October 20,
2021), 86 FR 59258 (October 26, 2021) (File No. SR-ICC-2021-018)
(amending the Back-Testing Framework to include additional
description on the lookback period for back-testing).
\6\ Id.
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(b) Statutory Basis
ICC believes that the proposed rule change is consistent with the
requirements of Section 17A of the Act \7\ and the regulations
thereunder applicable to it, including the applicable standards under
Rule 17Ad-22.\8\ In particular, Section 17A(b)(3)(F) of the Act \9\
requires that the rule change be designed to promote the prompt and
accurate clearance and settlement of securities transactions and
derivative agreements, contracts and transactions cleared by ICC, to
assure the safeguarding of securities and funds in the custody or
control of ICC or for which it is responsible, and to protect investors
and the public interest.
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\7\ 15 U.S.C. 78q-1.
\8\ 17 CFR 240.17Ad-22.
\9\ 15 U.S.C. 78q-1(b)(3)(F).
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As discussed above, the proposed revisions to the CRMF address
independent validator recommendations. Such changes remove outdated
references to multiple risk measures and more clearly describe the
practice of rounding haircut factors and the performance of back-
testing analysis. Such clarifications do not amend ICC's collateral
assets risk management methodology. In ICC's view, such changes more
clearly reflect current practices and provide transparency with respect
to ICC's collateral risk management practices, which would also ensure
that responsible parties carry out their assigned duties effectively
and aid them in doing so. ICC believes that having policies and
procedures that clearly and accurately document its collateral risk
management practices is an important component to the effectiveness of
ICC's risk management system and support ICC's ability to maintain
adequate financial resources and collateral management resources.
Accordingly, ICC believes that 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.\10\
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\10\ Id.
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Rule 17Ad-22(e)(4)(ii) \11\ 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
[[Page 1370]]
proposed revisions enhance ICC's ability to manage its financial
resources by providing further clarity and transparency on its
collateral assets risk management approach by removing outdated
references to multiple risk measures and more clearly describing the
practice of rounding haircut factors and the performance of back-
testing analysis, which will promote the effective and accurate
function of the collateral assets risk management methodology. Such
changes would also promote the implementation of processes and
procedures pertaining to determining and rounding haircut factors and
performing back-testing analysis to ensure that responsible parties
effectively carry out their associated duties. As such, the proposed
amendments would support 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).\12\
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\11\ 17 CFR 240.17Ad-22(e)(4)(ii).
\12\ Id.
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Rule 17Ad-22(e)(5) \13\ requires ICC 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. ICC would continue to limit the assets that ICC accepts as
collateral to those with low credit, liquidity, and market risks under
the proposed rule change. Collateral haircut factor estimations would
continue to be executed daily, and the ICC Risk Department would
continue to review the results and determine any updates, at least
monthly. Furthermore, the CRMF continues to provide a clear framework
for ICC to set and enforce appropriately conservative haircuts for
acceptable collateral assets. As such, the amendments would satisfy the
requirements of Rule 17Ad-22(e)(5).\14\
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\13\ 17 CFR 240.17Ad-22(e)(5).
\14\ 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
remove outdated references to multiple risk measures and more clearly
describe the practice of rounding haircut factors and the performance
of back-testing analysis. Such changes do not amend ICC's collateral
assets risk management methodology and are intended to provide
additional transparency in the CRMF. 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 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
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 (https://www.sec.gov/rules-regulations/self-regulatory-organization-rulemaking);
or
Send an email to [email protected]. Please include
file number SR-ICC-2025-014 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-2025-014. 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 of submission. The Commission will post all
comments on the Commission's internet website (https://www.sec.gov/rules-regulations/self-regulatory-organization-rulemaking). Copies of
such filings will be available for inspection and copying at the
principal office of ICE Clear Credit and on ICE Clear Credit's website
at https://www.ice.com/clear-credit/regulation.
Do not include personal identifiable information in submissions,
you should submit only information that you wish to make available
publicly. We may redact in part or withhold entirely from publication
submitted material that is obscene or subject to copyright protection.
All submissions should refer to file number SR-ICC-2025-014 and
should be submitted on or before February 3, 2026.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\15\
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\15\ 17 CFR 200.30-3(a)(12).
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Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2026-00427 Filed 1-12-26; 8:45 am]
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