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

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November 10, 2021

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Securities and Exchange Commission

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<title>Federal Register, Volume 86 Issue 215 (Wednesday, November 10, 2021)</title>
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[Federal Register Volume 86, Number 215 (Wednesday, November 10, 2021)]
[Notices]
[Pages 62588-62590]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[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.

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

<bullet> Use the Commission's internet comment form (<a href="http://www.sec.gov/rules/sro.shtml">http://www.sec.gov/rules/sro.shtml</a>) or
<bullet> Send an email to <a href="/cdn-cgi/l/email-protection#d8aaadb4bdf5bbb7b5b5bdb6acab98abbdbbf6bfb7ae"><span class="__cf_email__" data-cfemail="2755524b420a44484a4a424953546754424409404851">[email&#160;protected]</span></a>. Please include
File Number SR-ICEEU-2021-020 on the subject line.

Paper Comments

<bullet> 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 (<a href="http://www.sec.gov/rules/sro.shtml">http://www.sec.gov/rules/sro.shtml</a>).
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 <a href="https://www.theice.com/clear-europe/regulation">https://www.theice.com/clear-europe/regulation</a>. 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

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