Notice2022-15117
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
Primary source
Metadata and text below are from the Federal Register, a public-domain U.S. government work. Always verify the official published version before relying on it for any legal matter.
Published
July 15, 2022
Issuing agencies
Securities and Exchange Commission
Full Text
<html>
<head>
<title>Federal Register, Volume 87 Issue 135 (Friday, July 15, 2022)</title>
</head>
<body><pre>
[Federal Register Volume 87, Number 135 (Friday, July 15, 2022)]
[Notices]
[Pages 42530-42532]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[FR Doc No: 2022-15117]
-----------------------------------------------------------------------
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.
---------------------------------------------------------------------------
\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).
---------------------------------------------------------------------------
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.
---------------------------------------------------------------------------
\5\ 15 U.S.C. 78q-1.
\6\ 17 CFR 240.17Ad-22.
\7\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------
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\
---------------------------------------------------------------------------
\8\ Id.
---------------------------------------------------------------------------
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\
---------------------------------------------------------------------------
\9\ 17 CFR 240.17Ad-22.
\10\ 17 CFR 240.17Ad-22(e)(3)(i).
\11\ Id.
---------------------------------------------------------------------------
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\
---------------------------------------------------------------------------
\12\ 17 CFR 240.17Ad-22(e)(4)(ii).
\13\ Id.
---------------------------------------------------------------------------
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\
---------------------------------------------------------------------------
\14\ 17 CFR 240.17Ad-22(e)(6)(i).
\15\ Id.
---------------------------------------------------------------------------
(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
<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#b2c0c7ded79fd1dddfdfd7dcc6c1f2c1d7d19cd5ddc4"><span class="__cf_email__" data-cfemail="6b191e070e46080406060e051f182b180e08450c041d">[email protected]</span></a>. 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 (<a href="http://www.sec.gov/rules/sro.shtml">http://www.sec.gov/rules/sro.shtml</a>).
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 <a href="https://www.theice.com/clear-credit/regulation">https://www.theice.com/clear-credit/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-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\
---------------------------------------------------------------------------
\16\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2022-15117 Filed 7-14-22; 8:45 am]
BILLING CODE 8011-01-P
</pre><script data-cfasync="false" src="/cdn-cgi/scripts/5c5dd728/cloudflare-static/email-decode.min.js"></script></body>
</html>Indexed from Federal Register on July 15, 2022.
This is legal information, not legal advice. Laws vary by jurisdiction and change frequently. Always verify current law with official sources and consult a licensed attorney in your jurisdiction for advice on your specific situation.