Notice2025-23244
Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of Filing of Proposed Rule Change Relating to the ICC Risk Management Framework, ICC Risk Management Model Description, and ICC End-of-Day Price Discovery Policies and Procedures
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
December 18, 2025
Issuing agencies
Securities and Exchange Commission
Full Text
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<title>Federal Register, Volume 90 Issue 241 (Thursday, December 18, 2025)</title>
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[Federal Register Volume 90, Number 241 (Thursday, December 18, 2025)]
[Notices]
[Pages 59251-59254]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[FR Doc No: 2025-23244]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-104408; File No. SR-ICC-2025-012]
Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of
Filing of Proposed Rule Change Relating to the ICC Risk Management
Framework, ICC Risk Management Model Description, and ICC End-of-Day
Price Discovery Policies and Procedures
December 15, 2025.
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 4,
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
ICC Risk Management Framework (``RMF''), ICC Risk Management Model
Description (``RMMD''), and ICC End-of-Day Price Discovery Policies and
Procedures (``Pricing Policy''). 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 ICC's public website: <a href="https://www.ice.com/publicdocs/clear_credit/ICE_Clear_Credit_Rules.pdf">https://www.ice.com/publicdocs/clear_credit/ICE_Clear_Credit_Rules.pdf</a>.
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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.
(A) Clearing Agency's Statement of the Purpose of, and Statutory Basis
for, the Proposed Rule Change
(a) Purpose
ICC proposes to enhance its liquidity charge methodology for credit
default swap (``CDS'') index instruments by amending the RMF and RMMD.
ICC also proposes additional updates to reflect current governance
practices and make minor clean-up changes in the RMF, RMMD, and Pricing
Policy. ICC believes that such revisions 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 proposed revisions
are described in detail as follows.
I. Index Liquidity Charge Enhancement
ICC proposes to update its liquidity charge methodology for CDS
index instruments. The liquidity charge represents one component of the
Initial Margin (``IM'') requirement that ICC calculates for each
Clearing Participant (``CP'') portfolio.\4\ The liquidity charge
incorporates the transaction costs associated with liquidating the
portfolio of a defaulting CP under stress market conditions. More
specifically, ICC estimates a liquidity charge for CDS index
instruments by directly considering the bid-offer width (``BOW'')
values used for ICC's end-of-day price discovery process.\5\ For each
CDS index instrument, ICC maintains three predefined BOWs that
correspond to one of three specific market regimes or levels. Level I
is associated with normal market conditions, Level II is
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associated with market conditions that experience some measure of
volatility, and Level III is associated with more extreme market
conditions. The predefined BOW for Level I is smaller than the BOW for
Level II, and the predefined BOW for Level II is smaller than the BOW
for Level III.
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\4\ ICC's IM requirements consist of a set of individual
components that account for credit spread and recovery rate risk,
bid-offer risk, basis risk, jump-to-default risk, concentration
risk, and interest rate risk. The bid-offer risk component is also
referred to as the liquidity charge.
\5\ ICC's end-of-day price discovery process is set out in
detail in the Pricing Policy. See Securities Exchange Act Release
No. 101970 (December 19, 2024), 89 FR 105654 (December 27, 2024)
(File No. SR-ICC-2024-012).
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The current liquidity charge methodology for CDS index instruments
assumes that short protection and long protection positions are
liquidated at different BOWs. To estimate CDS index instrument
liquidity charges, ICC uses Level II conditions (volatile) for long
protection positions and Level III conditions (extreme) for short
protection positions.\6\ Under the proposed changes to the CDS index
liquidity charge methodology, short protection and long protection
positions would be liquidated at the same BOWs. Specifically, to
estimate CDS index instrument liquidity charges, ICC would use Level
III conditions for both long and short protection positions.
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\6\ ICC adopted this approach to reflect that selling protection
may carry more risk and incur higher cost of liquidation by
exhibiting wider BOWs. The proposed changes would generally make the
index liquidity charge methodology more conservative by using Level
III conditions (extreme) for both long and short protection
positions, instead of just for short protection positions.
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ICC believes that the proposed changes would enhance the CDS index
liquidity charge methodology. Such changes would simplify the
methodology by making the methodology consistent for both CDS index and
single name instruments by using symmetric BOWs \7\ that reflect stress
market conditions, which would promote ease of understanding of ICC's
methodology.\8\ The proposed changes further promote the overall
robustness of the liquidity charge methodology for CDS index
instruments by using Level III conditions for long and short protection
positions.
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\7\ Symmetric BOWs apply the same Level III conditions for both
long and short protection positions, whereas asymmetric BOWs apply
different conditions (i.e., Level II conditions for long protection
positions and Level III conditions for short protection positions).
\8\ The CDS single name liquidity charge methodology
incorporates a price-based BOW component to provide stability of
requirements and a dynamic spread-based BOW component to reflect the
additional risk associated with distressed market conditions. See
Securities Exchange Act Release No. 79220 (November 2, 2016), 81 FR
78677 (November 8, 2016) (File No. SR-ICC-2016-010).
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To implement the changes ICC would update the RMF and RMMD as
follows. Section IV.B.2 of the RMF states that ICC's liquidity charge
approach assumes, in general, that short protection and long protection
positions are liquidated at different BOWs. Amended Section IV.B.2
would state that short protection and long protection positions are
liquidated at the same BOWs.
ICC proposes to similarly update the RMMD to reflect this change.
ICC proposes to update the Table of Mathematical Symbols and Notations
in the RMMD to remove symbols for BOW exposure for bought and sold
protection positions. These symbols are no longer necessary as the
amended methodology assumes that short protection and long protection
positions are liquidated at the same BOWs. In Section II.2, ICC
proposes to remove an equation and related language which uses these
symbols to distinguish between the liquidation of short protection
positions at Level III conditions and long protection positions at
Level II conditions. ICC would remove reference to Level II conditions,
as short protection and long protection positions would be liquidated
at the same BOWs, namely, Level III conditions. Additional changes
would also clarify that Levels I, II, and III range from normal to
extreme market conditions. ICC also proposes a similar update in an
equation that provides the liquidity charge calculation for CDS index
instruments whose quoting convention is in price space. Such changes
remove an equation and related language which distinguishes between the
liquidation of short protection positions at Level III conditions and
long protection positions at Level II conditions.
II. Updates To Reflect Current Governance Practices and Minor Clean-Ups
ICC proposes additional edits to reflect current ICC governance
practices and make minor clean-up changes in the documentation.
Specifically, ICC proposes adding references to the recently
established ICC Board Risk Committee and ICC Nominating Committee in
the RMF.\9\ In Section II of the RMF, ICC proposes adding the Board
Risk Committee and Nominating Committee to the list of relevant ICC
committees for purposes of risk governance and to a chart showing ICC's
governance structure. ICC also proposes a minor edit to this chart to
refer to the Risk Committee as the ``CDS'' Risk Committee to further
distinguish it from the Board Risk Committee in the chart.\10\ In
Section II.A of the RMF, ICC would specify that there are nine
committees which are integral to ICC's risk management and add
descriptions of the Board Risk Committee and Nominating Committee to
reflect current responsibilities, as represented in other rule-filed
documents or their charters, and re-number sections accordingly.\11\
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\9\ ICC previously filed proposed rule changes to establish the
Board Risk Committee and Nominating Committee. See Securities
Exchange Act Release Nos. 103161 (May 30, 2025), 90 FR 23970 (June
5, 2025) (File No. SR-ICC-2025-006) and 101820 (December 5, 2024),
89 FR 99917 (December 11, 2024) (File No. SR-ICC-2024-010).
\10\ Such change is consistent with ICC Rule 501 that refers to
the establishment of a CDS risk committee.
\11\ See supra note 7.
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The proposed changes further specify items that are subject to
Board Risk Committee review. Throughout the RMF, such items include
policies and procedures, memoranda regarding CP membership
applications, position or concentration limits, margin and guaranty
fund levels, performance and composition of collateral, margin
methodology changes, and model revisions. More specifically, certain
periodic reporting would also be directed to the Board Risk Committee
in place of the Board based on the committee's mandate to assist the
Board in fulfilling its oversight responsibilities.\12\ ICC proposes
similar changes to the ``Initial Margin Methodology'' Section of the
RMMD and Section 3 of the Pricing Policy to specify that the RMMD and
Pricing Policy, respectively, are subject to Board Risk Committee
review at least annually, in addition to review by the Risk Committee
and review and approval by the Board at least annually. Additionally,
with respect to the Pricing Policy, ICC proposes minor clean-up changes
to correct typographical errors to properly reflect table numbering
throughout the document.
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\12\ See Securities Exchange Act Release No. 103161 (May 30,
2025), 90 FR 23970, 23970 (June 5, 2025) (File No. SR-ICC-2025-006)
(``the Board Risk Committee would oversee (i) risk management
models, systems, and processes used to identify and manage systemic,
market, credit, and liquidity risks at ICC and (ii) matters that
could materially affect the risk profile of ICC''). The Board Risk
Committee regularly reports its activities to the Board.
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(b) Statutory Basis
ICC believes that the proposed rule change is consistent with the
requirements of Section 17A of the Securities Exchange Act of 1934 (the
``Act'') \13\ and the regulations thereunder applicable to it,
including the applicable standards under Rule 17Ad-22.\14\ In
particular, Section 17A(b)(3)(F) of the Act \15\ 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 applicable, derivative agreements, contracts and
transactions, to assure the
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safeguarding of securities and funds in the custody or control of the
clearing agency or for which it is responsible, and to protect
investors and the public interest.
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\13\ 15 U.S.C. 78q-1.
\14\ 17 CFR 240.17ad-22.
\15\ 15 U.S.C. 78q-1(b)(3)(F).
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The proposed amendments enhance ICC's liquidity charge methodology
for CDS index instruments by amending the RMF and RMMD. The proposed
changes simplify ICC's liquidity charge methodology by making the
methodology consistent for both CDS index and single name instruments
by using symmetric BOWs that reflect stress market conditions, which
promotes ease of understanding of ICC's methodology. ICC also proposes
making additional updates to reflect current governance practices as
well as other minor clean-up changes in the documentation. Such changes
ensure that the documentation remains up-to-date, clear and transparent
to support the effectiveness of ICC's governance arrangements that
support ICC's risk management practices. Additionally, the proposed
clean-ups to table numbering promote understanding and readability of
the documentation, including with respect to ICC's pricing practices.
ICC believes that having policies and procedures that clearly and
accurately document its risk management practices are an important
component to the effectiveness of ICC's risk management system and
support ICC's ability to maintain adequate financial resources, which
promotes 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. Accordingly, in ICC's view, the proposed rule change
is designed to promote the prompt and accurate clearance and settlement
of the contracts cleared at 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,
within the meaning of Section 17A(b)(3)(F) of the Act.\16\
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\16\ Id.
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Rule 17Ad-22(e)(2)(i) and (v) \17\ requires each covered clearing
agency to establish, implement, maintain, and enforce written policies
and procedures reasonably designed to provide for governance
arrangements that are clear and transparent and specify clear and
direct lines of responsibility. As discussed above, the proposed
changes reflect current ICC governance arrangements in the RMF, RMMD,
and Pricing Policy. Specifically, ICC proposes adding references to the
recently established Board Risk Committee and Nominating Committee.
Such changes ensure that the RMF, RMMD, and Pricing Policy are up-to-
date and clearly assign and document responsibility and accountability
for relevant items to the Board Risk Committee and Nominating
Committee. As such, in ICC's view, the proposed rule change continues
to ensure that ICC maintains policies and procedures that are
reasonably designed to provide for clear and transparent governance
arrangements and specify clear and direct lines of responsibility,
consistent with Rule 17Ad-22(e)(2)(i) and (v).\18\
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\17\ 17 CFR 240.17ad-22(e)(2)(i) and (v).
\18\ Id.
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Rule 17Ad-22(e)(3)(i) \19\ 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. The
proposed updates would ensure clarity and transparency in the RMF,
RMMD, and Pricing Policy by making minor clean-up changes to the
documentation. The proposed updates would further ensure clarity and
transparency regarding the review of the documents composing ICC's risk
management framework by the Board Risk Committee, which would promote
the successful maintenance and operation of ICC's risk management
framework. As such, the amendments would satisfy the requirements of
Rule 17Ad-22(e)(3)(i).\20\
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\19\ 17 CFR 240.17ad-22(e)(3)(i).
\20\ Id.
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Rule 17Ad-22(e)(4)(ii) \21\ 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 the soundness
of the model, including by promoting the overall robustness of the
liquidity charge methodology for index instruments by using Level III
conditions for long and short protection positions, which would enhance
ICC's ability to manage risks and maintain appropriate financial
resources. 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).\22\
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\21\ 17 CFR 240.17ad-22(e)(4)(ii).
\22\ 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 RMF, RMMD and Pricing Policy will apply uniformly across all market
participants. 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
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,
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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="https://www.sec.gov/rules-regulations/self-regulatory-organization-rulemaking">https://www.sec.gov/rules-regulations/self-regulatory-organization-rulemaking</a>);
or
<bullet> Send an email to <a href="/cdn-cgi/l/email-protection#cebcbba2abe3ada1a3a3aba0babd8ebdabade0a9a1b8"><span class="__cf_email__" data-cfemail="7301061f165e101c1e1e161d0700330016105d141c05">[email protected]</span></a>. Please include
file number SR-ICC-2025-012 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-2025-012. 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 (<a href="https://www.sec.gov/rules-regulations/self-regulatory-organization-rulemaking">https://www.sec.gov/rules-regulations/self-regulatory-organization-rulemaking</a>). 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 <a href="https://www.ice.com/clear-credit/regulation">https://www.ice.com/clear-credit/regulation</a>.
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-2025-012 and should
be submitted on or before January 8, 2026.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\23\
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\23\ 17 CFR 200.30-3(a)(12).
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Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2025-23244 Filed 12-17-25; 8:45 am]
BILLING CODE 8011-01-P
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