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Notice2026-03603

Self-Regulatory Organizations; ICE Clear Credit LLC; Order Approving Proposed Rule Change Relating to the ICC Collateral Risk Management Framework

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Published

February 24, 2026

Issuing agencies

Securities and Exchange Commission

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<title>Federal Register, Volume 91 Issue 36 (Tuesday, February 24, 2026)</title>
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[Federal Register Volume 91, Number 36 (Tuesday, February 24, 2026)]
[Notices]
[Pages 8930-8932]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[FR Doc No: 2026-03603]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-104867; File No. SR-ICC-2025-014]

Self-Regulatory Organizations; ICE Clear Credit LLC; Order
Approving Proposed Rule Change Relating to the ICC Collateral Risk
Management Framework

February 19, 2026.

I. Introduction

On December 29, 2025, ICE Clear Credit LLC (``ICC'') filed with the
Securities and Exchange Commission (``Commission''), pursuant to
Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act'') \1\
and Rule 19b-4 thereunder,\2\ a proposed rule change to revise the ICC
Collateral Risk Management Framework (the ``Proposed Rule Change'').
The Proposed Rule Change was published for comment in the Federal
Register on January 13, 2026.\3\ On January 29, 2026, the Commission
designated a longer period within which to take action on the Proposed
Rule Change, until April 13, 2026.\4\ The Commission has not received
any comments on the Proposed Rule Change. For the reasons discussed
below, the Commission is approving the Proposed Rule Change.
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ Securities Exchange Act Release No. 104559 (Jan. 8, 2026),
91 FR 1368 (Jan. 13, 2026) (File No. SR-ICC-2025-014) (``Notice'').
\4\ Securities Exchange Act Release No. 104741 (Jan. 29, 2026),
91 FR 4974 (Feb. 3. 2026).
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II. Description of the Proposed Rule Change

ICC is registered with the Commission as a clearing agency for the
purpose of clearing CDS contracts for its Clearing Participants.\5\
Clearing CDS contracts for its Clearing Participants exposes ICC to
credit risk. To manage and mitigate this credit risk, ICC monitors its
credit exposures and requires Clearing Participants to satisfy margin
requirements and contribute to a guaranty fund. Clearing Participants,
in turn, meet their margin and guaranty fund requirements by posting
collateral to ICC.\6\
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\5\ Capitalized terms not otherwise defined herein have the
meanings assigned to them in ICC's Clearing Rules or the Collateral
Risk Management Framework, as applicable. The Rules are available at
<a href="https://www.ice.com/clear-credit/regulation">https://www.ice.com/clear-credit/regulation</a>.
\6\ For additional information regarding ICC and the operation
of its clearing services, see ICC Disclosure Framework, <a href="https://www.ice.com/publicdocs/clear_credit/ICEClearCredit_DisclosureFramework.pdf">https://www.ice.com/publicdocs/clear_credit/ICEClearCredit_DisclosureFramework.pdf</a>.
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ICC limits the assets it accepts as collateral to those with low
credit,

[[Page 8931]]

liquidity, and market risks, including cash and certain U.S. Treasury
securities. Nevertheless, the price of collateral may fluctuate,
leading to the risk that the value of collateral could be less than
needed to satisfy margin or guaranty fund requirements. To manage this
potential risk, ICC, among other things, values its collateral holdings
daily and applies haircut factors to the value of collateral. These
haircut factors are designed to account for potential decline in value
of collateral during stressed market conditions. The Collateral Risk
Management Framework (``CRMF'') describes ICC's quantitative risk
management approach to collateral, including accounting for the risk
associated with fluctuations of collateral asset prices through the
determination and application of haircut factors to the value of
collateral.
ICC proposes revising the CRMF to add further description of how it
rounds up final haircut factors and conducts back-testing of the
performance of its collateral risk management. ICC also proposes
removing and updating outdated references in the CRMF. These changes
are intended to address certain recommendations stemming from an
independent validator's review of the CRMF and to make the CRMF
consistent with ICC's Back-Testing Framework.\7\ These changes do not
amend ICC's overall methodology for collateral risk.\8\
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\7\ Notice, 91 FR at 1369.
\8\ Id.
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A. Haircut Factor Rounding

As described in Section I.c of the CRMF, ICC rounds up its final
haircut factors to ensure stability and some conservative bias. ICC
does not propose changing the methodology associated with this rounding
but rather proposes clarifications to describe its practice of rounding
haircut factors.
ICC proposes clarifying the description of the rounding process by
adding background on the execution and review of collateral haircut
factor estimations. This background information specifies that
collateral haircut factor estimations are executed daily as part of the
risk management process. ICC's Risk Department reviews the results and
determines any need for updates, at least monthly. ICC proposes to
specify that the purpose of rounding estimated haircut factors is to
ensure appropriate stability and some conservative bias in between
periodic reviews. ICC proposes to describe the rounding interval and
the levels within the interval that are considered to achieve
stability. ICC also proposes to 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, some of which are currently
reflected in Section III of the CRMF.\9\
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\9\ Notice, 91 FR at 1369.
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B. Back-Testing

As described in Section III of the CRMF, ICC's Risk Department
reviews ICC's collateral haircut model, including by reviewing a
statistical performance of the haircut factors through back-testing.
ICC does not propose changing the methodology associated with this
back-testing but rather proposes clarifications to describe how ICC
determines the time periods used in conducting back-testing, consistent
with ICC's Back-Testing Framework.\10\
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\10\ 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).
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Specifically, ICC proposes changes to more clearly describe the
back-testing sample size or ``lookback period'' used in back-testing.
ICC proposes to add language clarifying that the maximum back-testing
sample-size is not limited to a fixed number of observations to avoid
the impact of potential bias and arbitrariness related to a fixed-
length rolling back testing window.
ICC also proposes to add language describing 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. ICC proposes to add language stating that
in the event of new observed exceedances, ICC may also consider a
shorter lookback period.

C. Outdated References

ICC proposes minor changes to remove outdated references to
multiple risk measures in the CRMF. Currently, ICC considers one risk
measure, Expected Shortfall, to determine haircuts. In prior versions
of the CRMF, ICC considered Expected Shortfall and a Value-at-Risk
measures to determine haircuts, but ICC removed the Value-at-Risk
measure in 2024.\11\ ICC proposes amending the CRMF to remove any
remaining references to Value-at-Risk and change related terminology,
such as ``risk measures'' and ``risk horizons'', from plural to
singular.
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\11\ 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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III. Discussion and Commission Findings

Section 19(b)(2)(C) of the Act requires the Commission to approve a
proposed rule change of a self-regulatory organization if it finds that
the proposed rule change is consistent with the requirements of the Act
and the rules and regulations thereunder applicable to the
organization.\12\ Under the Commission's Rules of Practice, the
``burden to demonstrate that a proposed rule change is consistent with
the Exchange Act and the rules and regulations issued thereunder . . .
is on the self-regulatory organization [`SRO'] that proposed the rule
change.'' \13\
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\12\ 15 U.S.C. 78s(b)(2)(C).
\13\ Rule 700(b)(3), Commission Rules of Practice, 17 CFR
201.700(b)(3).
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The description of a proposed rule change, its purpose and
operation, its effect, and a legal analysis of its consistency with
applicable requirements must all be sufficiently detailed and specific
to support an affirmative Commission finding,\14\ and any failure of an
SRO to provide this information may result in the Commission not having
a sufficient basis to make an affirmative finding that a proposed rule
change is consistent with the Exchange Act and the applicable rules and
regulations.\15\ Moreover, ``unquestioning reliance'' on an SRO's
representations in a proposed rule change is not sufficient to justify
Commission approval of a proposed rule change.\16\
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\14\ Id.
\15\ Id.
\16\ Susquehanna Int'l Group, LLP v. Securities and Exchange
Commission, 866 F.3d 442, 447 (D.C. Cir. 2017).
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After carefully considering the Proposed Rule Change, the
Commission finds that the Proposed Rule Change is consistent with the
requirements of the Act and the rules and regulations thereunder
applicable to ICC. More specifically, the Commission finds that the
Proposed Rule Change is consistent with Section 17A(b)(3)(F) of the Act
\17\ and Rule 17ad-22(e)(5) \18\ thereunder, as described in detail
below.
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\17\ 15 U.S.C. 78q-1(b)(3)(F).
\18\ 17 CFR 240.17ad-22(e)(5).
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A. Consistency With Section 17A(b)(3)(F) of the Act

Under Section 17A(b)(3)(F) of the Act, ICC's rules, among other
things, must be ``designed to promote the prompt and accurate clearance
and settlement of securities transactions and . . . to assure the
safeguarding of securities and

[[Page 8932]]

funds which are in the custody or control of the clearing agency or for
which it is responsible . . . .'' \19\ Based on a review of the record,
and for the reasons discussed below, the Proposed Rule Change is
consistent with Section 17A(b)(3)(F).\20\
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\19\ 15 U.S.C. 78q-1(b)(3)(F).
\20\ Id.
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The Proposed Rule Change is consistent with Section 17A(b)(3)(F) of
the Act \21\ because it would clarify the CRMF and make it internally
consistent. As discussed above, ICC proposes to update its CRMF by
adding more description regarding ICC's practices for rounding up final
haircuts and for determining the sample size used in back-testing,
consistent with ICC's Back-Testing Framework. Further, ICC proposes to
remove outdated references to Value-at-Risk terminology to reflect
ICC's current practice of using only an Expected Shortfall risk measure
to determine haircuts.
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\21\ Id.
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Although these changes would not alter ICC's methodology for
determining haircuts, they make ICC's use of the CRMF more effective,
by making the application of the CRMF more consistent and reducing the
possibility of error in applying the CRMF. In doing so, the Commission
believes that the Proposed Rule Change could enhance ICC's ability to
set and enforce appropriate haircuts, which, in turn could enhance
ICC's ability to manage collateral risk and therefore maintain the
financial resources needed to promptly and accurately clear and settle
securities transactions.
Moreover, having policies and procedures that clearly and
accurately document the way ICC measures risk associated with
fluctuations of collateral asset prices is an important component to
the effectiveness of ICC's risk management system and supports ICC's
ability to maintain adequate financial resources and collateral
management resources. The Proposed Rule Change is, consequently,
consistent with the prompt and accurate clearance and settlement of
securities transactions, derivatives agreements, contracts, and
transactions, within the meaning of Section 17A(b)(3)(F) of the
Act.\22\
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\22\ Id.
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Accordingly, the Proposed Rule Change is consistent with the
requirements of Section 17A(b)(3)(F) of the Act.\23\
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\23\ Id.
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B. Consistency With Rule 17ad-22(e)(5)

Under Rule 17ad-22(e)(5), ICC must, establish, implement, maintain,
and enforce written policies and procedures reasonably designed to,
among other things, set and enforce appropriately conservative
haircuts.\24\ As discussed above, ICC proposes to add to the CRMF more
description regarding ICC's practices for rounding up final haircuts
and for determining the sample size used in back-testing the
performance of ICC's haircuts, and proposes to remove outdated
references to Value-at-Risk terminology to reflect ICC's current
practice of using only an Expected Shortfall risk measure to determine
haircuts.
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\24\ 17 CFR 240.17ad-22(e)(5). Rule 17ad-22(e)(5) requires a
covered clearing agency, such as ICC, to ``set and enforce
appropriately conservative haircuts and concentration limits if the
covered clearing agency requires collateral to manage its or its
participants' credit exposure . . . .'' As noted above, ICC requires
its clearing participants to post collateral to manage their credit
exposure, and therefore, ICC is required to set and enforce
appropriately conservative haircuts and concentration limits for
that collateral.
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\25\ 17 CFR 240.17ad-22(e)(5).
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IV. Conclusion

On the basis of the foregoing, the Commission finds that the
proposed rule change is consistent with the requirements of the Act,
and in particular, Section 17A(b)(3)(F) of the Act \26\ and Rule 17ad-
22(e)(5) \27\ thereunder.
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\26\ 15 U.S.C. 78q-1(b)(3)(F).
\27\ 17 CFR 240.17ad-22(e)(5).
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It is therefore ordered pursuant to Section 19(b)(2) of the Act
\28\ that the proposed rule change (SR-ICC-2025-014) be, and hereby is,
approved.\29\
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\28\ 15 U.S.C. 78s(b)(2).
\29\ In approving the proposed rule change, the Commission
considered the proposal's impacts on efficiency, competition, and
capital formation. 15 U.S.C. 78c(f).
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For the Commission by the Division of Trading and Markets, pursuant
to delegated authority.\30\
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\30\ 17 CFR 200.30-3(a)(12).

Sherry R. Haywood,
Assistant Secretary.
[FR Doc. 2026-03603 Filed 2-23-26; 8:45 am]
BILLING CODE 8011-01-P

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