Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of Filing of Proposed Rule Change Relating to the ICC Risk Management Model Description, 19316-19318 [2021-07492]
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19316
Federal Register / Vol. 86, No. 69 / Tuesday, April 13, 2021 / Notices
C. Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received From
Members, Participants, or Others
The Exchange neither solicited nor
received comments on the proposed
rule change.
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 21 and paragraph (f) of Rule
19b–4 22 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. If the
Commission takes such action, the
Commission will institute proceedings
to determine whether the proposed rule
change should be approved or
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:
jbell on DSKJLSW7X2PROD with NOTICES
Electronic Comments
• Use the Commission’s internet
comment form (https://www.sec.gov/
rules/sro.shtml); or
• Send an email to rule-comments@
sec.gov. Please include File Number SR–
CboeEDGX–2021–018 on the subject
line.
Paper Comments
• 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–CboeEDGX–2021–018. 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 (https://www.sec.gov/
rules/sro.shtml). 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 the
filing also will be available for
inspection and copying at the principal
office of the Exchange. 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–CboeEDGX–2021–018 and
should be submitted on or before May
4, 2021.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.23
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021–07493 Filed 4–12–21; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–91493; File No. SR–ICC–
2021–008]
Self-Regulatory Organizations; ICE
Clear Credit LLC; Notice of Filing of
Proposed Rule Change Relating to the
ICC Risk Management Model
Description
April 7, 2021.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934 (the
‘‘Act’’),1 and Rule 19b–4 thereunder,2
notice is hereby given that on March 31,
2021, ICE Clear Credit LLC (‘‘ICC’’) filed
with the Securities and Exchange
Commission the proposed rule change
as described in Items I, II and III below,
which Items have been prepared
primarily by ICC. The Commission is
publishing this notice to solicit
comments on the proposed rule change
from interested persons.
23 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
21 15
U.S.C. 78s(b)(3)(A).
22 17 CFR 240.19b–4(f).
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17:42 Apr 12, 2021
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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 make
changes to ICC’s Risk Management
Model Description. 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, securitybased 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 revising its Risk
Management Model Description to
include an enhancement related to the
index liquidity charge (‘‘LC’’)
methodology and other clarifications.
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.
ICC proposes to amend the ‘‘Initial
Margin Methodology’’ section of the
Risk Management Model Description.
The proposed changes memorialize the
review and approval process of the
document, which consists of review by
the Risk Committee and review and
approval by the Board at least annually.
ICC proposes to revise the ‘‘Liquidity
Charge for Index Risk Factors’’
subsection (Subsection II.2) to include
an enhancement related to the index LC
methodology. The proposed changes
amend a formula for the index series LC.
Currently, to arrive at the index series
LC, ICC takes into account the estimated
LCs for the instruments that belong to
the same index series and the sign of the
notional amount of the instrument.
Under the proposed changes, the index
series LC is established as the more
E:\FR\FM\13APN1.SGM
13APN1
Federal Register / Vol. 86, No. 69 / Tuesday, April 13, 2021 / Notices
conservative liquidity requirement
associated with the sum of the bought
and sold protection position LCs for the
instruments that belong to the same
index series. Such enhancement
represents a unification of the index LC
with the single name and credit default
index swaption (‘‘Index Option’’) 3 LC
methodologies. ICC does not propose
any further changes to the methodology.
ICC proposes additional clarifications
in the Risk Management Model
Description. In the ‘‘Liquidity Charge for
Index Options’’ subsection (Subsection
II.2.1), ICC proposes a clarification with
respect to long Index Option
instruments to specify that the LC
combined with the integrated spread
response requirement will not exceed
the end-of-day option instrument price.
Such amendment reflects the maximum
loss condition. In the ‘‘AntiProcyclicality Measures’’ subsection
(Subsection VII.5.3), ICC proposes
clarifications regarding the scenarios
associated with extreme price decreases
and extreme price increases (the
‘‘Extreme Price Change Scenarios’’).
Specifically, the proposed changes
clarify that the extreme price decrease
and increase scenarios for Index
Options incorporate hypothetical
forward price decreases and increases,
respectively. Further, in respect of the
maximum loss condition, ICC proposes
to update formulas related to the final
portfolio initial margin in the ‘‘Portfolio
Loss Boundary Condition’’ section
(Section IX) to incorporate reference to
the portfolio level integrated spread
response.
jbell on DSKJLSW7X2PROD with NOTICES
(b) Statutory Basis
ICC believes that the proposed rule
change is consistent with the
requirements of Section 17A of the Act 4
and the regulations thereunder
applicable to it, including the applicable
standards under Rule 17Ad–22.5 In
particular, Section 17A(b)(3)(F) of the
Act 6 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. The proposed amendments
include an enhancement related to the
index LC methodology. Such
3 Index Swaptions are also referred to herein and
in the Risk Management Model Description as
‘‘index options’’ or ‘‘index CDS options’’, or in
similar terms.
4 15 U.S.C. 78q–1.
5 17 CFR 240.17Ad–22.
6 15 U.S.C. 78q–1(b)(3)(F).
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17:42 Apr 12, 2021
Jkt 253001
enhancement represents a unification of
the index LC with the single name and
Index Option LC methodologies, which
would simplify the LC methodology and
promote ease of understanding. The
proposed rule change would also
strengthen the governance arrangements
set out in the Risk Management Model
Description by memorializing the
review and approval process for the
document. The proposed clarifications
would further ensure readability and
clarity with respect to ICC’s risk
methodology in the Risk Management
Model Description to ensure that it
remains up-to-date, clear, and
transparent to support the effectiveness
of ICC’s risk management system. The
proposed rule change is therefore
consistent with the prompt and accurate
clearing and settlement of the contracts
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, within
the meaning of Section 17A(b)(3)(F) of
the Act.7
Rule 17Ad–22(e)(2)(i) and (v) 8
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. ICC’s Risk
Management Model Description clearly
assigns and documents responsibility
and accountability for risk decisions
and requires consultation or approval
from relevant parties. The proposed
changes strengthen the governance
procedures and arrangements detailed
in the Risk Management Model
Description by memorializing the
review and approval of the document by
relevant groups at least annually. 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).9
Rule 17Ad–22(e)(3)(i) 10 requires each
covered clearing agency 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
7 Id.
8 17
10 17
PO 00000
that arise in or are borne by the covered
clearing agency, 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 the covered
clearing agency, 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
Model Description is a key aspect of
ICC’s risk management approach, and
the proposed amendments would
memorialize that the document is
reviewed by the Risk Committee and
reviewed and approved by the Board at
least annually. As such, the
amendments would satisfy the
requirements of Rule 17Ad–22(e)(3)(i).11
Rule 17Ad–22(e)(4)(ii) 12 requires
each covered clearing agency 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 the covered clearing
agency in extreme but plausible market
conditions. The proposed changes
promote the soundness of the model
including by enhancing the index LC
methodology, such that the index series
LC is established as the more
conservative liquidity requirement
associated with the sum of the bought
and sold protection position LCs for the
instruments that belong to the same
index series. Such enhancement
represents a unification of the index LC
with the single name and Index Option
LC methodologies, which would
simplify the LC methodology and
promote ease of understanding. ICC
proposes additional clarifications
discussed above related to the
maximum loss condition and the
Extreme Price Change Scenarios. In
ICC’s view, the proposed changes
enhance and provide further clarity and
transparency on ICC’s risk methodology
and, as such, the proposed amendments
would strengthen ICC’s ability to
maintain its financial resources and
withstand the pressures of defaults,
CFR 240.17Ad–22(e)(2)(i) and (v).
9 Id.
11 Id.
CFR 240.17Ad–22(e)(3)(i).
Frm 00107
Fmt 4703
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19317
12 17
E:\FR\FM\13APN1.SGM
CFR 240.17Ad–22(e)(4)(ii).
13APN1
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Federal Register / Vol. 86, No. 69 / Tuesday, April 13, 2021 / Notices
consistent with the requirements of Rule
17Ad–22(e)(4)(ii).13
Rule 17Ad–22(e)(6)(i) 14 requires each
covered clearing agency 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 changes amend a formula with
respect to the index series LC, which
would unify the index LC with the
single name and Index Option LC
methodologies. ICC does not propose to
otherwise change the methodology. The
additional clarifications in respect of the
maximum loss condition and the
Extreme Price Change Scenarios further
promote clarity and transparency in the
Risk Management Model Description.
ICC believes that the proposed changes
enhance the margin methodology,
which 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
(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 ICC’s Risk
Management Model Description will
apply uniformly across all market
participants. 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.
jbell on DSKJLSW7X2PROD with NOTICES
(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
13 Id.
14 17
CFR 240.17Ad–22(e)(6)(i).
15 Id.
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17:42 Apr 12, 2021
Jkt 253001
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/sro.shtml); or
• Send an email to rule-comments@
sec.gov. Please include File Number SR–
ICC–2021–008 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–2021–008. 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 (https://www.sec.gov/
rules/sro.shtml). 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 https://
www.theice.com/clear-credit/regulation.
All comments received will be posted
without change. Persons submitting
comments are cautioned that we do not
redact or edit personal identifying
PO 00000
Frm 00108
Fmt 4703
Sfmt 4703
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–2021–008 and
should be submitted on or before May
4, 2021.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.16
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021–07492 Filed 4–12–21; 8:45 am]
BILLING CODE 8011–01–P
SUSQUEHANNA RIVER BASIN
COMMISSION
Public Hearing
Susquehanna River Basin
Commission.
ACTION: Notice.
AGENCY:
The Susquehanna River Basin
Commission will hold a public hearing
on May 6, 2021. Due to the COVID–19
situation and the relevant orders in
place in the Commission’s member
jurisdictions, the Commission will hold
this hearing telephonically. At this
public hearing, the Commission will
hear testimony on the projects listed in
the SUPPLEMENTARY INFORMATION section
of this notice. The Commission will also
hear testimony on a proposed
rulemaking and three proposed policies
at this hearing. Such projects and
proposals are intended to be scheduled
for Commission action at its next
business meeting, tentatively scheduled
for June 17, 2021, which will be noticed
separately. The public should take note
that this public hearing will be the only
opportunity to offer oral comment to the
Commission for the listed projects and
proposals. The deadline for the
submission of written comments is May
17, 2021.
DATES: The public hearing will convene
on May 6, 2021, at 6:30 p.m. The public
hearing will end at 9:00 p.m. or at the
conclusion of public testimony,
whichever is sooner. The deadline for
the submission of written comments is
May 17, 2021.
ADDRESSES: This hearing will be held by
telephone rather than at a physical
location. Conference Call # 1–888–387–
8686, Conference Room Code #
9179686050.
FOR FURTHER INFORMATION CONTACT:
Jason Oyler, General Counsel and
Secretary to the Commission, telephone:
(717) 238–0423; fax: (717) 238–2436.
SUMMARY:
16 17
E:\FR\FM\13APN1.SGM
CFR 200.30–3(a)(12).
13APN1
]]>Agencies
[Federal Register Volume 86, Number 69 (Tuesday, April 13, 2021)]
[Notices]
[Pages 19316-19318]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2021-07492]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-91493; File No. SR-ICC-2021-008]
Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of
Filing of Proposed Rule Change Relating to the ICC Risk Management
Model Description
April 7, 2021.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(the ``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given
that on March 31, 2021, ICE Clear Credit LLC (``ICC'') filed with the
Securities and Exchange Commission the proposed rule change as
described in Items I, II and III below, which Items have been prepared
primarily by ICC. 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.
---------------------------------------------------------------------------
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 make
changes to ICC's Risk Management Model Description. 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 revising its Risk Management Model Description to
include an enhancement related to the index liquidity charge (``LC'')
methodology and other clarifications. 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.
ICC proposes to amend the ``Initial Margin Methodology'' section of
the Risk Management Model Description. The proposed changes memorialize
the review and approval process of the document, which consists of
review by the Risk Committee and review and approval by the Board at
least annually.
ICC proposes to revise the ``Liquidity Charge for Index Risk
Factors'' subsection (Subsection II.2) to include an enhancement
related to the index LC methodology. The proposed changes amend a
formula for the index series LC. Currently, to arrive at the index
series LC, ICC takes into account the estimated LCs for the instruments
that belong to the same index series and the sign of the notional
amount of the instrument. Under the proposed changes, the index series
LC is established as the more
[[Page 19317]]
conservative liquidity requirement associated with the sum of the
bought and sold protection position LCs for the instruments that belong
to the same index series. Such enhancement represents a unification of
the index LC with the single name and credit default index swaption
(``Index Option'') \3\ LC methodologies. ICC does not propose any
further changes to the methodology.
---------------------------------------------------------------------------
\3\ Index Swaptions are also referred to herein and in the Risk
Management Model Description as ``index options'' or ``index CDS
options'', or in similar terms.
---------------------------------------------------------------------------
ICC proposes additional clarifications in the Risk Management Model
Description. In the ``Liquidity Charge for Index Options'' subsection
(Subsection II.2.1), ICC proposes a clarification with respect to long
Index Option instruments to specify that the LC combined with the
integrated spread response requirement will not exceed the end-of-day
option instrument price. Such amendment reflects the maximum loss
condition. In the ``Anti-Procyclicality Measures'' subsection
(Subsection VII.5.3), ICC proposes clarifications regarding the
scenarios associated with extreme price decreases and extreme price
increases (the ``Extreme Price Change Scenarios''). Specifically, the
proposed changes clarify that the extreme price decrease and increase
scenarios for Index Options incorporate hypothetical forward price
decreases and increases, respectively. Further, in respect of the
maximum loss condition, ICC proposes to update formulas related to the
final portfolio initial margin in the ``Portfolio Loss Boundary
Condition'' section (Section IX) to incorporate reference to the
portfolio level integrated spread response.
(b) Statutory Basis
ICC believes that the proposed rule change is consistent with the
requirements of Section 17A of the Act \4\ and the regulations
thereunder applicable to it, including the applicable standards under
Rule 17Ad-22.\5\ In particular, Section 17A(b)(3)(F) of the Act \6\
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. The proposed amendments include an enhancement related
to the index LC methodology. Such enhancement represents a unification
of the index LC with the single name and Index Option LC methodologies,
which would simplify the LC methodology and promote ease of
understanding. The proposed rule change would also strengthen the
governance arrangements set out in the Risk Management Model
Description by memorializing the review and approval process for the
document. The proposed clarifications would further ensure readability
and clarity with respect to ICC's risk methodology in the Risk
Management Model Description to ensure that it remains up-to-date,
clear, and transparent to support the effectiveness of ICC's risk
management system. The proposed rule change is therefore consistent
with the prompt and accurate clearing and settlement of the contracts
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, within the meaning of Section
17A(b)(3)(F) of the Act.\7\
---------------------------------------------------------------------------
\4\ 15 U.S.C. 78q-1.
\5\ 17 CFR 240.17Ad-22.
\6\ 15 U.S.C. 78q-1(b)(3)(F).
\7\ Id.
---------------------------------------------------------------------------
Rule 17Ad-22(e)(2)(i) and (v) \8\ 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. ICC's Risk Management Model Description
clearly assigns and documents responsibility and accountability for
risk decisions and requires consultation or approval from relevant
parties. The proposed changes strengthen the governance procedures and
arrangements detailed in the Risk Management Model Description by
memorializing the review and approval of the document by relevant
groups at least annually. 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).\9\
---------------------------------------------------------------------------
\8\ 17 CFR 240.17Ad-22(e)(2)(i) and (v).
\9\ Id.
---------------------------------------------------------------------------
Rule 17Ad-22(e)(3)(i) \10\ requires each covered clearing agency 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 the covered clearing agency, 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 the covered clearing agency, 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 Model Description is a key aspect of ICC's risk management
approach, and the proposed amendments would memorialize that the
document is reviewed by the Risk Committee and reviewed and approved by
the Board at least annually. As such, the amendments would satisfy the
requirements of Rule 17Ad-22(e)(3)(i).\11\
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\10\ 17 CFR 240.17Ad-22(e)(3)(i).
\11\ Id.
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Rule 17Ad-22(e)(4)(ii) \12\ requires each covered clearing agency
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
the covered clearing agency in extreme but plausible market conditions.
The proposed changes promote the soundness of the model including by
enhancing the index LC methodology, such that the index series LC is
established as the more conservative liquidity requirement associated
with the sum of the bought and sold protection position LCs for the
instruments that belong to the same index series. Such enhancement
represents a unification of the index LC with the single name and Index
Option LC methodologies, which would simplify the LC methodology and
promote ease of understanding. ICC proposes additional clarifications
discussed above related to the maximum loss condition and the Extreme
Price Change Scenarios. In ICC's view, the proposed changes enhance and
provide further clarity and transparency on ICC's risk methodology and,
as such, the proposed amendments would strengthen ICC's ability to
maintain its financial resources and withstand the pressures of
defaults,
[[Page 19318]]
consistent with the requirements of Rule 17Ad-22(e)(4)(ii).\13\
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\12\ 17 CFR 240.17Ad-22(e)(4)(ii).
\13\ Id.
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Rule 17Ad-22(e)(6)(i) \14\ requires each covered clearing agency 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 changes amend a formula
with respect to the index series LC, which would unify the index LC
with the single name and Index Option LC methodologies. ICC does not
propose to otherwise change the methodology. The additional
clarifications in respect of the maximum loss condition and the Extreme
Price Change Scenarios further promote clarity and transparency in the
Risk Management Model Description. ICC believes that the proposed
changes enhance the margin methodology, which 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\
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\14\ 17 CFR 240.17Ad-22(e)(6)(i).
\15\ 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
ICC's Risk Management Model Description will apply uniformly across all
market participants. 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/sro.shtml); or
Send an email to [email protected]. Please include
File Number SR-ICC-2021-008 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-2021-008. 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 (https://www.sec.gov/rules/sro.shtml).
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 https://www.theice.com/clear-credit/regulation.
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-2021-008 and should be
submitted on or before May 4, 2021.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\16\
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\16\ 17 CFR 200.30-3(a)(12).
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J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021-07492 Filed 4-12-21; 8:45 am]
BILLING CODE 8011-01-P
