Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of Filing of Proposed Rule Change Relating to the ICC End-of-Day Price Discovery Policies and Procedures, 24425-24427 [2021-09528]

Download as PDF Federal Register / Vol. 86, No. 86 / Thursday, May 6, 2021 / Notices For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.25 J. Matthew DeLesDernier, Assistant Secretary. [FR Doc. 2021–09527 Filed 5–5–21; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–91733; File No. SR–ICC– 2021–013] Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of Filing of Proposed Rule Change Relating to the ICC End-of-Day Price Discovery Policies and Procedures April 30, 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 April 23, 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. 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 End-of-Day Price Discovery Policies and Procedures (‘‘Pricing Policy’’). These revisions do not require any changes to the ICC Clearing Rules (the ‘‘Rules’’). khammond on DSKJM1Z7X2PROD with NOTICES 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. 25 17 CFR 200.30–3(a)(12). U.S.C. 78s(b)(1). 2 17 CFR 240.19b–4. 1 15 VerDate Sep<11>2014 16:49 May 05, 2021 Jkt 253001 (A) Clearing Agency’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change (a) Purpose ICC proposes to revise the Pricing Policy, which sets out ICC’s end-of-day (‘‘EOD’’) price discovery process that provides prices for cleared contracts using submissions made by Clearing Participants (‘‘CPs’’). ICC believes 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 amendments are described in detail as follows. ICC proposes updates related to firm trade obligations and other clarifications. Under the Pricing Policy, to encourage CPs to provide the best possible EOD submissions, ICC selects a subset of the potential trades generated and designates them as firm trades, which CPs are entered into as cleared transactions. ICC selects specific dates on which it can require CPs to execute firm trades (‘‘firm trade days’’). For each firm trade day, ICC specifies the instruments that may become firm trade eligible, subject to certain specified criteria. Amended Section 2.4.1 incorporates additional criteria that must be met for the generation of firm trades, referred to as the trade price deviation constraint (the ‘‘constraint’’). The proposed changes reference the constraint throughout Section 2.4.1, specifically in subsections (a), (b), and (c), and describe the constraint in subsection (d). Under the constraint, ICC avoids creating a high number of trades around its EOD levels by not designating potential trades as firm trades if the magnitude of the hypothetical profit/loss is smaller in magnitude than the absolute value of the difference between the EOD level and either the bid price or offer price. ICC would only designate a potential trade as a firm trade if the trade level fell outside the EOD level plus/minus one half the EOD bid-offer width (‘‘BOW’’) for the given instrument. Such constraint would not apply when the potential firm trade is formed by crossing two outlying submission trades. With respect to credit default index swaptions (‘‘Index Options’’), ICC proposes additional language on the designation of a potential trade as a firm trade, subject to the CP open interest and ICC open interest requirements in amended Subsection 2.4.1.c. Similar PO 00000 Frm 00048 Fmt 4703 Sfmt 4703 24425 requirements are currently incorporated in the Pricing Policy for indices and single names. Under the CP open interest requirement, for ICC to designate a potential trade as a firm trade, both parties must have cleared open interest, as of the designated times, in one or more Index Option instrument sharing the same underlying index instrument, expiration date, strike convention, exercise style and transaction type. Under the ICC open interest requirement, ICC only designates a potential trade in a given Index Option instrument as a firm trade if ICC has cleared open interest in that instrument. ICC proposes additional clarifications to the Pricing Policy. In Section 2.2.2, ICC proposes to abbreviate a term. ICC proposes revisions to Section 2.6 to more clearly set out the circumstances under which a CP may participate in the EOD price discovery process on behalf of another CP. The amendments specify that a CP may allow an affiliated CP to participate in the EOD price discovery process on its behalf. In Section 3, ICC proposes to memorialize that the Pricing Policy is subject to review by the Risk Committee and review and approval by the Board at least annually. (b) Statutory Basis ICC believes that the proposed rule change is consistent with the requirements of Section 17A of the Act 3 and the regulations thereunder applicable to it, including the applicable standards under Rule 17Ad–22.4 In particular, Section 17A(b)(3)(F) of the Act 5 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. ICC believes that the proposed amendments promote its ability to maintain the effectiveness and integrity of its EOD price discovery process. Under the proposed constraint, ICC avoids creating a high number of trades around its EOD levels by not designating potential trades as firm trades if the magnitude of the hypothetical profit/loss is smaller in magnitude than the absolute value of the difference between the EOD level and either the bid price or offer price. The purpose of EOD firm trades is to maintain the robustness of the 3 15 U.S.C. 78q–1. CFR 240.17Ad–22. 5 15 U.S.C. 78q–1(b)(3)(F). 4 17 E:\FR\FM\06MYN1.SGM 06MYN1 khammond on DSKJM1Z7X2PROD with NOTICES 24426 Federal Register / Vol. 86, No. 86 / Thursday, May 6, 2021 / Notices established price discovery process, and on-market firm trades do not incentivize the correction of outlying submissions. The additional clarifications further ensure that the Pricing Policy remain effective, clear, and up-to-date to support the effectiveness of ICC’s EOD price discovery process, including by incorporating language on the designation of a potential trade as a firm trade, subject to the CP open interest and ICC open interest requirements for Index Options; clarifying the circumstances under which a CP may participate in the EOD price discovery process on behalf of another CP; and memorializing the review and approval process for the document. 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.6 The amendments would also satisfy relevant requirements of Rule 17Ad– 22.7 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. The Pricing Policy subjects the ICC EOD price discovery process to a governance and oversight structure that promotes transparency and accountability and clearly assigns and documents responsibility for relevant actions and decisions. The proposed changes strengthen the governance procedures and arrangements detailed in the Pricing Policy 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 6 Id. 7 17 8 17 CFR 240.17Ad–22. CFR 240.17Ad–22(e)(2)(i) and (v). 9 Id. 10 17 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 of directors annually. ICC maintains a sound risk management framework that identifies, measures, monitors, and manages the range of risks that it faces. The Pricing Policy 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)(6)(iv) 12 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 uses reliable sources of timely price data and uses procedures and sound valuation models for addressing circumstances in which pricing data are not readily available or reliable. ICC believes that the proposed constraint is appropriately designed to support and maintain the effectiveness of ICC’s EOD price discovery process that provides reliable prices, which ICC uses for risk management purposes. As described above, under the proposed constraint, ICC would only designate a potential trade as a firm trade if the trade level fell outside the EOD level plus/minus one half the EOD BOW for the given instrument. The purpose of EOD firm trades is to maintain the robustness of the established price discovery process, and on-market firm trades do not incentivize the correction of outlying submissions. The constraint would not apply when the potential firm trade is formed by crossing two outlying submission trades. Moreover, the proposed clarifications ensure that the Pricing Policy remains effective and transparent by adding language on the designation of a potential trade in an Index Option as a firm trade, subject to the CP open interest and ICC open interest requirements, and by clarifying the circumstances under which a CP may participate in the EOD price discovery process on behalf of another CP. In ICC’s view, such changes are appropriately designed to promote and maintain the effectiveness and integrity of the Pricing Policy and the EOD price discovery process that provides reliable prices, consistent with the requirements of Rule 17Ad–22(e)(6)(iv).13 (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 Pricing Policy will apply uniformly across all market participants. Therefore, ICC does not believe the amendments would impose any burden on competition not necessary or appropriate 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 rule-comments@ sec.gov. Please include File Number SR– ICC–2021–013 on the subject line. 11 Id. CFR 240.17Ad–22(e)(3)(i). VerDate Sep<11>2014 16:49 May 05, 2021 12 17 Jkt 253001 PO 00000 CFR 240.17Ad–22(e)(6)(iv). Frm 00049 Fmt 4703 Sfmt 4703 13 Id. E:\FR\FM\06MYN1.SGM 06MYN1 Federal Register / Vol. 86, No. 86 / Thursday, May 6, 2021 / Notices 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–2021–013. 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–2021–013 and should be submitted on or before May 27, 2021. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.14 J. Matthew DeLesDernier, Assistant Secretary. [FR Doc. 2021–09528 Filed 5–5–21; 8:45 am] BILLING CODE 8011–01–P khammond on DSKJM1Z7X2PROD with NOTICES SOCIAL SECURITY ADMINISTRATION [Docket No. SSA–2020–0061] Interventional Cooperative Agreement Program AGENCY: Social Security Administration (SSA). 14 17 CFR 200.30–3(a)(12). VerDate Sep<11>2014 16:49 May 05, 2021 Announcement of new funding opportunity, the Interventional Cooperative Agreement Program. ACTION: Jkt 253001 We are announcing a new funding opportunity, the Interventional Cooperative Agreement Program (ICAP). The purpose of this new program is to allow us to enter into cooperative agreements to collaborate with States, private foundations, and other nonFederal groups and organizations who have the interest and ability to identify, operate, and partially fund interventional research. The Request for Applications is now open on Grants.gov. SUMMARY: FOR FURTHER INFORMATION CONTACT: Dionne Mitchell, Grant Officer, Office of Acquisition and Grants, Social Security Administration, 6401 Security Boulevard, Baltimore, Maryland 21235– 6401, (410) 965–9534, Grants.Team@ ssa.gov (indicate ‘‘ICAP Inquiry’’ in subject line). For information on eligibility or filing for benefits, call our national toll-free number, 1–800–325– 0778, or visit our internet site, Social Security Online, at https:// www.socialsecurity.gov. ICAP will provide a process through which we can systematically review proposals from outside organizations (including States, private foundations, and other nonFederal groups and organizations) and enter into cooperative agreements with them for collaboration on interventional research. We hope to tap local, external knowledge about potential interventions relevant to beneficiaries who receive Social Security Disability Insurance (SSDI) benefits or recipients of Supplemental Security Income (SSI). ICAP research topics are as follows: • Examining the structural barriers in the labor market, including for racial, ethnic, or other underserved communities, including people with disabilities, that increase the likelihood of people receiving or applying for SSDI or SSI benefits; • Promoting self-sufficiency by helping people enter, stay in, or return to the labor force, including children and youth; • Coordinating planning between private and human services agencies to improve the administration and effectiveness of the SSDI, SSI, and related programs; • Assisting claimants in underserved communities apply for or appeal determinations or decisions on claims for SSDI and SSI benefits; and • Conducting outreach to children with disabilities who are potentially SUPPLEMENTARY INFORMATION: PO 00000 Frm 00050 Fmt 4703 Sfmt 4703 24427 eligible to receive SSI, and conducting outreach to their parents and guardians. For more information, please see the Request for Applications for funding opportunity ICAP–ICA–21–001 on Grants.gov. The Commissioner of Social Security, Andrew Saul, having reviewed and approved this document, is delegating the authority to electronically sign this document to Faye I. Lipsky, who is the primary Federal Register Liaison for SSA, for purposes of publication in the Federal Register. Faye I. Lipsky, Federal Register Liaison, Office of Legislation and Congressional Affairs, Social Security Administration. [FR Doc. 2021–09521 Filed 5–5–21; 8:45 am] BILLING CODE 4191–02–P DEPARTMENT OF STATE [Public Notice: 11422] Notice of Determinations; Culturally Significant Objects Being Imported for Exhibition—Determinations: ‘‘Medieval Treasures from Mu¨nster Cathedral’’ Exhibition Notice is hereby given of the following determinations: I hereby determine that certain objects being imported from abroad pursuant to agreements with their foreign owner or custodian for temporary display in the exhibition ‘‘Medieval Treasures from Mu¨nster Cathedral’’ at the Cleveland Museum of Art, Cleveland, Ohio, and at possible additional exhibitions or venues yet to be determined, are of cultural significance, and, further, that their temporary exhibition or display within the United States as aforementioned is in the national interest. I have ordered that Public Notice of these determinations be published in the Federal Register. FOR FURTHER INFORMATION CONTACT: Chi D. Tran, Program Administrator, Office of the Legal Adviser, U.S. Department of State (telephone: 202–632–6471; email: section2459@state.gov). The mailing address is U.S. Department of State, L/ PD, SA–5, Suite 5H03, Washington, DC 20522–0505. SUPPLEMENTARY INFORMATION: The foregoing determinations were made pursuant to the authority vested in me by the Act of October 19, 1965 (79 Stat. 985; 22 U.S.C. 2459), Executive Order 12047 of March 27, 1978, the Foreign Affairs Reform and Restructuring Act of 1998 (112 Stat. 2681, et seq.; 22 U.S.C. 6501 note, et seq.), Delegation of Authority No. 234 of October 1, 1999, SUMMARY: E:\FR\FM\06MYN1.SGM 06MYN1

Agencies

[Federal Register Volume 86, Number 86 (Thursday, May 6, 2021)]
[Notices]
[Pages 24425-24427]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2021-09528]


-----------------------------------------------------------------------

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-91733; File No. SR-ICC-2021-013]


Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of 
Filing of Proposed Rule Change Relating to the ICC End-of-Day Price 
Discovery Policies and Procedures

April 30, 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 April 23, 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 End-of-Day Price Discovery Policies and Procedures 
(``Pricing Policy''). 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 to revise the Pricing Policy, which sets out ICC's 
end-of-day (``EOD'') price discovery process that provides prices for 
cleared contracts using submissions made by Clearing Participants 
(``CPs''). ICC believes 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 
amendments are described in detail as follows.
    ICC proposes updates related to firm trade obligations and other 
clarifications. Under the Pricing Policy, to encourage CPs to provide 
the best possible EOD submissions, ICC selects a subset of the 
potential trades generated and designates them as firm trades, which 
CPs are entered into as cleared transactions. ICC selects specific 
dates on which it can require CPs to execute firm trades (``firm trade 
days''). For each firm trade day, ICC specifies the instruments that 
may become firm trade eligible, subject to certain specified criteria. 
Amended Section 2.4.1 incorporates additional criteria that must be met 
for the generation of firm trades, referred to as the trade price 
deviation constraint (the ``constraint''). The proposed changes 
reference the constraint throughout Section 2.4.1, specifically in 
subsections (a), (b), and (c), and describe the constraint in 
subsection (d). Under the constraint, ICC avoids creating a high number 
of trades around its EOD levels by not designating potential trades as 
firm trades if the magnitude of the hypothetical profit/loss is smaller 
in magnitude than the absolute value of the difference between the EOD 
level and either the bid price or offer price. ICC would only designate 
a potential trade as a firm trade if the trade level fell outside the 
EOD level plus/minus one half the EOD bid-offer width (``BOW'') for the 
given instrument. Such constraint would not apply when the potential 
firm trade is formed by crossing two outlying submission trades.
    With respect to credit default index swaptions (``Index Options''), 
ICC proposes additional language on the designation of a potential 
trade as a firm trade, subject to the CP open interest and ICC open 
interest requirements in amended Subsection 2.4.1.c. Similar 
requirements are currently incorporated in the Pricing Policy for 
indices and single names. Under the CP open interest requirement, for 
ICC to designate a potential trade as a firm trade, both parties must 
have cleared open interest, as of the designated times, in one or more 
Index Option instrument sharing the same underlying index instrument, 
expiration date, strike convention, exercise style and transaction 
type. Under the ICC open interest requirement, ICC only designates a 
potential trade in a given Index Option instrument as a firm trade if 
ICC has cleared open interest in that instrument.
    ICC proposes additional clarifications to the Pricing Policy. In 
Section 2.2.2, ICC proposes to abbreviate a term. ICC proposes 
revisions to Section 2.6 to more clearly set out the circumstances 
under which a CP may participate in the EOD price discovery process on 
behalf of another CP. The amendments specify that a CP may allow an 
affiliated CP to participate in the EOD price discovery process on its 
behalf. In Section 3, ICC proposes to memorialize that the Pricing 
Policy is subject to review by the Risk Committee and review and 
approval by the Board at least annually.
(b) Statutory Basis
    ICC believes that the proposed rule change is consistent with the 
requirements of Section 17A of the Act \3\ and the regulations 
thereunder applicable to it, including the applicable standards under 
Rule 17Ad-22.\4\ In particular, Section 17A(b)(3)(F) of the Act \5\ 
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. ICC believes that the proposed amendments promote its 
ability to maintain the effectiveness and integrity of its EOD price 
discovery process. Under the proposed constraint, ICC avoids creating a 
high number of trades around its EOD levels by not designating 
potential trades as firm trades if the magnitude of the hypothetical 
profit/loss is smaller in magnitude than the absolute value of the 
difference between the EOD level and either the bid price or offer 
price. The purpose of EOD firm trades is to maintain the robustness of 
the

[[Page 24426]]

established price discovery process, and on-market firm trades do not 
incentivize the correction of outlying submissions. The additional 
clarifications further ensure that the Pricing Policy remain effective, 
clear, and up-to-date to support the effectiveness of ICC's EOD price 
discovery process, including by incorporating language on the 
designation of a potential trade as a firm trade, subject to the CP 
open interest and ICC open interest requirements for Index Options; 
clarifying the circumstances under which a CP may participate in the 
EOD price discovery process on behalf of another CP; and memorializing 
the review and approval process for the document. 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.\6\
---------------------------------------------------------------------------

    \3\ 15 U.S.C. 78q-1.
    \4\ 17 CFR 240.17Ad-22.
    \5\ 15 U.S.C. 78q-1(b)(3)(F).
    \6\ Id.
---------------------------------------------------------------------------

    The amendments would also satisfy relevant requirements of Rule 
17Ad-22.\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. The Pricing Policy subjects the ICC EOD 
price discovery process to a governance and oversight structure that 
promotes transparency and accountability and clearly assigns and 
documents responsibility for relevant actions and decisions. The 
proposed changes strengthen the governance procedures and arrangements 
detailed in the Pricing Policy 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\
---------------------------------------------------------------------------

    \7\ 17 CFR 240.17Ad-22.
    \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 of directors 
annually. ICC maintains a sound risk management framework that 
identifies, measures, monitors, and manages the range of risks that it 
faces. The Pricing Policy 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\
---------------------------------------------------------------------------

    \10\ 17 CFR 240.17Ad-22(e)(3)(i).
    \11\ Id.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(6)(iv) \12\ 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 uses reliable sources of timely price data and uses procedures 
and sound valuation models for addressing circumstances in which 
pricing data are not readily available or reliable. ICC believes that 
the proposed constraint is appropriately designed to support and 
maintain the effectiveness of ICC's EOD price discovery process that 
provides reliable prices, which ICC uses for risk management purposes. 
As described above, under the proposed constraint, ICC would only 
designate a potential trade as a firm trade if the trade level fell 
outside the EOD level plus/minus one half the EOD BOW for the given 
instrument. The purpose of EOD firm trades is to maintain the 
robustness of the established price discovery process, and on-market 
firm trades do not incentivize the correction of outlying submissions. 
The constraint would not apply when the potential firm trade is formed 
by crossing two outlying submission trades. Moreover, the proposed 
clarifications ensure that the Pricing Policy remains effective and 
transparent by adding language on the designation of a potential trade 
in an Index Option as a firm trade, subject to the CP open interest and 
ICC open interest requirements, and by clarifying the circumstances 
under which a CP may participate in the EOD price discovery process on 
behalf of another CP. In ICC's view, such changes are appropriately 
designed to promote and maintain the effectiveness and integrity of the 
Pricing Policy and the EOD price discovery process that provides 
reliable prices, consistent with the requirements of Rule 17Ad-
22(e)(6)(iv).\13\
---------------------------------------------------------------------------

    \12\ 17 CFR 240.17Ad-22(e)(6)(iv).
    \13\ 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 Pricing Policy will apply uniformly across all market participants. 
Therefore, ICC does not believe the amendments would impose any burden 
on competition not necessary or appropriate 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-2021-013 on the subject line.

[[Page 24427]]

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-2021-013. 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-2021-013 and should be 
submitted on or before May 27, 2021.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\14\
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    \14\ 17 CFR 200.30-3(a)(12).
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J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021-09528 Filed 5-5-21; 8:45 am]
BILLING CODE 8011-01-P
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