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, 60493-60496 [2021-23813]
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Federal Register / Vol. 86, No. 209 / Tuesday, November 2, 2021 / Notices
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By the Commission.
Erica A. Barker,
Secretary.
[FR Doc. 2021–23833 Filed 11–1–21; 8:45 am]
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Stephanie Hillyard,
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[FR Doc. 2021–23988 Filed 10–29–21; 4:15 pm]
BILLING CODE 7905–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–93432; File No. SR–ICC–
2021–022]
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
October 27, 2021.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’),1 and Rule 19b–4 thereunder,2
notice is hereby given that on October
13, 2021, ICE Clear Credit LLC (‘‘ICC’’)
filed with the Securities and Exchange
Commission (‘‘Commission’’) the
proposed rule change as described in
Items I, II and III below, which Items
have been prepared primarily by ICC.
The Commission is publishing this
notice to solicit comments on the
proposed rule change from interested
persons.
2 17
Fmt 4703
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1:30 p.m., November 9,
2021.
1 15
None.
60493
U.S.C. 78s(b)(1).
CFR 240.19b–4.
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Federal Register / Vol. 86, No. 209 / Tuesday, November 2, 2021 / Notices
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, 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
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ICC proposes revising 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 requires all
CPs to provide EOD submissions for
specific instruments related to their
open positions at ICC. Submissions for
index instruments (‘‘index
submissions’’) may be provided in
spread or price convention under the
current Pricing Policy. The proposed
amendments would remove the ability
for CPs to provide index submissions in
spread convention and would require
all index submissions to be provided in
price convention. 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 move forward with implementation
of these changes following Commission
approval of the proposed rule change.3
3 ICC intends to move away from supporting
index submissions in spread convention in a
phased approach and does not intend to remove the
ability for CPs to submit index submissions in
spread convention until ICC is permitted to
implement the changes described herein and ICC
completes any other required governance or
internal processes.
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The proposed amendments are
described in detail as follows.
ICC proposes to amend Subsection
2.2.3, which sets out the submission
format requirements for index
instruments. Currently, index
submissions may be provided in spread
or price convention depending on the
instrument, as illustrated in Table 8.
Under the proposed changes, index
submissions must be provided in price
convention, which has two acceptably
types, price or upfront. The proposed
changes remove Table 8 and language
regarding the submission of recovery
rates, which related to submissions
provided in spread terms and is no
longer necessary. ICC proposes minor
changes to renumber the tables in the
Pricing Policy accordingly and to spell
out an abbreviated term in this
subsection.
ICC proposes to amend Subsection
2.2.4 related to the standardization of
submissions. Currently, the cross-andlock algorithm used by ICC to determine
EOD prices and potential trades requires
inputs in bid-offer format and executes
in price or spread terms depending on
the convention for the considered
instrument. ICC standardizes CP
submissions into bid-offer format in
either price or spread terms, depending
on the convention. Under the proposed
changes, the cross-and-lock algorithm
will execute in price terms. The
proposed changes remove language
referencing spread terms and
distinguishing between price and spread
terms. The proposed changes also
remove language differentiating between
submissions in price or spread in
subpart (a).
ICC proposes similar changes to
Subsection 2.3. ICC would no longer
determine EOD levels in terms of either
spread or price. The proposed changes
remove language requiring ICC to
execute the cross-and-lock algorithm in
spread-space for index instruments with
a quote convention of spread, in pricespace for index instruments with a
quote convention of price, and in pricespace for all single name and index
option instruments. Currently, in
Subsection 2.3.1(g), ICC adjusts outlying
submission trade prices for index
option, single name, and index
instruments with a cross-and-lock
convention of price and outlying
submission trade spreads for index
instruments with a cross-and-lock
convention of spread. For index
instruments with a cross-and-lock
convention of spread, a conversion
between trade price and spread is also
done. The proposed changes would
remove the need to adjust outlying
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submission trade spreads, including the
need for such conversion.
(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. ICC believes that the proposed
amendments promote its ability to
maintain the effectiveness and integrity
of its EOD price discovery process. The
proposed revisions require all index
submissions to be provided in price
convention and remove language
distinguishing between price or spread
in certain aspects of the price discovery
process, which is no longer necessary.
The cross-and-lock algorithm would
execute in price terms (rather than in
price or spread terms depending on the
convention for the considered
instrument) and ICC would no longer
determine EOD levels in terms of either
spread or price. The proposed
amendments allow ICC to further
standardize its instrument submission
requirements, which would promote
consistency and simplify ICC’s
submission format requirements. The
proposed changes would result in more
clarity and uniformity around how
certain processes are completed,
including the standardization of
submissions and adjustments for
outlying submission trades, and allow
ICC to avoid converting between spread
and price. Following such changes, ICC
will continue to maintain a robust EOD
price discovery process, which includes
the determination of EOD pricing levels
and firm trades. 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.
CFR 240.17Ad–22.
6 15 U.S.C. 78q–1(b)(3)(F).
7 Id.
5 17
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Federal Register / Vol. 86, No. 209 / Tuesday, November 2, 2021 / Notices
The amendments would also satisfy
relevant requirements of Rule 17Ad–
22.8 Rule 17Ad–22(e)(2)(i) and (v) 9
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 continues to subject 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. ICC believes that
the proposed rule change would
promote consistency and transparency
in ICC’s price discovery process and
thus enhance implementation of the
Pricing Policy and continue to ensure
that responsible parties appropriately
and effectively carry out their duties. As
such, 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 the requirements of Rule 17Ad–
22(e)(2)(i) and (v).10
Rule 17Ad–22(e)(3)(i) 11 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. The Pricing Policy is a key
aspect of ICC’s risk management
approach, which continues to be subject
to review on a specified periodic basis
and approved by the Board annually.
The proposed changes further
standardize ICC’s instrument
submission requirements, remove the
need to distinguish between price and
spread terms in certain aspects of the
price discovery process, and allow ICC
to avoid converting between spread and
price. In ICC’s view, such changes
CFR 240.17Ad–22.
CFR 240.17Ad–22(e)(2)(i) and (v).
10 Id.
11 17 CFR 240.17Ad–22(e)(3)(i).
would simplify and promote
transparency in ICC’s price discovery
process and thus enhance
implementation of the Pricing Policy.
The proposed rule change would thus
strengthen ICC’s ability to manage risk
associated with its price discovery
process, and ICC’s risk management
more generally as ICC uses the resulting
EOD prices for risk management
purposes, and ICC would continue to
derive reliable, market-driven prices
from its price discovery process. As
such, the amendments would satisfy the
requirements of Rule 17Ad–22(e)(3)(i).12
Rule 17Ad–22(e)(6)(iv) 13 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
changes are 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, the proposed changes
would result in more consistency in
ICC’s instrument submission
requirements as well as more clarity and
uniformity around how certain
processes are completed, including the
standardization of submissions and
adjustments for outlying submission
trades. ICC believes that the proposed
rule change would result in additional
clarity surrounding ICC’s price
discovery process overall and ICC’s
determination of EOD levels. 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).14
(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
8 17
9 17
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12 Id.
13 17
CFR 240.17Ad–22(e)(6)(iv).
14 Id.
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60495
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–2021–022 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–2021–022. 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
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60496
Federal Register / Vol. 86, No. 209 / Tuesday, November 2, 2021 / Notices
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–2021–022 and
should be submitted on or before
November 23, 2021.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.15
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021–23813 Filed 11–1–21; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. PA–57; File No. S7–14–21]
Privacy Act of 1974; System of
Records
Securities and Exchange
Commission.
ACTION: Notice of a new system of
records.
AGENCY:
The Securities and Exchange
Commission (SEC) established SEC–34,
Public Health and Safety Records under
the Privacy Act of 1974. This system of
records maintains information collected
in response to a public health
emergency. Information will be
collected from SEC personnel (political
appointees, employees, consultants,
detailees, interns, and volunteers),
contractors, visitors, job applicants, and
others who access or seek to access SEC
facilities or worksites to assist the SEC
with maintaining a safe and healthy
workplace and to protect its workforce
from risks associated with
communicable diseases.
DATES: The changes will become
effective December 2, 2021 to permit
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SUMMARY:
15 17
CFR 200.30–3(a)(12).
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public comment on the new and revised
routine uses. The Commission will
publish a new notice if the effective date
is delayed to review comments or if
changes are made based on comments
received. To assure consideration,
comments should be received on or
before December 2, 2021.
ADDRESSES: Comments may be
submitted by any of the following
methods:
Electronic Comments
• Use the Commission’s internet
comment form (https://www.sec.gov/
rules/other.shtml); or
• Send an email to rule-comments@
sec.gov. Please include File Number S7–
14–21 on the subject line.
Paper Comments
Send paper comments to Vanessa A.
Countryman, Secretary, U.S. Securities
and Exchange Commission, 100 F Street
NE, Washington, DC 20549–1090. All
submissions should refer to S7–14–21.
This file number should be included on
the subject line if email is used. To help
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/
other.shtml). Comments are also
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
a.m. and 3 p.m. All comments received
will be posted without change; we do
not edit personal identifying
information from submissions. You
should submit only information that
you wish to make publicly available.
FOR FURTHER INFORMATION CONTACT: For
general and privacy related questions
please contact: Ronnette McDaniel,
Privacy and Information Assurance
Branch Chief, 202–551–7200 or
privacyhelp@sec.gov.
SUPPLEMENTARY INFORMATION: In order to
collect and maintain contractor, visitor
and job applicant disclosures, the SEC
established SEC–34, Public Health and
Safety Records, a system of records
under the Privacy Act. The SEC is
committed to maintaining a safe and
healthy workplace and to protect its
workforce from risks associated with a
public health emergency. To ensure and
maintain the safety of all SEC personnel
(political appointees, employees,
consultants, detailees, interns, and
volunteers), contractors, visitors, job
applicants, and others who access or
seek to access an SEC facility, space, or
worksite during a public health
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emergency, the SEC may develop and
institute safety measures that require the
collection of personal information.
Records may include information on
individuals’ vaccination status and
information to support a request for
reasonable accommodation based on
disability or sincerely held religious
belief. Records also may include
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have been exposed to an individual who
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circumstances surrounding the disease
or illness such as dates of suspected
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treatments, and other related health
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conducted by SEC personnel will
involve collecting information about
SEC personnel, contractors and visitors
who are exhibiting symptoms or who
have tested positive for an infectious
disease in order to identify and notify
other SEC personnel, contractors and
visitors with whom they may have come
into contact and who may have been
exposed. Records may also include
information on individuals identified as
emergency contacts for SEC personnel.
Information from this system of
records will be collected, maintained,
and disclosed in accordance with
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statutes, including, but not limited to;
the Americans with Disabilities Act of
1990 and regulations and guidance
published by the U.S. Occupational
Safety and Health Administration, the
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SYSTEM NAME AND NUMBER:
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SECURITY CLASSIFICATION:
Non-classified.
SYSTEM LOCATION:
Securities and Exchange Commission
(SEC), 100 F Street NE, Washington, DC
20549. Files may also be maintained in
the following SEC Regional Offices:
Atlanta Regional Office (ARO), 950 East
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GA 30326–1382; Boston Regional Office
(BRO), 33 Arch Street, 24th Floor,
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Regional Office (CHRO), 175 W Jackson
Boulevard, Suite 1450, Chicago, IL
60604; Denver Regional Office (DRO),
Byron Rogers Federal Office Building,
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]]>Agencies
[Federal Register Volume 86, Number 209 (Tuesday, November 2, 2021)]
[Notices]
[Pages 60493-60496]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2021-23813]
=======================================================================
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-93432; File No. SR-ICC-2021-022]
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
October 27, 2021.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that
on October 13, 2021, ICE Clear Credit LLC (``ICC'') filed with the
Securities and Exchange Commission (``Commission'') the proposed rule
change as described in Items I, II and III below, which Items have been
prepared primarily by ICC. 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.
---------------------------------------------------------------------------
[[Page 60494]]
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 revising 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 requires all CPs to provide EOD submissions for specific
instruments related to their open positions at ICC. Submissions for
index instruments (``index submissions'') may be provided in spread or
price convention under the current Pricing Policy. The proposed
amendments would remove the ability for CPs to provide index
submissions in spread convention and would require all index
submissions to be provided in price convention. 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 move forward with implementation of these changes following
Commission approval of the proposed rule change.\3\ The proposed
amendments are described in detail as follows.
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\3\ ICC intends to move away from supporting index submissions
in spread convention in a phased approach and does not intend to
remove the ability for CPs to submit index submissions in spread
convention until ICC is permitted to implement the changes described
herein and ICC completes any other required governance or internal
processes.
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ICC proposes to amend Subsection 2.2.3, which sets out the
submission format requirements for index instruments. Currently, index
submissions may be provided in spread or price convention depending on
the instrument, as illustrated in Table 8. Under the proposed changes,
index submissions must be provided in price convention, which has two
acceptably types, price or upfront. The proposed changes remove Table 8
and language regarding the submission of recovery rates, which related
to submissions provided in spread terms and is no longer necessary. ICC
proposes minor changes to renumber the tables in the Pricing Policy
accordingly and to spell out an abbreviated term in this subsection.
ICC proposes to amend Subsection 2.2.4 related to the
standardization of submissions. Currently, the cross-and-lock algorithm
used by ICC to determine EOD prices and potential trades requires
inputs in bid-offer format and executes in price or spread terms
depending on the convention for the considered instrument. ICC
standardizes CP submissions into bid-offer format in either price or
spread terms, depending on the convention. Under the proposed changes,
the cross-and-lock algorithm will execute in price terms. The proposed
changes remove language referencing spread terms and distinguishing
between price and spread terms. The proposed changes also remove
language differentiating between submissions in price or spread in
subpart (a).
ICC proposes similar changes to Subsection 2.3. ICC would no longer
determine EOD levels in terms of either spread or price. The proposed
changes remove language requiring ICC to execute the cross-and-lock
algorithm in spread-space for index instruments with a quote convention
of spread, in price-space for index instruments with a quote convention
of price, and in price-space for all single name and index option
instruments. Currently, in Subsection 2.3.1(g), ICC adjusts outlying
submission trade prices for index option, single name, and index
instruments with a cross-and-lock convention of price and outlying
submission trade spreads for index instruments with a cross-and-lock
convention of spread. For index instruments with a cross-and-lock
convention of spread, a conversion between trade price and spread is
also done. The proposed changes would remove the need to adjust
outlying submission trade spreads, including the need for such
conversion.
(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. ICC believes that the proposed amendments promote its
ability to maintain the effectiveness and integrity of its EOD price
discovery process. The proposed revisions require all index submissions
to be provided in price convention and remove language distinguishing
between price or spread in certain aspects of the price discovery
process, which is no longer necessary. The cross-and-lock algorithm
would execute in price terms (rather than in price or spread terms
depending on the convention for the considered instrument) and ICC
would no longer determine EOD levels in terms of either spread or
price. The proposed amendments allow ICC to further standardize its
instrument submission requirements, which would promote consistency and
simplify ICC's submission format requirements. The proposed changes
would result in more clarity and uniformity around how certain
processes are completed, including the standardization of submissions
and adjustments for outlying submission trades, and allow ICC to avoid
converting between spread and price. Following such changes, ICC will
continue to maintain a robust EOD price discovery process, which
includes the determination of EOD pricing levels and firm trades. 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\
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\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.
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[[Page 60495]]
The amendments would also satisfy relevant requirements of Rule
17Ad-22.\8\ Rule 17Ad-22(e)(2)(i) and (v) \9\ 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 continues to subject
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. ICC believes that the proposed rule change would promote
consistency and transparency in ICC's price discovery process and thus
enhance implementation of the Pricing Policy and continue to ensure
that responsible parties appropriately and effectively carry out their
duties. As such, 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 the
requirements of Rule 17Ad-22(e)(2)(i) and (v).\10\
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\8\ 17 CFR 240.17Ad-22.
\9\ 17 CFR 240.17Ad-22(e)(2)(i) and (v).
\10\ Id.
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Rule 17Ad-22(e)(3)(i) \11\ 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. The Pricing Policy is a key aspect of ICC's risk management
approach, which continues to be subject to review on a specified
periodic basis and approved by the Board annually. The proposed changes
further standardize ICC's instrument submission requirements, remove
the need to distinguish between price and spread terms in certain
aspects of the price discovery process, and allow ICC to avoid
converting between spread and price. In ICC's view, such changes would
simplify and promote transparency in ICC's price discovery process and
thus enhance implementation of the Pricing Policy. The proposed rule
change would thus strengthen ICC's ability to manage risk associated
with its price discovery process, and ICC's risk management more
generally as ICC uses the resulting EOD prices for risk management
purposes, and ICC would continue to derive reliable, market-driven
prices from its price discovery process. As such, the amendments would
satisfy the requirements of Rule 17Ad-22(e)(3)(i).\12\
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\11\ 17 CFR 240.17Ad-22(e)(3)(i).
\12\ Id.
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Rule 17Ad-22(e)(6)(iv) \13\ 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 changes are 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, the proposed changes would result in more consistency
in ICC's instrument submission requirements as well as more clarity and
uniformity around how certain processes are completed, including the
standardization of submissions and adjustments for outlying submission
trades. ICC believes that the proposed rule change would result in
additional clarity surrounding ICC's price discovery process overall
and ICC's determination of EOD levels. 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).\14\
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\13\ 17 CFR 240.17Ad-22(e)(6)(iv).
\14\ Id.
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(B) Clearing Agency's Statement on Burden on Competition
ICC does not believe the proposed rule change would have any
impact, or impose any burden, on competition. The proposed changes to
the 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-2021-022 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-2021-022. 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
[[Page 60496]]
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-2021-022 and should be
submitted on or before November 23, 2021.
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\15\ 17 CFR 200.30-3(a)(12).
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\15\
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021-23813 Filed 11-1-21; 8:45 am]
BILLING CODE 8011-01-P
