[Federal Register Volume 85, Number 87 (Tuesday, May 5, 2020)]
[Notices]
[Pages 26774-26775]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2020-09527]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-88775; File No. SR-ICC-2020-002]


Self-Regulatory Organizations; ICE Clear Credit LLC; Order 
Instituting Proceedings To Determine Whether To Approve or Disapprove 
Proposed Rule Change Relating to the ICC Risk Management Model 
Description, ICC Stress Testing Framework, ICC Liquidity Risk 
Management Framework, ICC Back-Testing Framework, and ICC Risk 
Parameter Setting and Review Policy

April 29, 2020.

I. Introduction

    On January 14, 2020, ICE Clear Credit LLC (``ICC'') filed with the 
Securities and Exchange Commission (``Commission''), pursuant to 
Section 19(b)(1) of the Securities Exchange Act of 1934 (the 
``Act''),\1\ and Rule 19b-4 thereunder,\2\ a proposed rule change to 
amend ICC's Risk Management Model Description, Stress Testing 
Framework, Liquidity Risk Management Framework, Back-Testing Framework, 
and Risk Parameter Setting and Review Policy in connection with the 
clearing of credit default index swaptions. The proposed rule change 
was published for comment in the Federal Register on January 31, 
2020.\3\ On March 13, 2020, the Commission designated a longer period 
of time for Commission action on the proposed rule change until April 
30, 2020.\4\ The Commission has not received comments regarding the 
proposed rule change. The Commission is publishing this order to 
solicit comments from interested persons and to institute proceedings 
pursuant to Section 19(b)(2)(B) of the Act \5\ to determine whether to 
approve or disapprove the proposed rule change.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ Self-Regulatory Organizations; ICE Clear Credit LLC; Notice 
of Filing of Proposed Rule Change, Security-Based Swap Submission, 
or Advance Notice Relating to the ICC Risk Management Model 
Description, ICC Stress Testing Framework, ICC Liquidity Risk 
Management Framework, ICC Back-Testing Framework, and ICC Risk 
Parameter Setting and Review Policy; Exchange Act Release No. 88047 
(Jan. 27, 2020); 85 FR 5756 (Jan. 31, 2020) (SR-ICC-2020-002) 
(``Notice'').
    \4\ Self-Regulatory Organizations; ICE Clear Credit LLC; Notice 
of Designation of Longer Period for Commission Action on Proposed 
Rule Change Relating to the ICC Risk Management Model Description, 
ICC Stress Testing Framework, ICC Liquidity Risk Management 
Framework, ICC Back-Testing Framework, and ICC Risk Parameter 
Setting and Review Policy; Exchange Act Release No. 88379 (Mar. 13, 
2020); 85 FR 15829 (Mar. 19, 2020).
    \5\ 15 U.S.C. 78s(b)(2)(B).

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[[Page 26775]]

II. Description of the Proposed Rule Change

    As described more fully in the Notice, the proposed rule change 
would amend ICC's Risk Management Model Description, Stress Testing 
Framework, Liquidity Risk Management Framework, Back-Testing Framework, 
and Risk Parameter Setting and Review Policy in connection with the 
clearing of credit default index swaptions.

III. Proceedings To Determine Whether To Approve or Disapprove the 
Proposed Rule Change and Grounds for Disapproval Under Consideration

    The Commission is instituting proceedings pursuant to Section 
19(b)(2)(B) of the Act to determine whether the proposed rule change 
should be approved or disapproved.\6\ Institution of proceedings is 
appropriate at this time in view of the legal and policy issues raised 
by the proposed rule change. Institution of proceedings does not 
indicate that the Commission has reached any conclusions with respect 
to any of the issues involved.
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    \6\ 15 U.S.C. 78s(b)(2)(B).
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    Pursuant to Section 19(b)(2)(B) of the Act,\7\ the Commission is 
providing notice of the potential grounds for approval or disapproval 
under consideration. The Commission is instituting proceedings to allow 
for additional analysis and input concerning the proposed rule change's 
consistency with the Act and the rules thereunder, including the 
following:
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    \7\ 15 U.S.C. 78s(b)(2)(B).
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     Section 17A(b)(3)(F) of the Act, which requires, among 
other things, that the rules of ICC be designed to promote the prompt 
and accurate clearance and settlement of securities transactions and, 
to the extent applicable, derivative agreements, contracts, and 
transactions, to assure the safeguarding of securities and funds which 
are in the custody or control of ICC or for which it is responsible, 
and, in general, to protect investors and the public interest; \8\
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    \8\ 15 U.S.C. 78q-1(b)(3)(F).
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     Rule 17Ad-22(b)(2), which requires that ICC establish, 
implement, maintain and enforce written policies and procedures 
reasonably designed to use margin requirements to limit its credit 
exposures to participants under normal market conditions and use risk-
based models and parameters to set margin requirements and review such 
margin requirements and the related risk-based models and parameters at 
least monthly; \9\
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    \9\ 15 U.S.C. 17Ad-22(b)(2).
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     Rule 17Ad-22(b)(3), which requires that ICC establish, 
implement, maintain and enforce written policies and procedures 
reasonably designed to maintain sufficient financial resources to 
withstand, at a minimum, a default by the two participant families to 
which it has the largest exposures in extreme but plausible market 
conditions; \10\ and
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    \10\ 15 U.S.C. 17Ad-22(b)(3).
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     Rule 17Ad-22(d)(8), which requires that ICC establish, 
implement, maintain and enforce written policies and procedures 
reasonably designed to have governance arrangements that are clear and 
transparent to fulfill the public interest requirements in Section 17A 
of the Act applicable to clearing agencies, to support the objectives 
of owners and participants, and to promote the effectiveness of ICC's 
risk management procedures.\11\
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    \11\ 15 U.S.C. 17Ad-22(d)(8).
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IV. Request for Written Comments

    The Commission requests that interested persons provide written 
submissions of their views, data, and arguments regarding the proposed 
rule change with respect to the issues identified above, as well as any 
other concerns they may have with the proposed rule change. In 
particular, the Commission invites the written views of interested 
persons concerning whether the proposed rule change is consistent with 
Section 17A(b)(3)(F) of the Act \12\ and Rules 17Ad-22(b)(2), 17Ad-
22(b)(3), and 17Ad-22(d)(8) under the Act,\13\ or any other provision 
of the Act or rules and regulations thereunder.
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    \12\ 15 U.S.C. 78q-1(b)(3)(F).
    \13\ 17 CFR 240.17Ad-22(b)(2), (b)(3), and (d)(8).
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    Although there do not appear to be any issues relevant to approval 
or disapproval that would be facilitated by an oral presentation of 
views, data, and arguments, the Commission will consider, pursuant to 
Rule 19b-4, any request for an opportunity to make an oral 
presentation.\14\
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    \14\ Section 19(b)(2) of the Act, as amended by the Securities 
Acts Amendments of 1975, Public Law 94-29, 89 Stat. 97 (1975), 
grants the Commission flexibility to determine what type of 
proceeding--either oral or notice and opportunity for written 
comments--is appropriate for consideration of a particular proposal 
by a self-regulatory organization. See Securities Acts Amendments of 
1975, Report of the Senate Committee on Banking, Housing and Urban 
Affairs to Accompany S. 249, S. Rep. No. 75, 94th Cong., 1st Sess. 
30 (1975).
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    Interested persons are invited to submit written data, views, and 
arguments regarding whether the proposed rule change should be approved 
or disapproved on or before May 20, 2020. Any person who wishes to file 
a rebuttal to any other person's submission must file that rebuttal on 
or before May 26, 2020.
    Comments may be submitted by any of the following methods:

Electronic Comments

     Use the Commission's internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to rule-comments@sec.gov. Please include 
File Number ICC-2020-002 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-2020-002. 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 (http://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-2020-002 and should be 
submitted on or before May 20, 2020. If comments are received, any 
rebuttal comments should be submitted on or before May 26, 2020.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\15\
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    \15\ 17 CFR 200.30-3(a)(12).
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J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2020-09527 Filed 5-4-20; 8:45 am]
 BILLING CODE 8011-01-P


