[Federal Register Volume 85, Number 126 (Tuesday, June 30, 2020)]
[Notices]
[Pages 39226-39230]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2020-14009]


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

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-89142; File No. SR-ICC-2020-002]


Self-Regulatory Organizations; ICE Clear Credit LLC; Order 
Approving 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

June 24, 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 (together, the ``Risk 
Policies'') in connection with the clearing of credit

[[Page 39227]]

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\ On April 
29, 2020, the Commission issued an order instituting proceedings under 
Section 19(b)(2)(B) of the Act \5\ to determine whether to approve or 
disapprove the proposed rule change.\6\ The Commission did not receive 
comments regarding the proposed rule change. For the reasons discussed 
below, the Commission is approving the proposed rule change.
---------------------------------------------------------------------------

    \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 of Time 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) (SR-ICC-2020-002).
    \5\ 15 U.S.C. 78s(b)(2)(B).
    \6\ 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; Exchange Act Release No. 88775 
(Apr. 29, 2020); 85 FR 26774 (May 5, 2020) (SR-ICC-2020-002).
---------------------------------------------------------------------------

II. Description of the Proposed Rule Change

    The proposed rule change would amend the Risk Policies in 
connection with ICC's proposed clearing of credit default index 
swaptions (``Index Swaptions'').\7\ Pursuant to an Index Swaption, one 
party (the ``Swaption Buyer'') has the right (but not the obligation) 
to cause the other party (the ``Swaption Seller'') to enter into an 
index credit default swap transaction at a pre-determined strike price 
on a specified expiration date on specified terms. In the case of Index 
Swaptions that would be cleared by ICC, the underlying index credit 
default swap would be limited to certain CDX and iTraxx Europe index 
credit default swaps that are accepted for clearing by ICC and would be 
automatically cleared by ICC upon exercise of the Index Swaption by the 
Swaption Buyer in accordance with its terms. The Commission has 
previously approved changes that ICC made to its Rules, End-of-Day 
Price Discovery Policies and Procedures, and Risk Management Framework 
related to the clearing of Index Swaptions (the ``Swaption Rule 
Filing'').\8\ As explained in the Swaption Rule Filing, ICC would need 
to adopt certain related policies and procedures in preparation for the 
launch of clearing of Index Swaptions, including those set out in this 
filing, and would not commence clearing of Index Swaptions until such 
policies and procedures have been approved by the Commission or 
otherwise become effective.\9\
---------------------------------------------------------------------------

    \7\ Index Swaptions are also referred to herein and in the Risk 
Policies as ``index options'' or ``index CDS options'', or in 
similar terms.
    \8\ Self-Regulatory Organizations; ICE Clear Credit LLC; Notice 
of Filing of Filing of Partial Amendment No. 1 and Order Granting 
Accelerated Approval of Proposed Rule Change, as Modified by Partial 
Amendment No. 1, Relating to the ICC Rules, ICC End-of-Day Price 
Discovery Policies and Procedures, and ICC Risk Management 
Framework, Exchange Act Release No. 87297 (Oct. 15, 2019); 84 FR 
56270 (Oct. 21, 2019) (SR-ICC-2019-007).
    \9\ Id. at 56270, n. 7.
---------------------------------------------------------------------------

    As discussed above, the proposed rule change would amend the Risk 
Management Model Description, the Stress Testing Framework, Liquidity 
Risk Management Framework, Back-Testing Framework, and Risk Parameter 
Setting and Review Policy.

A. Amendments to the Risk Management Model Description

    The proposed rule change would amend ICC's Risk Management Model 
Description (``RMMD'') to take into account ICC clearing and settling 
Index Swaptions. Specifically, the proposed rule change would extend to 
Index Swaptions the existing methodology that ICC uses to determining 
initial margin and guaranty fund requirements for index and single-name 
CDS. In addition, the proposed rule change would make typographical 
corrections and would re-number and update cross-references.
i. Initial Margin
    The RMMD provides an overall description of ICC's initial margin 
methodology describes in detail each component thereof. The proposed 
rule change would first amend the overall description of ICC's initial 
margin methodology to add a general definition for Index Swaptions. The 
proposed rule change would define an Index Swaption as an option 
instrument that is a specific combination of underlying index, 
expiration date, strike price, optionality type, exercise style, 
denomination currency, and transaction type. Moreover, the proposed 
rule change would specify that for purposes of the initial margin 
methodology, ICC would treat an Index Swaption as part of the risk sub-
factor underlying the index referenced by the Index Swaption.
    The proposed rule change would next amend the description of each 
component of ICC's initial margin methodology to explain how ICC would 
apply that component to Index Swaptions: Jump-to-default, liquidity 
charge, concentration charge, interest rate sensitivity, basis risk, 
spread response, and anti-procyclicality.
    Beginning with the jump-to-default requirement, the proposed rule 
change would specify that ICC would determine an Index Swaption's jump-
to-default requirement by adding the Index Swaption's delta equivalent 
notional amount to the aggregate outright position in index CDS and 
then determining the jump-to-default requirement for that combined 
position.
    With respect to the liquidity charge, the proposed rule change 
would add an Index Swaption component to the liquidity charge for the 
outright index CDS position. The proposed rule change would set out the 
formulas that ICC would use to calculate an Index Swaption component of 
the liquidity charge, and the formulas would take into account the 
direction of the underlying position (bought or sold protection), other 
option characteristics (such as call or put and the underlying index), 
bid-offer width scaling factors, and the liquidity charge for the 
underlying CDS position. ICC would calculate the specific liquidity 
charge for an Index Swaption position by adding together the instrument 
level liquidity charges for all Index Swaptions that share the same 
effective underlying directionality. Finally, ICC's proposed approach 
for Index Swaptions would not provide portfolio benefits between the 
Index Swaption position and the outright underlying index position, 
meaning that ICC would not reduce the liquidity charge to account for 
offsets between the Index Swaption position and the outright underlying 
index position.
    For the concentration charge, the proposed rule change would set 
out the formulas that ICC would use to calculate the concentration 
charge for Index Swaptions. ICC would base the calculation on each 
Index Swaption's effective notional amount and 5-year equivalent 
analog. Moreover, the proposed rule change would amend the overall 
concentration charge analysis to consider Index Swaption positions 
combined with outright index CDS positions.
    For the interest rate sensitivity requirement, the proposed rule 
change

[[Page 39228]]

would extend the existing approach for index CDS to Index Swaptions. 
The proposed rule change would adjust this approach to account for 
price changes for Index Swaptions. Overall, ICC would use the interest 
rate sensitivity requirement to account for the risk associated with 
changes in the default-free discount interest rate term structure used 
to price Index Swaption instruments.
    With respect to basis risk, the proposed rule change would 
calculate basis risk requirements for Index Swaptions based on 
decomposed index positions. Similar to the liquidity charge, the 
proposed rule change would also specify that Index Swaptions would not 
be eligible for decomposition benefits in terms of long-short offsets.
    For the spread response component of initial margin, the proposed 
rule change would incorporate an options-implied credit spread 
distribution. Specifically, ICC would model an implied distribution of 
credit spread log-returns for each put and call instrument at each 
given expiry, such that the implied distribution option prices would be 
as close as possible to the option prices established via the end-of-
day process. The proposed rule change would also make amendments to 
address the determination of expected options payoffs, forward prices 
and spreads, and shape parameters for swaption instruments with the 
relevant expiry, for purposes of determining the relevant distribution 
of implied prices. Finally, the proposed rule change would add formulas 
to the profit and loss estimates to take into account Index Swaptions.
    With respect to the anti-procyclicality aspect of initial margin, 
currently the RMMD describes how ICC examines instrument price changes 
observed during the Lehman Brothers default, including consideration of 
the greatest price decreases between end-of-day prices on September 11, 
2008 and any of the next five consecutive trading days. The proposed 
rule change would extend this period for consideration to the next six 
consecutive trading days instead of five. The proposed rule change 
would also make this change for the opposite Lehman Brothers scenario. 
The proposed rule change would also add formulas to compute the profit 
and loss for Index Swaptions under these scenarios. Finally, to 
determine the impact of price change on Index Swaption prices, ICC 
would re-price the Index Swaptions instruments in the underlying stress 
scenarios.
ii. Guaranty Fund
    The proposed rule change would add Index Swaptions to ICC's 
calculation of Guaranty Fund requirements. Under the proposed rule 
change, ICC would combine the Index Swaption profit and loss with the 
index CDS profit and loss to determine the worst combined profit and 
loss for both Index Swaptions and Index CDS, and then use that amount 
to determine Guaranty Fund requirements. The proposed rule change would 
also add language to explain the assumptions that ICC uses when 
computing the profit and loss for Index Swaptions.

B. Liquidity Risk Management Framework

    The proposed rule change would amend the Liquidity Risk Management 
Framework to add references to Index Swaptions and to further explain 
how ICC would consider the liquidity risk associated with Index 
Swaptions. Specifically, the proposed rule change would amend the 
Liquidity Risk Management Framework to require that ICC consider 
extreme but plausible scenarios for Index Swaptions when engaging in 
stress testing. The proposed rule change would further add language to 
explain the Index Swaption specific scenarios and how ICC creates them, 
including the assumptions that ICC uses when creating the scenarios.

C. Risk Parameter Setting and Review Policy

    The proposed rule change would revise the Risk Parameter Setting 
and Review Policy to describe the parameters associated with the 
liquidity charge, concentration charge, and spread response components 
for Index Swaptions, as described above. The proposed rule change would 
also describe the assumptions maintained for purposes of pricing Index 
Swaptions. Finally, consistent with parameters that ICC uses for 
single-name and index CDS,\10\ the proposed rule change would require 
that ICC's Risk Management Department review the parameters and 
assumptions associated with Index Swaptions at least monthly and 
present any proposed updates to the Risk Working Group.
---------------------------------------------------------------------------

    \10\ Self-Regulatory Organizations; ICE Clear Credit LLC; Order 
Approving Proposed Rule Change Relating to the ICC Risk Parameter 
Setting and Review Policy; Exchange Act Release No. 85495 (Apr. 3, 
2019); 84 FR 14158 (Apr. 9, 2019) (SR-ICC-2019-002).
---------------------------------------------------------------------------

    Currently, the Risk Parameter Setting and Review Policy explains 
the analyses that ICC performs to explore the sensitivity of the 
outputs of ICC's risk management model to certain core parameters.\11\ 
The proposed rule change would likewise require that ICC perform 
sensitivity analysis of estimates used for Index Swaptions. As part of 
this sensitivity analysis, the proposed rule change would also require 
that ICC use alternative assumptions and methods for implied 
distributions and other factors to provide supplementary information to 
assess on an ongoing basis the validity and quality of assumptions used 
to price Index Swaptions.
---------------------------------------------------------------------------

    \11\ Id.
---------------------------------------------------------------------------

    Finally, the proposed rule change would add references to Index 
Swaptions as appropriate and make clarifying amendments and corrections 
to the Risk Parameter Setting and Review Policy.

D. Back-Testing Framework

    The proposed rule change would amend the Back-Testing Framework to 
ensure that ICC conducts back-testing with respect to Index Swaptions. 
The proposed rule change would do so by adding five special strategy 
portfolios to assess hypothetical positions in Index Swaptions. As with 
other special strategy portfolios, ICC would use the back-testing 
results for the special strategy portfolios involving Index Swaptions 
to identify and assess potential weaknesses in the risk management 
model with respect to Index Swaptions.
    Currently, the Back-Testing Framework requires that ICC Risk report 
results of back-testing on a univariate basis, meaning per instrument 
and risk factor, periodically and as appropriate depending on market 
conditions.\12\ The proposed rule change would similarly require that 
ICC conduct periodic univariate back-testing analysis on Index 
Swaptions and report the exceedances as an average over all strikes for 
each time-to-expiry strip.
---------------------------------------------------------------------------

    \12\ Self-Regulatory Organizations; ICE Clear Credit LLC; Order 
Approving Proposed Rule Change Relating to the ICE CDS Clearing: 
Back-Testing Framework; Exchange Act Release No. 85357 (Mar. 19, 
2019); 84 FR 11146 (Mar. 25, 2019) (SR-ICC-2019-001).
---------------------------------------------------------------------------

    Currently, the Back-Testing Framework provides guidelines for 
remediating poor back-testing results.\13\ The proposed rule change 
would likewise set out requirements for remediating poor back-testing 
results with respect to Index Swaptions. Specifically, under the Back-
Testing Framework as amended, if ICC found that poor back-testing 
results were directly related to Index Swaptions, it would conduct an 
analysis of the CDS index option implied distribution assumptions, 
estimation techniques and estimated parameters. The proposed rule 
change would also require that the

[[Page 39229]]

ICC Risk Management Department review results and statistical 
assumptions related to Index Swaptions. If the back-testing results 
based on daily parameter estimates did not exhibit poor performance, 
the ICC Risk Management Department could immediately update the 
statistical parameters and increase the frequency of parameter updates. 
If the daily parameter updates did not remediate poor back-testing 
results, the ICC Risk Management Department could recalibrate and 
update certain scaling factors related to Index Swaptions.
---------------------------------------------------------------------------

    \13\ Id.
---------------------------------------------------------------------------

E. Stress Testing Framework

    ICC uses stress testing to establish if its available financial 
resources are sufficient to cover hypothetical losses associated with 
uncollateralized stress losses in extreme but plausible scenarios of 
the two greatest groups of Clearing Participants that fall under a 
common parent entity (a ``Clearing Participant Affiliate Group''). The 
proposed rule change would stress test Index Swaptions by applying each 
of the defined stress scenario categories to Index Swaptions. The 
proposed rule change would further explain that for each of the stress 
scenario categories, ICC would create Index Swaption pricing scenarios 
by pricing the option instruments using the calibrated implied 
distribution, at the corresponding underlying stress levels and stress 
options-implied levels associated with the various pricing scenarios. 
Moreover, for each of the stress scenario categories the proposed rule 
change would explain in detail how ICC would apply that category to 
Index Swaptions. Finally, the proposed rule change would make other 
conforming changes to incorporate references to Index Swaptions 
throughout the Stress Testing Framework.

III. Discussion and Commission Findings

    Section 19(b)(2)(C) of the Act directs the Commission to approve a 
proposed rule change of a self-regulatory organization if it finds that 
such proposed rule change is consistent with the requirements of the 
Act and the rules and regulations thereunder applicable to such 
organization.\14\ For the reasons given below, the Commission finds 
that the proposed rule change is consistent with Section 17A(b)(3)(F) 
of the Act \15\ and Rules 17Ad-22(b)(2), (b)(3), and (d)(8) 
thereunder.\16\
---------------------------------------------------------------------------

    \14\ 15 U.S.C. 78s(b)(2)(C).
    \15\ 15 U.S.C. 78q-2(b)(3)(F).
    \16\ 17 CFR 240.17Ad-22(b)(2), (b)(3), (d)(8).
---------------------------------------------------------------------------

A. Consistency With Section 17A(b)(3)(F) of the Act

    Section 17A(b)(3)(F) of the Act requires, among other things, that 
the rules of a clearing agency, like 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, as well as to assure the safeguarding of securities and 
funds which are in its custody or control or for which it is 
responsible, and, in general, to protect investors and the public 
interest.\17\ The Commission believes that the proposed changes to the 
Risk Policies generally should help to ensure that ICC collects 
sufficient Initial Margin and Guaranty Fund requirements for clearing 
Index Swaptions. For example, by amending ICC's Risk Management Model 
Description to apply ICC's risk management model to Index Swaptions, 
including Initial Margin and Guaranty Fund requirements, the Commission 
believes the proposed rule change should help to ensure that ICC 
collects Initial Margin and Guaranty Fund contributions necessary to 
manage the risks associated with clearing Index Swaptions. Similarly, 
by applying the Stress Testing Framework to Index Swaptions, the 
Commission believes that the proposed rule change should help to ensure 
that ICC maintains sufficient available financial resources to cover 
hypothetical losses associated with Index Swaptions for the two 
greatest Clearing Participant Affiliate Group uncollateralized stress 
losses in extreme but plausible scenarios.
---------------------------------------------------------------------------

    \17\ 15 U.S.C. 78q-2(b)(3)(F).
---------------------------------------------------------------------------

    In addition, by applying the Risk Parameter Setting and Review 
Policy to Index Swaptions, the Commission believes the proposed rule 
change should help to ensure that the parameters and assumptions that 
ICC uses in establishing the Initial Margin and Guaranty Fund 
requirements associated with Index Swaptions are appropriately reviewed 
and calibrated. Finally, by applying the Back-Testing Framework to 
Index Swaptions, the Commission believes the proposed rule change 
should help to ensure that ICC tests the requirements produced by the 
risk management model with respect to clearing Index Swaptions and 
should therefore help to ensure the sound operation of the risk 
management model with respect to Index Swaptions.
    Moreover, the Commission also believes the proposed rule change 
should help to ensure that ICC maintains adequate liquid resources for 
clearing Index Swaptions. Specifically, in applying the Liquidity Risk 
Management Framework to the clearing of Index Swaptions, the Commission 
believes the proposed rule change should help to ensure that ICC is 
able to manage the liquidity risk associated with, and has sufficient 
liquid resources to meet the liquidity demands resulting from, clearing 
Index Swaptions.
    By helping to ensure that ICC collects and maintains sufficient 
Initial Margin and Guaranty Fund requirements for clearing Index 
Swaptions, which ICC would use to manage the credit exposures 
associated with clearing Index Swaptions, the Commission believes that 
the proposed rule change should help improve ICC's ability to avoid 
losses that could result from the miscalculation of ICC's credit 
exposures resulting from clearing Index Swaptions. Similarly, the 
Commission believes the proposed rule change should help ICC to avoid 
potential losses that could result from mismanaging the liquidity risks 
associated with, or having insufficient liquid resources to satisfy the 
liquidity demands resulting from, clearing Index Swaptions. Because 
these losses could disrupt ICC's ability to operate, and thus clear and 
settle securities transactions, the Commission finds the proposed rule 
change should promote the prompt and accurate clearance and settlement 
of securities transactions. Because such losses could also threaten 
access to securities and funds in ICC's control, the Commission finds 
the proposed rule change should help assure the safeguarding of 
securities and funds that are in the custody or control of ICC or for 
which it is responsible.
    Therefore, the Commission finds that the proposed rule change 
should promote the prompt and accurate clearance and settlement of 
securities transactions and assure the safeguarding of securities and 
funds in ICC's custody and control, consistent with the Section 
17A(b)(3)(F) of the Act.\18\
---------------------------------------------------------------------------

    \18\ 15 U.S.C. 78q-2(b)(3)(F).
---------------------------------------------------------------------------

B. Consistency With Rule 17Ad-22(b)(2)

    Rule 17Ad-22(b)(2) 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

[[Page 39230]]

monthly.\19\ As discussed above, the proposed rule change would amend 
ICC's Risk Management Model Description to apply ICC's Initial Margin 
requirements to Index Swaptions, which the Commission believes should 
help to ensure that ICC uses margin requirements to limit its credit 
exposures with respect to Index Swaptions. Moreover, in applying the 
Risk Parameter Setting and Review Policy to Index Swaptions, the 
proposed rule change would require that ICC's Risk Management 
Department reviews the parameters and assumptions associated with Index 
Swaptions at least monthly and present any proposed updates to the Risk 
Working Group. Therefore, for these reasons, the Commission finds that 
the proposed rule change is consistent with Rule 17Ad-22(b)(2).\20\
---------------------------------------------------------------------------

    \19\ 17 CFR 240.17Ad-22(b)(2).
    \20\ 17 CFR 240.17Ad-22(b)(2).
---------------------------------------------------------------------------

C. Consistency With Rule 17Ad-22(b)(3)

    Rule 17Ad-22(b)(3) 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.\21\ As discussed 
above, the proposed rule change would amend ICC's Risk Management Model 
Description to apply ICC's Guaranty Fund requirements to Index 
Swaptions, which the Commission believes should help to ensure that ICC 
maintains 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. Moreover, in 
applying the Stress Testing Framework to Index Swaptions, the proposed 
rule change would require that ICC take Index Swaptions into 
consideration when conducting the stress testing that ICC uses to 
establish if its available financial resources are sufficient to cover 
hypothetical losses associated with the two greatest Clearing 
Participant Affiliate Group uncollateralized stress losses in extreme 
but plausible scenarios. Therefore, for these reasons, the Commission 
finds that the proposed rule change is consistent with Rule 17Ad-
22(b)(3).\22\
---------------------------------------------------------------------------

    \21\ 17 CFR 240.17Ad-22(b)(3).
    \22\ 17 CFR 240.17Ad-22(b)(3).
---------------------------------------------------------------------------

D. Consistency With Rule 17Ad-22(d)(8)

    Rule 17Ad-22(d)(8) 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 and to promote 
the effectiveness of ICC's risk management procedures.\23\ As discussed 
above, in applying the Risk Parameter Setting and Review Policy to 
Index Swaptions, the proposed rule change would require that ICC's Risk 
Management Department review the parameters and assumptions associated 
with Index Swaptions at least monthly and present any proposed updates 
to the Risk Working Group. The Commission believes this should 
establish a clear and transparent governance arrangement with respect 
to reviewing and update those parameter and assumptions. Moreover, as 
discussed above, the proposed rule change would revise the Back-Testing 
Framework to require that the ICC Risk Management Department review 
results and statistical assumptions related to Index Swaptions and 
specify actions to remediate poor results. The Commission believes this 
should clearly assign responsibility to the ICC Risk Management 
Department for reviewing and remediating poor results. Therefore, for 
these reasons, the Commission finds that the proposed rule change is 
consistent with Rule 17Ad-22(d)(8).\24\
---------------------------------------------------------------------------

    \23\ 17 CFR 240.17Ad-22(d)(8).
    \24\ 17 CFR 240.17Ad-22(d)(8).
---------------------------------------------------------------------------

IV. Conclusion

    On the basis of the foregoing, the Commission finds that the 
proposed rule change is consistent with the requirements of the Act, 
and in particular, with the requirements of Section 17A(b)(3)(F) of the 
Act \25\ and Rules 17Ad-22(b)(2), (b)(3), and (d)(8) thereunder.\26\
---------------------------------------------------------------------------

    \25\ 15 U.S.C. 78q-2(b)(3)(F).
    \26\ 17 CFR 240.17Ad-22(b)(2), (b)(3), (d)(8).
---------------------------------------------------------------------------

    It is therefore ordered pursuant to Section 19(b)(2) of the Act 
\27\ that the proposed rule change (SR-ICC-2020-002), be, and hereby 
is, approved.\28\
---------------------------------------------------------------------------

    \27\ 15 U.S.C. 78s(b)(2).
    \28\ In approving the proposed rule change, the Commission 
considered the proposal's impact on efficiency, competition, and 
capital formation. 15 U.S.C. 78c(f).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\29\
---------------------------------------------------------------------------

    \29\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2020-14009 Filed 6-29-20; 8:45 am]
BILLING CODE 8011-01-P


