[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 [email protected]. 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