Federal Register / Vol. 87, No. 3 / Wednesday, January 5, 2022 / Notices 513 

45 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3Because the CC Risk Policy and CC Risk 

Procedures would incorporate the information 

currently found in the Capital to Margin Policy and 

Unsecured Credit Limits Procedures in 

substantially the same form, the proposed rule 

change would retire those two documents. 

4Self-Regulatory Organizations; ICE Clear Europe 

Limited; Notice of Filing of Proposed Rule Change 

Relating to Amendments to the Counterparty Credit 

Risk Policy and Counterparty Credit Risk 

Procedures, Exchange Act Release No. 93668 (Nov. 

24, 2021); 86 FR 68014 (Nov. 30, 2021) (SR–ICEEU– 

2021–015) (‘‘Notice’’). 

5Capitalized terms not otherwise defined herein 

have the meanings assigned to them in the CC Risk 

Policy and CC Risk Procedures. 

6As noted further below, ICE Clear Europe is 

taking the processes described in section vi from 

the existing Capital to Margin Policy and Unsecured 

Credit Limits Procedures. 

7 ICE Clear Europe included the Counterparty 

Credit Risk Parameters and Reviews document as a 

confidential Exhibit 3 to the filing. 

Commission, 100 F Street NE, 

Washington, DC 20549. 

All submissions should refer to File 

Number SR–NSCC–2021–017. 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 the 

filing also will be available for 

inspection and copying at the principal 

office of NSCC and on DTCC’s website 

(https://dtcc.com/legal/sec-rulefilings.aspx). All comments received 

will be posted without change; the 

Commission does not edit personal 

identifying information from 

submissions. You should submit only 

information that you wish to make 

available publicly. All submissions 

should refer to File Number SR–NSCC– 

2021–017 and should be submitted on 

or before January 26, 2022. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.45

Vanessa A. Countryman, 

Secretary. 

[FR Doc. 2021–28518 Filed 1–4–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–93880; File No. SR–ICEEU– 

2021–015] 

Self-Regulatory Organizations; ICE 

Clear Europe Limited; Order Approving 

Proposed Rule Change Relating to 

Adoption of the Counterparty Credit 

Risk Policy and Counterparty Credit 

Risk Procedures 

December 30, 2021. 

I. Introduction 

On November 15, 2021, ICE Clear 

Europe Limited (‘‘ICE Clear Europe’’) 

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–4,2 a proposed rule change to 

adopt a new Counterparty Credit Risk 

Policy (the ‘‘CC Risk Policy’’) and new 

Counterparty Credit Risk Procedures 

(the ‘‘CC Risk Procedures’’) and retire 

the existing Futures and Options Capital 

to Margin and Shortfall Margin Policy 

(the ‘‘Capital to Margin Policy’’) and 

existing Unsecured Credit Limits 

Procedures.3 The proposed rule change 

was published for comment in the 

Federal Register on November 30, 

2021.4 The Commission did not receive 

comments regarding the proposed rule 

change. For the reasons discussed 

below, the Commission is approving the 

proposed rule change. 

II. Description of the Proposed Rule 

Change 

i. Background 

Both the CC Risk Policy and CC Risk 

Procedures would describe how ICE 

Clear Europe monitors and mitigates 

counterparty credit risk.5 Both 

documents would define counterparty 

credit risk as (i) the risk that a Clearing 

Member misses its next payment to ICE 

Clear Europe, leaving ICE Clear Europe 

under-collateralized and therefore 

increasing the risk of using the Guaranty 

Fund contributions of other Clearing 

Members and ICE Clear Europe to 

manage a potential default of that 

Clearing Member and (ii) the risk that a 

Financial Service Provider (‘‘FSP’’) 

defaults without returning cash to ICE 

Clear Europe, leaving ICE Clear Europe 

with a loss on its investments or 

expected return of cash. Both the CC 

Risk Policy and CC Risk Procedures also 

would define ICE Clear Europe’s overall 

objective with respect to counterparty 

credit risk as managing and minimizing 

this risk. 

To achieve this objective, ICE Clear 

Europe, under both the CC Risk Policy 

and CC Risk Procedures, would (i) set 

and monitor credit eligibility criteria for 

Clearing Members and FSPs; (ii) 

establish credit scores for Clearing 

Members and FSPs; (iii) take mitigating 

actions to reduce ICE Clear Europe’s 

exposure; (iv) perform trigger-based and 

periodic risk reviews of Clearing 

Members and FSPs; and (v) set and 

monitor exposure limits for Clearing 

Members and FSPs. The CC Risk Policy 

would explain in general how ICE Clear 

Europe would carry out these actions, 

and the CC Risk Procedures would 

supplement the CC Risk Policy with 

further detail regarding these actions. 

Thus, the description below is 

organized according to these five steps, 

with an explanation of those actions 

under both the CC Risk Policy and CC 

Risk Procedures.6

ii. Credit Eligibility Criteria 

ICE Clear Europe would first assess 

prospective entities against certain 

credit eligibility criteria. The criteria 

that ICE Clear Europe would use for this 

assessment would be set forth in a new 

Counterparty Credit Risk Parameters 

and Reviews document, which would 

be a supporting document of the CC 

Risk Policy and CC Risk Procedures.7

Overall, ICE Clear Europe would use 

this assessment against the credit 

criteria to assess the financial stability 

of Clearing Members and FSPs. ICE 

Clear Europe would assess prospective 

Clearing Members and FSPs against 

such criteria during onboarding and 

review existing Clearing Members and 

FSPs against such criteria at least 

annually. 

After conducting the assessment, ICE 

Clear Europe would produce a credit 

recommendation for prospective 

Clearing Members based on financial 


TKELLEY on DSK125TN23PROD with NOTICE 
514 Federal Register / Vol. 87, No. 3 / Wednesday, January 5, 2022 / Notices 

and qualitative information. For 

prospective FSPs, ICE Clear Europe 

would confirm that they are legal 

entities in approved jurisdictions and 

comply with the eligibility criteria and 

unsecured credit limits set forth in the 

Counterparty Credit Risk Parameters 

and Reviews document. Moreover, 

based on the assessment, ICE Clear 

Europe may disapprove a prospective 

Clearing Member or FSP or subject it to 

additional monitoring and potentially 

mitigating actions, such as requiring 

Clearing Members to provide a buffer 

margin and reducing or eliminating 

usage of a particular FSP. 

iii. Credit Scores 

In addition to this assessment against 

initial credit eligibility criteria, on a 

daily basis ICE Clear Europe would 

monitor Clearing Members and FSPs 

using its Counterparty Rating System 

(‘‘CRS’’). The CRS would calculate a 

credit score that represents a 

counterparty’s credit quality. For FSPs, 

this credit score could take into account 

external ratings and ICE Clear Europe’s 

exposure limits. ICE Clear Europe 

would use this credit score, along with 

its exposure to that counterparty, to 

identify Clearing Members and FSPs 

that have questionable financial 

standing, show signs of financial 

weakness, or are likely to default. ICE 

Clear Europe would calculate credit 

scores daily for all counterparties. 

For each counterparty, the CRS would 

incorporate quantitative financial 

information, such as capitalization and 

leverage, and qualitative operational 

and conduct information, such as 

regulatory violations and pending 

litigation. ICE Clear Europe would 

analyze any material changes in a CRS 

score and would update the CRS at least 

quarterly with the latest financial 

statements from each counterparty. 

iv. Mitigating Actions 

ICE Clear Europe would rank Clearing 

Members by their CRS score in order to 

identify those with lower relative credit 

quality that may require further 

examination to determine whether 

additional actions are necessary to 

mitigate credit risk. ICE Clear Europe 

could place those Clearing Members and 

FSPs with the weakest CRS scores on a 

list of counterparties for further review 

and mitigating action known as the 

Watch List. If ICE Clear Europe placed 

any entity within a Clearing Member 

Family (meaning all of the Clearing 

Members that are linked by a common 

ownership that has a controlling stake 

in the entities) on the Watch List, then 

all members of that Clearing Member 

Family could also be added to the 

Watch List. ICE Clear Europe would be 

able remove counterparties from the 

Watch List if (i) their CRS score 

improves to a stronger classification or 

the reason for incorporation into the 

Watch List has ceased or (ii) their credit 

risk has been sufficiently mitigated. The 

Counterparty Credit Risk Parameters 

and Reviews document would set out 

the ICE Clear Europe personnel 

responsible for monitoring the Watch 

List and the reviews needed to place or 

not place counterparties on the Watch 

List and to remove counterparties from 

the Watch List. 

If ICE Clear Europe added a Clearing 

Member or FSP to the Watch List, ICE 

Clear Europe would monitor the 

counterparty more closely and could 

take mitigating actions to reduce its 

exposure to the counterparty. These 

actions would depend on the size of the 

exposure and the circumstances and 

could include, among others: (i) 

Additional monitoring; (ii) requiring 

Clearing Members to post additional 

collateral to meet a buffer margin 

requirement; (iii) requiring Clearing 

Members to post different forms of 

collateral; (iv) requiring Clearing 

Members to reduce positions; (v) 

requiring Clearing Members to improve 

their capital position (such as by 

implementing a parental guarantee); (vi) 

lowering the materiality threshold for 

intra-day margin calls; and (vii) and 

reducing or removing ICE Clear 

Europe’s usage of an FSP. As would be 

set out in the Counterparty Credit Risk 

Parameters and Reviews document, ICE 

Clear Europe’s Head of Clearing Risk 

and Chief Risk Officer would determine 

which risk-mitigating actions to take for 

counterparties on the Watch List. 

v. Trigger-Based and Periodic Risk 

Reviews 

ICE Clear Europe would engage in 

continuous monitoring of Clearing 

Members and FSPs as well as additional 

trigger-based reviews. ICE Clear Europe 

would continuously monitor all 

Clearing Members and FSPs daily 

through the CRS credit scores, the 

Watch List, and exposure limits (as 

described below). In turn, ICE Clear 

Europe personnel and committees 

would review the CRS scores, the Watch 

List, and exposure limits as set out in 

the Counterparty Credit Risk Parameters 

and Reviews document. 

In addition to continuous monitoring, 

ICE Clear Europe would review a 

Clearing Member or FSP when (i) it is 

added to the Watch List or (ii) there are 

concerns about its stability. Such a 

review could cover data and recent 

relevant news and an assessment of the 

incident and its impact. The depth of 

the review would depend on the 

circumstances and exposures. 

While conducting these trigger-based 

reviews of higher risk counterparties, 

ICE Clear Europe also would 

periodically review lower risk 

counterparties that do not meet these 

triggers. Ultimately, the CC Risk Policy 

would require that ICE Clear Europe 

review all counterparties at least once 

every five years, and the CC Risk 

Procedures would require that ICE Clear 

Europe review all Clearing Members at 

least once every four years. ICE Clear 

Europe would tailor the reviews to the 

relationship and obligation of the 

counterparty, and reviews would cover 

such matters as capital metrics, credit 

scores, financials, business description, 

ownership structure, and risks to ICE 

Clear Europe. 

vi. Exposure Limits 

Clearing Members 

ICE Clear Europe would monitor its 

uncollateralized exposure to each 

Clearing Member, assuming the Clearing 

Member were to default, at least daily 

against exposure limits. ICE Clear 

Europe would use a Clearing Member’s 

Uncollateralised Stress Loss (‘‘USL’’) as 

a proxy for the exposures. ICE Clear 

Europe would set an exposure limit in 

relation to USL as a percentage of a 

Clearing Member’s capital, subject to a 

minimum amount. Where exposure to a 

CM exceeds the exposure limit, ICE 

Clear Europe could (i) require additional 

buffer margin, (ii) require the Clearing 

Member to reduce positions leading to 

a reduction in their initial margin, or 

(iii) require the Clearing Member to 

increase its capital or implement a 

parental guarantee or subordinated debt 

to increase the exposure limit. The 

Counterparty Credit Risk Parameters 

and Reviews document would set forth 

the percentages of capital for the 

exposure limit, the minimum amount, 

types of eligible capital, the frequencies 

of review, and the approvals needed to 

change those values. 

In addition to monitoring a Clearing 

Member’s USL, ICE Clear Europe also 

would monitor a Clearing Member’s 

initial margin relative to its capital at 

least daily against threshold limits. ICE 

Clear Europe, for each Clearing Member 

and on each business day, would 

monitor whether the size of a Clearing 

Member’s positions are large relative to 

the Clearing Member by monitoring the 

ratio of its total margin to its capital 

(known as the margin to capital ratio). 

When a Clearing Member’s margin to 

capital ratio is above a certain threshold, 

ICE Clear Europe would investigate the 

breach to understand its cause. If the 


TKELLEY on DSK125TN23PROD with NOTICE 
Federal Register / Vol. 87, No. 3 / Wednesday, January 5, 2022 / Notices 515 

8Certain other provisions of the Capital to Margin 

Policy relating to shortfall margin are already part 

of ICE Clear Europe’s existing Futures and Options 

Risk Procedures. ICE Clear Europe would retain 

those provisions relating to shortfall margin in the 

Futures and Options Risk Procedures but would not 

make any changes to the Futures and Options Risk 

Procedures. Notice, 86 FR 68015. ICE Clear Europe 

last filed amendments to the Futures and Options 

Risk Procedures with the Commission in filing 

2021–007. See Self-Regulatory Organizations; ICE 

Clear Europe Limited; Notice of Filing and 

Immediate Effectiveness of Proposed Rule Change 

Relating to Amendments to the ICE Clear Europe 

Futures and Options Risk Policy and Futures and 

Options Risk Procedures and Retirement of the 

Futures and Options Concentration Charge Policy, 

Exchange Act Release No. 91290 (Mar. 10, 2021); 86 

FR 14478 (Mar. 16, 2021) (SR–ICEEU–2021–007). 

9Notice, 86 FR 68015. 

10Notice, 86 FR 68015. 

11 ICE Clear Europe would assume deposits left 

with central banks to be secured. 

12See, e.g., Self-Regulatory Organizations; ICE 

Clear Europe Limited; Notice of Filing and 

Immediate Effectiveness of Proposed Rule Change 

Relating to Amendments to the ICE Clear Europe 

Futures and Options Stress Testing Policy and the 

Adoption of the Futures and Options Stress Testing 

Methodology Document, Exchange Act Release No. 

89621 (Aug. 20, 2020); 85 FR 52650 (Aug. 26, 2020) 

(SR–ICEEU–2020–008); Self-Regulatory 

Organizations; ICE Clear Europe Limited; Notice 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 ICE Clear Europe Investment 

Management Procedures and Treasury and Banking 

Services Policy, Exchange Act Release No. 89211 

(July 1, 2020); 85 FR 41082 (July 8, 2020) (SR– 

ICEEU–2020–002); Self-Regulatory Organizations; 

ICE Clear Europe Limited; Notice of Filing of Partial 

Amendment No. 2 and Order Granting Accelerated 

Approval of Proposed Rule Change, as Modified by 

Partial Amendment No. 1 and Partial Amendment 

No. 2, To Revise the ICE Clear Europe Treasury and 

Banking Services Policy, Liquidity Management 

Procedures, Investment Management Procedures 

and Unsecured Credit Limits Procedures, Exchange 

Act Release No. 86891 (Sept. 6, 2019); 84 FR 48191 

(Sept. 12, 2019) (SR–ICEEU–2019–012). 

margin to capital ratio over a set period 

of time is above the threshold, then ICE 

Clear Europe would take mitigating 

actions including (i) enhanced 

monitoring of the Clearing Member to 

assess whether the increased ratio is 

temporary, (ii) requiring the Clearing 

Member to reduce positions leading to 

a reduction in its initial margin, and (iii) 

requiring the Clearing Member to 

increase its capital or implement a 

parental guarantee or subordinated debt 

to increase the exposure limit. The 

Counterparty Credit Risk Parameters 

and Reviews document would set forth 

the threshold, the period of time, and 

the frequency of reviews. This aspect of 

the CC Risk Policy and CC Risk 

Procedures would replace provisions of 

the Capital to Margin Policy, which 

would be retired.8 Consistent with 

current practice, ICE Clear Europe 

would monitor the capital to margin 

ratio of Clearing Members in both ICE 

Clear Europe’s CDS clearing service and 

ICE Clear Europe’s Futures and Options 

clearing service.9 With respect to 

Futures and Options Clearing Members, 

however, ICE Clear Europe would 

eliminate the use of two separate ratios 

based on house and customer margin, 

respectively, and would instead use a 

single combined margin ratio, which 

ICE Clear Europe believes is more 

representative of the overall risk.10

ICE Clear Europe also would monitor 

certain clients of Clearing Members. For 

a client that is not an affiliate of a 

Clearing Member, ICE Clear Europe 

would monitor the client against the 

Tiering Concentration Indicator, to 

consider whether default of the client 

could cause default of the Clearing 

Member. The Counterparty Credit Risk 

Parameters and Reviews document 

would set forth the Tiering 

Concentration Indicator, the frequency 

of reviews, and approvers. 

Finally, ICE Clear Europe could also 

set a limit for collateral posted by 

Clearing Members, which would be 

further described in the Counterparty 

Credit Risk Parameters and Reviews 

document. With respect to issuers of 

collateral, the ICE Clear Europe could 

set an overall limit with sub-limits for 

CM collateral, Treasury (reverse repo 

and other collateral), and Finance 

(investment of ICE Clear Europe’s own 

capital and Skin-in-the-Game). The 

overall limit would equal the sum of the 

sub-limits and could be borrowed 

between departments. 

FSPs 

Through its investment program, ICE 

Clear Europe aims to secure the cash 

that Clearing Members have transferred 

to ICE Clear Europe to cover margin and 

Guaranty Fund contributions. Given 

that, ICE Clear Europe’s exposure to an 

FSP is primarily from leaving cash with 

that FSP unsecured overnight.11 Thus, 

ICE Clear Europe would measure its 

exposure to an FSP in terms of time 

deposits and other cash deposits 

provided to a FSP that ICE Clear Europe 

can lose in the event of the FSP 

defaulting. ICE Clear Europe would set 

a maximum value on such exposure 

which would be the overall Unsecured 

Credit Limit for that FSP. 

ICE Clear Europe would allocate and 

monitor Unsecured Credit Limits with 

respect to FSPs, based on a percentage 

of the FSP’s capital, with a minimum 

and maximum total limit. ICE Clear 

Europe would reduce an FSP’s limit by 

other exposures ICE Clear Europe may 

have to the FSP, such as the USL if the 

FSP is also a Clearing Member. The CC 

Risk Procedures would set out roles and 

responsibilities for ICE Clear Europe’s 

Credit and Treasury teams in assessing 

FSPs and applying the limits, which 

would be the same as under the current 

Unsecured Credit Limits Procedures. 

Moreover, the Counterparty Credit Risk 

Parameters and Reviews document 

would set forth other information 

pertinent to these limits, such as the 

types of eligible capital, percentage of 

capital for the limits, the reverse repo 

exposure percentage, and the maximum 

and minimum values. The Counterparty 

Credit Risk Parameters and Reviews 

document also would set forth the 

reviewers, frequency of review, and the 

approvals needed to change those 

values. 

Where exposure to an FSP breaches 

the limit, ICE Clear Europe’s mitigating 

responses could include allocating 

unsecured cash to different FSPs, 

securing the cash exposure, and 

escalating material breaches. 

Finally, an FSP would have to meet 

certain minimum requirements set out 

in the CC Risk Procedures. For example, 

the FSP would need to be regulated by 

a competent authority with valid 

jurisdiction and satisfy the credit 

eligibility criteria discussed above. 

Moreover, FSPs that are Committed 

Repo providers must be Legal Entities 

registered in the United States, the 

United Kingdom, or in countries in the 

European Union that satisfy the 

Minimum External Rating, and ICE 

Clear Europe would give preference to 

FSPs with direct access to central bank 

lending facilities for the currency of 

issue. 

These provisions of the CC Risk 

Policy and CC Risk Procedures would 

replace, but not change the substance of, 

provisions of the existing Unsecured 

Credit Limits Procedures. 

vii. Document Governance and 

Exception Handling 

In addition to the steps that ICE Clear 

Europe would take to monitor and 

mitigate counterparty credit risk, both 

the CC Risk Policy and the CC Risk 

Procedures would describe ICE Clear 

Europe’s procedures for governance of, 

and exceptions to, both documents. This 

document governance and exception 

handling section would be similar to 

those of other ICE Clear Europe policies 

and would be the same under both the 

CC Risk Policy and the CC Risk 

Procedures.12 Specifically, the 

document owner would be responsible 

for maintaining up-to-date documents 

and reviewing documents in accordance 

with ICE Clear Europe’s governance 

processes. The document owner would 

be required to report material breaches 

or unapproved deviations to the Head of 


TKELLEY on DSK125TN23PROD with NOTICE 
516 Federal Register / Vol. 87, No. 3 / Wednesday, January 5, 2022 / Notices 

13 15 U.S.C. 78s(b)(2)(C). 

14 15 U.S.C. 78q–1(b)(3)(F). 

15 17 CFR 240.17Ad–22(e)(2)(i), (e)(2)(v), (e)(3)(i), 

and (e)(19). 

16 15 U.S.C. 78q–1(b)(3)(F). 

17As discussed above, ICE Clear Europe is 

importing the processes described in Section II.vi 

above from its existing Capital to Margin Policy and 

Unsecured Credit Limits Procedures. The 

Commission published notice of the Capital to 

Margin Policy in 2019. See Self-Regulatory 

Organizations; ICE Clear Europe Limited; Notice of 

Filing and Immediate Effectiveness of Proposed 

Rule Change Relating To Adoption of a New 

Futures & Options Capital-to-Margin and Shortfall 

Margin Policy (the ‘‘F&O Margin Shortfall Policy’’), 

Exchange Act Release No. 85439 (Mar. 28, 2019); 84 

FR 13087 (April 3, 2019) (SR–ICEEU–2019–005). 

Moreover, the Commission approved the Unsecured 

Credit Limits Procedures in 2019. See SelfRegulatory Organizations; ICE Clear Europe 

Limited; Notice of Filing of Partial Amendment No. 

2 and Order Granting Accelerated Approval of 

Proposed Rule Change, as Modified by Partial 

Amendment No. 1 and Partial Amendment No. 2, 

To Revise the ICE Clear Europe Treasury and 

Banking Services Policy, Liquidity Management 

Procedures, Investment Management Procedures 

and Unsecured Credit Limits Procedures, Exchange 

Act Release No. 86891 (Sept. 6, 2019); 84 FR 48191 

(Sept. 12, 2019) (SR–ICEEU–2019–012). 

18 15 U.S.C. 78q–1(b)(3)(F). 

19 17 CFR 240.17Ad–22(e)(2)(i). 

20 17 CFR 240.17Ad–22(e)(2)(v). 

Department, the Chief Risk Officer, and 

the Head of Compliance (or their 

delegates) who would together 

determine if further escalation should 

be made to relevant senior executives, 

the Board, or competent authorities. 

Exceptions to the CC Risk Policy and CC 

Risk Procedures would be approved in 

accordance with ICE Clear Europe’s 

governance process for approval of 

changes to the documents. 

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.13 For 

the reasons discussed below, the 

Commission finds that the proposed 

rule change is consistent with Section 

17A(b)(3)(F) of the Act,14 and Rules 

17Ad–22(e)(2)(i), (e)(2)(v), (e)(3)(i), and 

(e)(19).15

i. 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 ICE Clear Europe 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 the custody or 

control of ICE Clear Europe or for which 

it is responsible.16

As discussed above, the CC Risk 

Policy and the CC Risk Procedures 17

would describe how ICE Clear Europe 

monitors and mitigates counterparty 

credit risk by (i) setting and monitoring 

credit eligibility criteria for Clearing 

Members and FSPs; (ii) establishing a 

credit score for each Clearing Member 

and FSP; (iii) taking mitigating actions 

to reduce ICE Clear Europe’s exposure; 

(iv) performing trigger-based and 

periodic risk reviews of Clearing 

Members and FSPs; and (v) setting and 

monitoring exposure limits for Clearing 

Members and FSPs. The Commission 

believes that through these actions, ICE 

Clear Europe would be in a position to 

monitor and mitigate the risk of default 

by a Clearing Member or FSP. For 

example, the Commission believes that 

setting and monitoring eligibility 

criteria would help to ensure that all 

Clearing Members and FSPs have a 

similar baseline of financial reliability 

and that establishing and monitoring 

CRS scores for Clearing Members and 

FSPs would help to identify those 

counterparties whose financial situation 

may be deteriorating and posing a risk 

to ICE Clear Europe. 

Similarly, the Commission believes 

that trigger-based and periodic reviews, 

as well as setting and monitoring 

exposure limits, would help ICE Clear 

Europe to determine counterparties who 

may pose an increased risk and limit its 

exposure to those counterparties. 

Finally, the Commission believes that 

ICE Clear Europe’s mitigating actions, 

such as requiring a Clearing Member to 

post additional margin or reducing 

usage of an FSP, would help to reduce 

or eliminate its exposure to a Clearing 

Member or FSP, as needed in response 

to a change in that counterparty’s credit 

risk. 

As discussed in the CC Risk Policy 

and CC Risk Procedures, counterparty 

credit risk poses a risk to ICE Clear 

Europe’s financial resources because 

default by a Clearing Member could 

leave ICE Clear Europe undercollateralized and default by an FSP 

could cause ICE Clear Europe to lose its 

investments or expected return of cash. 

The Commission believes that such 

losses could, in turn, threaten ICE Clear 

Europe’s ability to operate and therefore 

clear and settle transactions. Thus, the 

Commission believes that effective 

management of ICE Clear Europe’s 

counterparty credit risk could help ICE 

Clear Europe control risks to the 

financial resources needed to continue 

clearing and settling transactions. The 

Commission therefore believes that, by 

establishing the actions ICE Clear 

Europe would take to manage and 

mitigate counterparty credit risk, the CC 

Risk Policy and CC Risk Procedures 

would help to manage counterparty 

credit risk and thereby would promote 

the prompt and accurate clearance and 

settlement of securities transactions. 

Moreover, the Commission believes 

that the minimum requirements 

applicable to FSPs, as well as the setting 

of monitoring of exposure limits with 

respect to FSPs would be consistent 

with the assurance of safeguarding of 

securities and funds in ICE Clear 

Europe’s custody or control or for which 

it is responsible. The Commission 

believes that the minimum requirements 

would help to ensure that FSPs are 

financially stable and subject to 

competent regulation, which should 

help to ensure that ICE Clear Europe is 

able to access securities and funds 

placed with such FSPs. 

Therefore, the Commission finds that 

the proposed rule change is consistent 

with Section 17A(b)(3)(F) of the Act.18

ii. Consistency With Rules 17Ad– 

22(e)(2)(i), (v) Under the Act 

Rule 17Ad–22(e)(2)(i) requires that 

ICE Clear Europe establish, implement, 

maintain, and enforce written policies 

and procedures reasonably designed to 

provide for governance arrangements 

that are clear and transparent.19 As 

discussed above, both the CC Risk 

Policy and the CC Risk Procedures 

would establish the general governance 

and exceptions process for those 

documents, identical to the governance 

and exceptions process that ICE Clear 

Europe has established in other policies 

and procedures. The Commission 

believes that, in doing so, the CC Risk 

Policy and CC Risk Procedures would 

establish clear and transparent 

arrangements for ensuring that ICE Clear 

Europe personnel adhere to the 

documents and for modifying the 

documents as needed. 

Rule 17Ad–22(e)(2)(v) requires that 

ICE Clear Europe establish, implement, 

maintain, and enforce written policies 

and procedures reasonably designed to 

provide for governance arrangements 

that specify clear and direct lines of 

responsibility.20 As discussed above, 

the CC Risk Procedures would set out 

roles and responsibilities for ICE Clear 

Europe’s Credit and Treasury teams in 

assessing FSPs and applying limits to 

FSPs. The Commission believes these 

provisions would specify clear and 


TKELLEY on DSK125TN23PROD with NOTICE 
Federal Register / Vol. 87, No. 3 / Wednesday, January 5, 2022 / Notices 517 

21 17 CFR 240.17Ad–22(e)(2)(i) and (e)(2)(v). 

22 17 CFR 240.17Ad–22(e)(3)(i). 

23 17 CFR 240.17Ad–22(e)(3)(i). 

24 17 CFR 240.17Ad–22(e)(19). 

25 17 CFR 240.17Ad–22(e)(19). 

26 15 U.S.C. 78q–1(b)(3)(F). 

27 17 CFR 240.17Ad–22(e)(2)(i), (e)(2)(v), (e)(3)(i), 

and (e)(19). 

28 15 U.S.C. 78s(b)(2). 

29 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). 

30 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3The term ‘‘Market Makers’’ refers to ‘‘Lead 

Market Makers’’, ‘‘Primary Lead Market Makers’’ 

and ‘‘Registered Market Makers’’ collectively. See 

Exchange Rule 100. 

4The term ‘‘Proprietary Product’’ means a class 

of options that is listed exclusively on the 

Exchange. See Exchange Rule 100. 

direct lines of responsibility for the 

Credit and Treasury teams. 

Therefore, the Commission finds that 

the proposed rule change is consistent 

with Rule 17Ad–22(e)(2)(i) and 

(e)(2)(v).21

iii. Consistency With Rule 17Ad– 

22(e)(3)(i) Under the Act 

Rule 17Ad–22(e)(3)(i) requires that 

ICE Clear Europe establish, implement, 

maintain, and enforce written policies 

and procedures reasonably designed to, 

among other things, 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 ICE Clear 

Europe, 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 ICE Clear 

Europe, that are subject to review on a 

specified periodic basis and approved 

by the board of directors annually.22 As 

discussed above, the CC Risk Policy and 

the CC Risk Procedures would describe 

how ICE Clear Europe monitors and 

mitigates counterparty credit risk. The 

Commission believes that together these 

documents would allow ICE Clear 

Europe to comprehensively measure the 

credit risk posed by Clearing Members 

and FSPs through, among other things, 

assessing prospective Clearing Members 

and FSPs against certain credit 

eligibility criteria. The Commission 

further believes that CRS scores, 

periodic reviews, trigger-based reviews, 

and exposure limits would provide ICE 

Clear Europe a comprehensive means of 

monitoring the credit risk posed by 

Clearing Members and FSPs. Finally, 

the Commission believes that the 

mitigating actions discussed above 

would reduce or eliminate ICE Clear 

Europe’s exposure to a Clearing Member 

or FSP, thereby helping ICE Clear 

Europe manage overall credit risk. 

Therefore, the Commission finds that 

the proposed rule change is consistent 

with Rule 17Ad–22(e)(3)(i).23

iv. Consistency With Rule 17Ad– 

22(e)(19) Under the Act 

Rule 17Ad–22(e)(19) requires that ICE 

Clear Europe establish, implement, 

maintain, and enforce written policies 

and procedures reasonably designed to 

identify, monitor, and manage the 

material risks to ICE Clear Europe 

arising from arrangements in which 

firms that are indirect participants in 

ICE Clear Europe rely on the services 

provided by direct participants to access 

ICE Clear Europe’s payment, clearing, or 

settlement facilities.24 As discussed 

above, the CC Risk Policy and the CC 

Risk Procedures would require that ICE 

Clear Europe monitor clients of Clearing 

Members that are not affiliates of the 

Clearing Member to consider whether 

default of the client could cause the 

default of the Clearing Member. The 

Commission believes this would help 

ICE Clear Europe to monitor and 

manage the risks that clients, as indirect 

participants, could pose to Clearing 

Members, as direct participants in ICE 

Clear Europe. The Commission further 

believes that such client/Clearing 

Member arrangements could pose 

material risks to ICE Clear Europe 

through its relationships with Clearing 

Members. 

Therefore, the Commission finds that 

the proposed rule change is consistent 

with Rule 17Ad–22(e)(19).25

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,26 and 

Rules 17Ad–22(e)(2)(i), (e)(2)(v), 

(e)(3)(i), and (e)(19).27

It is therefore ordered pursuant to 

Section 19(b)(2) of the Act 28 that the 

proposed rule change (SR–ICEEU–2021– 

015), be, and hereby is, approved.29

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.30

Eduardo A. Aleman, 

Deputy Secretary. 

[FR Doc. 2021–28575 Filed 1–4–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–93881; File No. SR–MIAX– 

2021–63] 

Self-Regulatory Organizations; Miami 

International Securities Exchange, 

LLC; Notice of Filing and Immediate 

Effectiveness of a Proposed Rule 

Change To Amend Its Fee Schedule 

December 30, 2021. 

Pursuant to the provisions of 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 December 23, 2021, Miami 

International Securities Exchange LLC 

(‘‘MIAX’’ or ‘‘Exchange’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’) a proposed rule change 

as described in Items I, II, and III below, 

which Items have been prepared by the 

Exchange. The Commission is 

publishing this notice to solicit 

comments on the proposed rule change 

from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange is filing a proposal to 

amend the MIAX Options Fee Schedule 

(the ‘‘Fee Schedule’’) to: (1) Extend the 

waiver period for certain nontransaction fees applicable to Market 

Makers 3 that trade solely in Proprietary 

Products 4 until June 30, 2022; and (2) 

extend the SPIKES Options Market 

Maker Incentive Program (the 

‘‘Incentive Program’’) until March 31, 

2022. 

The text of the proposed rule change 

is available on the Exchange’s website at 

https://www.miaxoptions.com/rulefilings, at MIAX’s principal office, and 

at the Commission’s Public Reference 

Room. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

Exchange included statements 

concerning the purpose of and basis for 

the proposed rule change and discussed 

any comments it received on the 

proposed rule change. The text of these 

statements may be examined at the 


TKELLEY on DSK125TN23PROD with NOTICE