31020 Federal Register / Vol. 87, No. 98 / Friday, May 20, 2022 / Notices 

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

2 17 CFR 240.19b–4. 

3Self-Regulatory Organizations; ICE Clear Credit 

LLC; Notice of Filing of Proposed Rule Change 

Relating to the ICC Risk Parameter Setting and 

Review Policy; Exchange Act Release No. 34–94544 

(March 29, 2022); 87 FR 19563 (April 4, 2022) (SR– 

ICC–2022–002) (‘‘Notice’’). 

4The description is substantially excerpted from 

the Notice, 87 FR at 19563. Capitalized terms not 

defined herein have the meanings assigned to them 

in the RPSR Policy or the ICC Rules, as applicable. 

5Notice, 87 FR at 19563. 

agreements at least annually. Rule 12b– 

1 also requires funds relying on the rule 

to preserve for six years, the first two 

years in an easily accessible place, 

copies of the rule 12b–1 plan and any 

related agreements and reports, as well 

as minutes of board meetings that 

describe the factors considered and the 

basis for adopting or continuing a rule 

12b–1 plan. 

Rule 12b–1 also prohibits funds from 

paying for distribution of fund shares 

with brokerage commissions on their 

portfolio transactions. The rule requires 

funds that use broker-dealers that sell 

their shares to also execute their 

portfolio securities transactions, to 

implement policies and procedures 

reasonably designed to prevent: (i) The 

persons responsible for selecting brokerdealers to effect transactions in fund 

portfolio securities from taking into 

account broker-dealers’ promotional or 

sales efforts when making those 

decisions; and (ii) a fund, its adviser, or 

its principal underwriter, from entering 

into any agreement under which the 

fund directs brokerage transactions or 

revenue generated by those transactions 

to a broker-dealer to pay for distribution 

of the fund’s (or any other fund’s) 

shares. 

The board and shareholder approval 

requirements of rule 12b–1 are designed 

to ensure that fund shareholders and 

directors receive adequate information 

to evaluate and approve a rule 12b–1 

plan and, thus, are necessary for 

investor protection. The requirement of 

quarterly reporting to the board is 

designed to ensure that the rule 12b–1 

plan continues to benefit the fund and 

its shareholders. The recordkeeping 

requirements of the rule are necessary to 

enable Commission staff to oversee 

compliance with the rule. The 

requirement that funds or their advisers 

implement, and fund boards approve, 

policies and procedures in order to 

prevent persons charged with allocating 

fund brokerage from taking distribution 

efforts into account is designed to 

ensure that funds’ selection of brokers to 

effect portfolio securities transactions is 

not influenced by considerations about 

the sale of fund shares. 

Commission staff estimates that there 

are approximately 6,358 funds (for 

purposes of this estimate, registered 

open-end investment companies or 

series thereof) that have at least one 

share class subject to a rule 12b–1 plan 

and approximately 454 fund families 

with common boards of directors that 

have at least one fund with a 12b–1 

plan. The Commission further estimates 

that the annual hour burden for 

complying with the rule is 425 hours for 

each fund family with a portfolio that 

has a rule 12b–1 plan. We therefore 

estimate that the total hourly burden per 

year for all funds to comply with 

current information collection 

requirements under rule 12b–1 is 

192,950 hours. Commission staff 

estimates that approximately three 

funds per year prepare a proxy in 

connection with the adoption or 

material amendment of a rule 12b–1 

plan. The staff further estimates that the 

cost of each fund’s proxy is $30,000. 

Thus, the total annual cost burden of 

rule 12b–1 to the fund industry is 

$90,000. 

Estimates of average burden hours 

and costs are made solely for purposes 

of the Paperwork Reduction Act and are 

not derived from a comprehensive or 

even representative survey or study of 

the costs of Commission rules and 

forms. The collections of information 

required by rule 12b–1 are necessary to 

obtain the benefits of the rule. Notices 

to the Commission will not be kept 

confidential. An agency may not 

conduct or sponsor, and a person is not 

required to respond to a collection of 

information unless it displays a 

currently valid OMB control number. 

The public may view background 

documentation for this information 

collection at the following website: 

www.reginfo.gov. Find this particular 

information collection by selecting 

‘‘Currently under 30-day Review—Open 

for Public Comments’’ or by using the 

search function. Written comments and 

recommendations for the proposed 

information collection should be sent 

within 30 days of publication of this 

notice by June 21, 2022 to (i) 

MBX.OMB.OIRA.SEC_desk_officer@

omb.eop.gov and (ii) David Bottom, 

Director/Chief Information Officer, 

Securities and Exchange Commission, 

c/o John Pezzullo, 100 F Street NE, 

Washington, DC 20549, or by sending an 

email to: PRA_Mailbox@sec.gov. 

Dated: May 16, 2022. 

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–10816 Filed 5–19–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94921; File No. SR–ICC– 

2022–002] 

Self-Regulatory Organizations; ICE 

Clear Credit LLC; Order Approving 

Proposed Rule Change Relating to the 

ICC Risk Parameter Setting and 

Review Policy 

May 16, 2022. 

I. Introduction 

On March 22, 2022, 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 its Risk Parameter Setting and 

Review Policy (the ‘‘RPSR Policy’’). The 

proposed rule change was published for 

comment in the Federal Register on 

April 4, 2022.3 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 

The RPSR Policy describes ICC’s 

process of setting and reviewing the risk 

management model core parameters and 

the performance of sensitivity analyses 

related to certain parameter settings.4

Overall, ICC represents the proposed 

amendments would be clarifications 

needed to address an independent 

model validation and would not change 

the methodology.5

The proposed rule change would 

amend Section 1.7, which describes the 

parameters associated with the 

integrated spread response component 

of ICC’s CDS risk model. The RPSR 

Policy categorizes these parameters as 

Univariate, Multivariate, and AntiProcyclicality Level Parameters. The 

proposed rule change would make 

amendments to Subsection 1.7.1, which 

describes the Univariate Level 

Parameters. 

As part of these Univariate Level 

Parameters, ICC derives the end-of-day 


khammond on DSKJM1Z7X2PROD with NOTICES
Federal Register / Vol. 87, No. 98 / Friday, May 20, 2022 / Notices 31021 

6As explained in ICC’s Risk Management Model 

Description, every index, sub-index, or underlying 

single name is deemed a Risk Factor. See SelfRegulatory Organizations; ICE Clear Credit LLC; 

Order Approving Proposed Rule Change Relating to 

the ICC Risk Management Model Description, 

Exchange Act Release No. 91918 (May 18, 2021), 86 

FR 27927 (May 24, 2021). 

7 15 U.S.C. 78s(b)(2)(C). 

8 15 U.S.C. 78q–1(b)(3)(F). 

9 17 CFR 240.17Ad–22(e)(6)(vi)(B). 

10 15 U.S.C. 78q–1(b)(3)(F). 

11 15 U.S.C. 78q–1(b)(3)(F). 

12 17 CFR 240.17Ad–22(e)(6)(vi)(B). 

13 17 CFR 240.17Ad–22(e)(6)(vi)(B). 

14 15 U.S.C. 78q–1(b)(3)(F). 

15 17 CFR 240.17Ad–22(e)(6)(vi)(B). 

16 15 U.S.C. 78s(b)(2). 

17 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). 

18 17 CFR 200.30–3(a)(12). 

1See Regulation Crowdfunding, Exchange Act 

Release No. 76324 (Oct. 30, 2015), 80 FR 71387 

(Nov. 16, 2015) (Final Rule) (‘‘Regulation 

Crowdfunding’’). 

(‘‘EOD’’) recovery rate for single name 

risk factors (meaning each single name 

CDS contract).6 The proposed rule 

change would add text to explain how 

ICC derives the EOD recovery rate from 

price quotes submitted by Clearing 

Members. For each single name risk 

factor, the EOD recovery rate would 

reflect the smaller of the standard 

market convention recovery rate and the 

minimum submitted EOD bid price 

submitted by Clearing Members. The 

proposed changes would explain that 

the EOD recovery rate would be the 

minimum submitted EOD bid price, and 

therefore would deviate from the 

standard market convention, when the 

single name risk factor itself is 

distressed. The proposed language 

would further specify the role of the 

established EOD recovery rate in using 

the ISDA Standard Model for price-tospread mapping. 

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.7 For the 

reasons discussed below, the 

Commission finds that the proposed 

rule change is consistent with Section 

17A(b)(3)(F) of the Act 8 and Rule 

17Ad–22(e)(6)(vi)(B) thereunder.9

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 ICC be designed to promote the 

prompt and accurate clearance and 

settlement of securities transactions.10

Based on its review of the record, and 

for the reasons discussed below, the 

Commission believes the proposed 

changes to RPSR Policy are consistent 

with the promotion of the prompt and 

accurate clearance and settlement of 

transactions at ICC. 

The Commission believes that the 

change should improve the RPSR Policy 

by documenting how ICC derives the 

EOD recovery rate from price quotes 

submitted by Clearing Members for 

Univariate Level Parameters. The 

Commission believes that documenting 

ICC’s approach should help to ensure 

that ICC derives the EOD recovery rate 

and related Univariate Level Parameters 

in a clear and consistent manner. 

Because ICC uses the RPSR Policy to set 

and review core parameters for ICC’s 

risk management model, the 

Commission believes that this 

improvement to the RPSR should help 

to ensure the continued efficacy of the 

risk management model. An effective 

risk management model should help to 

ensure that ICC collects sufficient 

margin, commensurate with the risks 

presented by the transactions its clears. 

The Commission thus believes the 

proposed rule change should ultimately 

help to ensure that ICC collects 

sufficient margin, and in doing so 

should help improve ICC’s ability to 

avoid losses that could result during 

periods of market stress. Because such 

losses could disrupt ICC’s ability to 

operate and thus promptly and 

accurately clear and settle security 

based swap transactions, the 

Commission finds the proposed rule 

change would promote the prompt and 

accurate clearance and settlement of 

securities transactions, consistent with 

Section 17A(b)(3)(F) of the Act.11

B. Consistency With Rule 17Ad– 

22(e)(6)(vi)(B) 

Rule 17Ad–22(e)(6)(vi)(B) requires 

that ICC establish, implement, maintain 

and enforce written policies and 

procedures reasonably designed to, as 

applicable, cover its credit exposures to 

its participants by establishing a riskbased margin system that, at a minimum 

is monitored by management on an 

ongoing basis and is regularly reviewed, 

tested, and verified by conducting a 

sensitivity analysis of its margin model 

and a review of its parameters and 

assumptions for backtesting on at least 

a monthly basis, and considering 

modifications to ensure the backtesting 

practices are appropriate for 

determining the adequacy of ICC’s 

margin resources.12 As discussed above, 

the proposed rule change would 

document how ICC derives the EOD 

recovery rate from price quotes 

submitted by Clearing Members for 

Univariate Level Parameters. In doing 

so, the Commission believes the 

proposed rule change would help to 

ensure that ICC analyzes this particular 

aspect of the Univariate Level 

Parameters, which the RPSR Policy 

requires ICC’s Risk team to estimate and 

review, and perform sensitivity analysis 

on, at least monthly. Therefore, the 

Commission finds that the proposed 

rule change is consistent with Rule 

17Ad–22(e)(6)(vi)(B).13

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 14 and 

Rule 17Ad–22(e)(6)(vi)(B) thereunder.15

It is therefore ordered pursuant to 

Section 19(b)(2) of the Act 16 that the 

proposed rule change (SR–ICC–2022– 

002), be, and hereby is, approved.17

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.18

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–10805 Filed 5–19–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[SEC File No. 270–774, OMB Control No. 

3235–0727] 

Submission for OMB Review; 

Comment Request; Extension: Rules 

400–404 of Regulation Crowdfunding 

(Intermediaries) 

Upon Written Request, Copies Available 

From: Securities and Exchange 

Commission, Office of FOIA Services, 

100 F Street NE, Washington, DC 

20549–2736 

Notice is hereby given that pursuant 

to the Paperwork Reduction Act of 1995 

(‘‘PRA’’) (44 U.S.C. 3501 et seq.), the 

Securities and Exchange Commission 

(‘‘Commission’’) has submitted to the 

Office of Management and Budget 

(‘‘OMB’’) a request for approval of 

extension of the previously approved 

collection of information provided for in 

Rules 300–304 of Regulation 

Crowdfunding.1

The collections of information 

required under Rules 400 through 404 is 

mandatory for all funding portals. Form 


khammond on DSKJM1Z7X2PROD with NOTICES