Document ID: SEC-2022-0902-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; Proposed Rule Changes: ICE Clear Credit, LLC
Posted Date: 2022-07-13T04:00Z

[Federal Register Volume 87, Number 133 (Wednesday, July 13, 2022)]
[Notices]
[Pages 41776-41780]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2022-14888]

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

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34- 95214; File No. SR-ICC-2022-006]

Self-Regulatory Organizations; ICE Clear Credit LLC; Order 
Approving Proposed Rule Change Relating to the ICC Model Validation 
Framework

July 7, 2022.

I. Introduction

    On May 17, 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 Model Validation Framework (the ``Framework''). The proposed 
rule change was published for comment in the Federal Register on June 
3, 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.
---------------------------------------------------------------------------

    \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 Relating to the ICC Model 
Validation Framework; Exchange Act Release No. 95002 (May 27, 2022); 
87 FR 33851 (June 3, 2022) (File No. SR-ICC-2022-006) (``Notice'').
---------------------------------------------------------------------------

II. Description of the Proposed Rule Change 4
---------------------------------------------------------------------------

    \4\ Capitalized terms not otherwise defined herein have the 
meanings assigned to them in the Framework or ICC's Clearing Rules, 
as applicable.
---------------------------------------------------------------------------

A. Background

    The Framework describes the process for ICC assuring the 
effectiveness of its models, including changes to existing models and 
the adoption of new models. ICC's processes rely on four controls: 
initial validation; ongoing monitoring and validation; investigation; 
and independent periodic review. The proposed rule change would: (a) 
expand the scope of the Framework to include all of ICC's models; (b) 
reorganize certain sections of the Framework; (c) update and strengthen 
ICC's requirements regarding initial validation, ongoing monitoring and 
validation, and independent periodic review; (d) assign additional 
responsibilities under the Framework to ICC's Risk Oversight Officer 
(``ROO''); and (e) clarify the independence requirements for 
validators.

B. Scope

    The current Framework applies to ICC's models that make up its risk 
management system, meaning its models relating to margin, guaranty 
fund, and liquidity. The proposed rule change would expand the scope of 
the Framework so that it applies to all of ICC's models and not just 
those related to its risk management system. The proposed rule change 
therefore would define a ``Model'' as a quantitative method, system, or 
approach that applies statistical, economic, financial, or mathematical 
theories, techniques, and assumptions to process input data into 
quantitative estimates. This change would bring within the scope of the 
Framework ICC's Model related to counterparty credit.\5\ Thus, after 
the proposed rule change, the Framework would apply to all of ICC's 
Models, not only those related to its risk management system. ICC is 
making this change because it determined it was beneficial to apply the 
requirements of the Framework to all of its Models, and not just those 
related to its risk management system.
---------------------------------------------------------------------------

    \5\ Notice, 87 FR at 33851.
---------------------------------------------------------------------------

    As part of this change, the proposed rule change would make two 
changes to the organization of the current Framework. First, the 
current Framework begins with an introductory section that describes 
ICC's risk management system and the Models that comprise the risk 
management system. Given that, as proposed, the Framework would apply 
to all of ICC's Models and not just those Models that are part of its 
risk management system, the proposed rule change would delete the 
current introductory section and replace it with a new overview 
section. Instead of describing ICC's risk management system and the 
components of the risk management system, the new overview section 
would provide a general description of ICC's Models. The new overview 
section further would define the purpose of the Framework as providing 
assurances that ICC's Models are performing as expected, in line with 
their design objectives and business use.
    Second, throughout the Framework, the proposed rule change would 
replace references to ICC's risk management system with references to 
ICC's Models. For example, the current Framework classifies changes to 
ICC's Models based on how the changes affect the risk management 
system's assessment of risk. The proposed rule change instead would 
classify changes based on how they affect a Model's assessment of risk.

C. Other Organizational Changes

    The proposed rule change would make three organizational changes 
that would, in ICC's view, more appropriately position details 
regarding Model controls, Model Change materiality, and Model 
development. First, with regard to controls, the proposed rule change 
would move information found in current Subsection 1.3 to a new 
Subsection 3.1. Current Subsection 1.3 provides an overview of the four 
controls used by ICC to assure the effectiveness of its Models, 
including changes to existing Models and new Models: initial 
validation; ongoing monitoring and validation; investigation; and 
independent periodic review. The proposed rule change would move the 
description of these controls, including a visual diagram of how the 
controls work together, to a new Subsection 3.1. Because Section 3 of 
the Framework describes each of the four controls in detail, ICC 
maintains that this overview of the controls is more appropriate in new 
Subsection 3.1, rather than at the beginning of the Framework.\6\
---------------------------------------------------------------------------

    \6\ Notice, 87 FR at 33852.
---------------------------------------------------------------------------

    Second, with regard to materiality, the proposed rule change would 
renumber current Subsection 2.2 as new Subsection 1.3. New Subsection 
1.3 would be substantively the same as current Subsection 2.2 and would 
contain a discussion of how ICC classifies proposed changes to its 
Models. ICC classifies Model Changes as either Materiality A or 
Materiality B, depending on how substantially the proposed change 
affects a Model's assessment of risk.\7\
---------------------------------------------------------------------------

    \7\ Notice, 87 FR at 33852.
---------------------------------------------------------------------------

    Finally, with regard to development, the proposed rule change would 
move to new Subsection 1.4 language currently found in Subsection 1.2 
regarding the development of Models and Model Change, while maintaining 
the substance of this language.\8\ Thus, under the proposed rule 
change, as in the current Framework, new Model and

[[Page 41777]]

Model Change development includes design, implementation, user-
acceptance testing, and deployment phases, and is subject to additional 
ICC governance, as appropriate.\9\
---------------------------------------------------------------------------

    \8\ The change would clarify, without changing ICC's processes, 
that the model development process is applicable to new Models as 
well as Model Changes.
    \9\ Notice, 87 FR at 33852.
---------------------------------------------------------------------------

D. Controls

    As mentioned above, the current Framework describes ICC's process 
for assuring the effectiveness of its Models, including Model changes 
and the adoption of new Models, using four controls: initial 
validation; ongoing monitoring and validation; investigation; and 
independent periodic review. While maintaining the overall substance of 
these four controls, the proposed rule change would revise certain 
details relating to how ICC carries out the first, second, and fourth 
controls.
Initial Validation
    The current Framework requires that ICC complete an internal 
initial validation for all changes to its Models and an independent 
initial validation for Materiality A Model Changes. ICC relies on this 
control to validate the conceptual soundness of a change, as well as 
the soundness of the proposed approach to ongoing monitoring and 
validation of the change.
    Under the proposed rule change, ICC would be required to complete 
an internal initial validation for all changes to its Models and an 
independent initial validation for Materiality A Model Changes, the 
same as the current Framework. The proposed rule change also would 
require that ICC conduct an independent initial validation for all new 
Models, consistent with the application of the Framework to all of 
ICC's Models. As part of this revision, the proposed rule change would 
add the term Model or new Model to certain provisions that describe the 
components of the independent initial validation.
    Moreover, as part of the independent initial validation, the 
current Framework requires a report detailing all open items reflecting 
the independent validator's comments, rated using a priority scale. The 
proposed rule change would maintain this requirement for a report, but 
would further specify that the report should include information 
describing the work performed by the independent validator as part of 
the independent initial validation process, including, but not limited 
to, any analysis of or challenges to the assumptions of the change to 
existing Model or the new Model. This change would memorialize ICC's 
current practice with respect to these reports.\10\
---------------------------------------------------------------------------

    \10\ Notice, 87 FR at 33852.
---------------------------------------------------------------------------

Ongoing Monitoring and Validation
    The current Framework requires that ICC use the second control, 
ongoing monitoring and validation, to assure that it has appropriately 
configured and calibrated a Model and any change, and to assure that a 
Model is performing as desired. Under the proposed rule change, ICC 
would be required to conduct ongoing monitoring and validation, the 
same as in the current Framework, but the proposed rule change would 
apply the ongoing monitoring and validation to all of ICC's Models, in 
accordance with the change to the scope of the Framework discussed 
above.
    The current Framework describes three components of ongoing 
monitoring and validation: parameter setting, execution monitoring, and 
outcome analysis. The proposed rule change would retain these same 
three components, while revising the description of parameter setting 
and outcome analysis as described below.
    The current Framework describes parameter setting, which ICC 
conducts pursuant to its Risk Parameter Setting and Review Policy. The 
proposed rule change would maintain the current description of 
parameter setting but would replace the specific reference to the Risk 
Parameter Setting and Review Policy with a general reference to ICC's 
policies. As described in the Notice, ICC is making this change because 
ICC considers such references unnecessary, as the Framework is not 
intended to introduce other policies.\11\
---------------------------------------------------------------------------

    \11\ Notice, 87 FR at 33852.
---------------------------------------------------------------------------

    The current Framework describes outcome analysis, which involves 
comparing the results of a Model to actual or hypothetical outcomes. 
The current Framework explains that ICC performs two types of outcome 
analysis: historical back testing and forward looking stress testing. 
The current Framework goes on to state that ICC describes its back-
testing practices in the ICC Back-Testing Framework and its stress 
testing practices in the ICC Stress-Testing Framework. The proposed 
rule change would revise this description to note that ICC conducts 
several types of outcome analyses, rather than just two, and further 
would remove the references to the ICC Back-Testing Framework and the 
ICC Stress-Testing Framework. ICC is making this change because ICC in 
fact performs other outcome analysis, in addition to historical back 
testing and forward looking stress testing, such as liquidity stress 
testing.\12\
---------------------------------------------------------------------------

    \12\ Notice, 87 FR at 33852.
---------------------------------------------------------------------------

Independent Periodic Review
    The current Framework describes the purpose of the fourth and final 
control, independent periodic review, as confirming that a Model or 
change is still fit for purpose, that underlying assumptions are still 
valid, and that ICC has performed the ongoing monitoring and validation 
as required in the initial validation. The proposed rule change would 
not alter this overall description, but would revise aspects of the 
independent periodic review, as currently described in the Framework.
    First, the current Framework states that ICC's Chief Risk Officer 
(``CRO'') provides support and information to allow the independent 
validators to perform periodic reviews of all ICC Model Components and 
related practice at least every twelve months. The proposed rule change 
would revise this language slightly, to state that the CRO would 
provide support and information to allow the independent validators to 
perform the periodic reviews of all ICC Model Components and related 
practices, in line with the established periodicity of review.
    To clarify the periodicity of review, the proposed rule change 
would add language explaining that, under applicable regulations issued 
by the Commission and the Commodity Futures Trading Commission, ICC is 
required to perform independent periodic reviews on its Models related 
to financial risk management and liquidity risk management on an annual 
basis.\13\ Moreover, the proposed rule change would add language to 
explain that for those Models not subject to these regulatory 
requirements, ICC's ROO, in consultation with the Risk Committee, would 
set an established periodicity for independent periodic review, and ICC 
would rely on the date of the engagement letter to track the 
requirement.\14\ ICC noted that currently the ROO, as the individual 
responsible for the operation and maintenance of the Framework, 
determines the appropriate periodicity of review for Models, in 
consultation with the Risk Committee.\15\
---------------------------------------------------------------------------

    \13\ ICC stated that in practice ICC would continue to ensure 
that not more than twelve months passes between each independent 
periodic review. Notice, 87 FR at 33852.
    \14\ ICC explained in the Notice that this language memorializes 
a current responsibility of the ROO. Notice, 87 FR at 33852.
    \15\ Notice, 87 FR at 33852.
---------------------------------------------------------------------------

    Moreover, the proposed rule change would revise the description of 
the

[[Page 41778]]

components of the independent periodic review. The current Framework 
provides that the independent periodic review must demonstrate that a 
Model or change is fit for purpose; that its underlying assumptions are 
still valid; that ICC has complied with any conditions associated with 
approval of the Model or change; and that ICC has been complying with 
its ongoing monitoring and validation requirements. The proposed rule 
change would add language to note that the third component, compliance 
with any conditions associated with the approval of the Model or 
change, may not always be applicable. This component would not be 
applicable, for example, if there were no open items or conditions 
established during ICC's approval of the Model or change.
    The proposed rule change also would revise the description of the 
report that an independent periodic review must produce. The current 
Framework requires that an independent periodic review produce a report 
from the independent validator providing a summary of the completed 
evaluation and details of any remaining open items for remediation, 
classified by priority. The proposed rule change would maintain this 
requirement, but would further specify that the report should include 
information describing the work performed by the independent validator 
as part of the independent periodic review process, including, but not 
limited to, any analysis of or challenges to the assumptions of the 
Model.\16\
---------------------------------------------------------------------------

    \16\ ICC stated in the Notice that this change would memorialize 
current practices. Notice, 87 FR at 33852.
---------------------------------------------------------------------------

    The proposed rule change also would add language stating that 
timelines for remedial actions would consider any applicable governance 
or regulatory actions, or technology implementations, and ICC would 
consult with the Risk Committee regarding closure of any priority items 
or observation items, and any changes to previously presented 
timeframes. ICC stated in the Notice that it is making this change to 
ensure that it remediates high priority items as soon as possible and 
considers any applicable governance or regulatory actions or technology 
implementations in timelines for remedial actions.\17\
---------------------------------------------------------------------------

    \17\ Notice, 87 FR at 33852.
---------------------------------------------------------------------------

    Finally, the proposed rule change would add language to state that 
ICC, at its discretion, could undertake ad hoc reviews of methodologies 
that do not meet the definition of a Model under the Framework. These 
methodologies could include, for example, third-party or vendor-
supplied products. The current Framework does not contain provisions 
related to ad hoc reviews of third-party products. This change would 
allow ICC to apply the Framework to such products that could include, 
for example, the ISDA pricing model.

E. Risk Oversight Officer

    Currently, the ROO is the owner of the Framework, and in that role 
is responsible to the ICC President for the successful operation and 
maintenance of the Framework. The current Framework assigns certain 
responsibilities to the ROO, such as maintaining a list of pre-approved 
Independent Model Validators. Under the proposed rule change, the ROO 
would remain the owner of the Framework and would retain its current 
responsibilities. The proposed rule change would specify certain other 
responsibilities for the ROO, in addition to these current 
responsibilities, as described below.\18\
---------------------------------------------------------------------------

    \18\ ICC explained in the Notice that these changes would 
memorialize current responsibilities of the ROO. Notice, 87 FR at 
33853.
---------------------------------------------------------------------------

    The current Framework requires ICC's CRO to review and determine 
what changes to ICC's Models qualify as Model Changes, and further 
classify such changes as Materiality A or Materiality B. The current 
Framework further states that if the ROO and CRO cannot reach agreement 
on a specific change, ICC classifies the change as Materiality A. Thus, 
the current Framework contemplates the ROO having a role in reviewing 
and classifying Model Changes. The proposed rule change would make this 
role explicit by requiring that the ROO, in addition to the CRO, review 
and determine what changes to ICC's Models qualify as Model Changes, 
and further classify such changes as Materiality A or Materiality B.
    The current Framework requires ICC's Risk Department to maintain 
the ICC Model Inventory, which is a central repository of key 
information about all ICC Models, their components, and any changes to 
the Models. Under the proposed rule change, the ROO, rather than the 
Risk Department, would maintain the Model Inventory. In addition, the 
current Framework requires the ROO to review the model inventory at 
least quarterly. Under the proposed rule change, the ROO also would 
review the model inventory at least quarterly, but the ROO would do so 
in conjunction with the Risk Department.
    Before implementing a Materiality A Model Change, the current 
Framework requires ICC to, among other things, complete an independent 
validation, obtain a report of the independent validation, and receive 
no objection to the independent validation from the Risk Committee. As 
part of receiving the no-objection, the current Framework requires that 
the CRO or its designee present the independent validation report to 
the Risk Committee. Under the proposed rule change, ROO and CRO (or its 
designee) together would present this report to the Risk Committee.
    Similarly, when completing an independent periodic review, the 
current Framework requires the independent validator to produce a 
report, as described above. The current Framework requires that the CRO 
or its designee present the independent periodic review report to the 
Risk Committee. Under the proposed rule change, ROO and CRO (or its 
designee) together would present this report to the Risk Committee.
    Moreover, the proposed rule change would assign the ROO an 
additional responsibility with respect to independent periodic reviews. 
As discussed above, applicable regulations specify how often ICC must 
review certain of its Models. For those Models not subject to these 
regulatory requirements, the ROO, in consultation with the Risk 
Committee, would establish the periodicity for review.
    Finally, the current Framework requires the ROO to maintain a list 
of pre-approved Independent Model Validators. The current Framework 
further provides that the CRO or ROO can propose new Model Validators 
to add to the list and makes the ROO responsible for adding a new Model 
Validator. As part of adding a Model Validator, the current Framework 
requires that the ROO provide a written summary describing how the 
proposed new Model Validator meets the necessary technical expertise 
and independence requirements. Under the proposed rule change, the ROO 
would continue to maintain a list of pre-approved Independent Model 
Validators, the CRO or ROO would propose new Model Validators, and the 
ROO would continue to be responsible for adding a new Model Validator. 
As part of adding a new Model Validator, the proposed rule change would 
further require that the ROO review resum[eacute]s/CVs of the proposed 
new Model Validator, in addition to providing a written summary 
demonstrating how the proposed new Model Validator meets the necessary 
technical expertise and independence requirements.

[[Page 41779]]

F. Independence Requirements

    The current Framework requires that independent validators meet 
certain independence and technical expertise requirements. The proposed 
rule change would maintain these requirements while further specifying 
that in cases of a team of validators, all members must meet the 
independence requirements, and ICC will consider members on a 
collective basis when evaluating for technical expertise requirements.

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.\19\ For the reasons discussed below, the Commission finds 
that the proposed rule change is consistent with Section 17A(b)(3)(F) 
of the Act \20\ and Rules 17Ad-22(e)(2)(v) and 17Ad-22(e)(3)(i) 
thereunder.\21\
---------------------------------------------------------------------------

    \19\ 15 U.S.C. 78s(b)(2)(C).
    \20\ 15 U.S.C. 78q-1(b)(3)(F).
    \21\ 17 CFR 240.17Ad-22(e)(2)(v) and (e)(3)(i).
---------------------------------------------------------------------------

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.\22\ Based on its 
review of the record, and for the reasons discussed below, the 
Commission believes the proposed rule change is consistent with the 
promotion of the prompt and accurate clearance and settlement of 
securities transactions at ICC because it would expand the scope of the 
Framework and improve the operation of the Framework.
---------------------------------------------------------------------------

    \22\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------

    With respect to the scope of the Framework, as discussed in Part 
II.B above, the proposed rule change would apply the Framework to all 
of ICC's Models. This change would bring into the Framework ICC's Model 
related to counterparty credit and other Models that ICC may adopt in 
the future. The Commission believes this change should help ICC to 
maintain the effectiveness of its Model related to counterparty 
credit--and any other Models that ICC may adopt in the future--by 
subjecting these Models to the Framework's requirements and controls. 
The Commission further believes that having an effective counterparty 
credit Model may in turn allow ICC to avoid credit losses that could 
disrupt its ability to promptly and accurately clear transactions.
    The Commission believes the other aspects of the proposed rule 
change discussed above should improve the operation of the Framework. 
For example, the Commission believes that the changes discussed in Part 
II.C above should help to improve the organization and readability of 
the Framework and therefore make it easier to use and apply. The 
Commission further believes that memorializing additional 
responsibilities for the ROO, as discussed in Part II.E above, should 
clarify these responsibilities and help to ensure that ICC personnel, 
including the current ROO and successor ROOs, can review, understand, 
and follow these responsibilities. Finally, the Commission believes 
that specifying how the independence requirements would apply to a team 
of validators, as discussed in Part II.F above, should help to ensure a 
clear and consistent application of these requirements to such teams. 
The Commission believes these changes, overall, should improve the 
operation of the Framework.
    The Commission also believes that the changes discussed in Part 
II.D above should improve the Framework by revising certain details 
with respect to the four controls. For example, specifying that ICC 
must conduct an independent initial validation for all new Models 
should help to ensure that ICC personnel complete such validations, 
consistent with current practice. Because independent initial 
validations can identify errors and issues, the Commission believes 
that requiring independent initial validations for all new Models 
should help to ensure that any new Model is effective and well 
calibrated. Specifying that an independent validator's report must 
describe the work performed by the independent validator, including, 
but not limited to, any analysis of or challenges to the assumptions of 
the change to existing Model or the new Model should help ICC to revise 
and improve such assumptions, as needed. Revising the description of 
parameter setting and outcome analysis to remove references to other 
extraneous ICC policies would simplify this description and help to 
ensure that it does not become out of date due to changes to other 
policies. Finally, the Commission believes that the revisions to the 
independent periodic review would help to ensure that ICC completes 
validations as required by applicable regulations, while making the 
provisions broad enough to encompass reviews not covered by applicable 
regulations, including ad hoc reviews of methodologies that do not meet 
the definition of a Model.
    For these reasons, the Commission believes the proposed rule change 
would expand the scope of the Framework and improve the operation of 
the Framework. The Commission further believes that because the 
Framework enables ICC to confirm the appropriate functioning of its 
Models, expanding the scope and improving the operation of the 
Framework should in turn help ICC to maintain effective and well-
designed Models. Such Models may in turn allow ICC to avoid credit 
losses or liquidity shortfalls that could disrupt its ability to 
promptly and accurately clear transactions.
    The Commission therefore believes that, by improving the Framework, 
the proposed rule change would help to ensure the effectiveness of 
ICC's models and therefore its ability to promptly and accurately clear 
and settle securities transactions, consistent with Section 
17A(b)(3)(F) of the Act.\23\
---------------------------------------------------------------------------

    \23\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------

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

    Rule 17Ad-22(e)(2)(v) requires that ICC establish, implement, 
maintain, and enforce written policies and procedures reasonably 
designed to provide for governance arrangements that specify clear and 
direct lines of responsibility.\24\ As discussed in Part II.E above, 
the proposed rule change would make a number of amendments to the 
Framework to memorialize additional responsibilities of ICC's ROO.\25\ 
The Commission believes that memorializing these responsibilities in 
the Framework, as opposed to following unwritten practices, is 
consistent with the maintaining written policies and procedures 
designed to provide for clear and direct lines or responsibility. The 
Commission believes this is true because memorializing these 
responsibilities should help to ensure that they can be reviewed, 
understood, and followed by ICC personnel, including the current ROO 
and successor ROOs. The Commission therefore believes these changes 
would specify clear and direct lines of responsibility for the ROO, 
consistent with Rule 17Ad-22(e)(2)(v).\26\
---------------------------------------------------------------------------

    \24\ 17 CFR 240.17Ad-22(e)(2)(v).
    \25\ Notice, 87 FR at 33852.
    \26\ 17 CFR 240.17Ad-22(e)(2)(v).
---------------------------------------------------------------------------

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

    Rule 17Ad-22(e)(3)(i) requires that ICC establish, implement, 
maintain and

[[Page 41780]]

enforce written policies and procedures reasonably designed to, as 
applicable, 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 ICC, which, among other things, 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 
ICC, that are subject to review on a periodic basis and approved by the 
board of directors annually.\27\ As discussed above, the proposed rule 
change would expand the scope of the Framework so that it applies 
consistently across all of ICC's Models and not just those related to 
its risk management system. For example, bringing within the scope of 
the Framework ICC's Model related to counterparty credit. Moreover, 
under the revised Framework, ICC would review this Model on a periodic 
basis. The Commission further believes that this Model helps ICC manage 
a risk borne by ICC, the risk created by credit exposures to ICC's 
counterparties. The Commission therefore believes this change should 
help ensure that ICC reviews on a periodic basis a policy that ICC uses 
to identify, measure, monitor, and manage a risk borne by ICC, 
consistent with Rule 17Ad-22(e)(3)(i).\28\
---------------------------------------------------------------------------

    \27\ 17 CFR 240.17Ad-22(e)(3)(i).
    \28\ 17 CFR 240.17Ad-22(e)(3)(i).
---------------------------------------------------------------------------

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 \29\ and Rules 17Ad-22(e)(2)(v) and 17Ad-22(e)(3)(i) 
thereunder.\30\
---------------------------------------------------------------------------

    \29\ 15 U.S.C. 78q-1(b)(3)(F).
    \30\ 17 CFR 240.17Ad-22(e)(2)(v) and (e)(3)(i).
---------------------------------------------------------------------------

    It is therefore ordered pursuant to Section 19(b)(2) of the Act 
\31\ that the proposed rule change (SR-ICC-2022-006), be, and hereby 
is, approved.\32\
---------------------------------------------------------------------------

    \31\ 15 U.S.C. 78s(b)(2).
    \32\ 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.\33\
---------------------------------------------------------------------------

    \33\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2022-14888 Filed 7-12-22; 8:45 am]
BILLING CODE 8011-01-P