Document ID: SEC-2021-1514-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; Proposed Rule Changes: ICE Clear Credit, LLC
Posted Date: 2021-11-01T04:00Z

[Federal Register Volume 86, Number 208 (Monday, November 1, 2021)]
[Notices]
[Pages 60305-60309]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2021-23676]

[[Page 60305]]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-93429; File No. SR-ICC-2021-021]

Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of 
Filing of Proposed Rule Change Relating to the Counterparty Monitoring 
Procedures and the Credit Rating System Model Description and 
Parameterization

October 26, 2021.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act''),\1\ and Rule 19b-4,\2\ notice is hereby given that on October 
13, 2021, ICE Clear Credit LLC (``ICC'') filed with the Securities and 
Exchange Commission (``Commission'') the proposed rule change as 
described in Items I, II and III below, which Items have been prepared 
primarily by ICC. The Commission is publishing this notice to solicit 
comments on the proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Clearing Agency's Statement of the Terms of Substance of the 
Proposed Rule Change

    The principal purpose of the proposed rule change is to adopt and 
formalize the ICC Counterparty Monitoring Procedures (the ``CMPs'') and 
the ICC Credit Rating System (``CRS'') Model Description and 
Parameterization (the ``CRS Policy'') (together, the ``Documents'') and 
to retire the ICC CDS Clearing Counterparty Monitoring Procedures: 
Futures Commission Merchant (``FCM'') Counterparties (the ``FCM 
Procedures'') and the ICC CDS Clearing Counterparty Monitoring 
Procedures: Bank Counterparties (the ``Bank Procedures'') (together, 
the ``FCM and Bank Procedures''). These revisions do not require any 
changes to the ICC Clearing Rules (the ``Rules'').

II. Clearing Agency's Statement of the Purpose of, and Statutory Basis 
for, the Proposed Rule Change

    In its filing with the Commission, ICC included statements 
concerning the purpose of and basis for the proposed rule change, 
security-based swap submission, or advance notice and discussed any 
comments it received on the proposed rule change, security-based swap 
submission, or advance notice. The text of these statements may be 
examined at the places specified in Item IV below. ICC has prepared 
summaries, set forth in sections (A), (B), and (C) below, of the most 
significant aspects of these statements.

(A) Clearing Agency's Statement of the Purpose of, and Statutory Basis 
for, the Proposed Rule Change

(a) Purpose
    ICC's counterparty monitoring policies and procedures and credit 
scoring approach are divided by counterparty type in the FCM and Bank 
Procedures. Information with respect to FCM/broker-dealer (``BD'') 
counterparties and bank counterparties (i.e., non-FCM/BD 
counterparties) is set out in the FCM Procedures and the Bank 
Procedures, respectively. ICC proposes to adopt and formalize the CMPs 
to consolidate these existing counterparty monitoring policies and 
procedures for Clearing Participants (``CPs'') and financial service 
providers (``FSPs'') into one document. ICC proposes to similarly 
consolidate and move information related to its credit scoring approach 
into the CRS Policy, which ICC would adopt and formalize as a separate 
policy describing ICC's CRS. The proposed rule change is generally 
designed to enhance, clarify, and more clearly document descriptions of 
key ICC processes and procedures related to ICC's counterparty 
monitoring practices and CRS. ICC proposes to adopt and formalize the 
Documents and to retire the FCM and Bank Procedures following 
Commission approval of the proposed rule change. The proposed rule 
change is described in detail as follows.
CMPs
    The proposed CMPs consolidate ICC's existing counterparty 
monitoring policies and procedures for CPs and FSPs into one document. 
The proposed document would enhance and provide more clarity on ICC's 
counterparty monitoring practices. This document is divided into 11 
sections, which are detailed below.
    The CMPs provide background with respect to ICC for the purpose of 
counterparty monitoring. Section 1 serves as an introduction with 
fundamental information about ICC's organization and operation. FSPs 
are defined as the entities to which ICC has actual or potential credit 
exposure (e.g., settlement banks, custodians, reverse repurchase 
counterparties). Section 2 gives an overview of the roles and 
responsibilities of ICC and external parties for counterparty 
monitoring, including the roles of CPs and FSPs in providing 
information requested by ICC and the roles of ICC's Risk and Operations 
Departments, Chief Risk Officer (``CRO''), and internal committees. 
Specifically, the ICC Risk Department is responsible for monitoring all 
counterparties, presenting information to relevant committees, and 
maintaining these CMPs. The CRO is responsible for reviewing and 
validating the Risk Department's counterparty credit findings and 
recommendations, which includes reviewing analysis, identifying where 
additional information is required, and ensuring that recommendations 
are supported. The Risk Department presents information to the ICC 
Participant Review Committee (``PRC'') and the ICC Credit Review 
Subcommittee of the PRC (``Subcommittee''), which are internal 
committees that assist in fulfilling counterparty review 
responsibilities. The PRC is responsible for reviewing membership 
applications; monitoring ongoing compliance with membership 
requirements, including financial, operational, legal, and compliance 
requirements; and overseeing the due diligence and approval of FSPs. 
The Subcommittee assists the PRC in fulfilling counterparty review 
responsibilities, including monitoring and reviewing reports on the 
creditworthiness of counterparties on an at least monthly basis.
    Section 3 discusses ICC's standards for counterparty relationships, 
namely the requirements for CPs and FSPs, and includes references to 
relevant existing documentation. Chapter 2 of the ICC Rules continues 
to set forth the membership requirements for CPs, which remain 
unchanged. Section 3 requires ICC, through the PRC, to perform an 
annual review of such criteria in the Rules to ensure continued 
sufficiency and appropriateness of the membership requirements. 
Further, under this section, FSPs must meet certain requirements and be 
approved by the PRC, meet the operational requirements of the ICC 
Treasury Department, and be subject to regulation and supervision by a 
competent authority. Section 3 also describes key steps, responsible 
parties, and relevant documentation regarding the processes of on-
boarding new counterparties and the withdrawal of existing 
counterparties. For on-boarding new FSPs, the Risk Department is 
responsible for collecting necessary information and requiring the 
completion of a risk questionnaire which is presented to the 
Subcommittee and PRC. The PRC is responsible for overseeing the 
withdrawal process for FSPs, which includes confirmation from relevant 
departments that all exposures

[[Page 60306]]

to the FSP have been closed out and all legal agreements terminated.
    The CMPs explain how ICC monitors the stability of its 
counterparties. Section 4 includes the financial elements of ongoing CP 
monitoring and discusses monitoring of other CP requirements, such as 
participation in ICC's price discovery process and default management 
simulations. Section 4 details the procedures associated with the Risk 
Department's intraday and daily monitoring functions for CPs and FSPs 
and specifies how issues are escalated and resulting actions are 
documented. This includes intraday monitoring of Risk Filter Threshold 
(``RFT'') consumption to manage the intraday risk associated with 
incoming real-time position changes to a portfolio that may require 
pre-funding; a daily end-of-day review of initial margin and guaranty 
fund changes; intraday and daily monitoring of news and market metrics 
for CPs and FSPs; and monitoring and review of timely payments and 
notices from CPs. This section discusses the preparation and review of 
a monthly credit report on the financial condition of ICC's 
counterparties as part of the monthly monitoring process. The monthly 
credit report includes, among other items, a summary of the data used 
for the analysis, current and historical counterparty credit scores and 
changes per credit risk factor, exposures of CPs with respect to their 
total requirements, exposures of FSPs and current allocation and 
investment limits, and counterparties on the Watch List. Additional 
reviews of exposure to CPs and FSPs, counterparty qualitative analysis, 
RFT and investment allocations conducted as part of monthly monitoring 
are set out in Section 4 along with the procedures for escalating 
identified issues and documenting resulting actions. Furthermore, 
Section 4 further discusses how ICC monitors and manages its aggregate 
exposure to entities and their affiliates with which ICC maintains 
multiple counterparty relationships, including through limits on FSPs 
and CPs which are reviewed on a specified basis and more frequently as 
warranted. Exposures to FSPs are managed through investment 
allocations, which represent limits established by the Risk Department 
for entities and are reviewed at least once a year. With respect to 
CPs, ICC manages the risk that it is willing to take, considering real-
time position changes, through the RFT level which is reviewed at least 
once a month by the Risk Department. Moreover, this section describes 
the risk reviews that ICC completes for its counterparties. All 
counterparties are subject to an initial risk review and periodic risk 
reviews, which allow ICC to monitor the capacity of its counterparties 
to perform as required. The periodicity of these reviews is within a 
four-year time frame. The timing of review, the steps for conducting a 
risk review, the possible review outcomes, and escalation procedures 
are detailed. Under the CMPs, more frequent risk reviews may be 
performed if the latest periodic risk review was considered 
unsatisfactory or the counterparty was recently placed on the highest 
Watch List level. Section 5 describes ICC's CRS that computes credit 
scores for counterparties and specifies the frequency of review of the 
credit scoring methodology.
    The CMPs detail how ICC identifies counterparties that may pose 
additional risk to it and include additional information relevant to 
ICC's monitoring responsibilities. Section 6 sets out the criteria for 
placing counterparties on the Watch List and the procedures for adding 
and removing counterparties to and from the Watch List. Regarding Watch 
List criteria, this section distinguishes between automatic placement 
on the Watch List based on credit score and qualitative considerations 
of counterparty deterioration that may merit placement on the Watch 
List or movement to a higher Watch List level. A credit score of 3.0 or 
higher warrants a counterparty to be automatically placed on the Watch 
List. Qualitative considerations include decreasing levels of 
capitalization and failure to maintain operations, infrastructure, and 
personnel capable of meeting requirements. The CRO determines if a 
counterparty should be added to the Watch List, except for automatic 
placement, and if a counterparty should be removed. The CRO may 
consider recommendations regarding which counterparties to add to the 
Watch List as well as counterparty Watch List level changes from the 
Subcommittee and PRC. Section 7 details the actions available to ICC 
with respect to CPs or FSPs on the Watch List or for whom a deficiency 
is identified during the monitoring process. Actions the CRO may take 
include, among others, an increase in initial margin requirements, 
notification to the Board, recommendation for suspension of clearing 
privileges, or termination of the relationship with the FSP. Section 7 
also discusses how such actions are determined, documented, and 
escalated. The Risk Department is responsible for contacting firms to 
discuss activity that raised concern. The CRO is responsible for 
documenting the details, rationale, and criteria used in determining 
actions taken against the CP, and the documentation is presented to the 
Subcommittee. For FSPs, concerns are escalated to ICC Senior Management 
to evaluate the issues and determine what, if any, additional actions 
should be taken. Finally, the CMPs include additional information 
regarding the confidentiality of credit scores in Section 8, record 
keeping responsibilities in Section 9, references in Section 10, and 
the revision history in Section 11.
CRS Policy
    The proposed CRS Policy describes ICC's CRS and provides additional 
clarity on the processes and procedures related to ICC's credit scoring 
approach. The proposed document is divided into 9 sections, which are 
detailed below.
    The CRS Policy contains background on ICC's CRS that computes 
credit scores for counterparties. Section 1 describes the CRS and sets 
out its purpose, which is to rate counterparties and identify 
counterparties that may exhibit inconsistent financial performance or 
that show signs of operational and risk management weaknesses and 
require more extensive analysis. The CRS estimates a credit score 
representative of the financial condition of the counterparty and 
relies on credit risk factors representing a combination of data and 
performance ratios derived from financial reporting and market 
information. Section 1 specifies that the ICC Risk Department is 
responsible for calibrating the credit risk factor metrics. Section 2 
explains the scope of the CRS, which features two credit scoring models 
due to the variety of CPs and FSPs facing ICC. Section 2 summarizes 
each credit scoring model and its corresponding model components and 
provides a range of possible credit scores and credit score 
interpretations. The credit scoring scale ranges from 1 to 5, with a 
score of 1 indicating the strongest financial stability and the level 
of least concern and a score of 5 indicating the weakest financial 
stability and the greatest level of concern. This section further 
summarizes the data required for the CRS and describes how 
implementation of the CRS is supported internally.
    The CRS Policy describes the model components of each credit 
scoring model in detail. Section 3 discusses the selection of credit 
risk factors, which are divided into financial and market metrics. 
Financial metrics provide a point in time view of the state of the 
company, while market metrics are used

[[Page 60307]]

to capture frequent changes in the market sentiment of the companies 
facing ICC. Section 3 includes descriptions of the credit risk factors. 
For each credit risk factor, this section specifies corresponding 
metrics, relevant definitions, formulas, applicability based on type of 
counterparty, and key regulatory requirements, among others. The CRS 
also considers a qualitative assessment, which allows flexibility to 
incorporate additional information (e.g., business risk, litigation 
risk, management actions) regarding the counterparty into the credit 
score, and provides a range of possible qualitative assessment scores 
and qualitative assessment score interpretations. Furthermore, Section 
3 notes the use of proxies for counterparties that may not report the 
exact metrics described in this document.
    Model specifications are also included in the CRS Policy. Section 4 
describes the calibration of the model component weights. Each credit 
risk factor receives its own credit risk factor-specific weight. This 
section notes how credit risk factor weights are determined and 
discusses the testing of the weights between the financial and market 
metrics to measure the effectiveness of the scoring model in 
identifying early signs of weakness. Section 4 further discusses metric 
parameterization for each credit risk factor and provides input values, 
metric descriptions, graphical representations, assumptions, parameter 
sets, and calibrated values, among others.
    The CRS Policy specifies the data required for the CRS to compute 
credit scores and memorializes other information relevant to the CRS. 
Section 5 includes procedures for collecting data from internal and 
external sources and describes the case in which component weights are 
reallocated based on the availability of data. Section 5 further 
explains how the adequacy of the data is ensured and assigns 
responsibility for checking the validity of data and remedying 
inconsistencies. Under Section 6, the credit risk factors, 
corresponding metrics and parameterization of the credit scoring model 
are reviewed at least once a year. Results are evaluated based on 
predefined thresholds, which are set out in this section, and actions 
are taken to update the model parameterization if needed. Section 7 
specifies the assumptions and limitations of the CRS. Section 8 
contains a list of references, and Section 9 includes the revision 
history. The appendices maintain other relevant information for the 
purpose of using the CRS, including a list of proxies and information 
relevant to metric parameterization.
Retirement of the FCM and Bank Procedures
    ICC proposes retiring the FCM and Bank Procedures. The below list 
summarizes where the information in the FCM and Bank Procedures would 
reside following retirement and differences from the proposed 
Documents.
     Introduction and Overview: Information in Section I would 
be moved to Section 1 of the CMPs.
     Roles and Responsibilities: Information in Section II 
would be moved to Section 2 of the CMPs. The CMPs memorialize the Risk 
Department's responsibility of presenting information to relevant 
committees. Moreover, under the CMPs, the PRC is responsible for the 
approval of FSPs.\3\
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    \3\ See SR-ICC-2021-015 for more information on the 
responsibilities of the PRC.
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     Monitoring Scope: Information in Section III would be 
moved to Section 4 of the CMPs. While additional procedures or detail 
is included and there are minor differences in drafting style or 
terminology, ICC does not propose material changes to its monitoring 
scope. Procedures are added describing ICC's monitoring of RFT 
consumption and how issues are escalated and resulting actions are 
documented. Language related to ICC's monitoring and management of 
aggregate exposure to entities with which ICC maintains multiple 
counterparty relationships is also included, as well as procedures 
associated with FSP investment allocation and RFT limits. More detail, 
such as steps for conducting a risk review, possible review outcomes, 
and criteria for more frequent risk reviews, are also set forth. 
Further, the list of general information maintained for counterparties 
in the FCM and Bank Procedures is removed given the additional 
procedures in the Documents in respect of counterparty review and CRS 
data.
     Clearing House Counterparty Credit Rating System: 
Information in Section IV would be moved to Section 5 of the CMPs and 
Sections 2-4 of the CRS Policy. While the information is reorganized 
and additional detail or procedures are included, ICC does not propose 
material changes to its credit scoring approach. ICC specifies the 
frequency of review of the credit scoring methodology in Section 5 of 
the CMPs. Descriptions of the credit risk factors, metrics, and 
qualitative assessment are moved to Sections 2 and 3 of the CRS Policy 
and information related to metric parameterization and computations, 
including input values, graphical representations, parameter sets, and 
calibrated values is moved to Section 4 the CRS Policy. Minor revisions 
to credit score interpretations are made in the CRS Policy, including 
removing language associated with the Watch List which would be 
contained in the CMPs. Additional language is proposed in the CRS 
Policy to describe the CRS and credit scoring approach broadly (Section 
1), model foundations and selection of credit risk factors and metrics 
(Section 3), testing of the weights between metrics and model 
performance testing (Sections 4 and 6), data sources and data quality 
(Section 5), and assumptions and limitations of the CRS (Section 7).
     Additional Internal Rating Considerations: Information in 
Section V (FCM Procedures only) would be moved to Section 4 of the CRS 
Policy.
     Data Proxies: Information in Section VI (FCM Procedures) 
and Section V (Bank Procedures) would be moved to Section 3 of the CRS 
Policy.
     Information Privacy: Information in Section VII (FCM 
Procedures) and Section VI (Bank Procedures) would be moved to Section 
8 of the CMPs.
     Record Keeping: Information in Section VIII (FCM 
Procedures) and Section VII (Bank Procedures) would be moved to Section 
9 of the CMPs.
     Watch List Criteria: Information in Section IX (FCM 
Procedures), Section VIII (Bank Procedures), and Appendix 3 would be 
moved to Sections 6 and 7 of the CMPs. The FCM and Bank Procedures list 
reasons for placing counterparties on the Watch List and Appendix 3 
specifies that counterparties exhibiting certain criteria may be placed 
on the Watch List (e.g., deterioration in credit score, capitalization, 
operational or other violations). The Watch List criteria is updated in 
the CMPs to distinguish between automatic placement on the Watch List 
based on credit score and qualitative considerations of counterparty 
deterioration that may merit placement on the Watch List or movement to 
a higher Watch List level.
     Appendices 1 and 2 are moved to the appendices of the CRS 
Policy and Appendix 3 is removed.
    Consolidation of the FCM and Bank Procedures with respect to 
counterparty monitoring in the CMPs and with respect to the credit 
scoring approach in the CRS Policy would allow ICC to avoid unnecessary 
repetition. The Documents are generally designed to enhance, clarify, 
and more clearly document descriptions of key ICC

[[Page 60308]]

processes and procedures related to ICC's counterparty monitoring 
practices and CRS, and not to materially change existing processes and 
practices in the FCM and Bank Procedures. Additional detail is 
memorialized in the Documents which was not previously in the Bank and 
FCM Procedures, including ICC's standards for counterparty 
relationships and procedures for counterparty on-boarding and 
withdrawal in Section 3 of the CMPs and a comprehensive description of 
the CRS, including its foundations, data, testing, and assumptions and 
limitations, in the CRS Policy. Overall, the purpose of and substance 
across the documents remains largely consistent with some differences 
in drafting style or terminology, additional procedures or detail, and 
other minor updates or revisions.
(b) Statutory Basis
    ICC believes that the proposed rule change is consistent with the 
requirements of Section 17A of the Act \4\ and the regulations 
thereunder applicable to it, including the applicable standards under 
Rule 17Ad-22.\5\ In particular, Section 17A(b)(3)(F) of the Act \6\ 
requires that the rule change be consistent with the prompt and 
accurate clearance and settlement of securities transactions and 
derivative agreements, contracts and transactions cleared by ICC, the 
safeguarding of securities and funds in the custody or control of ICC 
or for which it is responsible, and the protection of investors and the 
public interest. As discussed herein, the proposed rule change is 
generally designed to enhance, clarify, and more clearly document 
descriptions of key ICC procedures related to ICC's counterparty 
monitoring practices and CRS. The proposed CMPs would consolidate ICC's 
existing counterparty monitoring procedures for CPs and FSPs into one 
document. Information related to the CRS would be moved into a separate 
policy, the CRS Policy, which describes ICC's credit scoring approach 
and is intended to more clearly document the processes and procedures 
associated with the CRS. Memorializing additional detail in respect of 
the CRS, such as its foundations, data sources, testing, and 
assumptions and limitations, in the CRS Policy would strengthen the CRS 
to ensure that it appropriately estimates credit scores representative 
of the financial condition of counterparties. Consolidation of the FCM 
and Bank Procedures regarding counterparty monitoring in the CMPs and 
regarding the credit scoring approach in the CRS Policy would allow ICC 
to avoid unnecessary repetition, avoid potential confusion between 
policies, and promote efficiency. ICC believes that the proposed rule 
change would thus facilitate and enhance its ability to carry out its 
counterparty monitoring responsibilities and manage counterparty credit 
risk and thus promote overall risk management and the stability of ICC. 
Accordingly, in ICC's view, the proposed rule change is consistent with 
the prompt and accurate clearance and settlement of securities 
transactions, derivatives agreements, contracts, and transactions, the 
safeguarding of securities and funds in the custody or control of ICC 
or for which it is responsible, and the protection of investors and the 
public interest, within the meaning of Section 17A(b)(3)(F) of the 
Act.\7\
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    \4\ 15 U.S.C. 78q-1.
    \5\ 17 CFR 240.17Ad-22.
    \6\ 15 U.S.C. 78q-1(b)(3)(F).
    \7\ Id.
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    The proposed rule change would also satisfy the relevant 
requirements of Rule 17Ad-22.\8\ Rule 17Ad-22(e)(2)(i) and (v) \9\ 
requires each covered clearing agency to establish, implement, 
maintain, and enforce written policies and procedures reasonably 
designed to provide for governance arrangements that are clear and 
transparent and specify clear and direct lines of responsibility. The 
Documents clearly and transparently assign and document responsibility 
and accountability associated with counterparty monitoring and 
computation of credit scores. The CMPs specify how identified issues 
are escalated and set out the roles and responsibilities of internal 
personnel and committees, including with respect to ongoing 
counterparty monitoring, review, and reporting; on-boarding and 
withdrawal of counterparties; and changes to the Watch List. The CMPs 
clearly set out the roles of the PRC and Subcommittee with respect to 
counterparty monitoring, review, and approval and detail their 
interaction with the Risk Department and CRO. For the CRS, the ICC Risk 
Department is responsible for calibrating the credit risk factor 
metrics under the CRS Policy. The CRS Policy also assigns 
responsibility for checking the validity of data for the CRS and 
remedying inconsistencies. As such, in ICC's view, the proposed rule 
change ensures that ICC maintains policies and procedures that are 
reasonably designed to provide for clear and transparent governance 
arrangements and specify clear and direct lines of responsibility, 
consistent with Rule 17Ad-22(e)(2)(i) and (v).\10\
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    \8\ 17 CFR 240.17Ad-22.
    \9\ 17 CFR 240.17Ad-22(e)(2)(i) and (v).
    \10\ Id.
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    Rule 17Ad-22(e)(4)(ii) \11\ requires each covered clearing agency 
to establish, implement, maintain, and enforce written policies and 
procedures reasonably designed to effectively identify, measure, 
monitor, and manage its credit exposures to participants and those 
arising from its payment, clearing, and settlement processes, including 
by maintaining additional financial resources at the minimum to enable 
it to cover a wide range of foreseeable stress scenarios that include, 
but are not limited to, the default of the two participant families 
that would potentially cause the largest aggregate credit exposure for 
the covered clearing agency in extreme but plausible market conditions. 
The proposed rule change enhances ICC's ability to manage its financial 
resources since the Documents are designed to minimize the risk 
associated with ICC's counterparty relationships by more clearly 
describing key processes, controls, decisions, and escalations 
associated with ICC's counterparty review and monitoring processes and 
CRS. The Documents are not intended to materially change ICC's existing 
processes and practices in the FCM and Bank Procedures. Memorializing 
the processes and procedures associated with the CRS in the CRS Policy 
would strengthen the CRS to ensure that it appropriately estimates 
credit scores representative of the financial condition of 
counterparties. The proposed rule change would thus promote ICC's 
ability to ensure financial health and the ability to fulfill 
obligations by ICC's counterparties, which promotes and strengthens 
ICC's own financial condition and supports ICC's ability to maintain 
its financial resources and withstand the pressures of defaults, 
consistent with the requirements of Rule 17Ad-22(e)(4)(ii).\12\
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    \11\ 17 CFR 240.17Ad-22(e)(4)(ii).
    \12\ Id.
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    Rule 17Ad-22(e)(16) \13\ requires each covered clearing agency to 
establish, implement, maintain, and enforce written policies and 
procedures reasonably designed to safeguard its own and its 
participants' assets, minimize the risk of loss and delay in access to 
these assets, and invest such assets in instruments with minimal 
credit, market, and liquidity risks. The Documents memorialize the 
processes and procedures associated with managing credit risk from 
ICC's counterparties, including FSPs who are

[[Page 60309]]

defined as the entities to which ICC has actual or potential credit 
exposure (e.g., settlement banks, custodians, reverse repurchase 
counterparties). The CMPs describe ICC's requirements for FSPs and the 
procedures for intraday, daily, and monthly monitoring of the financial 
and operational capacity of FSPs. This document also includes 
procedures for placing counterparties on the Watch List and for 
monitoring and managing ICC's aggregate exposure to entities and their 
affiliates with which ICC maintains multiple counterparty 
relationships. Accordingly, the proposed rule change would continue to 
ensure that ICC safeguards its own and its participants' assets, 
minimizes the risk of loss and delay in access to these assets, and 
invests such assets in instruments with minimal credit, market, and 
liquidity risks, consistent with the requirements of Rule 17Ad-
22(e)(16).\14\
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    \13\ 17 CFR 240.17Ad-22(e)(16).
    \14\ Id.
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    Rule 17Ad-22(e)(18) \15\ requires each covered clearing agency to 
establish, implement, maintain, and enforce written policies and 
procedures reasonably designed to establish objective, risk-based, and 
publicly disclosed criteria for participation, which permit fair and 
open access by direct and, where relevant, indirect participants and 
other financial market utilities, require participants to have 
sufficient financial resources and robust operational capacity to meet 
obligations arising from participation in the clearing agency, and 
monitor compliance with such participation requirements on an ongoing 
basis. The proposed rule change does not change ICC's existing CP 
membership criteria. The CMPs discuss ICC's standards for counterparty 
relationships, namely the requirements for CPs and FSPs, and include 
references to relevant documentation. The CMPs define the entities 
included as FSPs to ensure that ICC appropriately identifies and 
monitors its counterparty relationships. The proposed rule change is 
designed to more clearly document the standards for counterparty 
relationships and the associated monitoring processes to ensure that 
responsible parties carry out their duties and appropriately monitor 
for compliance with such requirements. Furthermore, the CMPs require 
the performance of an annual review of the CP membership criteria to 
ensure continued sufficiency and appropriateness. As such, the proposed 
rule change will continue to ensure that participants have sufficient 
financial resources and robust operational capacity to meet obligations 
and promote ICC's ability to monitor compliance for such requirements 
on an ongoing basis, consistent with Rule 17Ad-22(e)(18).\16\
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    \15\ 17 CFR 240.17Ad-22(e)(18).
    \16\ Id.
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(B) Clearing Agency's Statement on Burden on Competition

    ICC does not believe the proposed rule change would have any 
impact, or impose any burden, on competition. The proposed rule change 
to adopt and formalize the Documents and to retire the FCM and Bank 
Procedures will apply uniformly across all market participants. 
Therefore, ICC does not believe the proposed rule change would impose 
any burden on competition that is inappropriate in furtherance of the 
purposes of the Act.

(C) Clearing Agency's Statement on Comments on the Proposed Rule Change 
Received From Members, Participants or Others

    Written comments relating to the proposed rule change have not been 
solicited or received. ICC will notify the Commission of any written 
comments received by ICC.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Within 45 days of the date of publication of this notice in the 
Federal Register or within such longer period up to 90 days (i) as the 
Commission may designate if it finds such longer period to be 
appropriate and publishes its reasons for so finding or (ii) as to 
which the self-regulatory organization consents, the Commission will:
    (A) By order approve or disapprove such proposed rule change, or
    (B) institute proceedings to determine whether the proposed rule 
change should be disapproved.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Act. 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 SR-ICC-2021-021 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-2021-021. 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-2021-021 and should be 
submitted on or before November 22, 2021.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\17\
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    \17\ 17 CFR 200.30-3(a)(12).
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J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021-23676 Filed 10-29-21; 8:45 am]
BILLING CODE 8011-01-P