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Federal Register / Vol. 86, No. 208 / Monday, November 1, 2021 / Notices SECURITIES AND EXCHANGE
COMMISSION

and C below, of the most significant aspects of these statements.

Release No. 3493429; File No. SRICC
2021021

A Clearing Agencys Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change
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 19b1 of the Securities Exchange Act of 1934
Act,1 and Rule 19b4,2 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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I. Clearing Agencys 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 Agencys 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, securitybased 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, 1 15
2 17

U.S.C. 78sb1.
CFR 240.19b4.

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a Purpose ICCs 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 ICCs CRS.
The proposed rule change is generally designed to enhance, clarify, and more clearly document descriptions of key ICC processes and procedures related to ICCs 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 ICCs existing counterparty monitoring policies and procedures for CPs and FSPs into one document. The proposed document would enhance and provide more clarity on ICCs 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 ICCs 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 ICCs Risk and Operations Departments, Chief Risk Officer CRO, and internal
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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 Departments 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 ICCs 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
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