Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of Filing of Proposed Rule Change Relating to the ICC Risk Management Framework, ICC Risk Management Model Description, and ICC End-of-Day Price Discovery Policies and Procedures

<NOTICE> SECURITIES AND EXCHANGE COMMISSION <DEPDOC>[Release No. 34-104408; File No. SR-ICC-2025-012]</DEPDOC> <SUBJECT>Self-Regulatory Organizations; ICE Clear Credit LLC; Notice of Filing of Proposed Rule Change Relating to the ICC Risk Management Framework, ICC Risk Management Model Description, and ICC End-of-Day Price Discovery Policies and Procedures</SUBJECT> <DATE>December 15, 2025.</DATE> Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934, <SU>1</SU> <FTREF/> and Rule 19b-4, <SU>2</SU> <FTREF/> notice is hereby given that on December 4, 2025, ICE Clear Credit LLC (“ICC” or “ICE Clear Credit”) filed with the Securities and Exchange Commission the proposed rule change as described in Items I, II and III below, which Items have been primarily prepared by ICC. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. <FTNT> <SU>1</SU>  15 U.S.C. 78s(b)(1). </FTNT> <FTNT> <SU>2</SU>  17 CFR 240.19b-4. </FTNT> <HD SOURCE="HD1">I. Clearing Agency's Statement of the Terms of Substance of the Proposed Rule Change</HD> The principal purpose of the proposed rule change is to revise the ICC Risk Management Framework (“RMF”), ICC Risk Management Model Description (“RMMD”), and ICC End-of-Day Price Discovery Policies and Procedures (“Pricing Policy”). These revisions do not require any changes to the ICC Clearing Rules (the “Rules”). <SU>3</SU> <FTREF/> <FTNT> <SU>3</SU>  ICC's Rules are available on ICC's public website: <E T="03">https://www.ice.com/publicdocs/clear_credit/ICE_Clear_Credit_Rules.pdf.</E> </FTNT> <HD SOURCE="HD1">II. Clearing Agency's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change</HD> 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. <HD SOURCE="HD2">(A) Clearing Agency's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change</HD> <HD SOURCE="HD3">(a) Purpose</HD> ICC proposes to enhance its liquidity charge methodology for credit default swap (“CDS”) index instruments by amending the RMF and RMMD. ICC also proposes additional updates to reflect current governance practices and make minor clean-up changes in the RMF, RMMD, and Pricing Policy. ICC believes that such revisions will facilitate the prompt and accurate clearance and settlement of securities transactions and derivative agreements, contracts, and transactions for which it is responsible. ICC proposes to make such changes effective following Commission approval of the proposed rule change. The proposed revisions are described in detail as follows. <HD SOURCE="HD3">I. Index Liquidity Charge Enhancement</HD> ICC proposes to update its liquidity charge methodology for CDS index instruments. The liquidity charge represents one component of the Initial Margin (“IM”) requirement that ICC calculates for each Clearing Participant (“CP”) portfolio. <SU>4</SU> <FTREF/> The liquidity charge incorporates the transaction costs associated with liquidating the portfolio of a defaulting CP under stress market conditions. More specifically, ICC estimates a liquidity charge for CDS index instruments by directly considering the bid-offer width (“BOW”) values used for ICC's end-of-day price discovery process. <SU>5</SU> <FTREF/> For each CDS index instrument, ICC maintains three predefined BOWs that correspond to one of three specific market regimes or levels. Level I is associated with normal market conditions, Level II is associated with market conditions that experience some measure of volatility, and Level III is associated with more extreme market conditions. The predefined BOW for Level I is smaller than the BOW for Level II, and the predefined BOW for Level II is smaller than the BOW for Level III. <FTNT> <SU>4</SU>  ICC's IM requirements consist of a set of individual components that account for credit spread and recovery rate risk, bid-offer risk, basis risk, jump-to-default risk, concentration risk, and interest rate risk. The bid-offer risk component is also referred to as the liquidity charge. </FTNT> <FTNT> <SU>5</SU>  ICC's end-of-day price discovery process is set out in detail in the Pricing Policy. <E T="03">See</E> Securities Exchange Act Release No. 101970 (December 19, 2024), 89 FR 105654 (December 27, 2024) (File No. SR-ICC-2024-012). </FTNT> The current liquidity charge methodology for CDS index instruments assumes that short protection and long protection positions are liquidated at different BOWs. To estimate CDS index instrument liquidity charges, ICC uses Level II conditions (volatile) for long protection positions and Level III conditions (extreme) for short protection positions. <SU>6</SU> <FTREF/> Under the proposed changes to the CDS index liquidity charge methodology, short protection and long protection positions would be liquidated at the same BOWs. Specifically, to estimate CDS index instrument liquidity charges, ICC would use Level III conditions for both long and short protection positions. <FTNT> <SU>6</SU>  ICC adopted this approach to reflect that selling protection may carry more risk and incur higher cost of liquidation by exhibiting wider BOWs. The proposed changes would generally make the index liquidity charge methodology more conservative by using Level III conditions (extreme) for both long and short protection positions, instead of just for short protection positions. </FTNT> ICC believes that the proposed changes would enhance the CDS index liquidity charge methodology. Such changes would simplify the methodology by making the methodology consistent for both CDS index and single name instruments by using symmetric BOWs  <SU>7</SU> <FTREF/> that reflect stress market conditions, which would promote ease of understanding of ICC's methodology. <SU>8</SU> <FTREF/> The proposed changes further promote the overall robustness of the liquidity charge methodology for CDS index instruments by using Level III conditions for long and short protection positions. <FTNT> <SU>7</SU>  Symmetric BOWs apply the same Level III conditions for both long and short protection positions, whereas asymmetric BOWs apply different conditions ( <E T="03">i.e.,</E> Level II conditions for long protection positions and Level III conditions for short protection positions). </FTNT> <FTNT> <SU>8</SU>  The CDS single name liquidity charge methodology incorporates a price-based BOW component to provide stability of requirements and a dynamic spread-based BOW component to reflect the additional risk associated with distressed market conditions. <E T="03">See</E> Securities Exchange Act Release No. 79220 (November 2, 2016), 81 FR 78677 (November 8, 2016) (File No. SR-ICC-2016-010). </FTNT> To implement the changes ICC would update the RMF and RMMD as follows. Section IV.B.2 of the RMF states that ICC's liquidity charge approach assumes, in general, that short protection and long protection positions are liquidated at different BOWs. Amended Section IV.B.2 would state that short protection and long protection positions are liquidated at the same BOWs. ICC proposes to similarly update the RMMD to reflect this change. ICC proposes to update the Table of Mathematical Symbols and Notations in the RMMD to remove symbols for BOW exposure for bought and sold protection positions. These symbols are no longer necessary as the amended methodology assumes that short protection and long protection positions are liquidated at the same BOWs. In Section II.2, ICC proposes to remove an equation and related language which uses these symbols to distinguish between the liquidation of short protection positions at Level III conditions and long protection positions at Level II conditions. ICC would remove reference to Level II conditions, as short protection and long protection positions would be liquidated at the same BOWs, namely, Level III conditions. Additional changes would also clarify that Levels I, II, and III range from normal to extreme market conditions. ICC also proposes a similar update in an equation that provides the liquidity charge calculation for CDS index instruments whose quoting convention is in price space. Such changes remove an equation and related language which distinguishes between the liquidation of short protection positions at Level III conditions and long protection positions at Level II conditions. <HD SOURCE="HD3">II. Updates To Reflect Current Governance Practices and Minor Clean-Ups</HD> ICC proposes additional edits to reflect current ICC governance practices and make minor clean-up changes in the documentation. Specifically, ICC proposes adding references to the recently established ICC Board Risk Committee and ICC Nominating Committee in the RMF. <SU>9</SU> <FTREF/> In Section II of the RMF, ICC proposes adding the Board Risk Committee and Nominating Committee to the list of relevant ICC committees for purposes of risk governance and to a chart showing ICC's governance structure. ICC also proposes a minor edit to this chart to refer to the Risk Committee as the “CDS” Risk Committee to further distinguish it from the Board Risk Committee in the chart. <SU>10</SU> <FTREF/> In Section II.A of the RMF, ICC would specify that there are nine committees which are integral to ICC's risk management and add descriptions of the Board Risk Committee and Nominating Committee to reflect current responsibilities, as ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ Preview showing 10k of 23k characters. 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