Self-Regulatory Organizations; ICE Clear Credit LLC; Order Approving 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
Published Date: 2/2/2026
Notice
Summary
ICE Clear Credit LLC is updating how it manages risks and figures out end-of-day prices for credit contracts. These changes tweak the way liquidity charges are calculated and improve governance, making the system safer and smoother for everyone involved. The updates kick in soon and don’t affect costs for participants but boost overall market stability.
Analyzed Economic Effects
1 provisions identified: 0 benefits, 0 costs, 1 mixed.
Symmetric Liquidity Charge Increases Margins
ICC will use the Level III bid-offer width (the largest, "extreme" market condition) to calculate the liquidity charge for CDS index instruments for both short and long protection positions. This makes the liquidity charge more conservative and could lead ICC to collect larger initial margin amounts for long protection positions, increasing the likelihood that ICC has enough collateral to cover a Clearing Participant default and reducing the chance it must use mutualized collateral.
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