ICE Tweaks Risk Rules: Clearinghouses Get Safer, Zzz
Published Date: 3/20/2025
Notice
Summary
ICE Clear Credit LLC wants to update how it sets and reviews risk rules and explains its risk management model better. These changes aim to make clearing trades and contracts smoother and safer for everyone involved. Once approved by the SEC, the new rules will kick in, helping protect the market without changing costs right away.
Analyzed Economic Effects
4 provisions identified: 4 benefits, 0 costs, 0 mixed.
Daily MAD Updates for CDS Single‑Names
If you clear credit default swaps (CDS) at ICE Clear Credit, ICC proposes to change the mean absolute deviation (MAD) parameter update for CDS single‑name risk factors from a monthly update to an automatic daily update in its risk system. The iSR (integrated spread response) component that uses these MADs feeds into initial margin calculations; the change was filed March 12, 2025 and would take effect after SEC approval.
More Conservative MaxLoss Calculation
ICC proposes to change the MaxLoss calculation so index risk factor and risk sub‑factor (RSF) MaxLoss always consider the combined underlying CDS index and CDS index option sub‑portfolios (and apply analogous treatment to single names). That change is intended to make MaxLoss more conservative, robust, and stable for use in initial margin and guaranty fund requirements; the proposal was filed March 12, 2025 and would be effective after SEC approval.
APC Calibration and Price Dislocation
ICC proposes enhanced documentation and calibration details for its anti‑procyclicality (APC) measures for CDS index options, including formally defining the 'price dislocation factor' and moving from a static value to calibrating that factor using a ratio of current extreme price moves. These changes were filed March 12, 2025 and would take effect after SEC approval.
No Expected Change To Clearing Costs
ICC states the proposed amendments will apply uniformly to all market participants and that it does not believe the changes would affect the costs of clearing or the ability of market participants to access clearing. The proposed rule change was filed March 12, 2025 and would take effect following SEC approval.
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