Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 ^[1] and Rule 19b-4,^[2] notice is hereby given that on July 6, 2026, ICE Clear Credit LLC (“ICC” or “ICE Clear Credit”) 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.

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 revise the Risk Management Model Description for the CDS Clearing Service. These revisions do not require any changes to the ICC CDS Clearing Rules (the “Rules”).^[3]

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 and discussed any comments it received on the proposed rule change. 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

The primary purpose of the proposed rule change is to amend the Risk Management Model Description to enhance the contagion risk methodology. In particular, the proposed change is intended to improve risk management by introducing a new term, Profit Given Default (“PGD”), within the amended contagion risk methodology. As more fully described below, PGD is designed to provide portfolio benefits ( i.e., reduced risk requirements) when a Clearing Participant (“CP”) clears applicable offsetting positions. This change would enhance ICC's risk management by providing a more capital-efficient approach for capturing the accumulation of exposures that exhibit strong positive correlation between a CP and single name Risk Factors during stress market conditions.^[4] In addition, this change would provide some portfolio benefits to incentivize CPs to hedge their accumulation of wrong-way-risk (“WWR”) exposure, while allowing ICC to continue to maintain a conservative approach to managing the accumulation of directional WWR exposure. In addition, ICC proposes minor revisions to update certain references to publicly available sources of information. 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.

I. Contagion Risk Methodology Enhancement

ICC proposes an enhancement to the contagion risk methodology within the Jump-to-Default (“JTD”) component of the risk management model. The JTD component represents one component of the Initial Margin (“IM”) requirement that ICC calculates for each CP portfolio.^[5] This component accounts for losses from credit events on single names where a CP has sold or bought protection. The JTD component includes a (i) WWR consideration, which accounts for potential losses under stress market conditions ^[6] when a CP and certain single name Risk Factors are strongly positively correlated,^[7] (ii) a contagion risk consideration, which captures the accumulation of such single name Risk Factors remaining exposures across the portfolio, and (iii) an idiosyncratic JTD consideration, which accounts for credit events associated with single name Risk Factors.

The current risk management methodology incorporates considerations of idiosyncratic credit events ^[8] and associated potential losses. These credit event losses are termed Loss-Given-Default (“LGD”). The LGD quantity is calculated on a Risk Factor Group (“RFG”) ^[9] level, and accounts for exposure from credit events associated with reference entities in a given RFG. LGD is calculated by applying a single name-specific set of recovery rates to the single name positions that would lead to a loss if a credit event occurs.^[10]

ICC proposes to introduce the concept of Profit Given Default (“PGD”) ^[11] in the Risk Management Model Description. PGD is designed to provide portfolio benefits ( i.e., reduced risk requirements due to recognized potential gains, during stress market conditions) when a CP has applicable offsetting positions, which would encourage CPs to clear applicable offsetting positions to hedge and diversify exposure for certain single name Risk Factors that are strongly positively correlated to CPs under stress market conditions. ICC proposes to incorporate PGD in the contagion risk methodology to provide a more capital-efficient approach for capturing the accumulation of exposures that exhibit strong positive correlation between a CP and single name Risk Factors during stress market conditions, as further described below.

ICC proposes amendments to the Risk Management Model Description to introduce the concept of PGD in Section I. ICC would amend equation 5 to define PGD for a RFG as the greater of zero or the sum of the Profit/LGD calculations for each Risk Factor in a given RFG, such that PGD cannot be a negative value.^[12] PGD would thus reflect either potential offsetting gains or zero.^[13] PGD would also be included in equation 6 to allow for the RFG level PGD to be attributed to each Risk Factor within the considered RFG and in equation 7 to addresses cases where the RFG contains only one Risk Factor.^[14]

ICC proposes to incorporate these changes in the portfolio level contagion risk analysis in Section IV.4. Equation 65 sets out the contagion risk consideration that captures the effects of the accumulation of uncollateralized LGD from Risk Factors generating general WWR. The proposed amendments integrate PGD in equation 65 by incorporating the PGD at the Risk Factor level (as defined in equation 6) for a considered RFG. Such change would provide a more capital efficient approach when capturing the accumulation of exposures exhibiting a strong positive correlation between a CP and single name Risk Factors during stress market conditions. Moreover, such change would provide some portfolio benefits to incentivize CPs to hedge their WWR exposure, while allowing ICC to continue to maintain a conservative approach to managing directional WWR exposure.

Furthermore, ICC has analyzed the impact of the proposed change to the contagion methodology on its CPs' total requirements ( i.e., IM and Guaranty Fund).^[15] On average, ICC observed a very small impact across its CPs based on this analysis.^[16] However, depending on CPs' cleared positions and the extent to which applicable offsetting positions are present, certain CPs may see a reduction in their total requirements under the enhanced methodology.^[17]

II. Additional Changes

ICC proposes minor revisions to update certain references to publicly available sources of information. Currently, Section IV.2 of the Risk Management Model Description references a proprietary classification system that ICC uses to categorize cleared single name Risk Factors in the banking sector and to assign country of domicile. Under the proposed changes, banking sector categorization would be based on the publicly available list of Global Systemically Important Banks ^[18] and the country of domicile assignment would follow the publicly accessible Global Legal Entity Identifier Foundation system.^[19] ICC also proposes a clarifying footnote explaining how sovereign single name Risk Factors are mapped to the ultimate parent's country of domicile. These publicly available sources are globally recognized and offer additional transparency, as they are publicly accessible. The proposed changes do not amend ICC's risk methodology, which continues to apply to cleared single name Risk Factors, with strong positive correlation with CPs, within the sovereign and banking sectors.

(b) Statutory Basis

ICC believes that the proposed rule change is consistent with the requirements of Section 17A of the Securities Exchange Act of 1934 (the “Act”) ^[20] and the regulations thereunder applicable to it, including the applicable standards under Rule 17Ad-22.^[21] In particular, Section 17A(b)(3)(F) of the Act ^[22] requires, among other things, that the rules of a clearing agency be designed to promote the prompt and accurate clearance and settlement of securities transactions and, to the extent applicable, derivative agreements, contracts and transactions, to assure the safeguarding of securities and funds in the custody or control of the clearing agency or for which it is responsible, and to protect investors and the public interest.

ICC proposes to amend the Risk Management Model Description to enhance the contagion risk methodology and update certain references to publicly available sources of information. As described above, the proposed changes incorporate a new concept of PGD in the Risk Management Model Description to provide a more capital-efficient approach for capturing the accumulation of exposures that exhibit strong positive correlation between a CP and single name Risk Factors during stress market conditions. ICC believes that this amended methodology enhances ICC's risk management methodology by providing a more capital-efficient approach. The additional changes provide transparency with respect to ICC's risk management practices by utilizing publicly available sources of information. ICC believes that having policies procedures that clearly, accurately, and transparently document its risk management practices is an important component to the effectiveness of ICC's risk management system and supports ICC's ability to maintain adequate financial resources, which promotes 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. Accordingly, in ICC's view, the proposed rule change is designed to promote the prompt and accurate clearance and settlement of the contracts cleared at ICC, to assure the safeguarding of securities and funds in the custody or control of ICC or for which it is responsible, and to protect investors and the public interest, within the meaning of Section 17A(b)(3)(F) of the Act.^[23]

Rule 17Ad-22(e)(3)(i) ^[24] requires ICC to establish, implement, maintain and enforce written policies and procedures reasonably designed to maintain a sound risk management framework for comprehensively managing legal, credit, liquidity, operational, general business, investment, custody, and other risks that arise in or are borne by it, which includes risk management policies, procedures, and systems designed to identify, measure, monitor, and manage the range of risks that arise in or are borne by it, that are subject to review on a specified periodic basis and approved by the Board annually. The Risk Management Model Description documents key aspects of ICC's risk management approach, and the proposed amendments would ensure further transparency in the documentation, including by updating certain references to publicly available sources. Such changes thereby support the continued effective maintenance and operation of ICC's risk management framework, including the Risk Management Model Description. As such, the amendments would satisfy the requirements of Rule 17Ad-22(e)(3)(i).^[25]

Rule 17Ad-22(e)(4)(ii) ^[26] requires ICC 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 ICC in extreme but plausible market conditions. As discussed above, the proposed changes would provide a more capital efficient approach when capturing the accumulation of exposures exhibiting a strong positive correlation between a CP and single name Risk Factors during stress market conditions. Moreover, the proposed changes would provide some portfolio benefits to incentivize CPs to hedge their WWR exposure, while allowing ICC to continue to maintain a conservative approach to managing directional WWR exposures. The proposed rule change would thereby enhance ICC's contagion risk methodology and ICC would continue to ensure that it has the ability to manage risks, maintain appropriate financial resources, and withstand the pressures of defaults, consistent with the requirements of Rule 17Ad-22(e)(4)(ii).^[27]

(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 changes to the Risk Management Model Description 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

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

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 (https://www.sec.gov/​rules-regulations/​self-regulatory-organization-rulemaking); or ( printed page 45846)
• Send an email torule-comments@sec.gov. Please include file number SR-ICC-2026-006 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-2026-006. 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 of submission. The Commission will post all comments on the Commission's internet website (https://www.sec.gov/​rules-regulations/​self-regulatory-organization-rulemaking). Copies of the filing will be available for inspection and copying at the principal office of ICE Clear Credit and on ICE Clear Credit's website at https://www.ice.com/​clear-credit/​regulation.

Do not include personal identifiable information in submissions; you should submit only information that you wish to make available publicly. We may redact in part or withhold entirely from publication submitted material that is obscene or subject to copyright protection. All submissions should refer to file number SR-ICC-2026-006 and should be submitted on or before August 11, 2026.