SEC Approves ICE Clear Credit Rule Change to CDS Risk Model
The order, issued Sep. 2 2026, updates ICC's contagion-risk methodology and public data references for its CDS clearing participants.
On September 2 2026 the Securities and Exchange Commission issued Order No. 34-106263, approving ICE Clear Credit LLC's (ICC) proposed rule change to its Risk Management Model Description for the Credit Default Swap (CDS) Clearing Service. The filing, made under Section 19(b)(1) of the Securities Exchange Act on July 6 2026 and published for comment on July 21 2026 (File No. SR-ICC-2026-006), received no public comments.
The amendment enhances the contagion-risk methodology within ICC's Jump-to-Default (JTD) component by adding a Profit Given Default (PGD) calculation. PGD captures potential gains from offsetting positions and is applied at the Risk Factor Group level, with the greater of zero or the sum of profit/LGD for each factor. ICC says the change provides a more capital-efficient measure of accumulated exposures while preserving a conservative approach to directional wrong-way-risk.
In addition, ICC will replace proprietary references with publicly available sources: the Global Systemically Important Banks list for banking-sector risk-factor categorization and the Global Legal Entity Identifier Foundation system for determining country of domicile. A footnote will clarify mapping of sovereign risk factors to the ultimate parent's domicile. ICC asserts these updates improve transparency without altering the underlying risk methodology.
The Commission concluded that the filing satisfies the Act's consistency requirements, referencing Section 17A(b)(3)(F) and Rule 17Ad-22(e)(6)(i). No changes to the ICC CDS Clearing Rules are required. The order binds ICC as a registered clearing agency and its clearing participants, who must adhere to the revised model description in ongoing margin and guaranty-fund calculations.
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