65210 Federal Register / Vol. 88, No. 182 / Thursday, September 21, 2023 / Notices 

25 17 CFR 240.19b–4. 

26 section 19(b)(2) of the Act, as amended by the 

Securities Acts Amendments of 1975, Public Law 

94–29 (Jun. 4, 1975), grants to the Commission 

flexibility to determine what type of proceeding— 

either oral or notice and opportunity for written 

comments—is appropriate for consideration of a 

particular proposal by a self-regulatory 

organization. See Securities Acts Amendments of 

1975, Senate Comm. on Banking, Housing & Urban 

Affairs, S. Rep. No. 75, 94th Cong., 1st Sess. 30 

(1975). 

27 17 CFR 200.30–3(a)(57). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 97733 

(June 15, 2023), 88 FR 40887. Comments on the 

proposed rule change are available at: https://

www.sec.gov/comments/sr-miax-2023-22/ 

srmiax202322.htm. 

4 15 U.S.C. 78s(b)(2). 

5See Securities Exchange Act Release No. 98058, 

88 FR 54361 (August 10, 2023). The Commission 

designated September 20, 2023 as the date by which 

the Commission shall approve or disapprove, or 

institute proceedings to determine whether to 

disapprove, the proposed rule change. 

6 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3 15 U.S.C. 78s(b)(3)(A). 

proposal. In particular, the Commission 

invites the written views of interested 

persons concerning whether the 

proposed rule change, is consistent with 

sections 6(b)(5) or any other provision of 

the Act, or the rules and regulations 

thereunder. Although there do not 

appear to be any issues relevant to 

approval or disapproval that would be 

facilitated by an oral presentation of 

data, views, and arguments, the 

Commission will consider, pursuant to 

Rule 19b–4 under the Act,25 any request 

for an opportunity to make an oral 

presentation.26

Interested persons are invited to 

submit written data, views, and 

arguments regarding whether the 

proposed rule change should be 

approved or disapproved by October 12, 

2023. Any person who wishes to file a 

rebuttal to any other person’s 

submission must file that rebuttal by 

October 26, 2023. The Commission asks 

that commenters address the sufficiency 

of the Exchange’s statements in support 

of the proposal, in addition to any other 

comments they may wish to submit 

about the proposed rule change. 

Comments may be submitted by any 

of the following methods: 

Electronic Comments 

• Use the Commission’s internet 

comment form (https://www.sec.gov/ 

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include file number SR– 

ISE–2023–11 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE, 

Washington, DC 20549–1090. 

All submissions should refer to file 

number SR–ISE–2023–11. 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. The Commission will 

post all comments on the Commission’s 

internet website (https://www.sec.gov/ 

rules/sro.shtml). Copies of the 

submission, all subsequent 

amendments, all written statements 

with respect to the proposed rule 

change that are filed with the 

Commission, and all written 

communications relating to the 

proposed rule change between the 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

provisions of 5 U.S.C. 552, will be 

available for website viewing and 

printing in the Commission’s Public 

Reference Room, 100 F Street NE, 

Washington, DC 20549, on official 

business days between the hours of 10 

a.m. and 3 p.m. Copies of the filing also 

will be available for inspection and 

copying at the principal office of the 

Exchange. 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–ISE–2023–11 and should be 

submitted by October 12, 2023. Rebuttal 

comments should be submitted by 

October 26, 2023. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.27

J. Matthew DeLesDernier, 

Deputy Secretary. 

[FR Doc. 2023–20425 Filed 9–20–23; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–98410; File No. SR–MIAX– 

2023–22] 

Self-Regulatory Organizations; Miami 

International Securities Exchange, 

LLC; Notice of Withdrawal of a 

Proposed Rule Change To Amend 

Exchange Rule 404, Series of Option 

Contracts Open for Trading, To 

Implement a Low Priced Stock Strike 

Price Interval Program 

September 15, 2023. 

On June 5, 2023, Miami International 

Securities Exchange, LLC (‘‘MIAX’’ or 

‘‘Exchange’’) filed with the Securities 

and Exchange Commission 

(‘‘Commission’’), pursuant to section 

19(b)(1) of the Securities Exchange Act 

of 1934 (‘‘Act’’) 1 and Rule 19b–4 

thereunder,2 a proposed rule change to 

amend Exchange Rule 404, Series of 

Option Contracts Open for Trading. 

Specifically, the Exchange proposed to 

adopt Interpretations and Policies .12 to 

Rule 404 to implement a new strike 

interval program for stocks that are 

priced less than $2.50 and have open 

interest equal to or greater than 1,000 

contracts. The proposed rule change 

was published for comment in the 

Federal Register on June 22, 2023.3 On 

August 4, 2023, pursuant to section 

19(b)(2) of the Act,4 the Commission 

designated a longer period within which 

to approve the proposed rule change, 

disapprove the proposed rule change, or 

institute proceedings to determine 

whether to disapprove the proposed 

rule change.5 On September 14, 2023, 

the Exchange withdrew the proposed 

rule change (MIAX–2023–22). 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.6

J. Matthew DeLesDernier, 

Deputy Secretary. 

[FR Doc. 2023–20428 Filed 9–20–23; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–98407; File No. SR–ICEEU– 

2023–023] 

Self-Regulatory Organizations; ICE 

Clear Europe Limited; Notice of Filing 

and Immediate Effectiveness of 

Proposed Rule Change, as Modified by 

Amendment No. 1, Relating to the 

Amendments the Futures and Options 

Risk Procedures 

September 15, 2023. 

Pursuant to section 19(b)(1) of the 

Securities Exchange Act of 1934 

(‘‘Act’’),1 and Rule 19b–4 thereunder,2

notice is hereby given that on August 

31, 2023, ICE Clear Europe Limited 

(‘‘ICE Clear Europe’’ or the ‘‘Clearing 

House’’) filed with the Securities and 

Exchange Commission (‘‘Commission’’) 

the proposed rule changes described in 

Items I, II and III below, which Items 

have been primarily prepared by ICE 

Clear Europe. ICE Clear Europe filed the 

proposed rule change pursuant to 

section 19(b)(3)(A) 3 of the Act and Rule 


ddrumheller on DSK120RN23PROD with NOTICES1
Federal Register / Vol. 88, No. 182 / Thursday, September 21, 2023 / Notices 65211 

4 17 CFR 240.19b–4(f)(4)(ii). 

5Amendment No. 1 updates the 19b–4 

Information and the Exhibit 1A to more fully 

describe changes outlined in the Exhibit 5. ICEEU 

represents that it did not make any changes to its 

Exhibit 5. 

6Capitalized terms used but not defined herein 

have the meanings specified in the F&O Risk 

Procedures or, if not defined therein, the ICE Clear 

Europe Clearing Rules. 

7See, The Model Risk Policy as described in 

Exchange Act Release No. 34–98138, SR ICEEU– 

2023–019 (August 15, 2023), 88 Fed Reg. 56901 

(Aug. 21, 2023). 

19b–4(f)(4)(ii) thereunder,4 such that the 

proposed rule change was immediately 

effective upon filing with the 

Commission. On September 14, 2023, 

ICE Clear Europe filed Amendment No. 

1 which amends and restates in its 

entirety the Form 19b–4 Information 

and Exhibit 1A.5 The Commission is 

publishing this notice to solicit 

comments on the proposed rule change, 

as modified by Amendment No. 1 

(hereafter ‘‘the proposed rule change’’) 

from interested persons. 

I. Clearing Agency’s Statement of the 

Terms of Substance of the Proposed 

Rule Change 

ICE Clear Europe Limited (‘‘ICE Clear 

Europe’’ or the ‘‘Clearing House’’) 

proposes to amend the Futures and 

Options Risk Procedures (the ‘‘F&O Risk 

Procedures’’ or ‘‘Procedures’’) 6 to make 

certain updates and clarifications 

relating to risk management for the F&O 

product category, including to reference 

the Clearing House’s Model Risk Policy 

and update the Document Governance 

and Exception Handling provisions. 

II. Clearing Agency’s Statement of the 

Purpose of, and Statutory Basis for, the 

Proposed Rule Change 

In its filing with the Commission, ICE 

Clear Europe 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. ICE 

Clear Europe has prepared summaries, 

set forth in sections (A), (B), and (C) 

below, of the most significant aspects of 

such statements. 

(A) Clearing Agency’s Statement of the 

Purpose of, and Statutory Basis for, the 

Proposed Rule Change 

(a) Purpose 

ICE Clear Europe is proposing to 

amend its Futures and Options Risk 

Procedures to make various updates and 

clarifications, including to add a section 

describing the existing F&O Guaranty 

Fund, make reference to the recently 

revised Model Risk Policy,7 and update 

the Document Governance and 

Exception Handling language. Various 

non-substantive drafting changes and 

improvements would also be made 

throughout the document. The 

amendments generally do not represent 

a change in the Clearing House’s 

practices, but rather are intended to 

improve and clarify the documentation 

of existing risk management practices. 

In the purpose section of the 

document, the amendments would 

clarify that details of models described 

in the Procedures (in addition to 

processes) are included in the relevant 

model methodology and procedure 

documentation. The amendments would 

further provide that any changes to the 

risk parameters would be subject to the 

governance set out in the Model Risk 

Policy. The amendments would also 

make non-substantive clarifications to 

the description of the role of ICE Clear 

Europe as a central counterparty. 

The revised Procedures would 

simplify the description of Clearing 

Member groups and clarify that Clearing 

Members in the same Member Group 

may be based in various jurisdictions 

rather than specifically referencing a 

Clearing Member in Europe and another 

part of the world. The amendments 

would also make clear that in order to 

perform exposure analysis at 

appropriate levels of aggregation, the 

Clearing House associates its Clearing 

Members in Member Groups. Additional 

language regarding how Member Groups 

are identified and the internal groups 

responsible for the membership 

onboarding process would be removed 

as unnecessary. 

The amendments would also simplify 

and clarify the discussion of the various 

types of proprietary and client margin 

accounts made available to its Clearing 

Members (which are established 

pursuant to the published Rules and 

Clearing Procedures and are not being 

changed by virtue of these 

amendments). The amendments would 

state more simply that the Core IM is 

calculated on either a ‘‘Gross’’ or ‘‘Net’’ 

basis dependent upon the type of 

margin account. (As an exception, the 

chart detailing the margin accounts 

would change the Core IM Method for 

the Individual Client (ISOC) accounts (I) 

and (J) from Net to N/A, as the net/gross 

distinction is not applicable for such 

accounts). Various conforming changes 

would be made to the summary of the 

accounts, including to reflect that the 

house account (H) is margined on a net 

basis, as was already reflected in the 

chart. Additional clarifications would 

be made that accounts are margined on 

a net or gross basis (rather than a net 

and gross basis). The amendments 

would also explain more concisely that 

information as to Money Rules and 

FCM/BD customer applicability is 

included in the table to distinguish 

account types. A footnote would also be 

added to provide an ICEU EMIR 

Disclosure Statement that supplies 

further details on the margin account 

types. 

The amendments further clarify the 

distinction between the net and gross 

calculations of initial margin in light of 

CFTC and Bank of England/EU 

requirements. The amendments note 

that EU rules treat the one-day MPOR 

gross margin calculation under CFTC 

rules as equivalent to the two-day 

MPOR net margin calculation. The 

amendments also make non-substantive 

drafting clarifications to the discussion 

of net and gross margin methods. The 

amendments also add a statement that 

house and proprietary affiliate positions 

of a clearing member are calculated 

using a minimum two-day MPOR. The 

amendments reflect existing practice 

and would not change the manner of 

calculation of initial margin for any 

accounts. The amendments would 

remove as unnecessary language 

referencing ICE Clear Europe setting up 

multiple customer accounts to cater for 

ESMA and CFTC requirements. 

The amendments would clarify that 

ICE Clear Europe performs position 

keeping of all positions belonging to 

each account of both clearing members 

and non-clearing members (defined as 

members of ICE exchanges that are not 

clearing members). The changes would 

also clarify that for gross margined 

accounts, the Clearing House will rely 

on a gross client margin file provided by 

the clearing member for purposes of 

position management and calculation of 

gross initial margin. The changes also 

address reconciliation of the gross client 

margin file against actual positions in 

the relevant account and margining of 

any inconsistencies. These amendments 

do not represent a change in current 

practice by the Clearing House. 

The amendments would specify that 

the Clearing Risk Department is the 

owner of the Procedures document and 

remove references to the F&O Market 

Risk team. 

The discussion of initial margin 

would be revised for greater simplicity 

and clarity and are not intended to 

change the substance of the calculation 

of initial margin, which is set forth in 

the existing applicable model 

documentation for the ICE Risk Model. 

The amendments would clarify that 

initial margin consists of Core IM and 

Additional IM to mitigate the risk it is 

exposed to on all Futures and Options 

positions. The amendments would also 


ddrumheller on DSK120RN23PROD with NOTICES1
65212 Federal Register / Vol. 88, No. 182 / Thursday, September 21, 2023 / Notices 

clarify that the Procedures provide 

detail to each of the IM components 

(removing unnecessary references to 

frequency, limits and thresholds, 

exceptions and escalation). 

The amendments would clarify that 

the ICE Risk Model uses margin rates in 

computing Core IM and these margin 

rates would be the responsibility of the 

Clearing Risk Department. A reference 

to a specific version of the IRM Margin 

Rate Calibration Model Documentation 

would be deleted as unnecessary and 

computation of the model margin rates, 

as opposed to calibrated margin rate, 

would be inserted above the table 

detailing the computation. The table of 

standard settings for the computation of 

model margin rates (referred to as the 

‘‘Autopilot rates’’) would be simplified, 

removing rows labeled ‘‘System/ 

Process’’, ‘‘Test/Frequency’’, and 

‘‘Exceptions’’ as unnecessary, and 

removing references to specific Energy 

and Financial & Softs sectors. Likewise, 

the Margin Period of Risk would be 

summarized as 1 day or 2 days 

depending on the product, consistent 

with the discussion above. The 

summary of the lookback period would 

be revised from at least 100 days to VaR 

that is at least as conservative as that 

based on a 250-day lookback. The AntiProcyclicality would be amended to be 

at least 25 percent stressed volatility 

(rather than exactly 25%). The row on 

Risk Parameters would be replaced with 

a summary of the output of the risk 

model, which is the ICE Risk Model 

margin rates including those previously 

specified. 

The amendments would clarify the 

process for review and promotion of 

production margin rates. The 

amendments are intended to correctly 

reflect the existing practice that the 

review of the production margin rate is 

performed versus trigger criteria daily 

(as opposed to quarterly). As a result of 

the daily review, references to ad hoc 

updates in addition to quarterly reviews 

would be deleted as they are no longer 

required. This would include the 

deletion of the governance procedures 

related to review of the exceptions 

driving ad hoc review and related 

effectiveness without notice. The 

amendments would address that that 

production margin rates are set to the 

Autopilot model rates at a specific point 

in time after each review through a 

process called promotion. It would 

further state that the production rates 

are the margin rates used in the 

calculation of Clearing Member’s Core 

IM requirements. The steps to review 

and the promotion of the proposed 

production margin rates would include 

mention of their promotion. The steps 

would also be simplified to state that 

first the update to the production 

margin rates would be proposed and 

reviewed by the Clearing Risk 

Department, then the Clearing Risk 

Department would seek approval for the 

margin update. Then once approved, the 

Clearing Risk Department would 

promote the margin rates into the Risk 

System, followed by informing the 

Clearing Members and wider market of 

the new margin rates by means of the 

Clearing House’s website. The 

amendments would add that typically 

one business day’s notice would be 

given to the market from the date of the 

circular, and the Clearing Risk 

Department would then upload the 

approved margin rates to the ICE Clear 

Europe website upon publication of the 

circular. A table summarizing the 

review and promotion process would be 

deleted as duplicative and unnecessary. 

A cross-reference to documentation 

relating to ICE Risk Model parameters 

would be updated to include a general 

reference to the ICE Risk Model 

documentation instead of an outdated 

version. Details on certain parameters 

relating to EWMA volatility and APC 

stress volatility would be removed as 

they are addressed in the ICE Risk 

Model documentation. The amendments 

would add another new sub-section on 

the ICE Risk Model Daily Requirements 

that would outline the process for 

computing Core IM as part of the End 

of Day process. This would include 

computation of the ICE Risk Model 

daily margin requirements and EMIR 

Add-on for each Clearing Member 

margin account. The amendments 

would also delete outdated references to 

the IRM V1.0 Model Documentation, 

related risk array files and inputs, and 

the ECS system. The related table with 

the summary of products eligible under 

each margin account would change the 

I and J Accounts to N/A as opposed to 

Net margining type. The footnote would 

explain that for these accounts the subclients within the client account are 

individually (rather than net) margined. 

Any material change in Core IM would 

be escalated to Operations, instead of 

the previous plus or minus 5 percent (or 

more depending on known margin 

change) escalation threshold. This 

section would also reference a summary 

of the IRM Margin Rate Promotion and 

Core IM processes that would be added 

in the Appendix to the Procedures. 

These changes are consistent with 

existing margin practice but are 

intended to document the current 

process more clearly. 

In terms of additional IM, the 

amendments would specify that such 

amounts are to collateralize risks not 

captured by the Core IM amount. 

Clarifications would be made to the 

descriptions of various types of 

additional IM, as discussed herein. For 

example, amendments would clarify 

that the additional risk from 

concentrated positions would be 

covered through a Concentration Charge 

add-on, and that the additional margin 

is called on a t+1 basis to be met the 

following day. The requirement would 

clarify the notice process for additional 

IM through the MFT system, remove an 

outdated reference to EoD reporting and 

remove unnecessary distinctions 

between concentration charges for 

different product segments. The 

summary table of the Concentration 

Charge process would be deleted, and 

relevant terms moved to the added 

Appendix. In the Parameter Calibration 

section, the amendments would remove 

the existing discussion and add instead 

that the details of the Concentration 

Charge model or risk parameters would 

be described in the relevant 

Concentration Charge model 

documentation. 

In the Stress Margin section, the 

amendments would add a general 

description of the stress loss charge as 

ensuring that sufficient pre-funded 

resources to ensure regulatory 

compliance are held at all times. The 

amendments would also clarify that any 

Stress Loss Charge top-up requirements 

would be called via an intraday call on 

a t+1 basis so that, for example, 

positions as of the end of day on 

Monday could incur additional margin 

called on Tuesday for receipt on 

Tuesday. The amendments would 

clarify that the total Stress Loss Charge 

would be posted in the end of day 

additional margin requirement so that 

any surplus or deficit is part of the end 

of day margining. The summary of the 

Stress Loss Charge process would be 

deleted, and relevant terms moved to 

the added Appendix. Additional details 

of the Stress Loss Charge model and risk 

parameters would be removed, and a 

cross-reference added to the Futures and 

Options Guaranty Fund model 

documentation (which addresses such 

parameters). An incorrect crossreference to the F&O Stress Testing 

Policy would be removed. 

In the Shortfall Margin section, the 

amendments would specify that 

Shortfall Margin would be called to 

cover uncollateralized stress loss (as 

calculated at the margin account level). 

The amendments would also state that 

Shortfall Margin would be called on a 

t+1 basis to be met on the following day, 

so that, for example, positions on 

Monday EOD can incur additional 

margin called on Tuesday for receipt on 


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8Article 26 of EMIR RTS Regulation (EU) No 153/ 

2013 (ESMA/2016/429). 

Wednesday morning. The amendments 

would delete unnecessary provisions 

relating to the posting of the 

requirement against a specific ledger 

type in daily reports and EOD reporting 

through ECS. The summary of the 

Shortfall Margin process would be 

removed, and relevant details moved to 

the Appendix. 

In the Specific Wrong-Way Risk 

section, the amendments would explain 

that the Wrong Way Risk additional 

margin requirements are called on a t+1 

basis to be met the following day, so 

that, for example, positions as of 

Monday EOD can incur additional 

margin called on Tuesday for receipt on 

Wednesday morning. As with other 

categories of additional IM, the 

amendments would delete unnecessary 

provisions relating to the posting of the 

requirement against a specific ledger 

type in daily reports and EOD reporting 

of the additional amount through ECS. 

A table summarizing the Wrong Way 

Risk process would be removed and 

relevant details moved to the Appendix. 

In the EMIR Add-on section, the 

amendments would clarify various 

aspects of this add-on, which is 

collected for house and affiliate 

accounts for products for which Core IM 

is otherwise calculated using a 1-day 

MPOR. The add-on covers the amount, 

if any, by which Core IM would exceed 

that amount if calculated on a 2-day 

MPOR basis, in order to ensure that 

house and affiliate positions are 

margined using a minimum 2-day 

MPOR as required under EMIR. The 

amendments would further clarify that 

the EMIR Add-on is called at the same 

time as Core IM requirements, so that, 

for example, House and Affiliate 

account positions as of Monday EOD 

can incur EMIR add-on called on 

Monday night for receipt on Tuesday 

morning. A table summarizing the EMIR 

add-on process would be removed and 

relevant provisions moved to the 

Appendix. The amendments would 

delete language concerning the review 

and subsequent parameter recalibration 

as unnecessary as it is covered in the 

relevant model documentation. 

In the Delivery Margins section, the 

amendments would revise the 

Procedures to state explicitly that the 

delivery margin is designed to cover 

potential price moves at a 99th 

percentile level for the product in 

delivery. The amendments would 

further state that the Delivery Margin is 

typically set to the front month scanning 

margin rate for the product and held by 

the CCP until buyer security is paid by 

the buyer. The description of the 

calculation of Buyer Security would be 

clarified to be the notional value of 

bought positions that are deliverable 

within the following 2 business days. 

Similarly, the description of the 

calculation of Seller Security would be 

modified to be an additional 

requirement posted by the seller, 

calculated to cover any applicable costs 

and charges, should they be unable to 

deliver the agreed product. The 

definition of Contingent Variation 

Margin would be clarified to be the 

difference between the Exchange 

Delivery Settlement Price and a 

representative market price for the 

remaining portion of the given 

underlying that is yet to be delivered 

(analogous to Variation Margin). Tables 

summarizing the Delivery Margin, 

Buyer/Seller Security and the 

Contingent Variation Margin would be 

removed with relevant details moved to 

the Appendix. 

In the Net Liquidating Value (‘‘NLV’’) 

section, certain non-substantive drafting 

improvements would be made. In 

addition, the description of the top up 

for NLV credit/debit would be revised to 

state that it be called for at the end of 

the day (call time t) and not the 

following day. A table summarizing the 

NLV would be removed with relevant 

details moved to the Appendix. 

In the Intraday and Overnight Buffer 

section, the amendment would add a 

statement of the use of mandatory 

buffer, which is called when trading out 

of intraday margining hours is observed 

that increases Core IM requirements 

above thresholds. For these positions 

traded outside the hours covered by the 

intraday margin process, the IM 

requirements are calculated using IRM. 

In cases where the resultant increase to 

an account’s IM exceeds the limit set, an 

overnight buffer equal to the largest 

exceedance is requested and held for the 

following 30 days. The amendments 

would add that this process would be 

introduced to achieve compliance with 

relevant requirements of EMIR8 and 

would only be applicable to 1-day gross 

client omnibus margined accounts. The 

amendments would further clarify that 

voluntary buffer could be posted to 

reduce the Clearing Members’ 

operational burden of managing 

intraday margin calls. A table 

summarizing the intraday and overnight 

buffer process would be removed and 

relevant details moved to the Appendix. 

In the Ad-Hoc Buffer section, the 

amendments would clarify that Clearing 

Members may be requested to post 

additional buffers for any risks not 

covered by the requirements detailed in 

the Procedures. The amendments would 

specify that the requirements would be 

set by the Clearing Risk Department. A 

table summarizing the ad hoc buffer 

process would be removed and relevant 

details moved to the Appendix. 

In the discussion of intraday 

margining, the amendments would 

provide a clearer statement of the basis 

for such margining: that although the 

Clearing House collateralizes risk 

through IM and Variation Margin as part 

of the overnight process, the Clearing 

House may be exposed to 

uncollateralized exposures, or Intraday 

Shortfalls, due to adverse market price 

movements causing a change in the 

value of members positions, new trading 

activities resulting in an increased IM 

requirement on Clearing Members’ 

accounts and the value of securities 

held as collateral being reduced. The 

amendments would clarify that the 

Clearing Risk Department could 

calculate any additional IM that it may 

require on a near real-time basis 

intraday. 

In respect to Intraday Risk Monitoring 

the amendments would specify that the 

Clearing Risk Department monitors 

changes in Core IM in addition to 

Variation Margin on an ongoing basis. 

The Intraday Margin requirement of an 

account would be the sum of the 

Intraday IM and Intraday Variation 

Margin of the account. 

The section on Core Intraday IM 

Calculation would be updated and 

moved to Section 4.2. The amendments 

would accordingly delete previous 

language under Section 4.3 that was 

titled ‘‘Intraday Core IM Calculation’’. 

The revised section would state that the 

Core Intraday IM would be calculated 

and, when above thresholds, called on 

a near-real time basis intraday. For gross 

margined accounts, the amendments 

would reflect that because gross 

positions are only received at end of 

day, the Clearing House will not have 

near-real-time data for purposes of 

intraday margining. As a result, the 

Clearing House uses the previous end of 

day gross margin plus the change in net 

2-day margin for the account between 

the start of day and the current point in 

time to determine intraday Gross IM. 

The amendments would detail the step 

by step process in the calculation and 

the formula that would be employed 

(these steps would replace an existing 

summary of steps to update references 

and terminology used in the amended 

Procedures). The amendment would 

note that ICE Clear Europe utilizes 2D 

MPOR for calculating Intraday Net IM 

and Start of Day Net IM, and that only 

the Intraday Net IM changes throughout 

the day (neither the End of Day Gross 

IM nor Start of Day Net IM change 


ddrumheller on DSK120RN23PROD with NOTICES1
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throughout the day). The amendments 

would specify that for net margined 

accounts, the current real time net 

position is used to calculate Core 

Intraday IM in the same way as End of 

Day IM for those accounts. 

In reference to Intraday Shortfall, the 

amendments would clarify that the 

calculation for the current collateral on 

account would include both collateral 

used to meet end of the day IM 

requirements and additional collateral 

available to cover intraday calls. The 

amendments would remove a statement 

that at a minimum, prices are refreshed 

hourly (as the Clearing House expects 

prices to be refreshed more frequently) 

but retain the general principle that the 

Clearing Risk Department monitors the 

prices utilized to value securities 

deposited as collateral throughout the 

day. The amendments would make 

various non-substantive drafting 

clarifications to the intraday limits. In 

addition, for Clearing Member Limit 2, 

the amendments would specify that the 

total value of collateral on deposit 

would be that of the loss-making 

accounts and collateral in the House 

account. The amendments would add 

that for Clearing Limit 1 (in addition to 

Clearing Limit 2), the Clearing House 

would permit use of excess collateral 

present on the House account to offset 

Intraday Shortfalls arising on all other 

accounts in deficit. The amendments 

also make clear that the Clearing house 

can at its discretion alter, rather than 

only reduce, the limits applicable to 

individual accounts as this more 

accurately reflects the current practice 

of the Clearing House. 

For Intraday Margin Call Triggers, the 

amendments would remove a 

duplicative statement of the minimum 

shortfall for an intraday call. The 

amendments would also clarify that ICE 

Clear Europe may call for additional 

collateral at any time to mitigate any 

(not just material) risk, consistent with 

the existing Rules and current practice. 

The Intraday Margin Call Procedure 

would be revised to state that the 30- 

minute warning of a trigger breach is at 

the Clearing House’s discretion. The 

amendments would also remove, as a 

means of limiting intraday risk and 

satisfying a margin call, improving the 

profit and loss of the account (as that is 

likely impractical in the relevant 

timeframe). The amendments would 

also remove a concept that the Clearing 

Risk Department would make 

recommendations to clearing members 

to avoid receiving intraday calls; rather, 

the goal would be to provide warnings 

prior to 19:30 London time so that all 

intraday calls are issued prior to 20:00 

London time. The amendments would 

state that more than one intraday call 

may be made during the same day as 

required (without necessarily being 

based on market conditions). Certain 

references to the use of the APS system 

in connection with providing cash or 

collateral would be deleted in this 

section and throughout the Procedures 

as unnecessary (and would not reflect a 

change in current practice). A diagram 

presenting the procedure for an Intraday 

Margin Call would be deleted as 

unnecessary. 

In the Overnight Window Monitoring 

section, the amendments would clarify 

the specific gross margined and ISOC 

accounts to which overnight monitoring 

applies. The amendments would also 

state that the Clearing Risk Department 

(rather than a senior Clearing Risk 

Department person), would issue a 

margin call or require the Clearing 

Member to take other risk reducing 

action, when appropriate. (ICE Clear 

Europe believes it is appropriate for the 

responsibility to be on the department 

rather than a senior individual.) An 

escalation process where a Member 

cannot be contacted or does not reduce 

positions would be deleted along with 

notification of regulators, as this 

information is contained in separate 

Clearing House default management 

procedures. 

In the Intraday Buffer section, the 

amendments would clarify that if a 

Clearing Member wishes to reduce the 

operational burden of frequent intraday 

calls or Overnight Buffer, then the 

Clearing Member may choose to lodge 

excess collateral as Intraday Buffer. The 

amendments would also clarify that 

where a Clearing Member notifies ICE 

Clear Europe that it no longer wants to 

lodge Intraday Buffer, the buffer will be 

available to be returned after the next 

overnight margin run. The amendments 

remove unnecessary specifications of 

the means of providing such a notice. 

The amendments would also delete as 

unnecessary a statement that the 

Clearing Member would be able to 

choose to fund the requirement with the 

type of collateral of their choosing. 

In the Overnight Buffer section, the 

amendments would specify the 

particular gross margining and ISOC 

accounts to which it applies. The 

amendments would also correct that the 

amount will be called as part of the End 

of Day process (rather than intraday). 

In the Returning of Margin Call 

Collateral section, the amendments 

would provide that margin posted 

intraday in respect of an intraday 

margin call may, in extraordinary 

circumstances at the discretion of the 

Treasury Department and Clearing Risk 

Department, be returned in cases where 

the Clearing Member has unrealized 

gains (i.e., positive intraday variation 

margin). The amendments would also 

correct a reference to the End of Day 

process (as opposed to the End of Day 

margining process). 

The amendments would replace the 

existing discussion of the F&O Guaranty 

Fund with a new section describing 

generally the sizing of the F&O Guaranty 

Fund, as established pursuant to the 

published Rules and Finance 

Procedures and the existing F&O 

Guaranty Fund model documentation. 

The amendments would describe the 

required size of the F&O Guaranty Fund, 

as being adequate to cover the first and 

second largest, non mutually exclusive, 

uncollateralized losses from Member 

Groups resulting from agreed stress 

testing scenarios. The size also has to be 

sufficient to enable the Clearing House 

to withstand a Clearing Member default 

to which the Clearing House has the 

largest stress testing exposure, or the 

second and third largest if the sum of 

those are greater. The size has to be 

sufficient to cover the larger of the sum 

of the individually calculated segments 

for Energy and Financials & Softs 

(‘‘F&S’’) member portfolios or the largest 

contemporaneous scenario. If the Energy 

and F&S segment fund is smaller than 

the largest contemporaneous losses 

scenario, then an additional guaranty 

fund apportionment amount would be 

calculated and would be allocated to 

both Energy and F&S Fund segments in 

accordance with the Clearing Rules. In 

establishing the size of the F&O 

Guaranty Fund the ICE Initial 

Contribution is not included and must 

be met by Clearing Member 

contributions only. 

The amendments would add that 

review of the size of the F&O Guaranty 

Fund would occur at least every two 

months and would be based on 

historical stress testing results and other 

factors ICE considers relevant. The 

added section would describe the steps 

taken in the periodic review process, 

and the role of relevant ICE Clear 

Europe committees. Ad hoc assessments 

could be triggered by the Clearing House 

in addition to the periodic review. 

Extraordinary reviews may also be 

necessary based on stress testing results. 

The amendments would state that 

Clearing Members will normally have 

five UK business days (from the date of 

the notice) to lodge sufficient funds 

with the Clearing House if the overall 

level of the F&O Guaranty Fund or a 

specific Clearing Member’s allocation 

must increase, consistent with the 

requirements of the Rules and Finance 

Procedures. Under extreme 

circumstances, the Clearing House can 


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accelerate the call of the F&O Guaranty 

Fund requirements to a one day’s notice 

or otherwise reasonably change the 

notice period. A failure to meet these 

payments would be considered a breach 

of Clearing House Clearing Rules. 

Clearing Members would also have the 

ability to withdraw excess funds that 

result from a decrease in their fund 

contributions following a review of the 

level of the F&O Guaranty Fund. 

The amendments would add that ICE 

Clear Europe’s recommendations on the 

level of the F&O Guaranty Fund would 

be based on several factors including the 

level of the largest member’s 

uncollateralized losses historically and 

how it compares against the associated 

segment fund level or the total F&O 

Guaranty Fund, the level of the second 

and third largest members 

uncollateralized losses historically and 

how it compares against the associated 

segment fund level or the total F&O 

Guaranty Fund, the amount and number 

of stress loss charges called across 

memberships and any other relevant 

factors ICE Clear Europe deems 

appropriate. The size of the F&O 

Guaranty Fund would also be subject to 

a floor in accordance with regulations, 

as described in further detail in the 

existing Futures and Options Guaranty 

Fund model documentation. 

The amendments would detail that a 

particular Clearing Member’s 

contribution to each of the Fund 

segments should reflect its relative share 

of clearing activity and relative share of 

uncollateralized loss. The amendments 

described the two factor model used in 

allocating the F&O Guaranty Fund, 

based on IM and Uncollateralized Stress 

Loss, as provided in the existing Futures 

and Options Guaranty Fund model 

documentation. The amendments would 

also state that additional rules that may 

apply to the F&O Guaranty Fund are 

specified in the Clearing Rules and a 

summary of the F&O Guaranty Fund 

sizing and contribution processes would 

be found in the Appendix. 

Various revisions would be made in 

the section on Model Performance to 

improve clarity. The amendments 

would clarify the drafting of a general 

statement regarding the calculation of 

core initial margin to reflect that the 

calculation is used to derive core initial 

margin at the member account level. 

The amendments are intended to clarify 

the top day margin coverage calculation 

performed by the Clearing House to 

assess whether the Core IM covers 

market price movements over the 

relevant MPOR at the 99th percentile 

level. The assessment is made at both 

the margin account level (the ‘‘macro’’ 

or ‘‘portfolio’’ level) and product level 

(the ‘‘micro’’ level). An outdated 

reference to the previous IRM v.1.0 

model documentation would also be 

deleted. In the revised discussion of 

margin Coverage, scope and definitions, 

references to certain EMIR requirements 

would be removed (as the relevant 

definitions incorporating regulatory 

requirements are part of the 

Procedures). At the macro level, the 

amendments would clarify that the 

margin coverage is calculated by 

comparing Clearing Member account’s 

Core IM requirement to the clean P&L. 

(Provisions addressing frequency of 

back-testing are removed in this section 

as the topic is addressed elsewhere in 

the Procedures.) Another reference to 

the CRD database and the results being 

stored in the database would be deleted 

as unnecessary detail for the 

Procedures. Non-substantive 

clarifications would be made to the 

calculation of Margin Coverage. 

In the section for Back Test Statistics 

the amendments would clarify that back 

testing involves consideration of a 

number of historical observations. The 

amendments would delete language 

stating that statistics based on less than 

200 days cannot be considered 

statistically significant and note that 

statistical back-testing is usually 

performed considering at least 250 

business days. Although the Clearing 

Risk Department would retain the 

discretion to use other back-testing 

statistics in addition to the Basel Traffic 

Light System, the amendments would 

remove unnecessary references to 

specific examples of such statistics. A 

detailed escalation process based on the 

results of the statistics handled by the 

Risk Manager would also be deleted. As 

revised, the Clearing Risk Department 

would determine the appropriate action 

to address any breaches. 

The amendments would specify that 

for macro level margin coverage, 

breaches would be monitored daily (but 

an unclear reference to such breaches 

being ‘‘controlled’’ daily would be 

removed). A breach would be reported, 

investigated and signed off by the 

Clearing Risk Department, not a specific 

risk manager as previously stated. The 

examples of appropriate action would 

be modified for concision to include 

reviewing the margin model and/or 

increasing the relevant production 

margin rates based on the Autopilot 

model. 

The amendments would specify that 

for the micro level, coverage of F&O 

margins rates would be reported daily. 

Any breaches driving a breach at margin 

account level would be investigated and 

reviewed by the Clearing Risk 

Department, in efforts to provide 

information on the drivers of the breach 

and assess whether the breach was 

driven by erroneous prices. The 

amendments would clarify that actions 

required as a result of a breach would 

no longer be escalated to the risk 

manager but would be at the discretion 

of the Clearing Risk Department. Such 

mitigation actions could include 

reviewing and updating the relevant 

margin rates. Prior language relating to 

specific monitoring of outright and 

spread F&O parameters has been 

removed as unnecessary in light of the 

more general provisions of the revised 

draft. 

The amendments would specify that 

back testing results that fall in the red 

or yellow zones under the Basel Traffic 

Light system would be reviewed and 

investigated by the Clearing Risk 

Department. Specifically for the micro 

level, the amendments would recognize 

that the large amount of margin 

parameters would make it difficult to 

review and action all back test statistic 

results. The amendments would make 

clarifying adjustments to the list of 

priorities when reviewing a statistical 

back test. The products driving red or 

yellow back test statistics would be 

identified and their back test 

performance would be reviewed. Micro 

back test statistics in the standard Basel 

redzone not driving macro back test 

breach results would be reviewed and 

the mitigation action would be 

considered at the discretion of the 

Clearing Risk Department. Micro back 

test statistics in the standard Basel 

yellow zone not driving macro back test 

breach results would be considered part 

of the regular margin update proposals. 

The amendments would also make 

changes in the Monitoring and 

Reporting section. For Margin Coverage 

at the macro level, the amendments 

would state that the Clearing Risk 

Department would report the top day 

macro breaches daily (deleting the 

lengthier manual process previously 

included) and the breach statistics 

would be presented monthly at the 

Model Oversight Committee and bimonthly at the F&O Product Risk 

Committee. Accordingly, changes such 

as deleting references to manual reports 

being generated would be deleted from 

the macro back testing section. The 

process would also be more streamlined 

with the committee pack sent to the 

F&O Product Risk Committee, that is 

sent bi-monthly, including the macro 

back-test statistics. 

Similar amendments would be made 

to the Margin Coverage section for the 

micro level. The amendments would 

broadly state that the Clearing Risk 

Department would report the top day 


ddrumheller on DSK120RN23PROD with NOTICES1
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9 15 U.S.C. 78q–1. 

10 15 U.S.C. 78q–1(b)(3)(F). 

micro breaches daily (deleting the 

lengthier process previously included). 

The Clearing Risk Department would on 

a monthly basis generate reporting 

displaying the statistics of a large 

selection of products across all 

parameter types. The detailed micro 

back testing results would be reported 

and reviewed monthly by the Clearing 

Risk Department. The Clearing Risk 

Department would produce a monthly 

summary of micro back testing results 

for material products and margin rates 

for the Model Oversight Committee. 

Micro back-testing results would be 

reviewed on a bimonthly basis at the 

F&O Product Risk Committee for 

material products. Certain definitions of 

materiality for these reviews in the 

existing Procedures would be removed, 

as ICE Clear Europe believes a more 

flexible approach to materiality is 

appropriate. The amendments would 

state that any proposed model or 

parameter remediation actions due to 

product back testing results would be 

governed by the Model Risk Policy 

(specific language regarding the flagging 

of these remediation actions to senior 

management and various committees 

would be deleted as relevant 

notifications are addressed in the Model 

Risk Policy). A section and table 

summarizing the Margin Coverage and 

Backtest Statistics would be deleted as 

unnecessary. 

The amendments would make 

changes to the Sensitivity Testing 

section to add that the daily tests would 

undergo a monthly review at the 

material product or account level. They 

would also add that the Model 

parameters are described in detail in the 

relevant ICE Risk Model documentation. 

A section on Stress Testing 

Methodology would be shortened to 

discuss Stress Testing more generally, in 

light of the fact that stress testing is 

addressed in detail in other Clearing 

House policies and procedures. The 

amendments would add that the 

objective of stress testing is to ensure 

that the F&O Guaranty Fund is adequate 

to cover the uncollateralized losses 

arising from the two largest Clearing 

Member Groups. In addition, the results 

are used in Stress Margin, Shortfall 

Margin, and Guaranty Fund sizing and 

allocation. The amendments would state 

that the stress tests are performed under 

extreme but plausible market price 

moves. The amendments reference the 

two types of stress scenarios applied by 

the Clearing House—historical scenarios 

and theoretical scenarios. The Clearing 

House conducts daily stress testing on 

the Clearing Member portfolios, and 

results are reviewed by the Clearing 

Risk Department and escalated as 

necessary. 

The amendments would make 

revisions to the section on data quality 

checks and exclusions for dynamic data. 

A sentence on revisions to EDSPs would 

be moved to the new section on 

Revisions and Remediations discussed 

below. In the historical prices 

discussion, a sentence stating that use of 

external data would usually be based on 

a materiality assessment where a 

product’s IM reaches a significant 

portion of the overall Clearing House IM 

would be deleted. ICE Clear Europe 

does not believe it is necessary to 

specify this particular scenario given its 

general authority to use external data to 

run ad hoc analysis. 

The amendments would add a new 

section on Revisions and Remediations 

in relation to Data Management. 

The Remediations section would 

address what was previously referred to 

as exclusions and corrections and 

would outline other factors that could 

imply that remediation may be 

necessary. These would include 

corrections to market prices as a result 

of corporate actions. Certain other 

examples (including a footnote related 

to large moves from M&A 

announcements) would be removed as 

unnecessary given the more general 

authority to engage in remediation of 

data. Data that is remediated would 

have to be approved by the Clearing 

Risk Department (rather than a senior 

Clearing Risk Department person). In 

addition, the remediations with related 

justifications would be reviewed 

monthly by the Model Monitoring 

Group. 

The amendments would make 

changes to the Procedure’s document 

governance, breach management and 

exception handling, to make it generally 

consistent with other ICE Clear Europe 

policies. The document owner 

identified by the Clearing House would 

be responsible for ensuring that the 

Procedures remains up-to-date and 

reviewed in accordance with the 

Clearing House’s governance processes. 

The document owner would also be 

responsible for reporting any material 

breaches or deviations to the Head of 

Department, Chief Risk Officer and 

Head of Regulation and Compliance in 

order to determine if further escalation 

is required. Exceptions to the 

Procedures would also be approved in 

accordance with the governance 

processes for approvals of changes to 

the Procedures. The amendments would 

state explicitly that changes to the 

Procedures would also have to be 

approved in accordance with the 

Clearing House’s governance process 

and would take effect following 

completion of required internal and 

regulatory approvals. 

The amendments would also add the 

aforementioned Appendix summarizing 

the processes detailed in other parts of 

the Procedures. 

A number of other drafting 

clarifications and conforming changes 

such as updating names of relevant 

persons, committees and departments, 

replacing and conforming defined 

terms, and deleting outdated references 

would also be made throughout the 

document. Various provisions would 

also be renumbered or relabeled 

throughout the Procedures. 

(b) Statutory Basis 

ICE Clear Europe believes that the 

proposed amendments to the F&O Risk 

Procedures are consistent with the 

requirements of section 17A of the 

Securities Exchange Act of 1934 (the 

‘‘Act’’) 9 and the regulations thereunder 

applicable to it. In particular, section 

17A(b)(3)(F) of the Act 10 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, 

the safeguarding of securities and funds 

in the custody or control of the clearing 

agency or for which it is responsible, 

and the protection of investors and the 

public interest. 

The proposed changes are intended to 

update the Procedures to make them 

consistent with other Clearing House 

policies and to describe current Clearing 

House practices around margin and 

guaranty fund determination more 

accurately. The updates would reflect 

recent amendments to the Clearing 

House’s Model Risk Policy, which 

governs key aspects of risk management 

with respect to models, including 

margin models. The amendments would 

also clarify various aspects of the 

calculation of Core IM and Additional 

IM (and the components thereof), as 

well as the process for monitoring 

intraday changes in conditions and 

making intraday margin calls when 

additional margin is required. In 

general, these amendments will not 

result in a change of the margin 

methodology but are intended to more 

clearly describe and document the 

methodology. Additionally, a new 

section would be added to describe, for 

completeness, key aspects of the sizing 

of the F&O Guaranty Fund (which is 

more fully defined in other Clearing 


ddrumheller on DSK120RN23PROD with NOTICES1
Federal Register / Vol. 88, No. 182 / Thursday, September 21, 2023 / Notices 65217 

11 15 U.S.C. 78q–1(b)(3)(F). 

12 17 CFR 240.17 Ad–22. 

13 17 CFR 240.17 Ad–22(e)(4)(i). 

14 17 CFR 240.17 Ad–22(e)(4)(i). 

15 17 CFR 240.17 Ad–22(e)(6)(i). 

16 17 CFR 240.17 Ad–22(e)(6)(ii). 

17 17 CFR 240.17 Ad–22(e)(6)(i) and (ii). 

18 17 CFR 240.17 Ad–22(e)(6)(vi)(A). 

19 17 CFR 240.17 Ad–22(e)(6)(vi)(B). 

20 17 CFR 240.17 Ad–22(e)(6)(vi)(A) and (B). 

21 17 CFR 240.17 Ad–22(e)(3)(i). 

22 17 CFR 240.17 Ad–22(e)(3)(i). 

23 17 CFR 240.17 Ad–22(e)(2)(i). 

24 17 CFR 240.17 Ad–22(e)(2)(v). 

25 17 CFR 240.17 Ad–22(e)(2). 

House documentation). The 

clarifications to the Procedures will thus 

further overall risk management at the 

Clearing House with respect to the 

Futures and Options product category, 

which would in turn promote the 

stability of the Clearing House and the 

prompt and accurate clearance and 

settlement of cleared contracts. The 

enhanced Procedures are therefore also 

generally consistent with the protection 

of investors and the public interest in 

the safe operation of the Clearing House. 

(ICE Clear Europe would not expect the 

amendments to affect the safeguarding 

of securities and funds in ICE Clear 

Europe’s custody or control or for which 

it is responsible.) Accordingly, the 

amendments satisfy the requirements of 

section 17A(b)(3)(F).11

The amendments to the Procedures 

are also consistent with relevant 

provisions of Rule 17Ad–22.12

Specifically, Rule 17Ad–22(e)(4)(i) 

provides that ‘‘[e]ach covered clearing 

agency shall establish, implement, 

maintain and enforce written policies 

and procedures reasonable designed to, 

as applicable [. . .] [e]ffectively 

identify, measure, monitor, and manage 

its credit exposures to participants and 

those arising from its payment, clearing, 

and settlement process, including by 

[. . .] [m]aintaining sufficient financial 

resources to cover its credit exposure to 

each participant fully with a high degree 

of confidence’’.13 As discussed, the 

amendments would make certain 

clarifications to the descriptions of the 

Clearing House’s margin methodology 

and Guaranty Fund sizing process 

(including the process for reviewing and 

adjusting the size of the F&O Guaranty 

Fund from time to time and the basis for 

allocating the F&O Guaranty Fund 

across clearing members). The 

amendments are not intended to result 

in changes in those practices or in 

margin or guaranty fund levels. As such, 

the amendments are consistent with 

maintaining sufficient financial 

resources to cover the Clearing House’s 

credit exposures, within the meaning of 

Rule 17Ad–22(e)(4)(i).14

Rule 17Ad–22(e)(6)(i) and (ii) 

provides that ‘‘[e]ach covered clearing 

agency shall establish, implement, 

maintain and enforce written policies 

and procedures reasonable designed to, 

as applicable [. . .] [c]over, if the 

covered clearing agency provides 

central counterparty services, its credit 

exposures to its participants by 

establishing a risk-based margin system 

that, at minimum [. . .] [c]onsiders, and 

produces margin levels commensurate 

with, the risks and particular attributes 

of each relevant product, portfolio, and 

market’’ 15 and ‘‘[m]arks participant 

positions to market and collects margin, 

including variation margin or equivalent 

charges if relevant, at least daily and 

includes the authority and operational 

capacity to make intraday margin calls 

in defined circumstances’’.16 As set 

forth above, the amendments to the 

Procedures would make clarifying 

changes to the descriptions of practices 

for collection of both Core IM and 

Additional IM (and the relevant 

components thereof). For instance, the 

amendment clarifies the procedures for 

determining and promoting production 

margin rates based on the autopilot rates 

resulting from standard application of 

the ICE Risk Model. The amendments 

would also clarify the process for 

calculating Additional IM, as well as 

monitoring intraday change and making 

intraday margin calls as a result of those 

calculations. In ICE Clear Europe’s view, 

the amendments are therefore consistent 

with the requirements of Rule 17Ad– 

22(e)(6)(i) and (ii).17

Rule 17Ad–22(e)(6)(vi)(A) and (B) 

requires that a clearing agency cover its 

credit exposures to its participants by 

establishing a risk-based margin system 

that is monitored by management and 

regularly reviewed by ‘‘(A) [c]onducting 

backtests of its margin model at least 

once each day using standard 

predetermined parameters and 

assumptions’’ 18 and ‘‘(B) [c]onducting a 

sensitivity analysis of its margin model 

and a review of its parameters and 

assumptions for backtesting on at least 

a monthly basis, and considering 

modifications to ensure the backtesting 

practices are appropriate for 

determining the adequacy of the 

covered clearing agency’s margin 

resources’’.19 As previously stated, the 

amendments would make various 

clarifications and drafting 

improvements to the description of the 

review process for back testing at both 

the micro and macro level for margin 

coverage. The changes also clarify the 

periodic review process by the Clearing 

Risk Department, relevant committees 

and other relevant personnel. In ICE 

Clear Europe’s view, these amendments 

are therefore consistent with the 

requirements of Rule 17Ad– 

22(e)(6)(vi)(A) and (B).20

Rule 17Ad–22(e)(3)(i) provides that 

‘‘[e]ach covered clearing agency shall 

establish, implement, maintain and 

enforce written policies and procedures 

reasonable designed to, as applicable 

[. . .] identify, measure, monitor, and 

manage the range of risks that arise in 

or are borne by the covered clearing 

agency’’.21 The amendments to the 

Procedures are intended to assist the 

Clearing House in accurately monitoring 

and evaluating its credit risk and 

collecting appropriate margin from its 

Clearing Members accordingly. 

Moreover, the amendments would 

specify the process in reviewing, testing 

and resizing of the F&O Guaranty Fund. 

As a result, the Clearing House would 

be better able to manage the risk of 

losses that may arise from default by 

F&O Clearing Members. In ICE Clear 

Europe’s view, the amendments are 

therefore consistent with the 

requirements of Rule 17Ad–22(e)(3)(i).22

Rule 17Ad–22(e)(2) provides that 

‘‘[e]ach covered clearing agency shall 

establish, implement, maintain and 

enforce written policies and procedures 

reasonably designed to, as applicable 

[. . .] [p]rovide for governance 

arrangements that are [c]lear and 

transparent’’ 23 and ‘‘[s]pecify clear and 

direct lines of responsibility’’.24 As 

discussed, the Procedures would clearly 

state certain responsibilities of the 

Clearing Risk Department and Model 

Oversight Committee, among others, in 

relation to oversight of the Clearing 

House’s practices regarding margin for 

F&O products and the F&O Guaranty 

Fund. In line with the Clearing House’s 

other policies and procedures, the 

Procedures would also describe the 

responsibilities of the document owner 

and appropriate escalation and 

notification requirements for responding 

to exceptions and deviations from the 

Procedures. In ICE Clear Europe’s view, 

the amendments to the Procedures are 

therefore consistent with the 

requirements of Rule 17Ad–22(e)(2).25

(B) Clearing Agency’s Statement on 

Burden on Competition 

ICE Clear Europe does not believe the 

proposed amendments would have any 

impact, or impose any burden, on 

competition not necessary or 

appropriate in furtherance of the 

purposes of the Act. The amendments 

are being adopted to update and clarify 

the F&O Risk Procedures and will apply 

to all F&O Clearing Members. The 


ddrumheller on DSK120RN23PROD with NOTICES1
65218 Federal Register / Vol. 88, No. 182 / Thursday, September 21, 2023 / Notices 

26 15 U.S.C. 78s(b)(3)(A). 

27 17 CFR 240.19b–4(f). 28 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

proposed amendments are not expected 

to materially change the margin 

methodology or the resulting margin 

levels or requirements for F&O Clearing 

Members. Similarly, the amendments 

are not expected to materially change 

the F&O Guaranty Fund requirements. 

Accordingly, ICE Clear Europe does not 

believe the amendments would affect 

the costs of clearing, the ability to 

market participants to access clearing, 

or the market for clearing services 

generally. Therefore, ICE Clear Europe 

does not believe the proposed rule 

change imposes 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 Received From Members, 

Participants or Others 

Written comments relating to the 

proposed amendments have not been 

solicited or received by ICE Clear 

Europe. ICE Clear Europe will notify the 

Commission of any written comments 

received with respect to the proposed 

rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The foregoing rule change has become 

effective pursuant to section 19(b)(3)(A) 

of the Act 26 and paragraph (f) of Rule 

19b–4 27 thereunder. At any time within 

60 days of the filing of the proposed rule 

change, the Commission summarily may 

temporarily suspend such rule change if 

it appears to the Commission that such 

action is necessary or appropriate in the 

public interest, for the protection of 

investors, or otherwise in furtherance of 

the purposes of the Act. 

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/sro.shtml) or 

• Send an email to rule-comments@

sec.gov. Please include file number SR– 

ICEEU–2023–023 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE, 

Washington, DC 20549–1090. 

All submissions should refer to file 

number SR–ICEEU–2023–023. 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. The Commission will 

post all comments on the Commission’s 

internet website (https://www.sec.gov/ 

rules/sro.shtml). Copies of the 

submission, all subsequent 

amendments, all written statements 

with respect to the proposed rule 

change that are filed with the 

Commission, and all written 

communications relating to the 

proposed rule change notice between 

the Commission and any person, other 

than those that may be withheld from 

the public in accordance with the 

provisions of 5 U.S.C. 552, will be 

available for website viewing and 

printing in the Commission’s Public 

Reference Room, 100 F Street NE, 

Washington, DC 20549, on official 

business days between the hours of 10 

a.m. and 3 p.m. Copies of such filings 

will also be available for inspection and 

copying at the principal office of ICE 

Clear Europe and on ICE Clear Europe’s 

website at https://www.theice.com/ 

clear-europe/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–ICEEU–2023–023 

and should be submitted on or before 

October 12, 2023. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.28

J. Matthew DeLesDernier, 

Deputy Secretary. 

[FR Doc. 2023–20424 Filed 9–20–23; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–98406; File No. SR–CBOE– 

2023–047] 

Self-Regulatory Organizations; Cboe 

Exchange, Inc.; Notice of Filing and 

Immediate Effectiveness of a Proposed 

Rule Change To Amend Its Fees 

Schedule 

September 15, 2023. 

Pursuant to section 19(b)(1) of the 

Securities Exchange Act of 1934 (the 

‘‘Act’’),1 and Rule 19b–4 thereunder,2

notice is hereby given that on 

September 14, 2023, Cboe Exchange, 

Inc. (the ‘‘Exchange’’ or ‘‘Cboe 

Options’’) filed with the Securities and 

Exchange Commission (the 

‘‘Commission’’) the proposed rule 

change as described in Items I, II, and 

III below, which Items have been 

prepared by the Exchange. The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

change from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

Cboe Exchange, Inc. (the ‘‘Exchange’’ 

or ‘‘Cboe Options’’) proposes to amend 

its Fees Schedule. The text of the 

proposed rule change is provided in 

Exhibit 5. 

The text of the proposed rule change 

is also available on the Exchange’s 

website (http://www.cboe.com/ 

AboutCBOE/ 

CBOELegalRegulatoryHome.aspx), at 

the Exchange’s Office of the Secretary, 

and at the Commission’s Public 

Reference Room. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

Exchange 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. The 

Exchange has prepared summaries, set 

forth in sections A, B, and C below, of 

the most significant aspects of such 

statements. 


ddrumheller on DSK120RN23PROD with NOTICES1