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ICE Clear Europe Limited

Registered in England No.06219884

Registered office: Milton Gate, 60 Chiswell Street, London EC1Y 4SA

February 16, 2023

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, NW

Washington, DC 20581

Re: ICE Clear Europe Self-Certification Pursuant to Commission Rule 40.6 –

Counterparty Credit Risk Policy and Counterparty Credit Risk Procedures 

Dear Mr. Kirkpatrick:

ICE Clear Europe Limited (“ICE Clear Europe” or the “Clearing House”), a registered 

derivatives clearing organization under the Commodity Exchange Act, as amended (the 

“Act”), hereby submits to the Commodity Futures Trading Commission (the 

“Commission”), pursuant to Commission Rule 40.6 for self-certification, amendments 

to its Counterparty Credit Risk Policy (the “CC Risk Policy”) and Counterparty Credit 

Risk Procedures (the “CC Risk Procedures”) to make certain updates and clarifications.

1 The amendments will become effective on the first business day following the tenth 

business day after submission, or such later date as ICE Clear Europe may determine. 

Concise Explanation and Analysis

ICE Clear Europe is revising the CC Risk Policy in order to provide that the Clearing 

House’s policies for monitoring counterparty credit risk apply to certain linkages with 

other institutions. ICE Clear Europe is also revising the CC Risk Procedures to make 

conforming updates in respect of links and to make certain other clarifications and 

enhancements. 

1 Capitalized terms used but not defined herein have the meanings specified in the ICE Clear Europe 

Clearing Rules and the CC Risk Policy and CC Risk Procedures, as applicable. 
2 

ICE Clear Europe Limited

Registered in England No.06219884

Registered office: Milton Gate, 60 Chiswell Street, London EC1Y 4SA

Counterparty Credit Risk Policy 

The amendments to the CC Risk Policy include as part of the description of the Clearing 

House’s counterparty credit risk the risk that a “link” defaults, leaving the Clearing 

House to fund material contractual or operational arrangements. A definition of “link”, 

based on the definition under relevant Securities and Exchange Commission rules 

applicable to registered clearing agencies (including ICE Clear Europe)2 has been 

added. Conforming references to links have been added in relevant portions of the CC 

Risk Policy: the amendments add that an objective of the CC Risk Policy is to minimize 

the risk of the Clearing House realizing a material loss due to a link defaulting, and that 

a means by which the Clearing House achieves this objective is to identify, monitor and 

manage risks from links. The amendments also clarify the credit scoring with respect 

to links (which may use credit criteria other than those used with respect to Clearing 

Members (“CMs”)) and provide that for link counterparties whose credit scores are 

worse than a required threshold, a mitigating action that the Clearing House may take 

is to change its usage of links. 

Non-substantive drafting and formatting updates have also been made.

Counterparty Credit Risk Procedures 

The CC Risk Procedures, which supplement the CC Risk Policy, have been updated to 

make conforming changes to those discussed above with respect to links, including as 

to including the risk of a link default as a type of counterparty credit risk that Clearing 

House seeks to manage. The amendments provide that in order to minimize 

counterparty credit risk, the Clearing House identify, monitor and manage material risks 

from links as well as ensure that all counterparty risks are eliminated prior to offboarding counterparties. 

The amendments remove a specific statement that financial service providers (“FSPs”)

must be legal entities in approved jurisdictions. Consistent with other ICE Clear Europe 

policies and current practice, the Clearing House legal department separately reviews 

and determines approved jurisdictions, and accordingly a reference to this process in 

the CC Risk Procedures is unnecessary. The amendments also add a specific reference 

to Anti-Money Laundering and Know-Your-Customer screenings. These amendments

also state that agreements with FSPs are subject to review by the legal team, including

analysis of legal risk relating to governing law and in that context jurisdiction. These 

changes are intended to more clearly reflect current practice of the Clearing House. 

Similar to the changes in the CC Policy, the amendments revise the discussion of credit 

scoring to reflect that the Clearing House may use related credit criteria (as opposed to 

credit scores) to evaluate credit quality of counterparties. The amendments reflect the 

fact that different criteria may be appropriate for evaluation of the credit risks of FSPs 

and links, as compared to CMs. Conforming changes to refer to such related criteria 

are made where applicable in the CC Risk Procedures. Such evaluations will continue 

to be made daily as set out in the counterparty risk reviews section of the CC Risk 

Procedures and the related Counterparty Credit Risk Parameters (“Parameters”) 

(notwithstanding removal of certain duplicative language in the discussion of credit 

2 17 C.F.R. 240.17Ad-22(a)(8).
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ICE Clear Europe Limited

Registered in England No.06219884

Registered office: Milton Gate, 60 Chiswell Street, London EC1Y 4SA

scoring). A statement that the CRS may incorporate exposure information reflecting the 

risk of the CM’s portfolio held with the Clearing House (specifically, loss given default) 

or analyze exposure with reference to financial metrics is removed, to be consistent 

with changes to the relevant credit risk model used in determining CRS scoring (which 

does not consider such exposures). 

The amendments provide that late submissions of quarterly financial statements by 

counterparties are communicated and escalated as set out in the Parameters. In the 

discussion of risk classification, the amendments provide that CMs who reach the 

Watch List Criteria are added automatically to the Watch List, and that the Watch List 

Criteria are set out in the Parameters. These updates are to ensure alignment between 

the Clearing House’s risk management framework documentation, including the CC 

Risk Procedures and the Parameters. 

In the section describing the Clearing House’s counterparty credit risk monitoring, the 

amendments add that such monitoring and review includes monitoring for crossexposures of CMs’ affiliates (defined in the relevant Parameters as uncollateralized 

stress loss for clearing members, unsecured exposure for FSPs and estimate loss for 

purposes of links). Such continuous monitoring will, in addition to other sources, be 

based on credit scores and public news. The continuous monitoring will facilitate 

production of daily, rather than weekly, risk reviews. Other reviews of monitoring 

activity will continue to be carried out monthly and quarterly. The amendments also 

provide that review frequency and criteria in addition to findings and recommendations 

from the counterparty risk reviews will be approved based on the Parameters. 

The amendments add to the discussion of the Clearing House’s practices for monitoring 

its exposures to CMs that the Clearing House also monitors at least monthly credit 

cross-exposures among counterparties and their affiliates in all their capacities. These 

amendments are intended to reflect the expansive nature of the Clearing House’s current 

risk management practices.

With respect to exposure limits and related capital calculations for purposes of CMs 

that are part of a Systemically Important Institution, the amendments will use the more 

specific definition of Systemically Important Institutions in the Parameters as an 

institution with assets greater than 200 billion Euros that is treated as a Globally 

Systemically Important Institution by the European Banking Authority. This replaces

the previous, more subjective standard. A reference to the institution being in a robust 

legal jurisdiction has been removed as unnecessary in light of the revised definition and 

approach to AML/KYC and governing law review discussed above. 

Non-substantive drafting and formatting updates have also been made. 

Compliance with the Act and CFTC Regulations

The amendments to the CC Risk Policy and the CC Risk Procedures are potentially 

relevant to the following core principles: (D) Risk Management, (E) Settlement 

Procedures and (F) Treatment of Funds, and the applicable regulations of the 

Commission thereunder. 
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ICE Clear Europe Limited

Registered in England No.06219884

Registered office: Milton Gate, 60 Chiswell Street, London EC1Y 4SA

• Risk Management. The amendments to the CC Risk Procedures and CC Risk 

Policy are designed to more clearly document certain of the Clearing House’s 

practices with respect to the management of counterparty credit risk and

explicitly include references to losses from defaulting links (in addition to the 

existing references to losses resulting from defaulting CMs and losses resulting 

from the default of other FSPs). The amendments also generally enhance the 

Clearing House’s policies and practices for monitoring and reviewing 

counterparty credit risk and related exposures, provide clear descriptions of such 

policies and processes, as well as align with other documents in ICE Clear 

Europe’s overall risk management framework. In ICE Clear Europe’s view the 

amendments thus enhance the overall risk management of the Clearing House. 

As such, ICE Clear Europe believes the amendments are consistent with the 

requirements of Core Principle D and Commission Rule 39.13.

• Settlement Procedures. The amendments would address provisions of the CC 

Risk Policy and CC Risk Procedures relating to counterparty credit risk for FSPs 

and links, which may include settlement banks used by ICE Clear Europe. The 

amendments will thus help ICE Clear Europe manage the risks, including credit 

risks, arising from the use of settlement banks. The amendments also address 

policies and practices for monitoring and reviewing settlement bank credit risk 

on an ongoing basis. As a result, ICE believes the amendments are consistent 

with Core Principle E and Commission Rule 39.14. 

• Treatment of Funds. As discussed above, certain aspects of the CC Risk Policy 

and CC Risk Procedures that relate to counterparty credit risk for FSPs and 

links. As such, the amendments are intended to help the Clearing House manage 

and mitigate the risks arising from the custody and investment of cash provided 

by CMs and their customers. The amendments thus ensure that custodied assets 

are held in a manner which minimizes the risk of loss or of delay in accessing 

such assets, and that funds are invested in instruments with minimal credit, 

market and liquidity risks. The amendments are therefore consistent with the 

requirements of Core Principle F and Commission Rule 39.15. 

As set forth herein, the amendments consist of the amendments to the CC Risk Policy 

and the CC Risk Procedures. ICE Clear Europe has requested confidential treatment 

with respect to the amendments, which have been submitted concurrently with this selfcertification submission. 

ICE Clear Europe hereby certifies that the amendments comply with the Act and the 

Commission’s regulations thereunder. 

ICE Clear Europe received no substantive opposing views in relation to the 

amendments. 

ICE Clear Europe has posted a notice of pending certification and a copy of this 

submission on its website concurrent with the filing of this submission. 
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ICE Clear Europe Limited

Registered in England No.06219884

Registered office: Milton Gate, 60 Chiswell Street, London EC1Y 4SA

If you or your staff should have any questions or comments or require further 

information regarding this submission, please do not hesitate to contact the undersigned 

at giulia.honorati@ice.com or +44 20 7429 7127. 

Very truly yours,

Giulia Honorati

Regulation & Compliance Senior Manager