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FOIA CONFIDENTIAL TREATMENT REQUEST
February 28, 2023

VIA ELECTRONIC PORTAL

Assistant Secretary of the CFTC

for FOIA, Privacy and Sunshine Acts Compliance
Three Lafayette Centre

1155 21st Street, NW

Washington, DC 20581

Re: Weekly Notification of Rule Amendments — Updates to Risk Parameters Established by ICC
Pursuant to Section 5c(c)(1) of the Commodity Exchange Act and Commission Regulation
40.6(d)

Dear Assistant Secretary:

In conjunction with the notice submitted by ICE Clear Credit LLC (“ICC”) today, February 28, 2023, to the

Secretary of the Commodity Futures Trading Commission (“Commission”), pursuant to Section 5c(c)(1) of
the Commodity Exchange Act and Commission Regulation 40.6(d), ICC submits the attached confidential
documents.

The attached documents contain updated risk parameters established by ICC in consultation with the ICC.
Risk Committee, Trading Advisory Group and/or Risk Working Group. During the week ending February
24, 2023, changes were made to the following parameters:

e — bid/offer widths for CDX and iTraxx credit indices and single name risk factors

e concentration charge thresholds for index and single name risk factors

e Kendall Tau rank-order correlations for NA, EU, Asia/Pacific (“AP”), and Emerging Market (“EM”)

risk factors
e MAD estimates (inclusive of EWMA) for NA, EU, AP, and EM risk factors
e left and right tail parameters for NA, EU, AP, and EM risk factors

Under the Freedom of Information Act (“FOIA”), 5 USC Section 552, Section 809(g) of the Dodd-Frank Wall
Street Reform and Consumer Protection Act and pursuant to Commission Regulation 145.9(d), Federal
Reserve Board Regulation 261.15 and any other applicable regulations under or implementing FOIA, ICE.
Clear Credit hereby respectfully requests that confidential treatment be maintained for the documents which
bear Bates numbers 02.28.2023-000001-CFTC1 to 02.28.2023-000005-CFTC1 until further notice. In
accordance with Commission Regulation 145.9(d)(4), every page of the confidential information bears the
designation “Confidential Treatment Requested by ICE Clear Credit LLC.”

ICE Clear Credit also requests that the Commission or the Board notify the undersigned immediately after
receiving any FOIA request for such documents or any other court order, subpoena or summons for the
same. Finally, ICE Clear Credit requests that it be notified in the event the Commission or the Board intends
to disclose such documents to Congress or to any other governmental agency or unit pursuant to Section 8
of the Commodity Exchange Act, as amended (“CEA”) or other applicable law. ICE Clear Credit does not

353 North Clark Street, Tel: 312,

Fax.

0020



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waive its notification rights under Section 8(f) of the CEA or other applicable law with respect to any
subpoena or summons for such document(s).

The basis for the request is that disclosure of these document(s) would reveal confidential commercial and
financial information of ICE Clear Credit, the disclosure of which could have a material adverse effect on,
and cause injury to, the operations and competitive position of ICE Clear Credit. This request is not to be
construed as a waiver of any other protection from disclosure or confidential treatment accorded by law,
and ICE Clear Credit will rely on and invoke any such confidentiality protection.

Please direct any questions or requests for information to the attention of the undersigned at
Olivia.bazor@ice.com or (904) 855-5580.

Sincerely,

OlMé Ba:

Staff Attorney

ICE Clear Credit LLC

601 Riverside Avenue, 9" Floor
Jacksonville, FL 32201

353 North Clark Street, Tel: 312.836.6700
Suite 3100 Fax: 312.636.0020
Chicago, IL 60654