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September 08, 2022

VIA CFTC PORTAL

Mr. Christopher Kirkpatrick

Secretary of the Commission

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, NW

Washington, DC 20581

Re: Amendments to the ICE Clear U.S., Inc. Risk Management Framework - Changes to 

the Collateral Asset Haircut Methodology - Submission Pursuant to Section 5c(c)(1) 

of the Commodity Exchange Act and Commission Regulation 40.6(a)

Dear Mr. Kirkpatrick:

Pursuant to Section 5c(c)(1) of the Commodity Exchange Act, as amended (“Act”), and 

Commodity Futures Trading Commission (“Commission”) Regulation 40.6(a), ICE Clear U.S., Inc. 

(“ICUS”) is submitting this self-certification to amend the ICUS Rules,1 specifically the ICUS Risk 

Management Framework. ICUS intends to revise the Risk Management Framework no sooner 

than the tenth business day following the filing of this submission with the Commission, or such 

later date as ICUS may determine. 

1. Overview

ICUS’s Risk Management Framework contains the methodology2that ICUS uses to determine 

the haircuts that are applied to certain collateral, specifically currencies other than USD and noncash collateral.

3

 As described in more detail below, one of the proposed amendments will make 

that methodology more conservative. The second proposed amendment will streamline the 

methodology, making it more efficient. 

2. Details of Rule Changes

First, ICUS is proposing to amend the collateral haircut methodology to add an anti-procyclicality 

component to the Exponentially Weighted Moving Average (or EWMA) analysis which is 

embedded in the collateral haircut methodology to ensure that it is appropriately calibrated. This 

amendment, which will impact all forms of collateral, is a conservative enhancement that adds

additional sensitivity to the methodology. Second, with respect to the haircuts ICUS applies to 

1 Capitalized terms used and not defined in this submission have the meaning set forth in the ICUS Rules.

2 The methodology is set forth in Appendix B to the Risk Management Framework, titled: “Collateral Risk 

Management; Collateral Asset Haircut Methodology.”

3 USD is valued, without a haircut, at 100%.
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collateral in the form of sovereign debt, the amendments consolidate the return types used in the 

time series of return from 2 to 1. This will streamline the methodology, making it more efficient to 

operate, without having a material impact on the size of the actual haircuts. ICUS has respectfully 

requested confidential treatment for the foregoing Risk Management Framework amendments 

which were submitted concurrently with this submission.

3. Compliance with the Act and Regulations

ICUS reviewed the foregoing amendments and determined that they comply with the 

requirements of the Act and the rules and regulations promulgated by the Commission in 

implementing the Act. In this regard, ICUS reviewed the derivatives clearing organizations core 

principles (“Core Principles”) and determined that the amendments are potentially relevant to the 

following Core Principles and the applicable regulations of the Commission thereunder:

Financial Resources (Core Principle B): Streamlining and enhancing the sensitivity of the 

collateral haircut methodology as proposed will strengthen ICUS’s ability to maintain financial 

resources that are appropriately calibrated with the actual risk ICUS must manage. These 

amendments will also strengthen ICUS’s ability to establish its financial resource requirements 

and ensure that they are adequate and appropriate, as such they are consistent with the 

requirements of Core Principle B and Commission Regulations 39.11 and 39.33 more accurately. 

Risk Management (Core Principle D): The proposed changes to the collateral haircut 

methodology will result in collateral haircuts that provide more appropriate reductions in value that

reflect credit, market, and liquidity risks. Overall, these amendments will enhance ICUS’s ability 

to monitor and manage potential risks, as such they are consistent with the requirements of Core 

Principle D and Commission Regulations 39.13 and 39.36.

4. Certifications

ICUS certifies that the proposed Risk Management Framework amendments comply with the Act 

and the rules and regulations promulgated by the Commission thereunder. ICUS is not aware of 

any substantive opposing views expressed regarding the amendments. ICUS further certifies 

that, concurrent with this filing, a copy of the submission was posted on ICUS’s website and may 

be accessed at https://www.theice.com/clear-us/regulation.

If you or your staff have any questions or require further information regarding this submission, 

please do not hesitate to contact the undersigned at (212) 748-3964 or 

Eamonn.Hahessy@theice.com.

Sincerely,

Eamonn Hahessy

General Counsel and Chief Compliance Officer