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ICE Clear Europe Limited

Registered in England No.06219884

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

01 September 2022

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 –

Clearing Procedures and Delivery Procedures Amendments

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 (i) Parts C, D, F, H, K, L, AA, EE, and HH of its Delivery Procedures (“Delivery 

Procedures”) and (ii) Part I of its Clearing Procedures (“Clearing Procedures”) in each 

case to implement the use of Contingent Variation Margin for certain UK and European 

energy futures contracts.

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Concise Explanation and Analysis

Background

The amendments are intended to extend the Clearing House’s use of Contingent 

Variation Margin (“CVM”) requirements during the tender or delivery period to certain 

additional UK and European natural gas and electricity futures contracts. Under the 

existing Rules and Procedures (including paragraph 4.6 of the Clearing Procedures), 

1 Capitalized terms used but not defined herein have the meanings specified in the Delivery Procedures 

or the Clearing Procedures (as applicable) or, if not defined therein, the ICE Clear Europe Clearing 

Rules. 
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ICE Clear Europe Limited

Registered in England No.06219884

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

CVM can be imposed by the Clearing House on specified F&O Contracts to account 

for the difference, during the delivery period, between the final settlement price for the 

relevant contract (typically established on the last trading day of the contract, before 

the commencement of the delivery period) and the price of the relevant contract for the 

next contract month. CVM is intended to provide additional protection to the Clearing 

House against potential exposure to Clearing Member default from movements in the 

market price of the underlying commodity during the delivery period. CVM is collected 

by the Clearing House from the applicable Clearing Members but not paid out to the 

opposite Clearing Members, although the opposite Clearing Member may apply the 

amount as a credit against other margin requirements. 

ICE Clear Europe is amending the Clearing Procedures and the Delivery Procedures 

chapters for the relevant Contracts in order to implement the extension to specified UK 

and European energy futures contracts.

Clearing Procedures

Paragraph 4.6 of the Clearing Procedures has been updated to remove the two listed 

examples of contracts for which CVM is required. Given the Clearing House’s 

proposed extension of the use of CVM, the examples are incomplete and are in any 

event unnecessary. Additionally, the amendments make a clarification that Clearing 

Members will not receive payment of CVM in cash (as opposed to referring to 

repayment) but instead may credit CVM against other margin requirements, as 

discussed above. Paragraph 4.7, which described a prior contingent credit approach for 

sellers under natural gas and electricity futures, has been removed as it will be 

superseded by the extension of CVM to such contracts. 

Delivery Procedures

ICE Clear Europe is proposing to amend Parts C, D, F, H, K, L, AA, EE, and HH of its 

Delivery Procedures to implement CVM for physically-settled monthly European and 

UK electricity and natural gas futures contracts. 

The delivery timetable for routine deliveries of ICE UK Electricity Futures in Part C of 

the Delivery Procedures has been updated to provide that on the Delivery Day of such 

contract the Clearing House will apply CVM to the Buyer’s and the Seller’s remaining 

units of the underlying to be delivered. The amendments further provide on the 

Business Day following the Delivery Day, the Clearing House will continue to apply 

CVM to the Buyer’s and Seller’s remaining units of the underlying to be delivered. The 

same updates have been made to the delivery timetable for routine deliveries of each of 

(i) ICE Futures UK Natural Gas Futures (Part D of the Delivery Procedures), (ii) ICE 

Endex TTF Natural Gas Futures (Part F of the Delivery Procedures), (iii) ICE Endex 

German THE Natural Gas Futures (Part H of the Delivery Procedures), (iv) ICE Endex 

Dutch Power Futures (Part K of the Delivery Procedures), (v) ICE Endex Belgian 

Power Base Load Futures (Part L of the Delivery Procedures), and (vi) ICE Endex 

French PEG Natural Gas Futures (Part HH of the Delivery Procedures). In respect of 

the delivery timetable for routine delivery of ICE Endex PSV Natural Gas Futures (Part 

AA of the Delivery Procedures) and ICE Endex VTP Natural Gas Futures (Part EE of 

the Delivery Procedures), similar updates have been made taking into account the 

delivery characteristics of those contracts: each such timetable has been amended to 
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ICE Clear Europe Limited

Registered in England No.06219884

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

provide that on the first Business Day immediately preceding the first day of the month 

in which the Delivery Day specified in the relevant contract commenced, the Clearing 

House will apply CVM to the Buyer’s and the Seller’s remaining natural gas units. The 

amendments further provide that on the Business Day following the Delivery Day, the 

Clearing House will continue to apply CVM to the Buyer’s and Seller’s remaining 

natural gas units. 

The amendments have made certain other clarifications updates to the Delivery 

Procedures unrelated to the implementation of CVM. Specifically, references to ICE 

Futures UK Natural Gas (EUR/MWh) Futures Contracts in Part D of the Delivery 

Procedures have been removed as such contracts are no longer traded. In Part F of the 

Delivery Procedures (ICE Endex TTF Natural Gas Futures), references to weekly 

contracts (and related defined terms such as “Delivery Week” and “W+” and “W-” have

been removed as no such TTF natural gas contracts of this type are traded. The 

remaining provisions apply to the continuing monthly contracts (with some references 

to “monthly” removed as no longer necessary to distinguish from weekly contracts). In 

Part K of the Delivery Procedures (ICE Endex Base Load Futures), references to the 

ICE Endex Dutch Power Base Load Week Futures and related references to weekly 

contracts and related defined terms are being removed since such weekly contract will 

no longer be listed for trading. The remaining provisions apply to the continuing 

monthly contracts (with some references to “monthly” removed as no longer necessary 

to distinguish from weekly contracts). In Part HH of the Delivery Procedures (ICE 

Endex PEG Natural Gas Futures) references to the applicable ICE Endex confirmation 

reports are being corrected.

Compliance with the Act and CFTC Regulations

The amendments to the Clearing Procedures and the Delivery Procedures are 

potentially relevant to the following core principles: (D) Risk Management and (E) 

Settlement Procedures and the applicable regulations of the Commission thereunder. 

• Risk Management. As discussed above, the amendments are intended to 

extend existing CVM provisions in the Procedures to apply to certain 

additional UK and European electricity and natural gas futures contracts to 

enhance the protections for the Clearing House against the risk of market 

movements in the underlying commodity during the delivery period. The 

amendments to the Delivery Procedures are designed to add applicable 

references to CVM requirements in respect of the routine delivery of certain 

physically-settled European and UK Natural Gas futures contracts in order to 

reflect the Clearing House’s application of CVM. The changes to the Clearing 

Procedures are intended to align with those amendments. As discussed above, 

ICE Clear Europe believes that CVM will provide additional protection to the 

Clearing House during the delivery period, and thus will facilitate the 

management of default risk during the delivery period. 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 changes to the Delivery Procedures are designed 

to amend delivery specifications in respect of the routine delivery of certain 
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ICE Clear Europe Limited

Registered in England No.06219884

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

physically-settled European and UK Natural Gas futures contracts to reflect 

the application of CVM. Clearance of such contracts (including the 

requirements for settlement of initial and variation margin prior to the delivery 

period) would not otherwise be affected. The amendments would also not 

otherwise change the delivery terms and conditions for such contracts or 

otherwise affect the ICE Clear Europe’s existing financial resources, risk 

management, systems and operational arrangements supporting delivery. As 

amended, the Delivery Procedures thus appropriately state the role and 

responsibilities of the Clearing House and Clearing Members with respect to 

physical delivery. As a result, ICE Clear Europe believes these amendments 

are consistent with the requirements of Core Principle E and Commission Rule 

39.14.

As set forth herein, the amendments consist of the amendment to the Delivery 

Procedures and the Clearing Procedures, a copy of each of which is attached hereto. 

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. 

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 George.milton@theice.com or +44 20 7429 4564. 

Very truly yours,

George Milton

Head of Regulation & Compliance