July 25, 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 - Removing 

and Replacing Certain Scenarios Used in Stress Tests - 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 scenarios used by ICUS when performing

stress tests. These stress test scenarios are based on both historical data and hypothetical

market conditions. As more fully described below, ICUS is proposing to adjust 2 subsets of these 

stress scenarios that use hypothetical market conditions (collectively, the “2 Stress Scenarios”).

2

 

The 2 Stress Scenarios, among others, are used by ICUS when performing stress tests related 

to ICUS’s financial resources, consistent with applicable CFTC regulations, as well as in 

establishing certain initial margin requirements, specifically shortfall margin and stress loss 

charges. 

2. Details of Rule Changes

The 2 Stress Scenarios are designed to shock the correlation between contract months (or intermonth spreads) and between products (or inter-commodity spreads). The scenarios are 

generated from hypothetical price change data. ICUS’s ongoing analysis has established that the 

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

2

ICUS will retain and continue to use other stress scenarios that use hypothetical market conditions. 
2 Stress Scenarios can sometimes produce implausible results. As a result, ICUS is proposing 

amendments to the Risk Management Framework that would remove these 2 hypothetical

scenarios and replace them with the worst historical spread for the relevant contract months and 

products. Consistent with applicable CFTC regulations, the proposed changes to the 2 Stress 

Scenarios have been independently validated and found to be appropriate. 

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): The proposed changes to the 2 Stress Scenarios will 

result in ICUS maintaining financial resources that are more closely aligned with the actual risk 

ICUS has to manage. Overall, these amendments will strengthen ICUS’s ability to more 

accurately establish its financial resources 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. 

Risk Management (Core Principle D): The proposed changes to the 2 Stress Scenarios will result 

in a clearer identification of the actual risks to which ICUS is exposed. This will enhance ICUS’s 

ability to monitor and manage those risks. Finally, these changes will enhance the accuracy of 

the stress tests ICUS performs on its financial resources. Overall, these amendments will 

strengthen 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