October 27, 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 -

Concentration Charge Methodologies for ICE Risk Models 1.0 and 2.0 and Minor 

Conforming Changes - 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 models used by ICUS to determine the initial 

margin requirements for its Clearing Members. Specifically, ICE Risk Model 1.0 (“IRM 1.0”) and 

ICE Risk Model 2.0 (“IRM 2.0”).2 ICUS is proposing to enhance and clarify the Risk Management 

Framework’s documentation of the methodologies used to determine the concentration charge

component of IRM 1.0 and IRM 2.0 (respectively, the “IRM 1.0 CC Determination” and the “IRM 

2.0 CC Determination”), following, in the case of the former, an annual revalidation and, in the 

case of the latter, the ongoing, regular review by ICUS of its Risk Management Framework and 

related policies and procedures. In addition, and also as a result of that regular review, ICUS is 

proposing to amend the Risk Management Framework to reflect a modified approach to 

measuring 2 inputs used in the IRM 2.0 CC Determination. Finally, ICUS is proposing to make 

some minor conforming changes to the Risk Management Framework. 

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

2 Currently, IRM 2.0 is used to determine the initial margin requirement for all contracts cleared by ICUS 

that reference equity and interest rate indices, and IRM 1.0 is used to determine the initial margin 

requirement for all other contracts cleared by ICUS.
2. Details of Rule Changes

IRM 1.0 CC Determination: With respect to the IRM 1.0 CC Determination, ICUS is proposing to 

amend the Risk Management Framework to provide more granular detail and, as a result, greater 

clarity, on the purpose of a component of the determination and how the associated calculation 

is performed. This amendment enhances the documentation of existing procedures and does not

constitute a substantive change.

IRM 2.0 CC Determination: With respect to the IRM 2.0 CC Determination, first ICUS is proposing 

to amend the Risk Management Framework to provide additional detail and greater clarity by: (i) 

explicitly adding the concentration threshold factor to the enumerated list of IRM 2.0 parameters; 

and (ii) specifying the frequency with which the concentration threshold is determined and 

recalibrated. These amendments are also enhancements to the existing documentation and not 

substantive changes. In addition, ICUS is proposing to amend the Risk Management Framework 

to reflect how it measures 2 inputs used in the IRM 2.0 CC Determination, specifically the average 

daily volume and average open interest (respectively, “ADV” and “AOI”) for a given cleared 

contract. In the past, when calculating that ADV and AOI, ICUS only used the volume and open 

interest from the relevant listing exchange, currently ICE Futures U.S., Inc. The proposed 

amendments to the Risk Management Framework address the inclusion, selectively, of volume 

and open interest in related markets. This aligns ICUS more closely with both affiliated and nonaffiliated derivatives clearing organizations and refines the IRM 2.0 CC Determination so that it 

better captures the actual risk it is designed to address. 

ICUS has respectfully requested confidential treatment for the foregoing Risk Management 

Framework amendments which were submitted (separately for IRM 1.0 and IRM 2.0) 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 Principle and the applicable regulations of the Commission thereunder:

Risk Management (Core Principle D): With respect to the proposed changes to the 2 inputs used 

in the IRM 2.0 CC Determination, the Risk Management Framework amendments will result in a 

clearer identification of the actual risks to which ICUS is exposed. In addition, refining how that 

determination is made will result in enhanced monitoring and management of the risks that ICUS 

is addressing with the IRM 2.0 CC Determination. The other amendments to the Risk 

Management Framework will enhance ICUS’s documentation by adding additional details about

how both the IRM 1.0 and the IRM 2.0 concentration charges are determined. Overall, these 

amendments will strengthen ICUS’s ability to monitor and manage potential risks, as well as 

internal audit’s ability to assess ICUS’s related policies, procedures and controls, 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