Ice.

FOIA CONFIDENTIAL TREATMENT REQUESTED
June 21, 2023
VIA CFTC PORTAL

Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission
Three Lafayette Centre

1155 21st St., N.W.

Washington, D.C. 20581

Re: Amendment to ICE NGX Canada Inc. Rules - Submission Pursuant to Section
5c(c)(1) of the Commodity Exchange Act and CFTC 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 NGX Canada
Inc. (“ICE NGX”) is submitting this self-certification of amendments to the ICE NGX Risk
Management Framework (“RMF”). The RMF is a “rule” as that term is defined under Commission
Regulation 40.1(i). ICE NGX intends to implement these amendments on July 10, 2023 or on
such later date as ICE NGX may designate.

1. Overview

ICE NGX is making this submission to implement certain changes (the “Amendments”) to the ICE
NGX RMF, designed to:

e streamline and clarify the description of the stress period and its role in the look-back
window for the portfolio margin calculation in ICE NGX’s Portfolio Margin Model (“PMM”);
and

¢ specify the designated stress period for each asset class, namely the Q1 2014 Polar
Vortex for Natural Gas and Canadian Power and the Q3 2019 Heatwave Period for
ERCOT Power, including a brief description of the impact of the asset class during the
stress period.

ICE NGX has requested confidential treatment over the Amendments.

ICE NGX Canada Inc.

Suite 2610, 225 — 6" Avenue SW
Calgary, AB

Canada T2P 1N2

ngx.com

ice.com


Ice.

2. Details of Rule Changes

As Commission staff is aware, PMM is ICE NGX’s model for calculating core initial margin, taking
into account portfolio offsets. In order to mitigate against procyclicality and to support ICE NGX’s
compliance with regulatory requirements and expectations regarding initial margin calculations
and margin model coverage, ICE NGxX includes a period of stress in the look-back window in
PMM’s VaR calculations for portfolio initial margin for each asset class.

PMM uses a look-back window of a rolling two-year price history plus a fixed stress period of
approximately one quarter. ICE NGX is updating the stress period for the ERCOT Power market,
to ensure that a representative period of stressed market conditions is included in the portfolio
margin calculation. This will help ensure that the risk in the ERCOT market is appropriately
assessed.

3. Compliance with Core Principles

ICE NGX reviewed the Amendments and determined that they comply with the rules and
regulations of the Commission. In this regard, ICE NGX reviewed the derivatives clearing
organization (“DCO”) core principles (each a “Core Principle”) and determined that the
Amendments are potentially relevant to the following Core Principles and applicable regulations
of the Commission thereunder.

Compliance (Core Principle A): The Amendments are consistent with Core Principle A -
Compliance and Commission Regulation § 39.10, as the Amendments clarify, enhance and
update ICE NGX’s policies and procedures for complying with Commission regulations and
internal policies.

Risk Management (Core Principle D): The Amendments are consistent with Core Principle D -
Risk Management and the following Commission Regulations:

¢ § 39.13(b), as the Amendments update ICE NGX’s risk management framework to reflect
changes to risk management practices;

e § 39.13(g)(2)(iii) and (iv), as the Amendments update the historical time period in the
lookback period for initial margin calculations to ensure an appropriate period of stressed
market conditions.

4. Certifications

ICE NGX certifies that the proposed Amendments discussed in this submission comply with the
Commodity Exchange Act, including the Core Principles and the Regulations of the Commission
thereunder. ICE NGX is not aware of opposing views expressed regarding these amendments.

ICE NGX Canada Inc.

Suite 2610, 225 — 6" Avenue SW
Calgary, AB

Canada T2P 1N2

ngx.com

ice.com


Ice.

ICE NGxX further certifies that, concurrent with this filing, a copy of this submission was posted to
ICE NGX’s website.

If you have any questions or require further information, please do not hesitate to contact me at
403-974-1740 or greg.abbott@ice.com, or Martin McGregor, ICE NGX General Counsel & CCO

at 403-974-1740 or martin.mcgregor@ice.com.
Yours truly,
Greg Abbott

President & COO
ICE NGX Canada Inc.

ICE NGX Canada Inc.

Suite 2610, 225 — 6" Avenue SW
Calgary, AB

Canada T2P 1N2

ngx.com

ice.com