October 5, 2023

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 - Clarifying 

Certain Aspects of the Documentation of ICE Risk Model 1 - 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 documents ICE Risk Model 1 (“IRM 1”) which is used to 

determine the initial margin requirements for all contracts cleared by ICUS, apart from those 

contracts that reference equity indices and interest rates.

2

 As more fully described below, 

following its standard, regular review of the Risk Management Framework, ICUS has determined 

to update and clarify certain aspects of the documentation of IRM 1 to more accurately reflect 

how the model is implemented in practice. 

2. Details of Rule Changes

ICUS is proposing to amend the Risk Management Framework to clarify when an inter-commodity 

spread will be treated as a headline product. In addition, ICUS is proposing to amend the Risk 

Management Framework to document how it sets margin rates when certain Autopilot numbers 

are not available, due to monthly rolls, but a number is available in an adjacent contract. Finally, 

ICUS is proposing to document how, with respect to agricultural contracts, it limits the impact of 

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

2 The initial margin requirements for the contracts cleared by ICUS that reference equity indices and interest 

rates are determined using ICE Risk Model 2 which is also set forth in ICUS’s Risk Management 

Framework. 
illiquidity and volatility during the delivery period. To prevent this illiquidity and volatility from 

distorting the margin requirement for these contracts generally, ICUS excludes statistics from the 

relevant “in delivery” agricultural contract in the broader margin calculation for that contract once

the delivery process has commenced. These are not substantive changes; they document how 

IRM 1 is currently being implemented. 

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 Principle and the applicable regulations of the Commission thereunder:

Risk Management (Core Principle D): These proposed changes will enhance ICUS’s Risk 

Management Framework by more clearly and explicitly identifying and documenting the range of 

risks to which ICUS is exposed, and addressing how ICUS monitors and manages those risks. 

In addition, these proposed changes will enhance internal audit’s ability to monitor ICUS’s risk 

management program. 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