1

ICE Clear Europe Limited

Registered in England No.06219884

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

July 19, 2023

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 Rule 40.6 

– Clearing Rules

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 its Clearing Rules (the “Rules”) to address more consistently the treatment of certain 

losses that do not result from Clearing Member default, including certain investment 

losses and custodial losses.

1 The amendments will become effective on the first 

business day following the tenth business day after submission, or such later date as 

ICE Clear Europe may determine. 

Concise Explanation and Analysis

ICE Clear Europe is amending its Rules to address more consistently the treatment of 

certain losses that do not arise from the default of a Clearing Member, generally referred 

to as non-default losses, including certain investment losses and custodial losses, as 

discussed in more detail herein. 

1 Capitalized terms used but not defined herein have the meanings specified in the Rules.
2

ICE Clear Europe Limited

Registered in England No.06219884

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

I. Summary of Proposed Amendments.

2

As amended, the Rules, among other matters: 

• Define several exclusive categories of relevant losses: (1) Investment 

Losses, (2) Custodial Losses, (3) Pledged Collateral Losses, (4) Title 

Transfer Collateral Losses and (5) Non-Default Losses.

• Specify the resources of the Clearing House, if applicable, that will be 

applied to cover such categories of losses.

• Specify the responsibility of Clearing Members, in defined 

circumstances, to make contributions with respect to Investment Losses 

and Custodial Losses.

• Specify the responsibility of Clearing Members for Pledged Collateral 

Losses and Title Transfer Collateral Losses.

• Address the treatment of recoveries by the Clearing House with respect 

to such categories of losses.

II. Definitions of Relevant Loss Categories.

In Rule 101, new definitions will be added for “Custodial Losses,” “Pledged Collateral 

Losses,” “Title Transfer Collateral Loss” (and related terms) and the definitions of 

“Investment Losses” and “Non-Default Losses” (and related terms) will be revised, as 

follows.

Custodial Losses

Custodial Losses will be defined as losses suffered by the Clearing House with respect 

to Custodial Assets, including from declines in the value thereof, arising as a result of 

or in connection with (1) a default, insolvency, system failure, force majeure event or 

similar event with respect to a Custodian or Delivery Facility, a breach of agreement by 

the Custodian or Delivery Facility or pursuant to any loss allocation or contribution 

provisions of the Custodian or Delivery Facility, or (2) any theft, cyber attack or similar 

event with respect to Custodial Assets by any person (other than the Clearing House 

and its directors, officers or employees). Custodial Losses are defined to exclude both 

Pledged Collateral Losses or Title Transfer Collateral Losses. Custodial Losses also 

exclude any losses subject to a power of assessment for default losses under Rule 909 

or any mechanism that has the effective of reducing such losses pursuant to reduced 

gains distributions under Rule 914, partial tear-up under Rule 915 or contract 

termination under Rule 916. The existing definition of Custodian will be revised to 

specifically reference approved financial institutions, concentration banks, intermediary 

2 The amendments are intended to comprehensively and consistently address non-default losses in a 

manner consistent with relevant UK law applicable to the Clearing House and relevant internationally 

accepted principles for clearing organizations. See Financial Services and Markets Act 2000 

(Recognition Requirements for Investment Exchanges, Clearing Houses and Central Securities 

Depositories) Regulations 2001/995, Schedule, Pt. 5, para. 29A, which requires the central counterparty 

to maintain effective arrangements for ensuring that losses that arise otherwise than as a result of 

clearing member default and threaten the solvency of the central counterparty are allocated with a view 

to ensuring that the central counterparty can continue to operate. See also CPMI-IOSCO, Principles for 

Financial Market Infrastructures (Principles 15 and 16); CPMI-IOSCO, Discussion Paper on Central 

Counterparty Practices to Address Non-Default Loss (Aug. 2022).
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ICE Clear Europe Limited

Registered in England No.06219884

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

financial institutions, investment agent banks, system banks and TARGET2 

Concentration Banks, as defined in the Rules (in additional to the more general 

categories of financial institution currently included). The changes reflect the currently 

understood scope of the Custodian definition in its existing form but will provide greater 

clarity in light of the amendments discussed herein. Custodial Assets will be defined 

as any asset or property of the Clearing House (or any person acting on its behalf or 

holding assets for it) representing original or initial margin, variation margin, guaranty 

fund contributions or permitted cover, deliverables or settlement amounts. As discussed 

below, Custodial Losses will be allocated through the use of Custodial Loss Assets of 

the Clearing House and thereafter contributions of Clearing Members under Rule 919. 

Pledged Collateral Losses

The amendments define Pledged Collateral Losses as those losses arising out of or 

relating to the holding of Pledged Collateral3or the assets in any Pledged Collateral 

Account. Such losses with respect to Pledged Collateral are addressed in the existing 

Rules, and the amendments will not change the treatments of such losses. (Under the 

existing Rules, and as discussed below for the Rules as proposed to be amended, such 

losses are solely the responsibility of the relevant Clearing Member.) For clarity and 

consistency, a defined term for Pledged Collateral Losses will be added in Rule 101 

(based on the existing defined term for “Custodial Losses” in Rule 502(j), which will

be deleted). Relevant existing provisions addressing such losses will be moved to Rule 

919, as discussed below, so that all non-default losses are addressed in the same section 

of the Rules. 

Title Transfer Collateral Losses

Title Transfer Collateral Losses will be defined as losses resulting from a reduction in 

value or change of exchange rates of initial or original margin, guaranty fund 

contributions or permitted cover, which have been transferred to the Clearing House 

(other than as Pledged Collateral)4and which are not invested or reinvested by the 

Clearing House but are held with a Custodian. Such losses are not currently subject to 

an express loss-sharing mechanism under the Rules. Accordingly, ICE Clear Europe 

will formally define this category of loss, and as discussed below, such losses will be 

solely the responsibility of the relevant Clearing Member under the Rules. In this 

respect, the resulting treatment will be generally consistent with that applicable to 

Pledged Collateral Losses under the current and revised Rules.

Investment Losses

Conforming changes will be made to the definition of Investment Losses, an existing 

category of loss identified in the Rules, to expressly exclude Custodial Losses, Pledged 

Collateral Losses and Title Transfer Collateral Losses. A sentence excluding losses 

from the default of a Custodian will be deleted as such losses will be expressly covered 

by the Custodial Loss definition (which in turn will be excluded from the Investment 

3 Pledged Collateral and Pledged Collateral Accounts are currently only used in connection with the 

Customer Accounts of FCM/BD Clearing Members.

4 Currently, most collateral received by the Clearing House is pursuant to a title transfer collateral 

arrangement. 
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ICE Clear Europe Limited

Registered in England No.06219884

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

Loss definition as noted above). For consistency with the other new definitions, the 

definition will also explicitly reference losses from assets representing variation margin 

and settlement amounts in addition to the other listed categories.

Non-Default Losses

Conforming changes to the definition of Non-Default Losses will be made to exclude 

Custodial Losses, Pledged Collateral Losses and Title Transfer Collateral Losses. The 

definition will also expressly exclude losses incorporated in the calculation of the ICE 

Deposit Rate under the Finance Procedures (such as arising from negative interest 

rates). The amendments will eliminate a requirement that the Non-Default Losses 

threaten the Clearing House’s solvency in order to qualify as such. ICE Clear Europe 

does not believe the limitation to losses that threaten solvency is needed (as all such 

Non-Default Losses shall be addressed by the Rules). 

Loss Assets and other Definitions

The amendments will add new defined terms for Investment Loss Assets and Custodial 

Loss Assets, which are assets of the Clearing House available to be applied to 

Investment Losses or Custodial Losses, respectively, and Non-Default Losses. The 

existing term Loss Assets will be revised accordingly to refer to Investment Loss Assets 

and Custodial Loss Assets. New defined terms for Investment Loss Amount and 

Custodial Loss Amount will also be added, reflecting the amount of Investment Losses 

or Custodial Losses, as applicable, as determined under Rule 919 after application of 

applicable Loss Assets. 

III. Treatment of Losses in Various Categories.

The amendments to Rule 919 will incorporate the concepts of Custodial Loss, Pledged 

Collateral Loss and Title Transfer Collateral Loss. 

Rule 919(b) will be amended to provide that Non-Default Losses will be met first by 

Investment Loss Assets and Custodial Loss Assets available to the Clearing House. The 

amendments will clarify that the first portion of any Investment Loss will be met by the 

Clearing House applying Investment Loss Assets available to it at the time of the 

relevant event giving rise to the loss. Similarly, a new provision will be added that the 

first portion of any Custodial Loss will be met by the Clearing House applying Custodial 

Loss Assets available to it at the time of the relevant event. Rule 919(b) will also 

provide that the obligations in the subsection only apply to the extent the relevant Loss 

Assets remain available to the Clearing House in cleared funds and have not themselves 

been subject to an event similar to a Custodial Loss, Investment Loss, Pledged 

Collateral Loss or Title Transfer Collateral Loss. Rule 919(c) will be amended to 

address Custodial Losses in addition to Investment Losses, such that if there are 

Investment Losses or Custodial Losses exceeding the available amount of Investment 

Loss Assets or Custodial Loss Assets, respectively, Clearing Members will be required 

to pay Collateral Offset Obligations to the Clearing House. The relevant formula for 

calculating Collateral Offset Obligations under Rule 919(d) will be amended to reflect 

Custodial Losses as well as Investment Losses, as applicable. In addition, the relevant 

fraction for purposes of determining a particular Clearing Member’s obligation in 

respect of Collateral Offsets Obligations will be revised to take into account amounts 
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ICE Clear Europe Limited

Registered in England No.06219884

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

recorded as variation margin, deliverables and settlement amounts. In addition, a 

clarification will be made that, in the case of a Defaulter, the calculation will include 

the Defaulter’s Guaranty Fund Contributions only to the extent not used to offset default 

losses, an approach which is consistent with the treatment of other specified assets of 

the Defaulter. Similarly, under Rule 919(e), the maximum Collateral Offset Obligation 

will be amended to include the variation margin, deliverables and settlement amounts 

transferred (or due to be transferred) to the Clearing House. Rule 919(f) will be 

amended to provide that Collateral Offset Obligations may be offset or netted against 

obligations to pay or return variation margin, deliverables or settlement amounts in 

addition to other margin payments and guaranty fund contributions. 

Rule 919(g) will provide that Collateral Offset Obligations resulting from an Investment 

Loss can be applied solely to Investment Losses, and Collateral Offset Obligations 

resulting from a Custodial Loss can be applied solely to Custodial Losses. Rule 919(h), 

which addresses the allocation by the Clearing House of recoveries in respect of 

Investment Losses, will be expanded to cover recoveries from Custodial Losses as well. 

Certain additional clarifications in this subsection will be made to contemplate recovery 

and allocation of assets other than cash and to state that the Clearing House’s obligation 

to reimburse for recoveries only applies to the extent the relevant assets remain 

available to the Clearing House in cleared funds. Rule 919(i), which provides, among 

other things, that Clearing Members remain liable to make margin and guaranty fund 

contributions notwithstanding Collateral Offset Obligations, will be revised to reference 

payment of variation margin, payment of settlement amounts and delivery of 

deliverables as well. A drafting clarification will also be made regarding Clearing 

Members’ obligations to make and receive timely delivery to improve readability of the 

provision. Rule 919(j), which provides for return of excess Collateral Offset 

Obligations, will be revised to account for Collateral Offset Obligations in respect of 

Custodial Losses and to clarify that the obligation to return only applies to the extent 

the relevant amounts remain available to the Clearing House in cleared funds. Rule 

919(k) will clarify that Collateral Offset Obligations are independent of obligations in 

respect of Assessment Contributions, Cash Loser Adjustments or Cash Gainer 

Adjustments, Partial Tear-Up Prices or Product Termination Amounts. A clarifying 

cross-reference to Rule 209 will be added to an existing statement that caps on 

Assessment Contributions under relevant rules do not limit liability for Collateral Offset 

Obligations. A statement that the conditions for contract termination under Rule 

916(a)(ii)(B)(2) will not be met solely because of a Non-Default Loss or Investment 

Loss will be removed as unnecessary in light of the other amendments to Rule 919(k). 

A conforming change will be made in Rule 919(n), which provides that Rule 919 does 

not require the Clearing House is not required to pursue any litigation against any 

Person, to specifically reference Delivery Facilities. 

Pursuant to revised Rule 919(p), the Clearing House will be obligated to notify Clearing 

Members by Circular of the amount of Investment Loss Assets and Custodial Loss 

Assets as determined by ICE Clear Europe from time to time. ICE Clear Europe has 

removed a specific reference to the total amount of Loss Assets from the Rule. ICE 

Clear Europe believes that it is appropriate for the Clearing House to have the flexibility

to update the amount of Investment Loss Assets and Custodial Loss Assets from time 

to time in light of its ongoing business and other relevant factors, without the need to 

amend the Rules. Such updates may, for example, reflect changes in relevant 
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ICE Clear Europe Limited

Registered in England No.06219884

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

components of its capital requirements, in particular the capital requirements for credit, 

counterparty and market risks and operational and legal risks, that ICE Clear Europe 

considers in determining the appropriate level of such loss assets. ICE Clear Europe 

intends that with the adoption of the amendments, the amount of Investment Loss Assets 

will be increased to USD 195 million and the initial amount of Custodial Loss Assets 

will be set at USD 80 million, as will be confirmed by Circular. Such amounts will 

remain in effect until a subsequent Circular, and the Clearing House’s liability under 

Rule 919(b) will be limited to the notified amount of such assets.

Rule 919(q) will be amended to provide for notification of the amount of Loss Assets 

applied in connection with Non-Default Losses, Investment Losses or Custodial Losses, 

as applicable. The amendments will further clarify that replenishment of regulatory 

capital may be made using the resources of third parties (in addition to the Clearing 

House and its Affiliates). The Clearing House will be obligated to issue a new Circular 

pursuant to Rule 919(p) following any such replenishment. In the case of 

replenishment, the replenished or new Loss Assets or capital will not be applied to any 

pre-existing Non-Default Loss, Custodial Loss or Investment Loss. Various 

conforming and clarifying changes will be made to Rule 919(r), including to refer to 

Delivery Facilities and to remove an unnecessary reference to Approved Financial 

Institutions. 

Under Rule 919(s), the Clearing House will not be liable to any Clearing Member, 

Customer or other Person for any Pledged Collateral Losses. Accordingly, the Clearing 

Member (or its Customer) will bear the risks of Pledged Collateral Losses, except to the 

extent directly resulting from fraud, bad faith, gross negligence or willful misconduct 

by the Clearing House or its directors, officers, employees or committees. While a new 

provision, Rule 919(s) is essentially equivalent in substance to the relevant part of 

current Rule 502(j). The corresponding portions of current Rule 502(j) will be deleted 

as unnecessary in light of Rule 919(s). Under Rule 919(t), if the Clearing House 

recovers any amount in respect of Pledged Collateral Losses (less expenses), it will be 

obligated to pay such amounts to the Clearing Members that bore such losses on a pro 

rata basis, after application of any amounts applied by the Clearing House or other 

Person to meet such losses. 

For Title Transfer Collateral Losses, Rule 919(u) will provide that the Clearing House 

will not be liable to any Clearing Member, Customer or other Person for such losses. 

The provision is without limitation of the Clearing House’s ability to charge a negative 

ICE Deposit Rate under the Finance Procedures. Rule 919(u) will further provide that 

where title transfer collateral is provided, the Clearing Member is entitled to the 

redelivery of an equivalent asset, without any compensation for Title Transfer Collateral 

Losses or other losses, and accordingly the Clearing Member (or its Customer, if 

applicable) bears the risk of Title Transfer Collateral Losses. 

Rule 919(v) will clarify that a negative yield or interest rate on assets provided as initial 

or original margin, guaranty fund contributions, permitted cover or a deliverable will 

not constitute an Investment Loss or Non-Default Loss and will be for the account of 

the Clearing Member (or its Customer, if applicable). Under Rule 919(w), ICE Clear 

Europe will have no liability for any loss relating to any investment decision by any 
7

ICE Clear Europe Limited

Registered in England No.06219884

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

Clearing Member, Customer or other person, including any choice as between different 

kinds of Permitted Cover, or for the results of any such choices or investments. 

IV. Additional Amendments.

In various locations in the Rules, clarifications will be made that obligations of the 

Clearing House to return or provide certain funds or property to Clearing Members 

apply only to the extent such assets are received by and remain available to the Clearing 

House in cleared funds and are not themselves subject to an event similar to a Custodial 

Loss, Investment Loss, Pledged Collateral Loss or Title Transfer Collateral Loss, 

reflecting the consequences of Rule 919. This includes Rules 301(f), 908(b)(iii), 

908(c)(iii), 908(d)(iii), 908(g)(iii), 913(a)(iv), 914(j) and 916(n). Similarly, Rule 

1102(k) will provide that the obligation of the Clearing House to apply amounts 

received from the Defaulter to repay guaranty fund contributions used in the default, 

retain assets in respect of Clearing House Contributions or reimburse insurers for 

default insurance proceeds, as applicable, will be subject to the Clearing House not 

having suffered a loss equivalent to an Investment Loss, Custodial Loss, Pledged 

Collateral Loss or Title Transfer Collateral Loss in respect of such amounts. Rule 

1103(e) will be amended to address the potential situation where amounts received in 

respect of default insurance may themselves be subject to losses similar to a Custodial 

Loss, Investment Loss, Pledged Collateral Loss or Title Transfer Collateral Loss. 

Accordingly, application of such amounts can only be made to the extent that such 

amounts remain available to the Clearing House in cleared funds and have not been 

subject to an event similar to a Custodial Loss, Investment Loss, Pledged Collateral 

Loss or Title Transfer Collateral Loss, reflecting the consequences of Rule 919.

A number of other non-substantive drafting and formatting updates will also be made. 

Compliance with the Act and CFTC Regulations

The amendments to the Clearing Rules are potentially relevant to the following core 

principles: (B) Financial Resources, (D) Risk Management, (E) Settlement Procedures, 

and (F) Treatment of Funds and the applicable regulations of the Commission 

thereunder.

• Financial Resources. As set forth above, ICE Clear Europe does not propose 

in these amendments to change the amount or composition of financial

resources required of Clearing Members as margin or guaranty fund 

contributions. ICE Clear Europe is also not proposing to change its own 

resources that it contributes to default resources. The amendments are 

designed, however, to address and mitigate the risk to the Clearing House that 

its financial resources available to cover Clearing Member defaults could be 

lost or reduced in value as a result of Custodial Losses, Investment Losses or 

other types of non-default loss. Specifically, under the amendments, with 

respect to Custodial Losses, ICE Clear Europe will be responsible for losses 

up to the amount of Custodial Loss Assets, which is to be determined by ICE 

Clear Europe from time to time. ICE Clear Europe has determined the initial 

level of Custodial Loss Assets taking into account components of its capital 

requirements applicable to central counterparties, in particular the capital 
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ICE Clear Europe Limited

Registered in England No.06219884

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

requirements for credit, counterparty and market risks. The amendments 

would provide for allocation of Custodial Losses in excess of such resources 

to Clearing Members, who would be obligated to pay Collateral Offset 

Obligations to the extent of such excess. Under the amendments, Custodial 

Losses in excess of the amount of Custodial Loss Assets would be shared 

among Clearing Members proportionally based on their respective aggregate 

margin, guaranty fund contributions, deliverables and settlement amounts 

recorded across all account categories. This approach is largely consistent 

with the allocation of Investment Losses under the current Rules. The 

approach mutualizes both Investment Losses and Custodial Losses across all 

Clearing Members, in these remote loss scenarios where such losses exceed 

applicable Clearing House resources allocated to such losses. While Clearing 

Members may be required to make Collateral Offset Obligations that are 

independent of the particular mix of cash and securities provided by the 

Clearing Member as margin or guaranty fund contributions, ICE Clear Europe 

believes that the approach is appropriate in light of the remote nature of the 

potential losses, the fact that margin and guaranty fund assets are invested and 

custodied collectively in accordance with investment policies that are 

reviewed by the applicable risk committee and are transparent to Clearing 

Members, and the practical and operational considerations that would be 

required for an approach that attempted to allocate losses based on a Clearing 

Member’s particular assets and elections. 

Overall, the amendments clarify the resources available to address Investment 

Losses, Custodial Losses and other losses not resulting from Clearing Member 

default. In addition to providing resources to permit continued operation of the 

Clearing House in the face of such losses, these provisions in effect also 

provide protection against the loss of the financial resources provided by

Clearing Members to support the default waterfall. The amendments thus

enhance the ability of ICE Clear Europe to maintain sufficient financial 

resources to withstand defaults by Clearing Members as required under 

Commission regulations. 

In addition, under the amended Rules, Loss Assets (including both Investment 

Loss Assets and Custodial Loss Assets) will be available to cover Non-Default 

Losses, which include losses from general business risk. Such losses will 

thereafter be covered by the Clearing House’s capital and other assets. ICE 

Clear Europe does not propose to change the level of its own equity capital, 

which supports its operations and covers general business losses. 

For the foregoing reasons, the amendments are consistent with the financial 

resources’ requirements of Core Principle B and Commission Rule 39.11. 

• Risk Management. The proposed rule changes are designed to address the risks 

posed to ICE Clear Europe by a significant loss event not resulting from a 

default by one or more Clearing Members. These events may include 

investment, custodial and collateral losses with respect to margin, guaranty 

fund contributions, deliverables and settlement amounts as well as other losses 

resulting from general business risk, operational risk or other non-default 
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ICE Clear Europe Limited

Registered in England No.06219884

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

scenarios. ICE Clear Europe, like all clearing organizations, faces the risk that 

such a loss event could affect its ability to continue orderly clearing operations 

or otherwise affect its viability as a going concern. The amendments are thus 

intended to enhance the ability of ICE Clear Europe to manage those risks by 

providing for a comprehensive framework to address such losses, even if 

extreme, and permit the continued operation of the Clearing House. As such, 

the amendments are consistent with the requirements of Core Principle D and 

Commission Rule 39.13. 

• Settlement Procedures. As discussed above, the new provisions relating to 

Custodial Losses would, among other matters, protect against the risk of 

Custodial Losses relating to a failure of a settlement bank, and provide a 

means for allocating such losses to the Clearing House, to the extent of 

Custodial Loss Assets, and thereafter to Clearing Members through Collateral 

Offset Obligations. The amendments thus help the Clearing House manage 

and mitigate the risk of a settlement bank failure, and are consistent with the 

requirements of Core Principle E and Commission Rule 39.14. 

• Treatment of Funds. ICE Clear Europe’s existing investment policies and 

procedures provide for the investment of cash provided by Clearing Members 

as margin or guaranty fund contributions in investments with minimal credit, 

market and liquidity risks. Similarly, the policies provide for the use by ICE 

Clear Europe of Custodians to hold cash and securities in a manner designed 

to minimize the risk of loss or delay in access to such assets. ICE Clear 

Europe is not changing such policies and procedures in connection with these 

amendments. Rather, the amendments address the remote scenario where, 

despite the protections under such procedures, there is a failure by an 

investment issuer or counterparty or custodian resulting in an Investment Loss 

or Custodial Loss. Such a circumstance would be remote in ICE Clear 

Europe’s view, and in any event, outside its control. In such circumstances,

the amendments would allocate the loss as between ICE Clear Europe and 

Clearing Members, with ICE Clear Europe being responsible for a first loss 

position up to the amount of defined Loss Assets and with Clearing Members 

being responsible for the remaining loss, in proportion to their margin, 

guaranty fund and other relevant deposits to the Clearing House. The 

amendments will therefore enhance the overall protection of funds and assets 

provided by Clearing Members to ICE Clear Europe as margin and guaranty 

fund contributions. As such, the amendments are consistent with the 

requirements of Core Principle F and Commission Rule 39.15. 

 

Consultation with Clearing Members 

ICE Clear Europe conducted a public consultation with respect to the amendments.5 

ICE Clear Europe did not receive any written responses to the public consultation. In 

addition, prior to the consultation, ICE Clear Europe engaged in a number of 

5

See ICE Clear Europe Circular No. C22143 (Dec. 15, 2022).
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ICE Clear Europe Limited

Registered in England No.06219884

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

discussions concerning the proposed amendments with an industry group representing 

numerous market participants. Through this process, market participants raised a 

number of questions concerning the amount of resources being allocated as Investment 

Loss Assets and Custodial Loss Assets and the basis for the determination of such 

amounts. Market participants also raised questions about the scope of Custodial Losses 

subject to allocation under the proposed Rules and the overall approach to the treatment 

of Custodial Losses in light of the manner in which ICE Clear Europe holds assets. As 

discussed with market participants, ICE Clear Europe believes that the approach taken 

is appropriate in light of the fact that assets are generally held either with relevant 

central banks or central securities depositories. The Clearing House also believes that

the definition of Custodial Losses is appropriate to cover the appropriate range of risks 

of custodian failure, which are inherently fact- and situation-specific and may be 

difficult to predict in advance. ICE Clear Europe further explained in these discussions 

the basis for determination of relevant amounts, in light of the applicable capital 

requirements for credit, counterparty and market risks and operational and legal risks

under relevant UK and EU law. ICE Clear Europe did not ultimately change the

approach to Custodial Losses or the amount specified as Loss Assets in connection with 

these discussions. ICE Clear Europe received no other substantive opposing views in 

relation to the amendments.

As set forth herein, the amendments consist of the amendments to the Clearing Rules, 

a copy 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 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