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September 12, 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 - ICE Risk 

Model 1 and ICE Risk Model 2 Concentration Charges - 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, or such later date as ICUS may 

determine. ICUS has respectfully requested confidential treatment for these amendments to the 

Risk Management Framework which were submitted concurrently with this submission.

1. Overview

ICUS’s Risk Management Framework contains the model used by ICUS to determine initial 

margin requirements for contracts that reference equity and interest rate indices, ICE Risk Model 

2 (“IRM 2”), and the model used by ICUS to determine initial margin requirements for all other 

contracts cleared by ICUS, ICE Risk Model 1 (“IRM 1”). ICUS is proposing to enhance and clarify 

the Risk Management Framework’s documentation of the Concentration Charge determination

for both IRM 1 and IRM 2, 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. 

2. Details of Rule Changes 

The IRM 1 and IRM 2 Concentration Charges estimate the cost of unwinding the concentrated 

portion of a given portfolio by making the conservative assumption that only a certain quantity of 

positions can be liquidated on a given day without significant market impact. Following an annual 

revalidation, ICUS is proposing amendments to clarify how the IRM 1 Concentration Charge is 

determined. These amendments are not substantive, they enhance the existing language so that 

1 Capitalized terms used and not defined in this submission have the meaning set forth in the ICUS Rules.
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it captures, in more granular detail, how the IRM 1 Concentration Charge is determined in 

production.

In addition, following a periodic review, ICUS is proposing to amend the Risk Management 

Framework to clarify that that the liquidation period, a component of the IRM 2 Concentration

Charge determination, is not capped by the time-to-expiry of the representative instrument for 

cash-settled instruments. Similarly, this is not a substantive change. It accurately reflects the 

more conservative way IRM 2 was implemented in practice. 

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 amendments ensure that the Risk Management Framework is clear and appropriately 

documented with language that reflects how IRM 1 and IRM 2 are being implemented in 

production. This will enhance the Risk Management Framework by clearly identifying and 

documenting the range of risks to which ICUS is exposed, improve the monitoring and 

management of the entirety of those risks, and facilitate internal audit’s ability to perform its 

role. As a result, the proposed amendments are consistent with the requirements of Core 

Principle D and Commission Regulations 39.13 and 39.36.

4. Certifications 

ICUS certifies that the proposed amendment to its Risk Management Framework complies 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 amendment. ICUS further 

certifies that, concurrent with this filing, a copy of this 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@ice.com.

Sincerely,

Eamonn Hahessy

General Counsel and Chief Compliance Officer