March 15, 2017

Mr. Christopher Kirkpatrick

Secretary

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, NW

Washington, DC 20581

RE: ICE Clear Credit Swap Submission Related to Mandatory Clearing Determinations 

Dear Mr. Kirkpatrick:

ICE Clear Credit LLC (“ICE Clear Credit”) hereby submits (pursuant to the information requirements of Title 17 

of the Code of Federal Regulations, Chapter 1 §39.5) to the U.S. Commodity Futures Trading Commission 

(“CFTC” or “Commission”) the 5-year tenor in series 22, 23, 24, 25, and 26 of the iTraxx Europe Subordinated

Financial sub-index, maturing on December 20, 2019, June 20, 2020, December 20, 2020, June 20, 2021, and

December 20, 2021 respectively (the “Indices” or “Submitted Swaps”) for a mandatory clearing determination.

§39.5 Review of swaps for Commission determination on clearing requirement. 

(b) Swap submissions. 

(2) A derivatives clearing organization shall submit swaps to the Commission, to the extent reasonable and 

practicable to do so, by group, category, type, or class of swaps.

Table 1 below identifies the characteristics of the Submitted Swaps; specifically its type, region, rating and 

spread-level, as follows:

Type

The Index comprises 30 financial corporate entities from the iTraxx Europe index referencing 

subordinated debt bonds.

Region

All constituents of the Index are entities incorporated in Europe. 

Rating

All constituents of the Index have Investment Grade credit ratings.

Spread Level

Not applicable. Applicable only when the reference entity selection criteria include spread-level.
Mr. Christopher Kirkpatrick March 15, 2017

Commodity Futures Trading Commission

Page 2

Table 1

Index Classification Index Name Swap

Type Region Rating

Spread 

Level Series Maturity (Tenor) Currency

Subordinated Financial 

Corporate Bonds Europe Investment Grade n/a iTraxx Europe Subordinated Financial 26 12/20/2021 (5Y) Euro

Subordinated Financial 

Corporate Bonds Europe Investment Grade n/a iTraxx Europe Subordinated Financial 25 6/20/2021 (5Y) Euro

Subordinated Financial 

Corporate Bonds Europe Investment Grade n/a iTraxx Europe Subordinated Financial 24 12/20/2020 (5Y) Euro

Subordinated Financial 

Corporate Bonds Europe Investment Grade n/a iTraxx Europe Subordinated Financial 23 6/20/2020 (5Y) Euro

Subordinated Financial 

Corporate Bonds Europe Investment Grade n/a iTraxx Europe Subordinated Financial 22 6/20/2019 (5Y) Euro

§39.5(b)(3)(i) Statement of Eligibility

“A statement that the derivatives clearing organization is eligible to accept the swap, or group, category, type, 

or class of swaps for clearing and describes the extent to which, if the Commission were to determine that the

swap, or group, category, type, or class of swaps is required to be cleared, the derivatives clearing organization 

will be able to maintain compliance with section 5b(c)(2) of the Act.”

ICE Clear Credit is a Derivatives Clearing Organization (“DCO”) pursuant to Section 5b of the United States 

Commodity Exchange Act, as amended (the “CEA”), and as such is supervised by the CFTC. ICE Clear Credit 

became a DCO on July 16, 2011 pursuant to Section 725 of the Dodd-Frank Act (the “Conversion Date”), and 

since the Conversion Date, ICE Clear Credit has cleared commodity-based swaps similar to the Index submitted 

herein in compliance with section 5b(c)(2) of the CEA.

§39.5(b)(3)(ii) Information Related to the Act’s Swap Submission Review Requirements

“A statement that includes, but is not limited to, information that will assist the Commission in making a 

quantitative and qualitative assessment of the following factors:” 

(A) “The existence of significant outstanding notional exposures, trading liquidity, and adequate pricing 

data.”

Table 2 below identifies the dates when Series 22 through Series 26 were the on-the-run series. Please note that 

the “on-the-run index” changed during the 12-month sample period used to determine average trading activity.

Trading activity is typically highest for the on-the-run series. 

Table 3 below provides data describing the outstanding notional exposures, observed trading activity and 

adequacy of end-of-day pricing data for the Submitted Swaps.

Index, Series and Tenor

Three columns identify the submitted swaps by index, series and tenor. 

Outstanding Positions among 17 ICE Clearing Entities
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Commodity Futures Trading Commission

Page 3

This column provides the gross notional amount of the positions in the Depository Trust & Clearing 

Corporation (“DTCC”) Trade Information Warehouse (“TIW”), as-of November 3, 2016, among 17 

legal entities that are Clearing Participants of ICE Clear Credit, and/or Clearing Members of ICE Clear 

Europe. Please note that this does not include all Clearing Members / Clearing Participants. 

Outstanding Positions among all Market Participants

This column provides the gross notional amount of the positions in the DTCC TIW between all market 

participants as of January 27, 2017.

12-Month Average of Weekly Trading Activity among all Market Participants

Three columns provide information related to the risk-transfer activity among all market participants.

Two columns provide the average weekly risk-transfer activity from October 5, 2015 through 

September 30, 2016; one column provides the activity in terms of gross notional per week, and the 

other column provides the activity in terms of transactions per week. The third column provides the 

standard deviation of the number of transactions per week.

EOD Price Collection Summary

ICE Clear Credit’s rules require CPs to submit end-of-day pricing data for any swap for which they 

have a relevant cleared interest. ICC recently demonstrated the ability of CPs to provide end-of-day 

price discovery submissions for the Indices. During a two-week price collection period from January 23 

to February 3, 2017, ICC asked all 16 providers of unique submission sets to ICE Clear Credit and/or 

ICE Clear Europe, to provide submissions for all Indices. This Table 3 entry consists of two columns

summarizing the results of the two-week price collection period. The first column provides the number 

of unique sets of submissions received per day. The second column provides the average dispersion of 

submissions. For the purposes of this analysis, ICC defines dispersion as the difference between the 

highest and lowest submission mid-level after removing the submissions with the highest two and 

lowest two mid-levels from the sample. The table expresses dispersion as a percentage of the bid-offer 

width (“BOW”) established each day for the given swap by ICE Clear Credit.
Mr. Christopher Kirkpatrick March 15, 2017

Commodity Futures Trading Commission

Page 4

Table 2

Date Range On-The-Run Series 1st Off-The-Run Series 2nd Off-The-Run Series On-The-Run Business Days Within Sample Period1

9/20/2016 - 3/19/2017 26 25 24 9

3/21/2016 - 9/19/2016 25 24 23 131

9/21/2015 - 3/18/2016 24 23 22 120

3/20/2015 - 9/18/2015 23 22 21 0

9/22/2014 - 3/19/2015 22 21 20 0

Table 3

INDEX SERIES TENOR OUTSTANDING 

POSITIONS AMONG 

17 ICE CLEARING

LEGAL ENTITIES2

OUTSTANDING 

POSITIONS 

AMONG ALL 

MARKET 

PARTICIPANTS3

12-MONTH4AVERAGE OF WEEKLY TRADING 

ACTIVITY AMONG ALL MARKET PARTICIPANTS

EOD PRICE COLLECTION 

SUMMARY5

Gross 

Notional

Gross 

Notional

Mean Gross 

Notional / Week

Mean 

Transactions / 

Week

Std. Dev. of 

Transactions / 

Week

Unique Sets of 

Submissions per 

Day

Dispersion

(EUR millions) (USD-Eq. millions) (USD-Eq. millions) % of ICE BOW

iTraxx Europe Subordinated 

Financial 26 5Y 119 6,233 1,057 133 64 15 31%

iTraxx Europe Subordinated

Financial 25 5Y 1,501 7,150 519 57 38 15 42%

iTraxx Europe Subordinated

Financial 24 5Y 1,715 5,070 342 56 96 15 41%

iTraxx Europe Subordinated

Financial 23 5Y 2,142 4,890 47 6 10 15 40%

iTraxx Europe Subordinated

Financial 22 5Y 3,638 6,874 23 3 6 15 39%

 

1

October 5, 2015 through September 30, 2016

2

Source: DTCC data providing positions among 17 unique legal entities that are Clearing Participants of ICE Clear Credit and/or Clearing Members of ICE Clear Europe, as-of November 3, 2016

3

Source: DTCC Weekly Stock and Volume Reports, Section 1, Table 7, January 27, 2017

4

Source: DTCC Weekly Stock and Volume Reports, Section 4, October 5, 2015 through September 30, 2016

5

Price collection period from January 23, 2017 through February 3, 2017
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Commodity Futures Trading Commission

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(B) Clearinghouse Capabilities

“The availability of rule framework, capacity, operational expertise and resources, and credit support 

infrastructure to clear the contract on terms that are consistent with the material terms and trading 

conventions on which the contract is then traded.”

Rule Framework – ICE Clear Credit maintains a comprehensive set of rules that are publicly available and may be 

viewed at https://www.theice.com/publicdocs/clear_credit/ICE_Clear_Credit_Rules.pdf and are listed herein as 

Exhibit A.

Capacity, Operational Expertise and Resources – ICE Clear Credit is the largest, leading, and most active credit 

default swap (“CDS”) clearinghouse in the world as measured by (1) number and diversification of cleared CDS 

contracts, (2) volume, (3) open interest, (4) amount of default resources (margin collateral and guaranty fund 

deposits), and (5) number of active CDS Clearing Participants. Since its launch on March 9, 2009, ICE Clear 

Credit (f/k/a ICE Trust U.S. LLC) has cleared approximately 2,150,000 CDS transactions valued at approximately 

$58.3 trillion dollars. ICE Clear Credit currently clears 136 CDS indices, 436 CDS corporate single names, and 34 

sovereign single names. ICE Clear Credit currently maintains a cleared open interest valued at approximately 

$943 billion. (additional ICE Clear Credit’s statistics may be viewed at www.theice.com/clear_credit.jhtml.) 

The following financial institutions have been approved as ICE Clear Credit Clearing Participants: Bank of 

America, N.A., Barclays Bank PLC, Barclays Capital Inc., BNP Paribas, BNP Paribas Securities Corp., Citibank 

N.A., Citigroup Global Markets Inc., Credit Suisse International, Credit Suisse Securities (USA) LLC, Deutsche 

Bank AG, London Branch, Deutsche Bank Securities Inc., Goldman, Sachs & Co., Goldman Sachs International, 

HSBC Bank USA, N.A., HSBC Bank plc, HSBC Securities (USA) Inc., J.P. Morgan Chase Bank, National 

Association, J.P. Morgan Securities LLC, Merrill Lynch International, Merrill Lynch, Pierce, Fenner & Smith, 

Incorporated, Morgan Stanley Capital Services LLC, Morgan Stanley & Co. LLC, Nomura International PLC, 

Nomura Securities International, Inc., Société Générale, SG Americas Securities LLC, The Bank of Nova Scotia, 

UBS AG, London Branch, UBS Securities LLC, and Wells Fargo Securities LLC.

Credit Support Infrastructure – As of March 2, 2017, ICE Clear Credit held approximately $23.1 billion in margin 

collateral and approximately $2.2 billion in guaranty fund deposits. On a daily basis, ICE Clear Credit processes 

millions of dollars in settlements.

(C) Impact on Systemic Risk

“The effect on the mitigation of systemic risk, taking into account the size of the market for such contract and 

the resources of the derivatives clearing organization available to clear the contract.”

The effect on mitigation of systemic risk from the clearing of the submitted swap is believed to be material for the 

following reasons: 

 The swap listed for clearing is actively traded with significant pre-clearing outstanding positions. 

 ICE Clear Credit’s CPs are amongst the most active CDS market participants and continue to clear a 

significant portion of their clearing-eligible portfolio.

 The multi-lateral netting achieved through the clearing process has been significant historically and has

substantially reduced the number and notional amount of outstanding bi-lateral positions.

 ICE Clear Credit has developed a robust risk management framework that has been extensively reviewed 

by regulators, industry participants and third-party experts.

 ICE Clear Credit’s price discovery process is working successfully to provide reliable inputs to its risk 

models.
Mr. Christopher Kirkpatrick March 15, 2017

Commodity Futures Trading Commission

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(D) Competition

“The effect on competition, including appropriate fees and charges applied to clearing.”

ICE Clear Credit’s fee structure is appropriate and its margin and guaranty fund computations suitably account for 

the risk brought to the clearinghouse.

(E) Insolvency Protection

“The existence of reasonable legal certainty in the event of the insolvency of the relevant derivatives clearing 

organization or one or more of its clearing members with regard to the treatment of customer and swap 

counterparty positions, funds, and property.”

ICE Clear Credit believes that there is reasonable legal certainty in the event of the insolvency of ICE Clear 

Credit or a clearing participant of ICE Clear Credit with regard to the treatment of house and customer positions, 

funds and property in connection with the clearing of the submitted swap.

ICE Clear Credit’s clearing participants consist of several types of institutions, principally futures commission 

merchants (“FCMs”) (including FCMs that are also broker-dealers), U.S. banks and non-U.S. banks. In the event 

of a clearing participant insolvency, ICE Clear Credit is of the view, based on the advice of counsel in the relevant 

jurisdictions, that ICE Clear Credit would be permitted to exercise its rights to close out house positions and apply 

margin and other property of the defaulting clearing participant in accordance with its rules. With respect to 

customer positions, which must be carried through an FCM clearing participant, the submitted swap would 

constitute “commodity contracts” for purposes of the commodity broker liquidation provisions of the U.S. 

Bankruptcy Code. Under the Bankruptcy Code and the Commission’s Part 190 regulations, ICE Clear Credit 

would have the ability to close out customer positions following the insolvency of the clearing participant and/or, 

in appropriate circumstances, facilitate a transfer of such positions to another, solvent clearing participant.

Customer property provided in respect of submitted contracts would be subject to the protections for customer 

property under the Part 190 regulations for the cleared swaps account class. Under the Commission’s Part 22 

regulations for cleared swaps, ICE Clear Credit is required to segregate cleared swap customer property As such, 

customer property would be subject to distribution to cleared swap customers of the insolvent FCM in accordance 

with those regulations.

With respect to an ICE Clear Credit insolvency, ICE Clear Credit would itself be a commodity broker subject to 

the Bankruptcy Code and Part 190 regulations. ICE Clear Credit believes, based on the advice of counsel, that 

under the applicable provisions of those laws and regulations, ICE Clear Credit rules providing for the termination 

of all outstanding contracts and the application and/or return of remaining member and customer property to 

clearing participants would similarly be enforceable.

§39.5(b)(3)(iii) Product Specifications

“Product specifications, including copies of any standardized legal documentation, generally accepted contract 

terms, standard practices for managing any life cycle events associated with the swap, and the extent to which 

the swap is electronically confirmable.”

The Submitted Swap is electronically confirmable. Lifecycle events are processed by ICE Clear Credit and DTCC 

subject to determinations committee and industry groups. Product specifications are included below. Product 

specifications are the same as those for the existing iTraxx Europe Untranched contracts and are included below.
Mr. Christopher Kirkpatrick March 15, 2017

Commodity Futures Trading Commission

Page 7

26F. iTraxx Europe.

The rules in this Subchapter 26F apply to the clearance of iTraxx Europe Untranched 

Contracts.

26F-102. Definitions.

iTraxx Europe Untranched Contract

A credit default swap in respect of any Eligible iTraxx Europe Untranched Index and 

governed by any iTraxx Europe Untranched Terms Supplement. An iTraxx Europe 

Untranched Contract is a CDS Contract for purposes of Chapter 20.

iTraxx Europe Untranched Publisher

Markit Group Limited or its successor, or any successor sponsor of the Eligible iTraxx 

Europe Untranched Indexes it publishes.

iTraxx Europe Untranched Rules

The rules set forth in Chapters 1 through 8 and 20 through 22, inclusive, as modified by 

the provisions of Subchapter 26E and this Subchapter 26F.

iTraxx Europe Untranched Terms Supplement

Any one of the following:

(a) The iTraxx Europe Untranched Standard Terms Supplement as published on 

November 23, 2009 together with the third paragraph of the form of confirmation 

published on November 23, 2009 with respect to such standard terms 

supplement (or any relevant electronic equivalent thereof).

(b) The iTraxx Europe Legacy Untranched Standard Terms Supplement as 

published on or about September 20, 2014 together with the fourth paragraph of 

the form of confirmation published on or about September 20, 2014 with respect 

to such standard terms supplement (or any relevant electronic equivalent thereof) 

(the “Legacy 2014 Supplement”).

(c) The iTraxx Europe Untranched Standard Terms Supplement as published on or 

about September 20, 2014 together with the third paragraph of the form of 

confirmation published on or about September 20, 2014 with respect to such 

standard terms supplement (or any relevant electronic equivalent thereof) (the 

“New 2014 Supplement”, and together with the Legacy 2014 Supplement, the 

“2014 Supplements”).
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Commodity Futures Trading Commission

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(d) Such other supplement as may be specified in relation to any Eligible iTraxx 

Europe Untranched Index by ICE Clear Credit, including any successor to any of 

the documents listed in subparagraphs (a), (b) or (c) of this definition.

For purposes of each iTraxx Europe Untranched Contract, a reference in the 

iTraxx Europe Untranched Terms Supplement to an “iTraxx Master Transaction” 

shall be deemed a reference to an iTraxx Europe Untranched Contract.

Eligible iTraxx Europe Untranched Index

Each particular series and version of an iTraxx Europe index or sub-index, as published 

by the iTraxx Europe Untranched Publisher, determined by ICE Clear Credit to be 

eligible and included in the List of Eligible iTraxx Europe Untranched Indexes.

List of Eligible iTraxx Europe Untranched Indexes

The list of Eligible iTraxx Europe Untranched Indexes, maintained, updated and 

published by the Board or its designee on the ICE Clear Credit website, specifying the 

following information with respect to each index:

(a) the name and series, including any applicable sub-index designation;

(b) the “Effective Date”;

(c) one or more eligible “Scheduled Termination Dates” and the applicable “Fixed 

Rate” for each such date;

(d) the Relevant iTraxx Europe Untranched Terms Supplement;

(e) the versions (and related annex dates) eligible for clearing (and, if applicable for 

the relevant index, the Applicable Credit Derivatives Definitions for each 

component); and

(f) any inactive versions (and related annex dates), i.e., those that have been 

determined to be fungible with later versions.

Relevant iTraxx Europe Untranched Terms Supplement

With respect to an Eligible iTraxx Europe Untranched Index, the iTraxx Europe 

Untranched Terms Supplement specified for such Eligible iTraxx Europe Untranched 

Index in the List of Eligible iTraxx Europe Untranched Indexes.

26F-309. Acceptance of iTraxx Europe Untranched Contracts by ICE Clear Credit.

(a) A CDS Participant shall make all reasonable efforts to not submit a Trade for clearance 

as a iTraxx Europe Untranched Contract, and any such Trade shall not be a Conforming 

Trade, if the Novation Time would be:
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Commodity Futures Trading Commission

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(i) at a time when the Fallback Settlement Method is applicable to a Credit Event 

with respect to such iTraxx Europe Untranched Contract; or

(ii) at or after the close of business on the calendar day following the Auction Final 

Price Determination Date for a Credit Event with respect to such iTraxx Europe 

Untranched Contract;

(such time with respect to any iTraxx Europe Untranched Contract, the “Clearance Cutoff Time”); provided that ICE Clear Credit may, by written notice to all CDS Participants 

following consultation with the Risk Committee, designate a time other than the time 

determined pursuant to clause (i) or (ii) above as the Clearance Cut-off Time with 

respect to any iTraxx Europe Untranched Contract. CDS Participants may again submit 

Trades for clearance as such iTraxx Europe Untranched Contract, and such Trades 

shall again be Conforming Trades, following receipt of notice from ICE Clear Credit that 

a Fungibility Date (as defined in Rule 26F-316) has occurred with respect to such iTraxx 

Europe Untranched Contract.

(b) A CDS Participant shall as soon as reasonably practicable notify ICE Clear Credit if any 

Trade it has submitted for clearance was not at the time of submission, or ceases to be 

prior to the Novation Time, a Conforming Trade.

26F-315. Terms of the Cleared iTraxx Europe Untranched Contract.

(a) Any capitalized term used in this Subchapter 26F but not defined in these iTraxx Europe

Untranched Rules shall have the meaning provided in the Relevant iTraxx Europe 

Untranched Terms Supplement.

(b) For purposes of the CDS Committee Rules, the CDS Region for each iTraxx Europe 

Untranched Contract is the European Region.

(c) Each iTraxx Europe Untranched Contract will be governed by the Relevant iTraxx 

Europe Untranched Terms Supplement, as modified by these iTraxx Europe 

Untranched Rules. In the event of any inconsistency between the Relevant iTraxx 

Europe Untranched Terms Supplement or the Confirmation (including in electronic form) 

for a iTraxx Europe Untranched Contract and these iTraxx Europe Untranched Rules, 

these iTraxx Europe Untranched Rules will govern.

26F-316. Updating Index Version of Fungible Contracts After a Credit Event or a 

Succession Event; Updating Relevant Untranched Standard Terms Supplement.

(a) Where the iTraxx Europe Untranched Publisher of an Eligible iTraxx Europe Untranched 

Index publishes one or more subsequent versions or annexes of the relevant series 

following a Credit Event or a Succession Event or circumstances giving rise to a 

Successor and Succession Date with respect to a Reference Entity included in such 

series, and the Board or its designee determines that iTraxx Europe Untranched 

Contracts referencing the earlier version or annex of such series are fungible with iTraxx 

Europe Untranched Contracts referencing a later version or annex of such series that is 
Mr. Christopher Kirkpatrick March 15, 2017

Commodity Futures Trading Commission

Page 10

an Eligible iTraxx Europe Untranched Index and so notifies CDS Participants, iTraxx 

Europe Untranched Contracts referencing the earlier version or annex of such series 

shall become iTraxx Europe Untranched Contracts referencing such later version or 

annex of such series on the date determined by the Board or its designee (the 

“Fungibility Date”). Any iTraxx Europe Untranched Contracts referencing the earlier 

version or annex of such series submitted for clearing after the related Fungibility Date 

shall, upon acceptance for clearing, become a iTraxx Europe Untranched Contract 

referencing the latest version or annex of such series that the Board or its designee has 

determined is fungible with such earlier version or annex.

(b) Where a new version of the iTraxx Europe Untranched Terms Supplement (a “New 

Standard Terms”) is published as of a date that is subsequent to the date of the 

version that is specified as the Relevant iTraxx Europe Untranched Terms Supplement 

for any iTraxx Europe Untranched Contract(s) (the “Existing Standard Terms”), and 

the Board or its designee determines that iTraxx Europe Untranched Contracts 

referencing the Existing Standard Terms are fungible with iTraxx Europe Untranched 

Contracts referencing the New Standard Terms, and so notifies CDS Participants, 

iTraxx Europe Untranched Contracts referencing the Existing Standard Terms shall 

become iTraxx Europe Untranched Contracts referencing the New Standard Terms on 

the date determined by the Board or its designee (the “Standard Terms Update Date” 

and each prior iTraxx Europe Untranched Terms Supplement subject to such 

determination, a “Superseded Standard Terms”). Any Trade referencing a 

Superseded Standard Terms submitted for clearing as a iTraxx Europe Untranched 

Contract shall, upon acceptance for clearing, become a iTraxx Europe Untranched 

Contract referencing the New Standard Terms.

(c) The Board or its designee may determine a different Fungibility Date or Standard Terms 

Update Date applicable to individual iTraxx Europe Untranched Contracts or groups of 

iTraxx Europe Untranched Contracts or may determine a Fungibility Date or Standard

Terms Update Date applicable to all iTraxx Europe Untranched Contracts referencing 

the earlier version or annex of a series described in clauses (a) or (b) of this Rule, as it 

deems appropriate.

(d) Notwithstanding anything to the contrary herein (including Rule 616(b)), with respect to 

Open Positions in iTraxx Europe Untranched Contracts that are Converting Contracts, 

effective as of the 2003/2014 Changeover Effective Date and without need for further 

action or determination by the Board, the terms of each such Contract shall be deemed 

amended such that it references the applicable 2014 Supplement as set forth in the List 

of Eligible iTraxx Europe Indexes in lieu of the Relevant iTraxx Europe Untranched 

Terms Supplement in effect prior to such date. The amendments made by this rule 26F316(d) shall apply as of the 2003/2014 Changeover Effective Date regardless of 

whether any relevant transaction record in Deriv/SERV is updated to reflect such 

amendments.
Mr. Christopher Kirkpatrick March 15, 2017

Commodity Futures Trading Commission

Page 11

26F-317. Terms of iTraxx Europe Untranched Contracts.

With respect to each iTraxx Europe Untranched Contract, the following terms will apply:

(a) The following provisions will apply to each iTraxx Europe Untranched Contract or 

component thereof to which the 2003 Definitions apply under the Relevant iTraxx 

Europe Untranched Terms Supplement:

(i) Section 3.2(c)(i) of the 2003 Definitions is hereby amended by replacing the “or” 

at the end of subparagraph (B) thereof with an “and” and adding the following as 

a new subparagraph (C):

“(C) the tenth calendar day after the date of the actual decision by the relevant 

Regional CDS Committee (or Dispute Resolver) to Resolve (i.e., determined 

without regard to any Effectiveness Convention or any time of effectiveness 

specified in a Presented Position) that a Credit Event has occurred for which 

there is Publicly Available Information, as described in CDS Committee 

Rule 2101-02(a)(iii), with respect to such iTraxx Europe Untranched Contracts; 

or”.

(ii) For the purposes of any determination as to whether a Credit Event has occurred 

in respect of a Reference Entity or an Obligation thereof:

(A) at any time up to but excluding June 20, 2009; or

(B) if (1) a Credit Event Resolution Request Date occurs or (2) a Credit Event 

Notice and a Notice of Publicly Available Information are deemed 

delivered pursuant to Rule 2101-02(f) by a Notifying Party, in either case 

before June 20, 2009,

the Credit Event Backstop Date with respect to such determination shall be deemed to 

be the Effective Date.

(iii) For the purposes of any determination as to whether a Succession Event has 

occurred in respect of a Reference Entity:

(A) at any time up to but excluding June 20, 2009; or

(B) if (1) a Succession Event Resolution Request Date occurs or (2) a 

Succession Event Notice is deemed delivered pursuant to Rule 2101-

02(f), in either case before June 20, 2009,

the Succession Event Backstop Date with respect to such Reference Entity shall be 

deemed to be the Effective Date.

(iv) Except for purposes of Rule 26F-317(a)(ii) and Section 1.23 of the 2003 

Definitions, a Credit Event Notice and Notice of Publicly Available Information 
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Commodity Futures Trading Commission

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with respect to a iTraxx Europe Untranched Contract for a Credit Event other 

than Restructuring will be deemed to have been effectively delivered by the 

Notifying Party on the relevant Event Determination Date determined under the 

CDS Committee Rules only when the Resolution is effective, under the CDS 

Committee Rules, that a Credit Event other than Restructuring has occurred for 

which there is Publicly Available Information, as described in CDS Committee 

Rule 2101-02(a)(iii), with respect to such iTraxx Europe Untranched Contract. 

Notwithstanding anything to the contrary in the 2003 Definitions or any Relevant 

iTraxx Europe Untranched Terms Supplement, any delivery of a Credit Event 

Notice and/or Notice of Publicly Available Information by a CDS Participant (other 

than (i) the deemed delivery as provided in this Rule 26F-317(a)(iv) or (ii) notices 

with respect to a Relevant Restructuring Credit Event as provided in the CDS 

Restructuring Rules) shall not be valid.

(v) Section 1.8(a)(ii)(A)(I)(3)(y) of the 2003 Definitions is hereby modified by 

replacing the term “Auction Final Price Determination Date” with the phrase “date 

that is one Relevant City Business Day prior to the Auction Settlement Date”.

(vi) Section 1.30 of the 2003 Definitions is hereby modified by replacing the term 

“Auction Final Price Determination Date” in clause (ii) of the last sentence thereof 

with the phrase “date that is one Relevant City Business Day prior to the Auction 

Settlement Date”.

(vii) With respect to iTraxx Europe Untranched Contracts for which it is Resolved by 

the Regional CDS Committee (or applicable Dispute Resolver) or Credit 

Derivatives Determinations Committee that a Credit Event has occurred for which 

there is Publicly Available Information, as described in CDS Committee 

Rule 2101-02(a)(iii) or the DC Rules, as applicable, Buyer may not deliver a 

Notice of Physical Settlement until after it is determined that the method of 

settlement for a particular Credit Event is the Fallback Settlement Method due to 

the occurrence of one of the events in Section 12.1 of the 2003 Definitions and 

as further provided in the CDS Physical Settlement Rules. For the avoidance of 

doubt, the effectiveness of any Notice of Physical Settlement and obligations 

relating thereto are subject to the suspension and finality provisions of Sections 

6.5 and 9.1(c)(iii) of the 2003 Definitions.

(b) The following provisions will apply to each iTraxx Europe Untranched Contract or 

component thereof to which the 2014 Definitions apply under the Relevant iTraxx 

Europe Untranched Terms Supplement:

(i) Section 8.10(a) of the 2014 Definitions is hereby amended by replacing the “.” at 

the end of subparagraph (B) thereof with “; and” and adding the following as a 

new subparagraph (C):

“(C) the tenth calendar day after the date of the actual decision by the relevant 

Regional CDS Committee (or Dispute Resolver) to Resolve (i.e., determined 
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Commodity Futures Trading Commission

Page 13

without regard to any Effectiveness Convention or any time of effectiveness 

specified in a Presented Position) that a Credit Event has occurred for which 

there is Publicly Available Information, as described in CDS Committee 

Rule 2101-02(a)(iii), with respect to such iTraxx Europe Untranched Contracts.”.

(ii) Except for purposes of Section 1.39 of the 2014 Definitions, a Credit Event 

Notice and Notice of Publicly Available Information with respect to a iTraxx 

Europe Untranched Contract for a Credit Event other than M(M)R Restructuring 

will be deemed to have been effectively delivered by the Notifying Party on the 

relevant Event Determination Date determined under the CDS Committee Rules 

only when the Resolution is effective, under the CDS Committee Rules, that a 

Credit Event other than M(M)R Restructuring has occurred for which there is 

Publicly Available Information, as described in CDS Committee Rule 2101-

02(a)(iii), with respect to such iTraxx Europe Untranched Contract. 

Notwithstanding anything to the contrary in the 2014 Definitions or the Relevant 

iTraxx Europe Untranched Terms Supplement, any delivery of a Credit Event 

Notice and/or Notice of Publicly Available Information by a CDS Participant (other 

than (i) the deemed delivery as provided in this Rule 26F-317(b)(ii) or (ii) notices 

with respect to a Relevant Restructuring Credit Event as provided in the CDS 

Restructuring Rules) shall not be valid. For the avoidance of doubt, Section C.3 

of the Legacy 2014 Supplement and Section 5.7 of the New 2014 Supplement 

shall not apply.

(iii) For the purposes only of Section 1.16(a)(ii)(A)(II) of the 2014 Definitions, Section 

1.17 of the 2014 Definitions is hereby modified by replacing the term “Auction 

Final Price Determination Date” with the phrase “date that is one Relevant City 

Business Day prior to the Auction Settlement Date”.

(iv) With respect to iTraxx Europe Untranched Contracts for which it is Resolved by 

the Regional CDS Committee (or applicable Dispute Resolver) or Credit 

Derivatives Determinations Committee that a Credit Event has occurred for which 

there is Publicly Available Information, as described in CDS Committee 

Rule 2101-02(a)(iii) or the DC Rules, as applicable, Buyer may not deliver a 

Notice of Physical Settlement until after it is determined that the method of 

settlement for a particular Credit Event is the Fallback Settlement Method due to 

the occurrence of one of the events in Section 6.1 of the 2014 Definitions, and as 

further provided in the CDS Physical Settlement Rules. For the avoidance of 

doubt, the effectiveness of any Notice of Physical Settlement and obligations 

relating thereto are subject to the suspension and finality provisions of Sections 

10.1 and 10.2 of the 2014 Definitions.

(c) The Settlement Method for particular iTraxx Europe Untranched Contracts will be 

Auction Settlement and the Fallback Settlement Method will be Physical Settlement in 

accordance with the CDS Physical Settlement Rules.
Mr. Christopher Kirkpatrick March 15, 2017

Commodity Futures Trading Commission

Page 14

(d) Notwithstanding anything to the contrary in the Relevant iTraxx Europe Untranched 

Terms Supplement, the Reference Obligation for purposes of a New Trade (as defined 

therein) will be the Reference Obligation for the Restructured Entity in question as 

specified by ICE Clear Credit following consultation with the CDS Risk Committee 

(which for the avoidance of doubt may be determined by reference to any Standard 

Reference Obligation).

(e) The following terms will apply to each iTraxx Europe Untranched Contract:

(i) The “Agreement” is the Participant Agreement between the relevant CDS 

Participant and ICE Clear Credit.

(ii) The “Source of Relevant Annex” is “Publisher” (if applicable under the Relevant 

iTraxx Europe Untranched Terms Supplement).

(iii) The “Effective Date” is the date specified in the List of Eligible iTraxx Europe 

Indexes for the relevant Index.

(iv) The “Calculation Agent” is ICE Clear Credit, except as provided in the CDS 

Committee Rules.

(v) There are no “Excluded Reference Entities” (in the case of a Relevant iTraxx 

Europe Untranched Terms Supplement prior to the 2014 Supplements).

(vi) “De Minimis Cash Settlement” under the Relevant iTraxx Europe Untranched 

Terms Supplement is not applicable.

(vii) The “Fixed Rate” is the rate specified in the List of Eligible iTraxx Europe Indexes 

for the relevant Index and Scheduled Termination Date.

(viii) The “Initial Payment Date” will be the date that is the first Business Day 

immediately following the Trade Date; provided that with respect to a iTraxx 

Europe Untranched Contract that is accepted for clearing pursuant to Rule 309 

after the Trade Date thereof, the “Initial Payment Date” will be the date that is the 

first Business Day following the date as of which such iTraxx Europe Untranched 

Contract is accepted for clearing pursuant to Rule 309.

(f) For each iTraxx Europe Untranched Contract, the following terms will be determined 

according to the particular iTraxx Europe Untranched Contract submitted for clearing:

(i) Which of the Eligible iTraxx Europe Untranched Indexes is the “Index”.

(ii) The “Annex Date”.

(iii) The “Trade Date”.
Mr. Christopher Kirkpatrick March 15, 2017

Commodity Futures Trading Commission

Page 15

(iv) Which of the eligible Scheduled Termination Dates specified for the Index in the 

List of Eligible iTraxx Europe Untranched Indexes is the “Scheduled Termination 

Date”.

(v) The “Original Notional Amount”.

(vi) The “Floating Rate Payer”.

(vii) The “Fixed Rate Payer”.

(viii) The “Initial Payment Payer”.

(ix) The “Initial Payment Amount”.

§39.5(b)(3)(iv) Participant Eligibility 

“Participant eligibility standards, if different from the derivatives clearing organization’s general participant 

eligibility standards.”

The participant eligibility standards related to the Indices are not different from ICE Clear Credit’s general 

participant eligibility standards.

§39.5(b)(3)(v) Price Discovery

“Pricing sources, models, and procedures, demonstrating an ability to obtain sufficient price data to measure 

credit exposures in a timely and accurate manner, including any agreements with clearing members to provide 

price data and copies of executed agreements with third-party price vendors, and information about any price 

reference index used, such as the name of the index, the source that calculates it, the methodology used to 

calculate the price reference index and how often it is calculated, and when and where it is published 

publicly.”

See the ICE Clear Credit End-of-Day Price Discovery Policies and Procedures attached hereto as Confidential 

Exhibit B.

See Markit Data and Settlement Price Data License Agreement dated March 6, 2009, previously submitted as 

Confidential Exhibit C on March 27, 2012.

See Amendment to Markit Data and Settlement Price Data License Agreement dated December 17, 2010, 

previously submitted as Confidential Exhibit D on March 27, 2012.

§39.5(b)(3)(vi) Risk Management

“Risk management procedures, including measurement and monitoring of credit exposures, initial and 

variation margin methodology, methodologies for stress testing and back testing, settlement procedures, and 

default management procedures.”
Mr. Christopher Kirkpatrick March 15, 2017

Commodity Futures Trading Commission

Page 16

See the ICE Clear Credit Risk Management Framework attached hereto as Confidential Exhibit E.

See ICE Clear Credit Risk Management Model Description Document attached hereto as Confidential Exhibit F.

See the ICE Clear Credit Risk Management Backtesting Framework attached hereto as Confidential Exhibit G.

See the ICE Clear Credit Risk Management Stress Testing Framework attached hereto as Confidential Exhibit H.

§39.5(b)(3)(vii) Rules, Policies and Procedures

ICE Clear Credit maintains a comprehensive set of rules that are publicly available and may be viewed at 

https://www.theice.com/publicdocs/clear_credit/ICE_Clear_Credit_Rules.pdf and are listed herein as Exhibit A.

See the ICE Clear Credit Risk Management Framework attached hereto as Confidential Exhibit E.

§39.5(b)(3)(viii) Communication to Members Regarding this Submission

“A description of the manner in which the derivatives clearing organization has provided notice of the 

submission to its members and a summary of any views on the submission expressed by the members (a copy of 

the notice to members shall be included with the submission.”

ICE Clear Credit posted a copy of this submission (absent any confidential exhibits) on its public website on 

March 15, 2017. Written comments relating to the submission have not been solicited or received. ICE Clear 

Credit will notify the CFTC of any written comments received by ICE Clear Credit.

**************

Pursuant to applicable law, ICE Clear Credit respectfully requests confidential treatment of the confidential 

exhibits attached as part of this submission and any other information or documents which may at any time be 

submitted in connection with this submission and which may be marked “Confidential” or for which confidential 

treatment may be requested. 

Confidential treatment of the confidential exhibits attached as part of this submission and any subsequent related 

documents is justified under the Freedom of Information Act, 5 U.S.C. § 552, et seq. and the Rules Regarding 

Availability of Information, 12 C.F.R. § 261.15 (2006). The confidential exhibits attached as part of this 

submission contain confidential business and commercial information regarding (together with confidential 

intellectual property) related to ICE Clear Credit’s clearing facility for credit default swaps and ICE Clear Credit’s 

clearing participants, the disclosure of which could have a material adverse effect on, and cause injury to, the 

operations and competitive position of ICE Clear Credit and its clearing participants. We believe that the 

confidential exhibits are entitled to protection pursuant to exemptions (b)(4) and (b)(8) of the Freedom of 

Information Act. In particular, the confidential exhibits provide information that is useful to potential competitors 

and would be competitively harmful to ICE Clear Credit and its clearing participants if disclosed to the public.
Mr. Christopher Kirkpatrick March 15, 2017

Commodity Futures Trading Commission

Page 17

In the event that a determination is made to release any confidential portion of this submission, we respectfully 

request an opportunity to discuss or to revise as appropriate prior to such release.

**************

If you should have any questions or comments, please do not hesitate to contact me at 312-836-6742.

Respectfully submitted,

Eric Nield

General Counsel

Enc: Exhibit A – ICE Clear Credit Rules available at: 

https://www.theice.com/publicdocs/clear_credit/ICE_Clear_Credit_Rules.pdf

Confidential Exhibit B – ICE Clear Credit End-of-Day Price Discovery Policies and Procedures

Confidential Exhibit E – ICE Clear Credit Risk Management Framework

Confidential Exhibit F - ICE Clear Credit Risk Management Model Description Document

Confidential Exhibit G – ICE Clear Credit Risk Management Backtesting Framework

Confidential Exhibit H – ICE Clear Credit Risk Management Stress Testing Framework