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October 16, 2023

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 40 of the CDX Emerging Markets 

(“EM”) High Yield (“HY”) and Investment Grade (“IG”) Sub-Indices maturing on December 20, 2028, 

(the “Sub-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 Sub-Indices have constituent reference obligations that are sovereign bonds.

Region

The Sub-Indices are composed of sovereign issuers from three regions: (i) Latin America 

(“Latam”); (ii) Eastern Europe, the Middle East and Africa (“EEMEA”); and (iii) Asia.

Rating

The CDX EM HY Sub-Index is composed of sub-investment grade sovereign issuers. The CDX 

EM IG Sub-Index is composed of investment grade sovereign issuers.

Spread Level

Not applicable. Applicable only when spread level selection criteria are used to determine 

constituents of an index.
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Table 1

Index Classification

Sub-Index Name

Swap

Type Region Rating Spread

Level Series Maturity (Tenor)Currency

Sovereign 

Bonds

Latam, EEMEA, AsiaEmerging 

Markets

[n/a] CDX.EM.IG.S40

V1

40 12/20/2028 5Y USD

Sovereign 

Bonds

Latam, EEMEA, Asia Emerging 

Markets

[n/a] CDX.EM.HY.S40

V1

40 12/20/2028 5Y USD

§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 Indices 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 provides data describing the adequacy of end-of-day pricing data for the Submitted Swaps. 

Three columns identify the Submitted Swaps by index, series and tenor. 

The Sub-Indices became available for trading on September 27, 2023 and were launched in response to 

market participant’s requests to have the ability to trade the sub-investment and investment grade 

components of the flagship CDX.EM index separately.

ICE Clear Credit’s rules require its Clearing Participants (“CPs”) to submit end-of-day pricing data for any 

swap for which they have a relevant cleared interest. ICE Clear Credit recently demonstrated the ability of 

CPs to provide end-of-day price discovery submissions for the Sub-Indices. Price collection started the 

week of October 2, 2023, in which ICE Clear Credit asked all 30 of its CPs to provide submissions for all 

Sub-Indices. Table 2 summarizes the results of the price collection period. The first column provides the 

number of CPs providing submissions. The second column provides the average dispersion of submissions. 

For the purposes of this analysis, ICE Clear Credit defines dispersion as the difference between the highest 

and lowest quoted mid-levels after removing the quotes with the top 25% and bottom 25% mid-levels. The 
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table expresses dispersion as a percentage of the bid-offer width (“BOW”) established each day for the 

given swap by ICE Clear Credit.

Table 2

Index Series Tenor

ICC EOD Price Collection Summary1

CPs Providing Submissions Average Dispersion

(% of ICE BOW)2

CDX.EM.IG S40 V1 40 5Y 17 13%

CDX.EM.HY S40 V1 40 5Y 17 17%

(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.ice.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 

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 CPs. As of October 6, 2023, ICE Clear Credit lists 6,140 CDS 

instruments for clearing. As of October 6, 2023, ICE Clear Credit has cleared approximately 7,230,749

trades representing over $201.9 trillion of gross notional value, resulting in open interest of $1.7 trillion 

(additional ICE Clear Credit’s statistics may be viewed at https://www.ice.com/clear-credit). 

The following financial institutions have been approved as ICE Clear Credit CPs: Bank of America, N.A., 

Barclays Bank PLC, Barclays Capital Inc., BofA Securities, 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, Goldman Sachs & Co. LLC, Goldman Sachs International, HSBC Bank 

USA, N.A., HSBC Bank plc, HSBC Securities (USA) Inc., Intesa Sanpaolo S.p.A, J.P. Morgan Chase Bank, 

National Association, J.P. Morgan Securities LLC, Merrill Lynch International, 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 June 30, 2023, ICE Clear Credit’s margin on deposit is approximately 

$57.4 billion and Guaranty Fund amount is approximately $3.6 billion. On a daily basis, ICE Clear Credit 

processes millions of dollars in settlements. 

1 Price collection period started the week of October 2, 2023. 2 Average Dispersion calculated using Affiliate Group submissions.
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(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 Swaps is believed to be material 

for the following reasons: 

• 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.

(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 CP with regard to the treatment of house and customer positions, funds and property in 

connection with the clearing of the Submitted Swaps. 

ICE Clear Credit’s CPs 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 

CP 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 CP in accordance with its rules. With respect to customer positions, 

which must be carried through an FCM CP, 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 CP and/or, in appropriate circumstances, 

facilitate a transfer of such positions to another, solvent CP. 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 
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for the termination of all outstanding contracts and the application and/or return of remaining member and 

customer property to CPs 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. 

26C. CDX Untranched Emerging Markets.

The rules in this Subchapter 26C apply to the clearance of CDX.EM Untranched Contracts.

26C-102. Definitions.

CDX.EM Untranched Contract

A credit default swap in respect of any Eligible CDX.EM Untranched Index and governed by any 

CDX.EM Untranched Terms Supplement. A CDX.EM Untranched Contract is a CDS Contract for 

purposes of Chapter 20.

CDX.EM Untranched Publisher

Markit North America, Inc., or any successor sponsor of the Eligible CDX.EM Untranched Indexes 

it publishes.

CDX.EM Untranched Rules

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

provisions of this Subchapter 26C.

CDX.EM Untranched Terms Supplement

Each of the following:

(a) The “CDX Emerging Markets Untranched Transactions Standard Terms Supplement”, as 

published by Markit North America, Inc. on January 31, 2011 (the “2011 Supplement”).

(b) The “CDX Emerging Markets Legacy Untranched Transactions Standard Terms 

Supplement”, as published on or about September 20, 2014 (the “Legacy 2014 

Supplement”).

(c) The “CDX Emerging Markets Untranched Transactions Standard Terms Supplement”, as 

published on or about September 20, 2014 (the “New 2014 Supplement”, and together 

with the Legacy 2014 Supplement, the “2014 Supplements”).
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(d) Such other supplement as may be specified in relation to any Eligible CDX.EM Untranched 

Index by ICE Clear Credit, including any successor to any of the documents listed in 

subparagraphs (a), (b) or (c) of this definition.

Eligible CDX.EM Untranched Index

Each particular series and version of a CDX.EM index or sub-index, as published by the CDX.EM 

Untranched Publisher, determined by ICE Clear Credit to be eligible and included in the List of 

Eligible CDX.EM Untranched Indexes.

List of Eligible CDX.EM Untranched Indexes

The list of Eligible CDX.EM 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 CDX.EM 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 CDX.EM Untranched Terms Supplement

With respect to an Eligible CDX.EM Untranched Index, the CDX.EM Untranched Terms 

Supplementspecified for such Eligible CDX.EM Untranched Index in the List of Eligible CDX.EM 

Untranched Indexes.

26C-309. Acceptance of CDX.EM Untranched Contracts by ICE Clear Credit.

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

CDX.EM Untranched Contract, and any such Trade shall not be a Conforming Trade, if the 

Novation Time would be:

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

to such CDX.EM 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 CDX.EM Untranched Contract;

(such time with respect to any CDX.EM Untranched Contract, the “Clearance Cut-off 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 
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clauses (i) or (ii) above as the Clearance Cut-off Time with respect to any CDX.EM Untranched 

Contract. CDS Participants may again submit Trades for clearance as such CDX.EM 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 26C-316) has occurred with respect to such 

CDX.EM 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.

26C-315. Terms of the Cleared CDX.EM Untranched Contract.

(a) Any capitalized term used in this Subchapter 26C but not defined in these CDX.EM Untranched 

Rules shall have the meaning provided in the Relevant CDX.EM Untranched Terms Supplement.

(b) For purposes of the CDS Committee Rules, the CDS Region for each CDX.EM Untranched 

Contract is the North American Region for Latin American Reference Entities, the European 

Region for European Reference Entities and the Asian Region for Asian Reference Entities (or for 

an issue not specific to a particular Reference Entity, the North American Region).

(c) Each CDX.EM Untranched Contract will be governed by the Relevant CDX.EM Untranched 

Terms Supplement, as modified by these CDX.EM Untranched Rules. In the event of any 

inconsistency between the Relevant CDX.EM Untranched Terms Supplement or the Confirmation 

(including in electronic form) for a CDX.EM Untranched Contract and these CDX.EM Untranched 

Rules, these CDX.EM Untranched Rules will govern.

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

Succession Event; Updating Relevant Untranched Standard Terms Supplement.

(a) Where the CDX.EM Untranched Publisher of an Eligible CDX.EM 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 a Succession Date with respect 

to a Reference Entity included in such series, and the Board or its designee determines that 

CDX.EM Untranched Contracts referencing the earlier version or annex of such series are fungible 

with CDX.EM Untranched Contracts referencing a later version or annex of such series that is an 

Eligible CDX.EM Untranched Index and so notifies CDS Participants, CDX.EM Untranched 

Contracts referencing the earlier version or annex of such series shall become CDX.EM Untranched 

Contracts referencing such later version or annex of such series on the date determined by the Board 

or its designee (the “CDX.EM Fungibility Date”). Any CDX.EM Untranched Contracts 

referencing the earlier version or annex of such series submitted for clearing after the related 

CDX.EM Fungibility Date shall, upon acceptance for clearing, become a CDX.EM 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 CDX.EM Untranched Terms Supplement (a “New CDX.EM Standard 

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

the Relevant CDX.EM Untranched Terms Supplement for any CDX.EM Untranched Contract(s) 

(the “Existing CDX.EM Standard Terms”), and the Board or its designee determines that 

CDX.EM Untranched Contracts referencing the Existing CDX.EM Standard Terms are fungible 

with CDX.EM Untranched Contracts referencing the New CDX.EM Standard Terms, and so 

notifies CDS Participants, CDX.EM Untranched Contracts referencing the Existing CDX.EM 
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Standard Terms shall become CDX.EM Untranched Contracts referencing the New CDX.EM 

Standard Terms on the date determined by the Board or its designee (the “CDX.EM Standard 

Terms Update Date” and each prior CDX.EM Untranched Terms Supplement subject to such 

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

CDX.EM Standard Terms submitted for clearing as a CDX.EM Untranched Contract shall, upon 

acceptance for clearing, become a CDX.EM Untranched Contract referencing the New CDX.EM 

Standard Terms.

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

Update Date applicable to individual CDX.EM Untranched Contracts or groups of CDX.EM 

Untranched Contracts or may determine a Fungibility Date or CDX.EM Standard Terms Update 

Date applicable to all CDX.EM Untranched Contracts referencing the earlier version or annex of a 

series or standard terms 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 CDX.EM 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 CDX.EM Untranched Indexes in 

lieu of the Relevant CDX.EM Untranched Terms Supplement in effect prior to such date. The 

amendments made by this Rule 26C-316(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.

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

Positions in CDX.EM Contracts with a Component Transaction for which the Reference Entity is 

the Bolivarian Republic of Venezuela, effective as of October 20, 2017 (or such later date as may 

be designated by ICE Clear Credit Circular) (the “Venezuela Additional Provisions Effective 

Date”) and without need for further action or determination by the Board, the terms of each such 

Component Transaction will be deemed amended such that (i) the Additional Provisions for Certain 

Venezuelan Entities: Excluded Obligation and Excluded Deliverable Obligations, as published by 

ISDA on September 19, 2017, shall apply to such Component Transaction and (ii) such Component 

Transaction references the Credit Derivatives Physical Settlement Matrix with a date of September 

19, 2017. The amendments made by this Rule 26C-316(e) shall apply as of the Venezuela 

Additional Provisions Effective Date regardless of whether any relevant transaction record in 

Deriv/SERV is updated to reflect such amendments.

26C-317. Terms of CDX.EM Untranched Contracts.

With respect to each CDX.EM Untranched Contract, the following terms will apply:

(a) The following provisions will apply to each CDX.EM Untranched Contract or component thereof 

to which the 2003 Definitions apply under the Relevant CDX.EM Untranched Terms Supplement. 

For purposes of this Chapter 26C only, references to the 2003 Definitions shall not include the 2005 

Matrix Supplement.

(i) Section 3.2(c)(i) of the Credit Derivatives 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):
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“(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 CDX.EM 

Untranched Contracts; or”.

(ii) Intentionally omitted.

(iii) 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 (A) a Credit Event Resolution Request Date occurs or (B) 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.

(iv) Section 6.8 of the CDX.EM Untranched Terms Supplement is hereby modified by inserting 

“or a Succession Event Notice is deemed delivered pursuant to Rule 2101-02(f), in either 

case” before the words “before June 20, 2009”.

(v) Except for purposes of Rule 26C-317(a)(iii) and Section 1.23 of the Credit Derivatives 

Definitions, a Credit Event Notice and Notice of Publicly Available Information with 

respect to a CDX.EM 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 CDX.EM Untranched Contract. 

Notwithstanding anything to the contrary in the Credit Derivatives Definitions or the 

Relevant CDX.EM 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 26C-317(e) 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 6.9 of the CDX.EM Untranched Terms 

Supplement shall not apply.

(vi) (A) Section 1.8(a)(ii)(A)(I)(3)(y) of the Credit Derivatives 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”.

(B) Section 1.30 of the Credit Derivatives 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”.
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(vii) With respect to CDX.EM Untranched Contracts for which it is Resolved by the applicable 

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 Credit 

Derivatives 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 Credit Derivatives Definitions.

(b) The following provisions will apply to each CDX.EM Untranched Contract or component thereof 

to which the 2014 Definitions apply under the Relevant CDX.EM 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 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 CDX.NA 

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 CDX.EM 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 CDX.EM Untranched Contract. Notwithstanding anything 

to the contrary in the 2014 Definitions or the Relevant CDX.EM 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 26C-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 5.9 of the Legacy 2014 Supplement and Section 5.8 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 CDX.EM 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 
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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 CDX.EM Untranched Contracts will be Auction Settlement 

and the Fallback Settlement Method will be Physical Settlement in accordance with the CDS 

Physical Settlement Rules.

(d) ICE Clear Credit is deemed an Index Party for purposes of the CDX.EM Untranched Terms 

Supplement.

(e) Notwithstanding anything to the contrary in the Relevant CDX.EM 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).

(f) The following terms will apply to each CDX.EM 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 CDX.EM 

Untranched Terms Supplement).

(iii) The “Effective Date” is the date specified in the List of Eligible CDX.EM 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 CDX.EM 

Untranched Terms Supplement prior to the 2014 Supplements).

(vi) “De Minimis Cash Settlement” is not applicable.

(vii) The “Fixed Rate” is the rate specified in the List of Eligible CDX.EM 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 CDX.EM 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 CDX.EM Untranched Contract is accepted for clearing pursuant to Rule 309.

(g) For each CDX.EM Untranched Contract, the following terms will be determined according to the 

particular CDX.EM Untranched Contract submitted for clearing:
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(i) Which of the Eligible CDX.EM Untranched Indexes is the “Index”.

(ii) The “Annex Date”.

(iii) The “Trade Date”.

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

Eligible CDX.EM 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.

§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.”

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

ICE Clear Credit Risk Management Model Description attached hereto as Confidential Exhibit D.

See the ICE Clear Credit Risk Management Back-Testing Framework attached hereto as Confidential 

Exhibit E.

See the ICE CDS Clearing: Stress-Testing Framework attached hereto as Confidential Exhibit F.
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See the ICE Clear Credit Clearing Participant Default Management Procedures attached hereto as 

Confidential Exhibit G.

§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 

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 C. See the 

ICE Clear Credit Risk Management Model Description attached hereto as Confidential Exhibit D.

§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 October 16, 2023. 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 (together with 

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

ICE Clear Credit’s CPs, 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 CPs. 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 CPs if disclosed to the public. 

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.

**************
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If you should have any questions or comments, please do not hesitate to contact me at 904-855-5580.

Respectfully submitted,

 

Olivia Bazor

Staff Attorney

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

https://www.ice.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 C – ICE Clear Credit Risk Management Framework 

Confidential Exhibit D – ICE Clear Credit Risk Management Model Description 

Confidential Exhibit E – ICE Clear Credit Risk Management Back-Testing Framework

Confidential Exhibit F – ICE CDS Clearing: Stress-Testing Framework

Confidential Exhibit G – ICE Clear Credit Clearing Participant Default Management Procedures