ICE Clear Credit Proposes Updates to Collateral Risk Management Framework

ICE Clear Credit LLC ("ICC"), a derivatives clearing organization ("DCO") proposed updates to its collateral risk management framework related to collateral haircuts and back-testing procedures.

In its filing, ICC stated that the amendments are intended to address independent validator recommendations and update the framework to reflect current practices. The DCO emphasized that these changes provide greater transparency regarding its quantitative risk management approach but do not fundamentally alter its methodology for setting collateral haircuts.

Specifically, the proposal would: (i) remove outdated references to multiple risk measures, clarifying that ICC utilizes "Expected Shortfall" rather than "Value-at-Risk" to determine haircut factors; (ii) codify the practice of rounding haircut factors, including the use of specific rounding intervals to ensure stability and conservative bias between periodic reviews; and (iii) refine the description of back-testing analysis, specifically explaining the rationale for selecting "lookback periods" and the procedures for addressing new observed exceedances.

Comments on the proposal must be submitted on or before February 3, 2026.