SUBMISSION COVER SHEET

SUBMISSION COVER SHEET
Registered Entity Identifier Code (optional) ICC
Date: January 17, 2014
I M P O R T A N T : CHECK BOX IF CONFIDENTIAL TREATMENT IS REQUESTED.
ORGANIZATION
FILING AS A:
ICE Clear Credit LLC
DCM
SEF
DCO
SDR
ECM/SPDC
TYPE OF FILING
 Rules and Rule Amendments
Certification under § 40.6 (a) or § 41.24 (a)
“Non-Material Agricultural Rule Change” under § 40.4 (b)(5)
Notification under § 40.6 (d)
Request for Approval under § 40.4 (a) or § 40.5 (a)
Advance Notice of SIDCO Rule Change under § 40.10 (a)
 Products
Certification under § 39.5(b), § 40.2 (a), or § 41.23 (a)
Swap Class Certification under § 40.2 (d)
Request for Approval under § 40.3 (a)
Novel Derivative Product Notification under § 40.12 (a)
RULE NUMBERS
Risk parameters established by ICC
DESCRIPTION
The purpose of this notification is to provide notice of any changes to the risk parameters established by ICC
in consultation with the ICC Risk Committee, ICC Trading Advisory Committee and/or ICC Risk Working
Group.
www.theice
e.com
Michelle We
eiler
Assistant Ge
eneral Counsel
January 17,, 2014
Re: Weekly Notification of R
Rule Amendm
ments
pdates to Ris
sk Parameters Establishe
ed by
– Up
ICC Pursuant to Section 5c(c)(1) off the
Com
mmodity Exc
change Act and Commis
ssion
Reg ulation 40.6((d)
VIA E-MA
AIL
Ms. Melissa Jurgens
Secretary
y
Commodity Futures Trading Commission
Three Laffayette Centre
e
1155 21st Street, NW
Washingto
on, D.C. 2058
81
Dear Ms. Jurgens:
ICE Clearr Credit (“ICC
C”) hereby su
ubmits, pursuant to Sectio
on 5c(c)(1) off the Commo
odity Exchang
ge Act
and Com
mmodity Futures Trading Commission
n (“Commiss ion”) Regula
ation 40.6(d),, a notification of
changes to risk param
meters established by ICC
C in consulta
ation with the ICC Risk C
Committee, Trrading
Advisory Committee
C
and/or Risk Working
W
Group
p. ICC is regisstered with th
he Commissio
on as a derivatives
clearing organization.
o
The purpo
ose of this notification is to
o report any changes to the
e risk parame
eters establish
hed by ICC. D
During
the week ending Janua
ary 17, 2014, changes werre made to the
e following pa
arameters:
s for NA credit indices
 bid/offer widths
K
ran
nk-order corre
elations for NA and Europe
ean risk facto
ors
 KendallTau
 MAD
M
estimates
s (inclusive off EWMA) for NA and Euro pean risk facttors
 le
eft and right ta
ail parameters
s for NA and European riskk factors
 minimum,
m
max
ximum and im
mplied recoverry rates for Eu
uropean singlle names
ICC has posted
p
a copy
y of this subm
mission on its website
w
conc urrent with this filling.
ICC would
d be pleased to respond to
t any questio
ons the Comm
mission or the staff may h
have regardin
ng this
submissio
on. Please dirrect any ques
stions or requests for inform
mation to the
e attention of tthe undersign
ned at
michelle.w
[email protected]
e.com or (312
2) 836-6884.
Sincerely,,
Michelle Weiler
W
Assistant General Counsel
cc:
Ju
ulie Mohr, Co
ommodity Futu
ures Trading Commission (by email)
Kate
K
Meyer, Commodity Fu
utures Trading
g Commission
n (by email)
Stan Ivanov, IC
CE Clear Credit (by email)
Jo
ose Marquez, ICE Clear Credit
C
(by ema
ail)
Eric Nield, ICE
E Clear Creditt (by email)
s, ICE Clear Credit
C
(by email)
Sarah Williams
Interco
ontinentalExch
hange
353 North
h Clark, Suite
e 3100
Chicago, IL 6
60654