Voglio sapere a riguardo di…

Federal Register / Vol. 86, No. 43 / Monday, March 8, 2021 / Notices Basis Risk Requirements The Parameters Procedures would discuss how the Clearing Houses Risk Department maintains and monitors hypothetical portfolios representing basis trades between cleared index and single-name instruments. Basis risk is calibrated by comparing the P/Ls of such portfolios to estimated IM
requirements, excluding any concentration charges.
Interest Rate Sensitivity Requirements The Parameters Procedures would contain information on the estimation and the review of the parameters that serve as inputs to the IR sensitivity component of the risk model. The IR
sensitivity component accounts for the risk associated with changes in the default-free discount term structure used to price CDS instruments. With respect to the IR sensitivity requirement parameters, the Parameters Procedures would specify how the risk department estimates the up and down parallel shifts for the US Dollar and Euro default-free discount term structures.
The Parameters Procedures would direct ICE Clear Europe to estimate and review the IR sensitivity requirement parameters at least monthly.

jbell on DSKJLSW7X2PROD with NOTICES

Liquidity Charge The Parameters Procedures would explain the process of setting and reviewing parameters for the liquidity charge component of the risk model.
With respect to index instruments, the Parameters Procedures would address the determination of bid/offer parameters from the default spread width matrix and other assumptions about liquidation cost of an index portfolio, and address procedures for review of that matrix. The Parameters Procedures would also describe the parameters used in determining bid/
offer widths for single names, including the use of price-based floor levels and spread-based volatility measures. The Parameters Procedures require the Clearing House to review the liquidity charge parameters at least monthly.
Concentration Charge The Parameters Procedures would discuss the estimation and the review of the concentration charge parameters, including detailing how the Risk Department establishes series-specific or SN-specific concentration charge threshold levels for each index or SN
Risk.
Factor RF, and how the Risk Department estimates concentration charge growth rates that determine how quickly concentration charges increase with position size. The Parameters
VerDate Sep<11>2014

19:05 Mar 05, 2021

Jkt 253001

Procedures direct the Clearing House to estimate and review the concentration charge parameters at least monthly.
Sensitivity Analysis The Parameters Procedures would detail the sensitivity analyses that the Clearing House performs to explore the sensitivity of the RM systems outputs to certain model core parameters that are calibrated on an ad-hoc basis and to alternative data analyses and parameter estimation techniques. The Parameters Procedures also provide for summary reports of relevant analyses to be provided to the Risk Oversight Department or other relevant groups.
Portfolio Benefits Parameters The portfolio benefits parameters control portfolio benefits during the computation of the SR with the stress based VaR approach. The Parameters Procedures would describe the methods for monitoring the benefits and performing sensitivity analysis of potential parameter changes that would reduce benefits.
Dependence Structure Shifts The Parameters Procedures also address sensitivity analysis of portfolio benefits implemented during the computation of the SR under the MC
simulation approach, based on different dependence structures. The approach is intended to guide the Risk Department in situations where back-testing results indicate excessive portfolio benefits.
SWWR Threshold Shift The Parameters Procedures would address sensitivity analysis with respect to model parameters that control the permitted level of index derived SWWR, to provide guidance to the Risk Department in situations when a decision to fully collateralize SWWR is made upon a consultation with the Model Oversight Committee and the Product Risk Committee.
GWWR Correlation Shifts Sensitivity analysis also considers GWWR arising from Clearing Members exposed to Western European Sovereigns when the Kendall tau rankorder correlation between the Member and the Sovereign entity is above a threshold. The sensitivity analysis would be to provide guidance to the risk departments in situations when an increase of the dependence among members and sovereigns might lead to changes in risk requirements.
MAD Level Shifts The Parameters Procedures would describe sensitivity analysis on MAD

PO 00000

Frm 00147

Fmt 4703

Sfmt 4703

13425

levels, which is performed by shifting all MAD estimates to their stress levels to provide information about the response of risk requirements to potential volatility shifts and to assess the viability of certain parameter-setting assumptions. This sensitivity analysis would be to provide guidance to the Risk Department about potential risk requirement changes in stress periods due to increase in volatility shifts.
EWMA Sensitivity Analysis The Parameters Procedures would address sensitivity analysis relating to the setting of the exponentially weighted moving average EWMA
decay rate EWMA factor, which may affect the procyclicality of the model.
Statutory Basis ICE Clear Europe believes that the amendments to the Documents and the adoption of the Parameters Procedures are consistent with the requirements of Section 17A of the Act 4 and the regulations thereunder applicable to it.
In particular, Section 17Ab3F of the Act 5 requires, among other things, that the rules of a clearing agency be designed to promote the prompt and accurate clearance and settlement of securities transactions and, to the extent applicable, derivative agreements, contracts, and transactions, the safeguarding of securities and funds in the custody or control of the clearing agency or for which it is responsible, and the protection of investors and the public interest.
The amendments to the Documents and the adoption of the Parameters Procedures are generally designed to enhance and clarify the descriptions of key ICE Clear Europe risk models and documentation used in determining CDS margin and GF requirements, particularly in the CDS Risk Policy, CDS
Risk Model Description and CDS Endof-Day Pricing Policy. Although these changes are largely not intended to represent a change in Clearing House practices, they should enhance the clarity and ongoing monitoring and implementation of these policies. The amendments also make a number of changes to the CDS Stress Testing Policy, which are intended to add new stress scenarios relating to the COVID
19 pandemic, in light of experience in early 2020, and clarify more generally that certain extreme scenarios should not be limited to scenarios relating to the Lehman Brothers default. The amendments also adopt a new set of Parameters Procedures, which is 4 15
5 15

U.S.C. 78q1.
U.S.C. 78q1b3F.

E:FRFM08MRN1.SGM

08MRN1