On Oct. 9, ICE CEU proposed rule on model parameter changes.
ICE CEU issued a self-certification of amendments to its Model Risk Policy.
Amendments revise procedures relating to model parameter changes to add a de minimis classification for changes to non-Business As Usual (BAU) parameters.
Rule Amendments
Adds a de minimis classification for changes to non-BAU parameters.
Such changes below the de minimis threshold will require approval by the President, Chief Risk Officer and relevant department head or their delegates.
Clarifies that only significant changes to non-BAU parameters must be reviewed by the Board Risk Committee and approved by the Board.
Provides additional clarification as to when deviation from the Model Risk Policy is appropriate for risk management or market stability purposes.
Specifically, defines types of emergency situations that may warrant such response, such as risk of immediate, destabilizing effect on clearing members, financial markets.
Any such deviation may remain in effect only while the conditions giving rise to the emergency continue.
ICE CEU should subsequently notify the appropriate regulators of any override or change made to the Policy pursuant to the exception handling section.
Changes to the significance assessment framework in the appendix to the policy.
Classification of certain qualitative changes to ICE CEU models and parameters as significant will be documented, along with higher level of review and approval.
Certain other changes and clarifications to the significance thresholds relating to margin components, portfolio offsets, stress testing, and liquidity stress testing.
New de minimis threshold table for model and parameter changes.
Changes that meet certain conditions, such as not having greater than a +/-2% impact on total pre-funded financial resources, will be considered de minimis changes.
Lookback period for significance testing should be aligned to applicable regulatory requirements where data is available.
Otherwise, impact assessment conducted as feasible considering availability of data.
Effectiveness
Change effective first day following 10th business day after submission, Oct. 24, 2026.
