ICE CLEAR EUROPE List of Permitted Cover and Limits on Collateral September 2017
Permitted Collateral & Haircuts he following table lists the Permitted Cover ICE Clear Europe Members may lodge to meet both CDS Initial Margin and F&O Original Margin and other requirements (e.g. delivery margin and concentration charge etc.). For the avoidance of doubt, Variation Margin must be paid in cash in the currency of the contract. Please note that ICE Clear Europe will only accept USD denominated assets in respect of F&O Original Margin requirements from FCM Clearing Members for 4d(a) and (b) Segregated Customer accounts. Bonds accepted as Permitted Cover must be denominated in the domestic currency of the issuer. Please also note that ICE Clear Europe applies restrictions to the Permitted Cover that can be lodged in respect of Futures & Options and CDS Guaranty Fund requirements. Full details can be found in section 14 of the Finance Procedures: https://www.theice.com/publicdocs/clear_europe/rulebooks/procedures/finance_procedures.pdf Additional Restrictions and Limits In addition to the haircuts and limits listed below, other limits and restrictions are applied to Permitted Cover. Details of these can be found in the ICE Clear Europe Finance Procedures: https://www.theice.com/publicdocs/clear_europe/rulebooks/procedures/finance_procedures.pdf Collateral Haircuts Issuer ickers Maturity Haircut Austria Belgium Canada European Investment Bank (EUR denominated only) Finland France RAGB RAGB RAGB RAGB 7.50% BGB, BGB BGB, BGB BGB, BGB BGB, BGB 7.75% CAN CAN CAN CAN 5.25% EIB EIB EIB EIB 4.75% RFGB RFGB RFGB RFGB 7.75% BF, BNS, FRR BNS, FRR BNS, FRR BNS, FRR 7.75% BKO, BUBILL, DBRI DBRI Page 2
Issuer ickers Maturity Haircut Italy Japan KfW (EUR denominated only) Netherlands Spain Sweden Switzerland United Kingdom USA DBRI 8.25% DBRI 8.25% BOS, BPS, CCS, ICZ BPS, CCS BPS, CCS 3.25% BPS, CCS 11.25% JGB, JDB JGB JGB JGB 5.25% KFW KFW KFW KFW 7.25% DB, NEHER DB, NEHER DB, NEHER DB, NEHER 7.50% SPGB SPGB SPGB 3.25% SPGB 10.00% I I I 4.00% I 4.00% SWISS SWISS SWISS SWISS 6.25%, B I I I 6.00% I 6.00% B, CMB,, F II II II 7.50% II 7.50% Page 3
Other Assets Currency Haircut USD 0.0% Cash GBP 0.0% EUR 0.0% Gold Bullion (USD-denominated) 6.00% Cross Currency Haircuts Additional cross currency haircuts are applied where cash or collateral provided is denominated in a different currency to that of the liability currency. he liability currency is the currency of the Original Margin requirement. Liability Currency Asset Currency Haircut AUD CAD CHF CZK DKK EUR GBP HUF JPY NOK EUR, USD, SEK, CAD 4.50% JPY 5.25% GBP 6.75% CHF 12.00% EUR, USD, SEK, JPY 4.50% CHF 12.50% JPY 11.75% CAD 12.50% GBP, USD 1 SEK 13.50% EUR 14.00% EUR, SEK 4.50% USD 4.75% CAD 5.00% GBP, JPY 5.50% CHF 13.75% CAD, EUR, USD, SEK, JPY 4.50% CHF 14.00% USD, SEK, CAD, JPY 4.50% CHF 14.00% SEK 4.50% CAD, EUR 5.50% USD 7.00% JPY 9.25% CHF 1 CAD, EUR, SEK, USD 4.50% GBP, JPY 5.00% CHF 15.00% CAD, EUR, USD 4.50% SEK 4.75% GBP 9.25% CHF 11.75% CAD, EUR, SEK, USD 4.50% JPY 4.75% GBP 5.75% CHF 11.75% Page 4
Liability Currency Asset Currency Haircut PLN SEK RY USD ZAR CAD, EUR, SEK, USD, GBP 4.50% JPY 5.50% CHF 14.75% CAD, EUR, USD, GBP 4.50% JPY 4.75% CHF 13.50% CAD, USD 4.50% EUR, SEK 5.00% JPY 5.25% GBP 6.00% CHF 13.75% CAD, EUR, JPY, SEK 4.50% GBP 7.00% CHF 1 CAD 5.25% EUR 6.00% USD 6.25% SEK 6.75% GBP 7.25% JPY 8.50% CHF 16.50% Absolute and Relative Limits for Government Bond and Gold Collateral he following table outlines detailed limits and restrictions relating to sovereign and supra-national issued securities and gold: Issuer (ickers) Absolute Limit (mm notional of the currency of the bond) Austria 45 25% Belgium 85 25% Canada 150 25% European Investment Bank 20 25% Finland 35 25% France 500 25% (Absolute limit for tickers: BKO, BUBILL, 800 ) 25% (Absolute limit for ticker: DBRI) 158 Italy 350 25% Japan 100,000 10% KfW 35 25% Netherlands 150 25% Spain 150 25% Sweden 80 25% Switzerland 125 25% Relative Limit (% of otal Margin Requirement) United Kingdom 2,800 25% he lower of 250mm USD or he lower of 250mm USD or Gold 30% of the Clearing Member's 30% of the Clearing Member's total Original Margin total Original Margin requirement. requirement. Page 5