ICE Clear Europe Margin Rates
ICE Clear Europe has entered into an agreement with the CME Group in relation to the use of SPAN4® for margin calculations. The policies and procedures around the calculation of margin rates have been agreed with the Risk Committee.
Contained in the below files are the current SPAN margin parameters for all contracts cleared by ICE Clear Europe together with a list of acceptable collateral. Separate files have been used for the different types of parameter, i.e. one file containing all scanning ranges and a separate file for all inter-month spread charge rates, etc. For inter-month and inter-commodity spread charges details of the tier structure are contained in a separate file.
Use the filter dropdown below to select "Current SPAN Parameter" or "Historic SPAN Parameter". Please also note that the Excel files available below are formatted in strict csv format.
|Scanning ranges and tiering||File contains scanning ranges, tier structures, discount rates and option volatility shifts||15 Apr 2014|
|Inter-month spreads rates||File contains inter-month spread rates (.xls)||15 Apr 2014|
|Strategy spread rates||File contains strategy spread rates (.xls)||15 Apr 2014|
|Inter-commodity spread rates detailed||File contains full inter-commodity spread credit percentages including detailed tier structures and delta ratios (.xls)||15 Apr 2014|
|Inter-commodity spread rates 3-leg overview||File contains a pivot overview of all 3-leg inter-commodity offsets available for all products. The file summarizes the available offsets into a min/max range (.xls)||15 Apr 2014|
|Decomposed contracts margin rates||File contains initial margin rates for spread swap future contracts to which Position Allocation is applied (.xls)||15 Apr 2014|
|Position Allocation||File contains the details of position decomposition mapping for contracts to which Position Allocation is applied (.xls)||15 Apr 2014|
|Deliverable Contracts Security Rates||File contains the buyer and seller security rates for physically deliverable contracts.||10 Oct 2013|
|Acceptable Collateral List||File contains the list of acceptable securities, ISIN's and applicable haircuts (.xls).||09 Nov 2011|
|SPAN Margin Parameter Layout Guide||This document is a guide to the information contained in the SPAN margin files shown above and provides a description of the information held in each column (.pdf)||26 Oct 2012|
* Changes to the SPAN parameters will be reflected in margin calls made on the Effective Date.
Following requests from Clearing Members and market participants, ICE Clear Europe has prepared a SPAN® for ICE Clear Europe Simulation Risk Array File which can be used to determine the preliminary impact of proposed margin rate changes which have been announced but not yet implemented. The SPAN® Simulation Risk Array File, which includes new proposed SPAN® margin parameters, is available here.
For further information or questions, please email email@example.com.