The ICE Clear Europe Risk Committees comprise up to 15 members, including up to 10 clearing member representatives. The role of the Risk Committees includes:
- Ensuring that the clearing house maintains and implements procedures, processes and controls which are designed to:
- Protect the integrity of the guaranty fund;
- Manage and mitigate credit and market risks;
- Consider applications for membership; and
- Review the clearing of new products
ICE operates separate Risk Committees for each Risk Management Model. The Futures and Options Risk Committee covers ICE's exchange traded energy business (including ICE Endex energy derivatives) and NYSE Liffe futures and options and a CDS Risk Committee covering ICE's European credit default swaps business.
Futures and Options Guaranty Fund
In order to ensure that ICE Clear Europe has sufficient capital as one of the world's leading cross-asset clearing houses, ICE Clear Europe has established a mutualised guaranty fund for all ICE and NYSE Liffe futures and options contracts. The size of the fund is based on levels of volatility and open positions. The combined ICE Energy and NYSE Liffe futures and options guaranty fund requirement is shown in the following table:
|Futures and Options Guaranty Fund Requirement||$ million|
|Clearing Participant Guaranty Fund Contributions||1,450|
|ICE Clear Europe (Designated Corporate) Contributions||100|
|Minimum Total Assets Available||1,550|
The contribution of each clearing member is determined by historic trading volumes and open positions, but ICE has also committed to make a contribution of U.S. $50 million which sits in front of members' obligations. An additional contribution of up to U.S. $50 million is available and this will sit pari passu with clearing members' contributions. Powers of assessment can be used by ICE Clear Europe in addition to the guaranty fund.
OTC Guaranty Funds
ICE Clear Europe has established a separate guaranty fund for European credit default swaps. The size of the CDS guaranty fund is based on levels of volatility and open positions; the CDS guaranty fund requirement is shown in the following table:
|CDS Guaranty Fund Requirement*||$ million|
|Clearing Participant Guaranty Fund Contributions||1,255|
|ICE Clear Europe (Designated Corporate) Contributions||10|
|Minimum Total Assets Available||1,265|
A list of permitted cover for clearing members' contributions is available in the Treasury and Banking section.
ICE Clear Europe has an agreement with the CME Group that permits the clearing house to use SPAN4® for futures and options margin calculations. The policies and procedures around the calculation of margin rates were finalized in cooperation with the Risk Working Group. A list of permitted cover for clearing members which can be used for margin payments, together with rate of return and/or charges has been published. Margin calculations for ICE's European credit default swaps business are based on a separate methodology which uses a combination of two margin approaches: scenario-based stress tests and Monte Carlo simulations.
SPAN® is a registered trademark of Chicago Mercantile Exchange Inc., used herein under licence. Chicago Mercantile Exchange Inc. assumes no responsibility in connection with the use of SPAN.