Wednesday 26 January 2022

FUTURES MARKET – ICE announces changes to intra-day variation margin procedures

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NEW YORK, US – Effective November 7, 2013, ICE Clear U.S. (ICUS) will institute changes to its intra-day variation margin policies and procedures. ICUS will continue to collect intra-day variation margin losses on futures positions using the same procedure currently in effect but, in addition will also begin crediting clearing members with theirintra-day variation margin gains on futures positions.

The following procedures will be used to determine the amount to pay clearing members that have an intra-day futures variation margin gain:

1. Determine all futures variation margin losses using current procedures (see below);

2. Determine 80% of the futures variation margin gains;

3. Calculate 80% of the total futures variation margin losses from all clearing firms (from Step 1);

4. Sum the 80% of the total futures variation margin gains of all clearing firms (from Step 2);

5. Determine if the total of 80% of the futures variation gains (Step 4) exceeds 80% of the total futures variation margin losses of all clearing firms (Step 3);

a. If 80% of the total variation margin losses (Step 3) exceeds the total of 80% of the total futures variation margin gains (Step 4), pay all the futures variation margin gains to firms.

i. Do not pay any amounts less than $500,000.

b. If 80% of the total variation margin losses (Step 3) are less than the total of 80% of the futures variation margin gains (Step 4), allocate 80% of the total variation margin losses to the clearing members (Step 3) with futures variation margin gains on a pro-rata basis (Step 2).

i. Do not pay any amounts less than $500,000.

ICUS will continue to apply the following policies when determining the amount to be collected from clearing members with futures variation margin losses:

1. Clearing members with over $1 billion in capital will have the following call thresholds:

a. Calls will be issued when a clearing member’s futures variation margin loss exceeds the lesser of

3% of such clearing member’s original margin requirement or $5 million;

b. The minimum call amount will be $500,000.

2. Clearing firms with less than $1 billion in capital will have the following call thresholds:

a. Calls will be issued when futures variation margin loss exceeds the lesser of 3% of such clearing member’s original margin requirement or $500,000;

b. The minimum call amount will be $100,000.

In the event the appropriate threshold described above is breached, and the amount of the variation margin call exceeds the applicable call amount, ICE Clear U.S. will issue a variation call for 100% of the variation margin call amount.

Intra-day variation margin will be paid and collected on US dollar products only.

ICE Clear U.S. reserves the right to make additional margin calls throughout the trading day as market conditions warrant.

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