ICE CLEAR EUROPE List of Permitted Cover and Limits on Collateral January 2015 Permitted Collateral & Haircuts The following table lists the Permitted Cover ICE Clear Europe Members may lodge to meet 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 Original Margin requirements from FCM Clearing Members for 4d(a) 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 Collateral Haircuts Issuer Austria Belgium Canada European Investment Bank (EUR denominated only) Finland France Germany Italy Bloomberg Tickers Maturity Haircut RAGB RAGB RAGB RAGB BGB, BGTB BGB, BGTB BGB, BGTB BGB, BGTB CAN CAN CAN CAN EIB EIB EIB EIB RFGB RFGB RFGB RFGB BTF, BTNS, FRTR BTNS, FRTR BTNS, FRTR BTNS, FRTR BKO, BUBILL, DBR, OBL, THA DBR, OBL, THA DBR, OBL, THA DBR, OBL, THA BOTS, BTPS, CCTS, ICTZ BTPS, CCTS BTPS, CCTS BTPS, CCTS ≤ 3 years > 3 years ≤ 7 years > 7 years ≤ 11 years > 11 years ≤ 3 years > 3 years ≤ 7 years > 7 years ≤ 11 years > 11 years ≤ 3 years > 3 years ≤ 7 years > 7 years ≤ 11 years > 11 years ≤ 3 years > 3 years ≤ 7 years > 7 years ≤ 11 years > 11 years ≤ 3 years > 3 years ≤ 7 years > 7 years ≤ 11 years > 11 years ≤ 3 years > 3 years ≤ 7 years > 7 years ≤ 11 years > 11 years ≤ 3 years > 3 years ≤ 7 years > 7 years ≤ 11 years > 11 years ≤ 3 years > 3 years ≤ 7 years > 7 years ≤ 11 years > 11 years 3.0% 3.0% 3.0% 10.0% 4.0% 5.0% 7.0% 11.0% 4.0% 4.0% 15.0% 15.0% 3.0% 3.0% 3.0% 8.0% 3.0% 3.0% 5.0% 10.0% 3.0% 3.0% 6.0% 10.0% 3.0% 3.0% 6.0% 10.0% 6.0% 7.0% 9.0% 15.0% 2|Page Issuer Japan KfW (EUR denominated only) Netherlands Spain Sweden Switzerland United Kingdom USA Bloomberg Tickers Maturity Haircut JGB, JTDB JGB JGB JGB KFW KFW KFW KFW DTB, NETHER DTB, NETHER DTB, NETHER DTB, NETHER SPGB SPGB SPGB SPGB SGB SGB SGB SGB SWISS SWISS SWISS SWISS UKT, UKTB, UKTI UKT, UKTI UKT, UKTI UKT, UKTI B, CMB, T, TII T, TII T, TII T, TII ≤ 3 years > 3 years ≤ 7 years > 7 years ≤ 11 years > 11 years ≤ 3 years > 3 years ≤ 7 years > 7 years ≤ 11 years > 11 years ≤ 3 years > 3 years ≤ 7 years > 7 years ≤ 11 years > 11 years ≤ 3 years > 3 years ≤ 7 years > 7 years ≤ 11 years > 11 years ≤ 3 years > 3 years ≤ 7 years > 7 years ≤ 11 years > 11 years ≤ 3 years > 3 years ≤ 7 years > 7 years ≤ 11 years > 11 years ≤ 3 years > 3 years ≤ 7 years > 7 years ≤ 11 years > 11 years ≤ 3 years > 3 years ≤ 7 years > 7 years ≤ 11 years > 11 years 3.0% 3.0% 3.0% 5.0% 3.0% 3.0% 3.0% 6.5% 3.0% 3.0% 6.0% 10.0% 4.0% 7.0% 9.0% 18.0% 3.0% 3.0% 6.0% 10.0% 4.0% 4.0% 12.0% 16.0% 3.0% 3.0% 6.0% 10.0% 3.0% 4.0% 8.0% 15.0% Currency Haircut USD GBP EUR 0.0% 0.0% 0.0% 12.0% Other Assets Cash Gold Bullion (USD-denominated) 3|Page Cross Currency Haircuts Liability currency is the currency of the margin requirement. Liability Currency CAD CHF CZK DKK EUR GBP HUF JPY NOK PLN SEK TRY USD ZAR Asset Currency EUR, GBP, USD JPY SEK CHF JPY SEK CAD, EUR, GBP, USD EUR GBP CAD, CHF, JPY, SEK, USD GBP, USD CAD, CHF, EUR, JPY, SEK SEK CAD GBP, USD JPY CHF CAD EUR, SEK, USD JPY CHF CAD, CHF, EUR, GBP, JPY, SEK USD USD CAD, CHF, SEK EUR GBP EUR GBP CAD, CHF, JPY, SEK, USD CAD, CHF, EUR, GBP, JPY, SEK USD EUR GBP, JPY CAD, USD CHF CAD, CHF, JPY, SEK EUR GBP, USD CAD, JPY EUR, GBP SEK CHF CAD, CHF, JPY, SEK GBP EUR USD Haircut 5.0% 6.0% 7.0% 10.0% 6.0% 8.0% 10.0% 4.5% 5.0% 6.0% 4.5% 6.0% 4.5% 5.0% 6.0% 7.0% 10.0% 5.0% 6.0% 9.0% 10.0% 6.0% 7.0% 5.0% 6.0% 7.0% 9.0% 4.5% 5.0% 6.0% 6.0% 8.0% 4.5% 6.0% 7.0% 8.0% 6.0% 7.0% 10.0% 5.0% 6.0% 7.0% 10.0% 6.0% 7.0% 8.0% 10.0% 4|Page Additional Restrictions and Limits In addition to the haircuts listed above, additional 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 Absolute and Relative Limits for Government Bond and Gold Collateral The following table outlines detailed limits and restrictions relating to sovereign issued securities and gold: Absolute Limit (mm notional of the currency of the bond) Relative Limit (% of Total Margin Requirement) Austria 45 25% Belgium 85 25% Canada 150 25% European Investment Bank 20 25% Finland 35 25% France 500 25% Germany 800 25% Italy 350 25% Japan 100,000 10% KfW 35 25% Netherlands 150 25% Spain 150 25% Sweden 80 25% Switzerland 125 25% United Kingdom 2,800 25% Gold The lower of 250mm USD or 30% of the Clearing Member's total Original Margin requirement. The lower of 250mm USD or 30% of the Clearing Member's total Original Margin requirement. Issuer 5|Page
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