We operate six clearing houses, each of which acts as a central counterparty that becomes the buyer to every seller and the seller to every buyer for its clearing members. Through this central counterparty function, the clearing houses provide financial security for each transaction for the duration of the position by limiting counterparty credit risk.

Our clearing houses are responsible for providing clearing services to each of our futures exchanges, and in some cases outside of our execution venues, and are as follows, referred to herein collectively as "the ICE Clearing Houses":



Clearing House	Products Cleared	Exchange where Executed	Location
ICE Clear Europe	Energy, agricultural, interest rates and equity index futures and options contracts and OTC European CDS instruments	ICE Futures Europe, ICE Futures U.S., ICE Endex and third-party venues	U.K.
ICE Clear U.S.	Agricultural, metals, FX and equity index futures and options contracts and digital assets futures contracts	ICE Futures U.S.	U.S.
ICE Clear Credit	OTC North American, European, Asian-Pacific and Emerging Market CDS instruments	Creditex, OTC and third-party venues	U.S.
ICE Clear Netherlands	Derivatives on equities and equity indices traded on regulated markets	ICE Endex	The Netherlands
ICE Clear Singapore	Energy, metals and financial futures products and digital assets futures contracts	ICE Futures Singapore	Singapore
ICE NGX	Physical North American natural gas, electricity and oil futures	ICE NGX	Canada

Each of the ICE Clearing Houses generally requires all clearing members or participants to deposit collateral in cash or certain pledged assets. The collateral deposits are known as “original margin.” In addition, the ICE Clearing Houses may make intraday original margin calls in circumstances where market conditions require additional protection. The daily profits and losses to and from the ICE Clearing Houses due to the marking-to-market of open contracts is known as “variation margin.” With the exception of ICE NGX’s physical natural gas and physical power products discussed separately below, the ICE Clearing Houses mark all outstanding contracts to market, and therefore pay and collect variation margin, at least once daily.

The amounts that the clearing members and participants are required to maintain are determined by proprietary risk models established by each ICE Clearing House and reviewed by the relevant regulators, independent model validators, risk committees and the boards of directors of the respective ICE Clearing House. The amounts required may fluctuate over time. Each of the ICE Clearing Houses is a separate legal entity and is not subject to the liabilities of the others, or the obligations of the members of the other ICE Clearing Houses.

Should a particular clearing member or participant fail to deposit its original margin or fail to make a variation margin payment, when and as required, the relevant ICE Clearing House may liquidate or hedge its open positions and use their original margin and guaranty fund deposits to pay any amount owed. In the event that the defaulting clearing member's deposits are not sufficient to pay the amount owed in full, the ICE Clearing Houses will first use their respective contributions to the guaranty fund, often referred to as Skin In The Game, or SITG, to pay any remaining amount owed. In the event that the SITG is not sufficient, the ICE Clearing Houses may utilize the respective guaranty fund deposits, or collect limited additional funds from their respective non-defaulting clearing members on a pro-rata basis, to pay any remaining amount owed.

As of March 31, 2020 and December 31, 2019, the ICE Clearing Houses had received or had been pledged $168.6 billion and $126.0 billion, respectively, in cash and non-cash collateral in original margin and guaranty fund deposits to cover price movements of underlying contracts for both periods.

As described above, mechanisms have been created, called guaranty funds, to provide partial protection in the event of a clearing member default. With the exception of ICE NGX, each of the ICE Clearing Houses requires that each clearing member make deposits into a guaranty fund.

In addition, we have contributed our own capital which could be used if a defaulting clearing member’s original margin and guaranty fund deposits are insufficient. Such amounts are recorded as long-term restricted cash and cash equivalents in our balance sheets and are as follows (in millions):



	ICE Portion of Guaranty Fund Contribution		Default insurance
Clearing House	As of March 31, 2020	As of December 31, 2019	As of March 31, 2020	As of December 31, 2019
ICE Clear Europe	$233	$233	$75	$75
ICE Clear U.S.	103	103	25	25
ICE Clear Credit	50	50	50	50
ICE Clear Netherlands	2	2	N/A	N/A
ICE Clear Singapore	—	1	N/A	N/A
ICE NGX	15	15	100	100
Total	$403	$404	$250	$250

Of our total contribution to ICE Clear U.S. above, $35 million is solely applicable to any losses associated with a default in Bitcoin contracts and other digital asset contracts that ICE Clear U.S. may clear in the future.

In September 2019, we added a layer of insurance to our clearing member default protection. The default insurance has a three-year term for the following clearing houses in the following amounts: ICE Clear Credit - $50 million; ICE Clear Europe - $75 million and, ICE Clear U.S. - $25 million. The default insurance layer resides after and in addition to the ICE Clear Credit, ICE Clear Europe, and ICE Clear U.S. SITG contributions and before the guaranty fund contributions of the non-defaulting clearing members.

Similar to SITG, the default insurance layer is not intended to replace or reduce the position risk-based amount of the guaranty fund. As a result, the default insurance layer is not a factor that is included in the calculation of the clearing members’ guaranty fund contribution requirement. Instead, it serves as a new, additional, distinct, and separate default resource that should serve

We have recorded cash and cash equivalent margin deposits and amounts due in our balance sheets as current assets with corresponding current liabilities to the clearing members. As of March 31, 2020, our cash and cash equivalent margin deposits are as follows (in millions):



	ICE Clear Europe ⁽¹⁾		ICE Clear Credit		ICE Clear U.S.		ICE NGX		Other ICE Clearing Houses		Total
Original margin	$	44,561	$	40,797	$	15,375	$	—	$	5	$	100,738
Unsettled variation margin, net	—		—		—		217		—		217
Guaranty fund	4,449		2,613		494		—		5		7,561
Delivery contracts receivable/payable, net	—		—		—		347		—		347
Total	$	49,010	$	43,410	$	15,869	$	564	$	10	$	108,863

As of December 31, 2019, our cash and cash equivalent margin deposits, are as follows (in millions):



	ICE Clear Europe ⁽²⁾		ICE Clear Credit		ICE Clear U.S.		ICE NGX		Other ICE Clearing Houses		Total
Original margin	$	28,318	$	22,145	$	6,802	$	—	$	2	$	57,267
Unsettled variation margin, net	—		—		—		255		—		255
Guaranty fund	4,144		2,268		463		—		5		6,880
Delivery contracts receivable/payable, net	—		—		—		585		—		585
Total	$	32,462	$	24,413	$	7,265	$	840	$	7	$	64,987

Our cash and cash equivalent margin and guaranty fund deposits are maintained in accounts with national banks and reputable financial institutions or secured through direct investments, primarily in U.S. Treasury securities with original maturities of less than three months, or reverse repurchase agreements with primarily overnight maturities.

To provide a tool to address the liquidity needs of our clearing houses and manage the liquidation of margin and guaranty fund deposits held in the form of cash and high quality sovereign debt, ICE Clear Europe, ICE Clear Credit and ICE Clear U.S. have entered into Committed Repurchase Agreement Facilities, or Committed Repo. Additionally, ICE Clear Credit and ICE Clear Netherlands have entered into Committed FX Facilities to support these liquidity needs. As of March 31, 2020 the following facilities were in place:



Clearing House	Investment Type	As of March 31, 2020		As of December 31, 2019
ICE Clear Europe	National Bank Account ⁽¹⁾	$	11,618	$	9,667
ICE Clear Europe	Reverse repo	27,291		19,187
ICE Clear Europe	Sovereign Debt	10,094		3,591
ICE Clear Europe	Demand deposits	7		17
ICE Clear Credit	National Bank Account	35,183		19,480
ICE Clear Credit	Reverse repo	3,035		2,411
ICE Clear Credit	Demand deposits	5,192		2,522
ICE Clear U.S.	Reverse repo	5,050		4,320
ICE Clear U.S.	Sovereign Debt	10,819		2,945
Other ICE Clearing Houses	Demand deposits	10		7
ICE NGX	Unsettled Variation Margin and Delivery Contracts Receivable/Payable	564		840
Total		$	108,863	$	64,987

⁽¹⁾As of March 31, 2020, ICE Clear Europe held €8.3 billion ($9.1 billion based on the euro/U.S. dollar exchange rate of 1.1035 as of March 31, 2020) at De Nederlandsche Bank, or DNB, £2.0 billion ($2.5 billion based on the pound sterling/U.S. dollar exchange rate of 1.2414 as of March 31, 2020) at the Bank of England, or BOE, and €10 million ($11 million based on the above exchange rate) at the BOE. As of December 31, 2019, ICE Clear Europe held €8.0 billion ($9.0 billion based on the euro/U.S. dollar exchange rate of 1.1212 as of December 31, 2019) at DNB, £500 million ($663 million based on the pound sterling/U.S. dollar exchange rate of 1.3260 as of December 31, 2019) at the BOE and €10 million ($11 million based on the above exchange rate) at the BOE.

In addition to the cash deposits above, the ICE Clearing Houses have also received other assets from clearing members, which include government obligations, and may include other non-cash collateral such as letters of credit at ICE NGX, or gold on rare occasions at ICE Clear Europe, to mitigate credit risk. For certain deposits, we may impose discount or “haircut” rates to ensure adequate collateral if market values fluctuate. The value-related risks and rewards of these assets remain with the clearing members. Any gain or loss accrues to the clearing member. The ICE Clearing Houses do not, in the ordinary course, rehypothecate or re-pledge these assets. These pledged assets are not reflected in our balance sheets, and are as follows (in millions):



	As of March 31, 2020
	ICE Clear Europe		ICE Clear Credit		ICE Clear U.S.		ICE NGX		Total
Original margin:
Government securities at face value	$	29,171	$	11,682	$	15,100	$	—	$	55,953
Letters of credit	—		—		—		2,184		2,184
ICE NGX cash deposits	—		—		—		260		260
Total	$	29,171	$	11,682	$	15,100	$	2,444	$	58,397
Guaranty fund:
Government securities at face value	$	443	$	678	$	213	$	—	$	1,334



	As of December 31, 2019
	ICE Clear Europe		ICE Clear Credit		ICE Clear U.S.		ICE NGX		Total
Original margin:
Government securities at face value	$	30,635	$	13,710	$	12,633	$	—	$	56,978
Letters of credit	—		—		—		2,469		2,469
ICE NGX cash deposits	—		—		—		362		362
Total	$	30,635	$	13,710	$	12,633	$	2,831	$	59,809
Guaranty fund:
Government securities at face value	$	475	$	523	$	243	$	—	$	1,241

ICE NGX is the central counterparty to participants on opposite sides of its physically-settled contracts, and the balance related to delivered but unpaid contracts is recorded as a delivery contract net receivable, with an offsetting delivery contract net payable in our balance sheets. Unsettled variation margin equal to the fair value of open contracts is recorded as of each balance sheet date. ICE NGX marks all outstanding contracts to market daily, but only collects variation margin when a clearing member's or participant’s open position falls outside a specified percentage of its pledged collateral.

ICE NGX requires participants to maintain cash or letters of credit to serve as collateral in the event of default. The cash is maintained in a segregated bank account, held in trust and remains the property of the participant, therefore, it is not included in our balance sheets. ICE NGX maintains the following accounts with a third-party Canadian chartered bank which are available in the event of physical settlement shortfalls, subject to certain conditions:

As of March 31, 2020, ICE NGX maintains a guaranty fund of $100 million funded by a letter of credit issued by a major Canadian chartered bank, and backed by default insurance underwritten by Export Development Canada, or EDC, a Crown corporation operated at arm’s length from the Canadian government. In the event of a participant default where the participant’s collateral is depleted, the shortfall would be covered by a draw down on the letter of credit following which ICE NGX would file a claim under the default insurance to recover additional losses up to $100 million beyond the $15 million first-loss amount that ICE NGX is responsible for under the default insurance policy.

Each ICE Clearing House bears financial counterparty credit risk and provides a central counterparty guarantee, or performance guarantee, to its clearing members or participants. To reduce their exposure, the ICE Clearing Houses have a risk management program with both initial and ongoing membership standards. Excluding the effects of original and variation margin, guaranty fund and collateral requirements, the ICE Clearing Houses’ maximum estimated exposure for this guarantee is $149.5 billion as of March 31, 2020, which represents the maximum estimated value by the ICE Clearing Houses of a hypothetical one-day movement in pricing of the underlying unsettled contracts. This value was determined using proprietary risk management software that simulates gains and losses based on historical market prices, volatility and other factors present at that point in time for those particular unsettled contracts. Future actual market price volatility could result in the exposure being significantly different than this amount.

Account Type

As of March 31, 2020
(In C$ millions)

As of March 31, 2020
(In $USD millions)

Daylight liquidity facility

Overdraft facility