2012.04.18 - IMF_April_2012_text
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2012.04.18 - IMF_April_2012_text


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assets 
into CCP-acceptable ones through repos and swaps. 
This could potentially exacerbate liquidity pressures 
for CCPs during market downturns, when clear-
ing members would need to provide liquid funds 
for their clients at a time when they themselves are 
being subjected to a liquidity freeze.
Table 3.6. Collateral Requirements of the Big Three CCPs Handling OTC Derivatives
Chicago Mercantile Exchange Intercontinental Exchange (ICE) Clear LCH.Clearnet Swapclear
Guarantee fund: 
U.S. dollars, marketable U.S. Treasury 
securities, selected U.S. agency 
securities, and selected money 
market funds.
Guarantee fund and initial margin: 
The U.S. operation (ICE Clear Credit) accepts cash of 
selected countries and marketable U.S. Treasury 
securities.
The U.K. operation (ICE Clear Europe) accepts cash of 
selected countries, and marketable securities issued by 
selected governments.
Default fund: 
Cash in British pounds only.
Performance bond: 
Cash of selected countries, marketable 
U.S. Treasury securities, selected 
U.S. government agency securities 
and agency mortgage-backed 
securities, selected foreign 
government bonds, stocks selected 
from the Standard & Poor\u2019s 500 
index, selected money market mutual 
funds, and gold.1
Initial margin: 
Cash of selected currencies 
and securities issued or 
guaranteed by selected 
governments and selected 
government agencies.2
Variation margin: Cash Variation margin: Cash Variation margin: Cash
Source: IMF staff discussions with CCPs.
Note: CCP = central counterparty; OTC = over the counter.
1For OTC interest rate swaps (but not for credit default swaps), the Interest Earning Facility 4 (IEF4) program allows participants to pledge corporate bonds into a tri-party 
account to meet the performance bond requirements.
2LCH.Clearnet also accepts performance bonds as initial margin.
C H A P T E R 3 S A f e A S S e tS: f i n A n c i A l S yS t e m co r n e r S to n e?
 International Monetary Fund | April 2012 41
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