The list of Permitted Cover accepted by ICE Clear Europe to cover initial margin and guaranty fund requirements is limited to cash and securities that demonstrate low credit, liquidity and market risk.
Haircuts applied to Permitted Cover and cross currency haircuts (where collateral is posted in a currency other than that of the initial margin liability) are set to a 99.9% confidence interval using a two-day holding period and a 4 year look-back period. Haircut floors and concentration limits may also be applied.
Further restrictions are in place for Permitted Cover lodged in respect of Credit Default Swap (CDS) and Futures & Options guaranty fund requirements as set out in Section 14 of the Finance Procedures.