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Clearing Operations | 9 Months Ended
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Sep. 30, 2019
Brokers and Dealers [Abstract] |
Clearing Operations | Clearing Operations 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 |  | ICE Futures U.S. |  | U.S.
ICE Clear Credit |  | 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 |  | ICE Futures Singapore |  | Singapore
ICE NGX |  | Physical North American natural gas, electricity and oil futures |  | ICE NGX |  | Canada
Original & Variation Margin 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 additional funds from their respective non-defaulting clearing members on a pro-rata basis, to pay any remaining amount owed. As of September 30, 2019 and December 31, 2018, the ICE Clearing Houses have received or have been pledged $122.1 billion and $121.4 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. Guaranty Funds & ICE Contribution 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 September 30, 2019 |  | As of December 31, 2018 |  | As of September 30, 2019 |  | As of December 31, 2018
ICE Clear Europe |  | $233 |  | $206 |  | $75 |  | N/A
ICE Clear U.S. |  | 103 |  |  | 61 |  |  | 25 |  |  | N/A
ICE Clear Credit |  | 50 |  |  | 50 |  |  | 50 |  |  | N/A
ICE Clear Netherlands |  | 2 |  |  | 2 |  |  | N/A |  |  | N/A
ICE Clear Singapore |  | 1 |  |  | 1 |  |  | N/A |  |  | N/A
ICE NGX |  | N/A |  |  | N/A |  |  | 100 |  |  | $100
Total |  | $389 |  | $320 |  | $250 |  | $100
In January 2019, we increased our contribution to ICE Clear Europe’s guaranty fund by $27 million, in March 2019, we increased our ICE Clear U.S. guaranty fund contribution by $7 million and in September 2019, in connection with the launch of Bakkt, Bakkt contributed $35 million to the ICE Clear U.S. guaranty fund, solely applicable to any losses associated with a default in Bitcoin contracts and other digital asset contracts that ICE Clear U.S. might clear in the future. In September 2019, we added a layer of insurance to our clearing member default protection. 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. The default insurance has a three-year term, subject to renewal. 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 to further protect the non-defaulting clearing members’ guaranty fund contributions from being mutualized in the event of a default. As of September 30, 2019, ICE NGX maintains a guaranty fund utilizing a $100 million letter of credit and a default insurance policy, discussed below. Cash and Cash Equivalent Deposits 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 September 30, 2019, 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 | $ | 28,971 |  |  | $ | 22,534 |  |  | $ | 7,157 |  |  | $ | — |  |  | $ | 5 |  |  | $ | 58,667 |
Unsettled variation margin, net | — |  |  | — |  |  | — |  |  | 229 |  |  | — |  |  | 229 |
Guaranty fund | 4,198 |  |  | 2,120 |  |  | 445 |  |  | — |  |  | 5 |  |  | 6,768 |
Delivery contracts receivable/payable, net | — |  |  | — |  |  | — |  |  | 324 |  |  | — |  |  | 324 |
Total | $ | 33,169 |  |  | $ | 24,654 |  |  | $ | 7,602 |  |  | $ | 553 |  |  | $ | 10 |  |  | $ | 65,988 |
As of December 31, 2018, our cash and cash equivalent 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 | $ | 27,597 |  |  | $ | 22,770 |  |  | $ | 6,260 |  |  | $ | — |  |  | $ | 3 |  |  | $ | 56,630 |
Unsettled variation margin, net | — |  |  | — |  |  | — |  |  | 417 |  |  | — |  |  | 417 |
Guaranty fund | 3,267 |  |  | 2,456 |  |  | 460 |  |  | — |  |  | 5 |  |  | 6,188 |
Delivery contracts receivable/payable, net | — |  |  | — |  |  | — |  |  | 720 |  |  | — |  |  | 720 |
Total | $ | 30,864 |  |  | $ | 25,226 |  |  | $ | 6,720 |  |  | $ | 1,137 |  |  | $ | 8 |  |  | $ | 63,955 |
(1) $27.9 billion and $5.3 billion is related to futures/options and CDS, respectively. (2) $25.8 billion and $5.1 billion is related to futures/options and CDS, respectively. 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 September 30, 2019 the following facilities were in place:
• | ICE Clear Europe: $1.0 billion in Committed Repo to finance U.S. dollar, euro and pound sterling deposits.
• | ICE Clear Credit: $300 million in Committed Repo to finance U.S. dollar and euro deposits, €250 million in Committed Repo to finance euro deposits, and €1.9 billion in Committed FX Facilities to finance euro payment obligations.
• | ICE Clear U.S.: $250 million in Committed Repo to finance U.S. dollar deposits.
• | ICE Clear Netherlands: €10 million in Committed FX Facilities to finance euro payment obligations.
Details of our cash and cash equivalent deposits are as follows (in millions):
Clearing House |  | Investment Type |  |  | As of September 30, 2019 |  |  | As of December 31, 2018
ICE Clear Europe |  | National Bank Account (1) |  |  | $ | 5,886 |  |  |  | $ | 8,647 |
ICE Clear Europe |  | Reverse repo |  |  | 24,184 |  |  |  | 18,097 |
ICE Clear Europe |  | Sovereign Debt |  |  | 2,940 |  |  |  | 4,035 |
ICE Clear Europe |  | Demand deposits |  |  | 159 |  |  |  | 85 |
ICE Clear Credit |  | National Bank Account (2) |  |  | 19,947 |  |  |  | 19,484 |
ICE Clear Credit |  | Reverse repo |  |  | 2,997 |  |  |  | 1,935 |
ICE Clear Credit |  | Demand deposits |  |  | 1,710 |  |  |  | 3,807 |
ICE Clear U.S. |  | Reverse repo |  |  | 5,061 |  |  |  | 4,380 |
ICE Clear U.S. |  | U.S. Treasuries |  |  | 2,541 |  |  |  | 2,340 |
Other ICE Clearing Houses |  | Demand deposits |  |  | 10 |  |  |  | 8 |
ICE NGX |  | Unsettled Variation Margin and Delivery Contracts Receivable/Payable |  |  | 553 |  |  |  | 1,137 |
Total |  |  |  |  | $ | 65,988 |  |  |  | $ | 63,955 |
(1) As of September 30, 2019, ICE Clear Europe held €4.1 billion ($4.4 billion based on the euro/U.S. dollar exchange rate of 1.0899 as of September 30, 2019) at De Nederlandsche Bank, or DNB, £1.1 million ($1.4 million based on the pound sterling/U.S. dollar exchange rate of 1.2295 as of September 30, 2019) 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, 2018, ICE Clear Europe held €7.0 billion ($8.0 billion based on the euro/U.S. dollar exchange rate of 1.1466 as of December 31, 2018) at DNB and £500 million ($638 million based on the pound sterling/U.S. dollar exchange rate of 1.2756 as of December 31, 2018) at the BOE. (2) ICE Clear Credit is a systemically important financial market utility, or SIFMU, as designated by the Financial Stability Oversight Council, and holds its U.S. dollar cash margin in cash accounts at the Federal Reserve Bank of Chicago. Other Deposits 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 cash deposits and non-cash collateral such as letters of credit or gold 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 rehypothecate or re-pledge these assets. These pledged assets are not reflected in our balance sheets, and are as follows (in millions):
| As of September 30, 2019
| ICE Clear Europe |  | ICE Clear Credit |  | ICE Clear U.S. |  | ICE NGX |  |  | Total
Original margin: |  |  |  |  |  |  |  |  |  |
Government securities at face value | $ | 29,305 |  |  | $ | 13,420 |  |  | $ | 9,881 |  |  | $ | — |  |  |  | $ | 52,606 |
Letters of credit | — |  |  | — |  |  | — |  |  | 2,247 |  |  |  | 2,247 |
ICE NGX cash deposits | — |  |  | — |  |  | — |  |  | 322 |  |  |  | 322 |
Total | $ | 29,305 |  |  | $ | 13,420 |  |  | $ | 9,881 |  |  | $ | 2,569 |  |  |  | $ | 55,175 |
Guaranty fund: |  |  |  |  |  |  |  |  |  |
Government securities at face value | $ | 407 |  |  | $ | 284 |  |  | $ | 274 |  |  | $ | — |  |  |  | $ | 965 |
| As of December 31, 2018
| ICE Clear Europe |  | ICE Clear Credit |  | ICE Clear U.S. |  | ICE NGX |  |  | Total
Original margin: |  |  |  |  |  |  |  |  |  |
Government securities at face value | $ | 29,887 |  |  | $ | 12,990 |  |  | $ | 10,208 |  |  | $ | — |  |  |  | $ | 53,085 |
Letters of credit | — |  |  | — |  |  | — |  |  | 2,556 |  |  |  | 2,556 |
ICE NGX cash deposits | — |  |  | — |  |  | — |  |  | 605 |  |  |  | 605 |
Total | $ | 29,887 |  |  | $ | 12,990 |  |  | $ | 10,208 |  |  | $ | 3,161 |  |  |  | $ | 56,246 |
Guaranty fund: |  |  |  |  |  |  |  |  |  |
Government securities at face value | $ | 654 |  |  | $ | 256 |  |  | $ | 264 |  |  | $ | — |  |  |  | $ | 1,174 |
ICE NGX 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:
Account Type |  | As of September 30, 2019 (In C$ millions) |  | As of September 30, 2019 (In $USD millions)
Daylight liquidity facility |  | C$300 |  | $227
Overdraft facility |  | 20 |  |  | 15 |
Total |  | C$320 |  | $242
As of September 30, 2019, ICE NGX maintains a guaranty fund utilizing a $100 million letter of credit that has been entered into with a major Canadian chartered bank and backed by a default insurance policy underwritten by Export Development Corporation, or EDC, a Canadian government agency. In the event of a participant default, where a participant’s collateral becomes depleted, the remaining shortfall would be covered by a draw down on the letter of credit following which ICE NGX would pay the first $15 million in losses per its deductible and recover additional losses under the insurance policy up to $100 million. Clearing House Exposure 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 $105.6 billion as of September 30, 2019, 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.

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- Definition The entire disclosure for financial services, specifically for brokers and dealers, for the accounting period and at the balance sheet date. Disclosure may include amounts receivable from and payable to broker-dealers and clearing organizations, including securities failed to receive, deposits received for securities loaned, amounts payable to clearing organizations related to open transactions, floor brokerage payables and payables for commodities futures accounts liquidating to an equity balance on a broker-dealer's records. May also include disclosure on company's consolidation policy and a note indicating the amount of the broker-dealer's actual net capital and the amount of required net capital. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 940 -URI http://asc.fasb.org/topic&trid=2176223 + Details
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