SEC Reviews ICE's Tweak to Collateral Haircut Rules
Published Date: 1/13/2026
Notice
Summary
ICE Clear Credit (ICC) is updating its rules on how it manages the risks tied to the collateral it holds, especially how it calculates safety buffers called haircuts. These changes help ICC better handle price swings in collateral assets without changing the main rules. This update affects anyone involved with ICC’s clearing services and aims to keep the system safer and smoother, with no immediate cost changes announced.
Analyzed Economic Effects
4 provisions identified: 4 benefits, 0 costs, 0 mixed.
ICC uses Expected Shortfall only
ICC removed outdated references to using more than one risk measure and now relies on Expected Shortfall alone to determine collateral haircut factors. This change was filed December 29, 2025 and is described in the proposed CRMF revisions published January 13, 2026.
Clarified haircut rounding rules
ICC clarified how it rounds estimated haircut factors, describing a rounding interval and which levels within that interval it treats as stable and conservatively biased; it also specifies how final haircut factors are set for currency pairs and sovereign debt. ICC says these clarifications reflect current practice and do not change the underlying haircut methodology.
Back-testing lookback period clarified
ICC added language explaining the rationale for its back-testing lookback periods, including benefits of a maximum lookback to increase sample size, the possibility of using shorter lookbacks if new exceedances occur, and the minimum back-testing window length. ICC says these clarifications are consistent with its Back-Testing Framework.
Daily estimations, monthly reviews, and no cost change
ICC confirms collateral haircut factor estimations are executed daily and reviewed by the ICC Risk Department at least monthly, and states the proposed CRMF clarifications do not amend the collateral assets risk management methodology or affect costs of clearing. The filing was published January 13, 2026 with comments due February 3, 2026.
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