ICE Clear Credit Tweaks Treasury Risk Model Documents
Published Date: 6/10/2026
Notice
Summary
ICE Clear Credit is updating the rules and documents that explain how it manages risks for U.S. Treasury trades. These changes affect banks and traders who use ICE’s Treasury Clearing Service by improving how initial margin, guaranty funds, and stress tests are handled. The updates aim to keep the system safe and sound, with no immediate cost changes, and are set to take effect soon after approval.
Analyzed Economic Effects
4 provisions identified: 4 benefits, 0 costs, 0 mixed.
Guaranty Fund Minimum Cut to $10M
ICC proposes to amend the Treasury Clearing Service documentation to change the minimum guaranty fund (GF) contribution from $20 million to $10 million. This change would take effect following Commission approval of the proposed rule change.
Guaranty Fund Sized to Cover‑2 Standard
ICC confirms the Treasury Clearing Service guaranty fund will continue to be sized to provide financial resources based on Cover-2 regulatory standards to cover extreme but plausible stress scenarios. The GF and stress test documentation is clarified to describe the stress testing framework and the use of statistical and scenario-based techniques.
No Substantive IM Change; No Cost Impact
ICC states it does not propose substantive changes to its Initial Margin (IM) approach and believes the clarifying and clean-up amendments will apply uniformly across market participants and will not affect the costs of clearing or access to clearing. The amendments are intended to improve clarity and transparency in risk documentation and become effective after Commission approval.
Tenor-Specific EWMA Factors Added
ICC proposes that the exponentially weighted moving average (EWMA) factor used in the IM model be tenor-specific and adds a new appendix with initial tenor-specific EWMA factors and a new tenor-specific minimum rate level parameter. ICC says this maintains adaptiveness of IM requirements while preserving stability and expects the impact of alternative EWMA values to be small.
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