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CFTC grants order to Ice Clear Credit permitting portfolio margining of swaps


The Commodity Futures Trading Commission has issued an order granting a request made by Ice Clear Credit (ICC), a Commission-registered derivatives clearing organisation, permitting portfolio margining of swaps and security-based swaps in a cleared swaps customer account.

The order sets forth terms and conditions under which ICC and its clearing members that are dually registered as futures commission merchants and broker-dealers may (1) hold credit default swaps (CDS) and security-based CDS in a cleared swaps customer account subject to Section 4d(f) of the Commodity Exchange Act; and (2) portfolio margin such CDS and security-based CDS held in the cleared swaps customer account.

The Securities and Exchange Commission (SEC) has issued a complementary exemptive order permitting security-based CDS, which are subject to SEC jurisdiction, to be held outside a securities account and commingled and portfolio margined with CDS in a cleared swaps customer account. ICC clearing members have been allowed to hold and portfolio margin their proprietary CDS and security-based CDS in a single account since November 2011. This order will extend the same level of capital efficiency to the customers of ICC’s clearing members.

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