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 or participants, or 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 to third-party 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, ICE Futures Abu Dhabi and third-party venues

U.K.

ICE Clear U.S.

Agricultural, metals, and foreign exchange, or FX, index futures and options contracts, equity futures contracts, and digital assets futures contracts

ICE Futures U.S.

U.S.

ICE Clear Credit

OTC North American, European, Asian-Pacific and Emerging Market CDS instruments

Creditex 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 and digital assets futures contracts

ICE Futures Singapore

Singapore

ICE NGX

Physical North American natural gas, electricity and oil futures

ICE NGX

Canada

Each of the ICE Clearing Houses generally requires all Members 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 Members 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 Members of the other ICE Clearing Houses.

Should a particular Member 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 the defaulting Member's open positions and use their original margin and guaranty fund deposits to pay any amount owed. In the event that the defaulting 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 limited additional funds from their respective non-defaulting Members on a pro-rata basis, to pay any remaining amount owed.

As of June 30, 2021 and December 31, 2020, the ICE Clearing Houses had received or had been pledged $170.6 billion and $154.1 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.

As described above, mechanisms have been created, called guaranty funds, to provide partial protection in the event of a Member default. With the exception of ICE NGX, each of the ICE Clearing Houses requires that each Member make deposits into a guaranty fund.

In addition, we have contributed our own capital that could be used if a defaulting 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 June 30, 2021	As of December 31, 2020	As of June 30, 2021	As of December 31, 2020
ICE Clear Europe	$247	$237	$75	$75
ICE Clear U.S.	83	103	25	25
ICE Clear Credit	50	50	50	50
ICE Clear Netherlands	2	2	N/A	N/A
ICE Clear Singapore	1	1	N/A	N/A
ICE NGX	15	15	100	100
Total	$398	$408	$250	$250

Of our total contribution to ICE Clear U.S. above, as of June 30, 2021, $15 million was solely applicable to any losses associated with a default in Bitcoin contracts and other digital asset contracts that ICE Clear U.S. may clear in the future. In February 2021, we decreased our contribution to ICE Clear U.S.’s guaranty fund applicable to any losses associated with a default in Bitcoin contracts and other digital asset contracts by $20 million from $35 million as of December 31, 2020. In March 2021, we increased our contribution to ICE Clear Europe's guaranty fund by $10 million in connection with the launch of ICE Futures Abu Dhabi Limited.

We maintain default insurance as an additional layer of Member default protection. The default insurance was added in September 2019 and has a three-year term for the following clearing houses in the following amounts: ICE Clear Europe - $75 million; ICE Clear U.S. - $25 million and ICE Clear Credit - $50 million. The default insurance layer resides after and in addition to the ICE Clear Europe, ICE Clear U.S. and ICE Clear Credit SITG contributions and before the guaranty fund contributions of the non-defaulting Members.

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 Members' guaranty fund contribution requirement. Instead, it serves as an additional, distinct, and separate default resource that should serve to further protect the non-defaulting Members’ guaranty fund contributions from being mutualized in the event of a default.

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 Members. As of June 30, 2021, our cash and cash equivalent margin deposits were as follows (in millions):


	ICE Clear Europe (1)		ICE Clear Credit		ICE Clear U.S.		ICE NGX		Other ICE Clearing Houses		Total
Original margin	$	38,533	$	37,074	$	7,287	$	—	$	3	$	82,897
Unsettled variation margin, net	—		—		—		305		—		305
Guaranty fund	4,314		3,325		641		—		5		8,285
Delivery contracts receivable/payable, net	—		—		—		593		—		593
Total	$	42,847	$	40,399	$	7,928	$	898	$	8	$	92,080


	ICE Clear Europe (2)		ICE Clear Credit		ICE Clear U.S.		ICE NGX		Other ICE Clearing Houses		Total
Original margin	$	33,726	$	34,922	$	7,288	$	—	$	12	$	75,948
Unsettled variation margin, net	—		—		—		99		—		99
Guaranty fund	4,374		2,574		502		—		5		7,455
Delivery contracts receivable/payable, net	—		—		—		581		—		581
Total	$	38,100	$	37,496	$	7,790	$	680	$	17	$	84,083

Our cash and cash equivalent margin and guaranty fund deposits are maintained in accounts with national banks and highly-rated 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. Due to the highly liquid nature and the short period of time to maturity, the fair values of our cash and cash equivalent deposits are determined to approximate carrying value.

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

•ICE Clear Credit: $300 million in Committed Repo (U.S. dollar based) to finance U.S. dollar and euro deposits, €250 million in Committed Repo (euro based) to finance euro and U.S. dollar deposits, and €1.9 billion in Committed FX Facilities to finance euro payment obligations.


Clearing House	Investment Type	As of June 30, 2021		As of December 31, 2020
ICE Clear Europe	National Bank Account (1)	$	13,313	$	10,887
ICE Clear Europe	Reverse repo	24,127		23,696
ICE Clear Europe	Sovereign Debt	5,366		3,501
ICE Clear Europe	Demand deposits	41		16
ICE Clear Credit	National Bank Account	33,893		30,275
ICE Clear Credit	Reverse repo	4,064		4,520
ICE Clear Credit	Demand deposits	2,442		2,701
ICE Clear U.S.	Reverse repo	6,453		5,690
ICE Clear U.S.	Sovereign Debt	1,475		2,100
Other ICE Clearing Houses	Demand deposits	8		17
ICE NGX	Unsettled Variation Margin and Delivery Contracts Receivable/Payable	898		680
Total		$	92,080	$	84,083

(1) As of June 30, 2021, ICE Clear Europe held €8.8 billion ($10.4 billion based on the euro/U.S. dollar exchange rate of 1.1857 as of June 30, 2021) at the European Central Bank, or ECB, £2.1 billion ($2.9 billion based on the pound sterling/U.S. dollar exchange rate of 1.3831 as of June 30, 2021) at the Bank of England, or BOE, and €10 million ($12 million based on the above exchange rate) at the BOE. As of December 31, 2020, ICE Clear Europe held €6.3 billion ($7.7 billion based on the euro/U.S. dollar exchange rate of 1.2216 as of December 31, 2020) at De Nederlandsche Bank, or DNB, £2.3 billion ($3.1 billion based on the pound sterling/U.S. dollar exchange rate of 1.3665 as of December 31, 2020) at the BOE and €10 million ($12 million based on the above exchange rate) at the BOE.

In addition to the cash and cash equivalent deposits above, the ICE Clearing Houses have also received other assets from Members, which include government obligations, and may include other non-cash collateral such as letters of credit at ICE NGX, or gold on rare occasions at ICE Clear Europe, 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 Members. Any gain or loss accrues to the Member. The ICE Clearing Houses do not, in the ordinary course, rehypothecate or re-pledge these assets. These pledged assets are not reflected in our balance sheets, and are as follows (in millions):


	As of June 30, 2021
	ICE Clear Europe		ICE Clear Credit		ICE Clear U.S.		ICE NGX		Total
Original margin:
Government securities at face value	$	47,995	$	8,789	$	17,409	$	—	$	74,193
Letters of credit	—		—		—		2,529		2,529
ICE NGX cash deposits	—		—		—		550		550
Total	$	47,995	$	8,789	$	17,409	$	3,079	$	77,272
Guaranty fund:
Government securities at face value	$	653	$	333	$	242	$	—	$	1,228


	As of December 31, 2020
	ICE Clear Europe		ICE Clear Credit		ICE Clear U.S.		ICE NGX		Total
Original margin:
Government securities at face value	$	36,295	$	9,523	$	20,216	$	—	$	66,034
Letters of credit	—		—		—		2,329		2,329
ICE NGX cash deposits	—		—		—		405		405
Total	$	36,295	$	9,523	$	20,216	$	2,734	$	68,768
Guaranty fund:
Government securities at face value	$	508	$	515	$	250	$	—	$	1,273

ICE NGX is the central counterparty to Members 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 Member's open position falls outside a specified percentage of its pledged collateral. Due to the highly liquid nature and the short period of time to maturity, the fair values of our delivery contract net payable and net receivable are determined to approximate carrying value.

ICE NGX requires Members 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 Member, 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:

As of June 30, 2021, ICE NGX maintains a guaranty fund of $100 million funded by a letter of credit issued by a major Canadian chartered bank, and backed by default insurance underwritten by Export Development Canada, or EDC, a Crown corporation operated at arm’s length from the Canadian government. In the event of a participant default where the Member’s collateral is depleted, the shortfall would be covered by a draw down on the letter of credit following which ICE NGX would file a claim under the default insurance to recover additional losses up to $100 million beyond the $15 million first-loss amount that ICE NGX is responsible for under the default insurance policy.

Each ICE Clearing House bears financial counterparty credit risk and provides a central counterparty guarantee, or performance guarantee, to its Members. 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 and default insurance, the ICE Clearing Houses’ maximum estimated exposure for this guarantee is $148.6 billion as of June 30, 2021, 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.