ICE

ICE Clear Singapore

Treasury

ACCEPTABLE COLLATERAL AND HAIRCUT CALCULATION

The list of Permitted Cover accepted by ICE Clear Singapore to cover original margin and guaranty fund requirements is limited to cash and securities that demonstrate low credit, liquidity and market risk.

Haircuts applied to Permitted Cover and cross currency haircuts (where collateral is posted in a currency other than that of the initial margin liability) are set to account for the risk associated with fluctuations of collateral asset prices. Concentration limits may also be applied.

Further restrictions are in place for Permitted Cover lodged in respect of guaranty fund requirements as set out in Section 14 of the Finance Procedures.

Assured Payment System (APS)

ICE Clear Singapore operates the Assured Payment System (APS) in order to ensure the safe and secure transfer of payments between the Clearing House and its Clearing Members. The APS consists of a number of approved banks, which hold physical accounts for the Clearing Members and the Clearing House.

The APS supports the following currencies, covering the settlement and margining of the products for which the Clearing House offers clearing services:

FOR ORIGINAL MARGIN:

  • Chinese Renminbi (CNH)
  • U.S. Dollars (USD)
  • Singapore Dollars (SGD)
  • Euros (EUR)

Margin Calls will be made in USD.

FOR VARIATION MARGIN:

  • Chinese Renminbi (CNH)
  • U.S. Dollars (USD)
  • Singapore Dollars (SGD)

Constraints in relation to currency usage are contained within the Rules.

A list of currency holidays can be found in Currency Bank Holidays 2016 and Currency Bank Holidays 2017.

APS Banks

The following Banks currently participate in the APS:

  • DBS Bank Limited
  • Standard Chartered Bank, Singapore Branch

Clearing Members must complete the APS Mandate (Third Party Authority form) for each account/currency pair which authorizes the Clearing House to issue direct debits for amounts due to it in accordance with the Rules. For more details on requirements of APS bank accounts, please refer to Section 4 of the Finance Procedures.


Investment Activities

The primary objectives for these investment guidelines are (in order of importance):

  1. to safeguard the principal (safety);
  2. to provide sufficient liquidity to meet all operational requirements (same day liquidity in Asia time zone); and
  3. to obtain a reasonable rate of return (risk weighted yield).

Under its investment guidelines the Clearing House invests cash under management across multiple Approved Financial Institutions (AFIs), multiple commercial banks that meet credit criteria equal to AFIs and a number of liquidity funds of high credit rating, yet retaining prompt access to the invested funds.


Cash Cut-Off Times

The cut off times for the deposit and withdrawals of cash to cover initial margin requirements in ECS are as follows.

Currency Cut-Off
CNH 12:00 SG time
USD 12:00 SG time
SGD 12:00 SG time
EUR 12:00 SG time


Custodian

The primary role of the Custodian is to safeguard the holdings of the Clearing House and its Clearing Members. Custodians will be selected by the Clearing House, based on their ability to perform the services as required.

The below bank is currently appointed as a Custodian of the Clearing House:

  • Citibank, N.A., Singapore Branch


Non-Cash Cut-OFF Times

CSD Cut-Off
MAS 10:00 on value date (SG time)
Euroclear Bank 10:00 on value date (SG time)
Federal Reserve 14:00 on value date (SG time)

Please refer to our Quick Guide to Collateralfor ICE Clear Singapore's CSD standard settlement instruction (SSI) details.


Holding Fees

Holding fees for non-cash collateral can be found in Circular 16/023.


EXTENSIBLE CLEARING SYSTEMS (ECS)

The Extensible Clearing System (ECS) provides Clearing Members with information about the assets deposited and can be used by Clearing Members to instruct a deposit of cash, securities and other assets into the Clearing House and, when there is excess margin in place, to instruct to withdraw assets held on deposit. Training is provided on ECS by the Clearing House (as required).


Banking Reports

Report Description
MBCAA/ MBCAB Provides detail of all cash movements relating to Member position including Variation Margin, Mark to Market Margin, Interest payments, NLV, PAI etc. Note that for data download from MFT, two separate CSV datafiles, MBCAA and MBCAB are provided, providing transactions and balances separately.
MBCC Provides detail of utilization of assets to cover Standing Requirements.
MBCOB Provides detail of collateral balances and valuation.
MBCOT Provides a list of all Collateral movements processed.
MBIA Provides detail of accrued interest on Cash balances maintained by the Clearing House.
MBIP Provides detail of Interest posted at end of accrual period.
MBSR Provides detail of all margin requirements including Initial Margin (as calculated by SPAN or CDS IM models), Buyer’s/Seller’s Security, Net Liquidation Value, Contingent VM; this provides comprehensive and complete details regarding the totality of margin that the Member must cover.
MBCD The report provides members with a breakdown of the assets used to cover the standing requirements for each currency (CSV only).
GBCP Provides prices for collateral. This file can be found on MFT in pub/reference.
GBFX Provides FX rates. This file can be found on MFT in pub/reference.
GBIR Provides interest rates. This file can be found on MFT in member/reference.

All reports are available in PDF and CSV format unless otherwise stated. The full report specification for ICE Clear Singapore can be found at the link below:

View Report Spec


Summary of Links


NOTE:

If any information on this web page is inconsistent with any other provision of any Rules, Guidance or Circulars (each as defined in the ICE Clear Singapore Rules), such other provision prevails.