Assured Payment System (APS)

ICE Clear Europe 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 accounts for the collection of margin between Clearing Members and the Clearing House.

The following banks currently participate in the APS:

APS Requirements

In order to operate in the Assured Payment System, a bank must be able to adhere to the requirements in the below document.

APS Banks Requirements

Currencies

The APS supports the following currencies for the settlement and margining of all products cleared at ICE Clear Europe:

For Initial Margin

For Variation Margin

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

All Clearing Members are required to hold House accounts in the currency of the contracts they trade at an approved financial institution participating in the APS (a "Payment Bank") and in an alternative currency which will be used on Currency Holidays.

A list of Currency Holidays can be found in Currency Holidays 2017.

Clearing Members must complete the APS Mandate for each account/currency pair which authorises the Clearing House to issue direct debits for amounts due in accordance with the Rules.

Concentration Accounts

ICE Clear Europe has appointed JPMorgan Chase Bank NA, Citibank NA and the Bank of England as consolidation banks. J.P. Morgan Chase Bank NA provides multi-currency payments, global custody and additional securities services, as well as a cash investment program. Citibank NA provides services for multi-currency payments and cash investments. Bank of England is used for British Pound (GBP). Concentration of funds is diversified as following.

Investment Activities

The primary objectives of the Clearing House’s investment activities are to safeguard the principal (safety), provide sufficient liquidity to meet all operational requirements (liquidity), obtain a reasonable rate of return (yield) whilst complying with relevant laws and regulations.

Cash is invested fully collateralised mainly via tri-party reverse repos and direct purchases of government bonds. Counterparties must have a minimum short-term rating of A-1/P-1 and a minimum long term rating of A-/A3 from any one of the following agencies; S&P, Moody’s or Fitch.

In compliance with the European Market Infrastructure Regulation (“EMIR”) requirements on Investment Policies, whenever possible non cash collateral is now held in dedicated ICE Clear Europe accounts at the CSDs used by the Clearing House.

Payment Flows

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.

Acceptable Collateral & Haircut Calculation

The list of Permitted Cover accepted by ICE Clear Europe to cover initial 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 a 99.9% confidence interval using a two-day holding period and a 4 year look-back period. Haircut floors and concentration limits may also be applied.

Further restrictions are in place for Permitted Cover lodged in respect of Credit Default Swap (CDS) and Futures & Options Guaranty Fund requirements as set out in Section 14 of the Finance Procedures.

Asset Cover Value Calculation

Cover value = Nominal*Price/100*(1-Haircut) + Nominal*Accrued where price is clean and accrued is expressed in %

Please be advised the Clearing House is permitted to adjust the price of assets at its own discretion. As standard practice at ICE Clear Europe, Treasuries are given no cover value 2 business days prior to maturity and a cash call will be issued if your account is in deficit. Accrued interest will lose value one day prior to coupon pay date.

Non-Cash Cut-Off Times

Cross Border Instructions via Euroclear Bank:

Please refer to our QUICK GUIDE TO COLLATERAL for ICE Clear Europe's CSD standard settlement instruction (SSI) details.

Collateral Holding Fees

Holding fees for non-cash collateral can be found at:

• CDS CIRCULAR NO. C09/104
• F&O CIRCULAR NO. C13/048

Triparty Collateral

ICE Clear Europe offers Clearing Members the option of depositing collateral via the Triparty mechanism via Triparty agents Euroclear Bank and Clearstream Banking Luxembourg to cover initial margin requirements. More information on depositing Triparty collateral with the Clearing House can be found below.

Triparty Arrangements

• Link to External Procedures
• Guarantee

Euroclear

• Link to Circular
• Supplemental Agreement
• Triparty Contract Annex III CSA
• Triparty Contract (upon request)

Clearstream

• Link to Circular
• Collateral Management Service Agreement
• Appendix A: Counterparty Acceptance List & Baskets
• Appendix D: Customer Operational Profile

Gold Bullion

ICE Clear Europe offers Gold Bullion as permitted collateral to cover initial margin requirements. More information on using Gold Bullion to cover initial margin requirement can be found below.

• Link to Circular
• Link to External Procedures

Clearing Members

Extensible Clearing System (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, to instruct to withdraw assets held on deposit. Training is provided on ECS by the Clearing House (as required).

Banking Reports

(c) denotes reports generated only for ISOC Customers (PDF only).
(I) denotes intraday reports

The full report specification for ICE Clear Europe can be found at the link below:

Report Spec Link

Finance Procedures

Finance Procedures

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