Treasury and Banking

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 Bank

Branch

Bank of America NALondon (non-USD) & New York (USD)
Barclays Bank PLCLondon (NY after 17:00 London time)
BMO Harris NAChicago (USD only after 14:00 London time)
BNY MellonNew York
Brown Brothers Harriman & Co.New York
Citibank NALondon (NY after 17:00 London time)
Deutsche BankLondon (non-USD) & New York (USD)
HSBC Bank PLCLondon (NY after 17:00 London time)
JP Morgan Chase Bank NALondon
Skandinaviska Enskilda Banken AB - (House business only)London
Wells Fargo Bank NA - (House business only)London (non-USD) & New York (USD)

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

Treasury Questionnaire - APS Bank Setup, Contingency and COACS and Income Settlement

Currencies

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

For Initial Margin

  • U.S. Dollars (USD)
  • British Pounds (GBP)
  • Euros (EUR)

For Variation Margin

  • U.S. Dollars (USD)
  • British Pounds (GBP)
  • Euros (EUR)
  • Canadian Dollar (CAD)
  • Swiss Franc (CHF)
  • Swedish Krona (SEK)
  • Japanese Yen (JPY)

  • Norwegian Krona (NOK)
  • Danish Krona (DKK)
  • Hungarian Forint (HUF)
  • Czech Krona (CZK)
  • Polish Zloty (PLN)
  • South African Rand (ZAR)
  • Australian Dollar (AUD)

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 2021 Currency Holidays can be found in here.

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, the Bank of England and European Central Bank 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. European Central Bank is used for Euro (EUR) and the Bank of England for British Pound (GBP). Concentration of funds is diversified as follows.

Bank of EnglandGBPAll accounts
Citibank NAUSDUS Client segregated accounts
European Central BankEURHouse, Client and Guaranty Fund
J.P. Morgan Chase Bank NAUSD House, Client and Guaranty Fund

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

ICEU Treasury Banking 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.

Currency

Cut-off

EUR10:00 London time
GBP10:00 London time
USD 11:45 Eastern time

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, Posted Collateral* 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.

*For UK assets no cover value is given 7 days before expiry

Non-Cash Cut-Off Times

CSD

Collateral Type

Cut-off

Euroclear UK & International LimitedBilateral15:30 London time
Euroclear BankBilateral & Triparty16:00 London time
Clearstream Banking S.A.Triparty16:00 London time
Federal ReserveBilateral17:00 London time

Cross Border Instructions via Euroclear Bank:

CSD

Collateral Type

Cut-off

Euroclear FranceBilateral12:00 London time
Clearstream Banking FrankfurtBilateral12:00 London time
Clearstream Banking LuxembourgBilateral12:00 London time

Non Cash Collateral Securities Settlement Instructions to be completed before depositing non cash collateral.

ICE Clear Settlement Details

CSD

For Non-FCM Client segregated accounts

FCM Client segregated accounts

Euroclear UK & International Limited (For Gilts)ICE Clear Europe CREST: 6NUAA12:00 London time
Euroclear Bank (For non-US Securities)ICE Clear Europe EOC participant: 1480012:00 London time
Federal Reserve (For US Securities*)**
JPMorgan Chase US
ABA 021000021
FED mnemonic: JPMCHASE/IECLRCLEAR
Account: G68702
JPMorgan Chase US
ABA 021000021
FED mnemonic: JPMCHASE/IEDCLEARUS
Account: G68713

*The maximum amount per instruction is 50M

** ICE Clear Europe also uses State Street as a Custodian for US Treasuries on certain accounts. Members wishing to use State Street as a custodian for US Treasuries should contact ICE Clear Europe Treasury

Account & Margin Fees

Application & Annual Fee

Application Fee

Annual Fee

House and Affiliate Accounts (“H”, “F” and “R”)WaivedWaived
Segregated Customer Accounts (“C”, “E”, “K”, “S”, “T”, “W” and “Z”)WaivedWaived
Standard Omnibus Indirect Customer Accounts (O”, “P”, “X” and “Y”)WaivedWaived
Gross Omnibus Indirect Customer Accounts (“A” and “B”) Waived€5,000 per annum per Customer Account
Individually Segregated Operationally Co-mingled (“ISOC”) Account (“I” and “J” Account)Waived€5,000 per annum per Individual Customer
Individually Segregated Sponsored Account (“Sponsored Principal”)€10,000 per Sponsored Principal€25,000 per annum per Sponsored Principal

Circular C15/099 dated 21 July 2015 includes additional information in relation to Charges for EMIR Customer Accounts.

Rates of Return: Margin Deposits

Cash

Collateral

Triparty Collateral

House and Affiliate Accounts (“H”, “F” and “R”)Clearing House pays IDRClearing House charges 8.33 basis pointsClearing House charges 8.33 basis points
Segregated Customer Accounts (“C”, “E”, “K”, “S”, “T”, “W” and “Z”)Clearing House pays IDRClearing House charges 8.33 basis pointsClearing House charges 8.33 basis points
Standard Omnibus Indirect Customer Accounts (O”, “P”, “X” and “Y”)Clearing House pays IDRClearing House charges 8.33 basis pointsClearing House charges 8.33 basis points
Gross Omnibus Indirect Customer Accounts (“A” and “B”)Clearing House pays IDR minus 15 bpsClearing House charges 10.33 basis pointsClearing House charges 10.33 basis points
Individually Segregated Operationally Co-mingled (“ISOC”) Account (“I” and “J” Account)Clearing House pays IDR minus 15 bpsClearing House charges 10.33 basis pointsClearing House charges 10.33 basis points
Individually Segregated Sponsored Account (“Sponsored Principal”)Clearing House pays IDR minus 20 bpsClearing House charges 13.33 basis pointsClearing House charges 13.33 basis points

Guaranty Fund: Margin Deposits

Cash

Collateral

Collateral

All Clearing MembersClearing House pays IDRClearing House charges 8.33 basis pointsN/A

For more information regarding the ICE Deposit Rate (“IDR”), which is the basis of the rate of interest paid to Clearing Members on cash balances from their cash margin deposits, please refer to Circular No. C19/195. The IDR file is available to Clearing Members via our SFTP site, MFT. If you require access to MFT, please contact [email protected].

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.

The Member’s arrangements with Triparty may require operational arrangements independent from ICEU.

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 External Procedures

Gold Collateral Signatories Form

Gold Collateral Deposit Form

Gold Collateral Withdrawal Form

Gold Supplement

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).

ICE Clear ECS User Guide

Collateral Bulk Deposit Withdrawal file format Specification

Banking Reports

Report

Description

MBCAA(C)Provides detail of all cash movements relating to Member position including Variation Margin, Mark to Market Margin, Interest payments, NLV, PAI etc.
MBCC(C)Provides detail of utilization of assets to cover Standing Requirements.
MBCOB(C)Provides detail of collateral balances and valuation.
MBCOT(C)Provides a list of all Collateral movements processed.
MBIA(C)Provides detail of accrued interest on Cash balances maintained by the Clearing House.
MBIP(C)Provides detail of Interest posted at end of accrual period.
MBSR(C)(I)Provides detail of all margin requirements including Initial Margin (as calculated by ICE Risk Model 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.
MBCDThe report provides members with a breakdown of the assets used to cover the standing requirements for each currency (CSV only). Please note that this information is also available in MBCC PDF but not in MBCC CSV.
GBCPProvides prices for collateral. This file can be found on MFT in pub/reference.
GBFXProvides FX rates. This file can be found on MFT in pub/reference.
GBIRProvides interest. This file can be found on MFT in member/reference.
(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: Report Spec Link