Treasury and Banking

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

UK/European Members: F&O and CDS TSY Template

US Members: FCM TSY Template

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)

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.

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.

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.

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

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.

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

Cross Border Instructions via Euroclear Bank:

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

*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

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

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].

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.

Link to External Procedures

Guarantee

Link to Circular

Supplemental Agreement

Triparty Contract Annex III CSA

Triparty Contract (upon request)

Link to Circular

Collateral Management Service Agreement

Appendix A: Counterparty Acceptance List & Baskets

Appendix D: Customer Operational Profile

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

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

The full report specification for ICE Clear Europe can be found at: Report Spec Link

Finance Procedures

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e-Learning Module: Introduction to Banking