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 NA	London & New York
Barclays Bank PLC	London (NY after 18:00 London time)
BNY Mellon	New York
Brown Brothers Harriman & Co.	New York
Citibank NA	London & New York
Deutsche Bank	London & New York
HSBC Bank PLC	London (NY after 18:00 London time)
JP Morgan Chase Bank NA	London
Skandinaviska Enskilda Banken AB - (House business only)	London
Wells Fargo Bank NA - (House business only)	London & New York

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

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)
Turkish Lira (TRY)
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 2018 Currency Holidays can be found in Currency Holidays 2018.

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.

Bank of England	GBP	All accounts
Citibank NA	USD	US Client segregated accounts
J.P. Morgan Chase Bank NA	EUR	All accounts
J.P. Morgan Chase Bank NA	USD	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

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
EUR	10:00 London time
GBP	10:00 London time
USD	16:45 London 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, 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

CSD	cut-off
Euroclear UK & Ireland	15:30 London time
Euroclear Bank	16:00 London time
Federal Reserve	17:00 London time

Cross Border Instructions via Euroclear Bank:

CSD	cut-off
Euroclear France	12:00 London time
Clearstream Banking Frankfurt	12:00 London time
Clearstream Banking Luxembourg	12:00 London time

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

Account and Margin Fees

Application and Annual Fee

	Application Fee	Annual Fee
House and Affiliate Accounts (“H”, “F” and “R”)	Waived	Waived
Segregated Customer Accounts (“C”, “E”, “K”, “S”, “T”, “W” and “Z”)	Waived	Waived
Gross Omnibus Indirect Customer Accounts (“A” and “B”)	Waived	€5,000 per annum per Indirect 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

	Cash	Collateral	Triparty Collateral
Margin Deposits
House and Affiliate Accounts (“H”, “F” and “R”)	Clearing House pays IDR	Clearing House charges 7.5 basis points	Clearing House charges 7.5 basis points
Segregated Customer Accounts (“C”, “E”, “K”, “S”, “T”, “W” and “Z”)	Clearing House pays IDR	Clearing House charges 7.5 basis points	Clearing House charges 7.5 basis points
Standard Omnibus Indirect Customer Accounts (O”, “P”, “X” and “Y”)	Clearing House pays IDR	Clearing House charges 7.5 basis points	Clearing House charges 7.5 basis points
Gross Omnibus Indirect Customer Accounts (“A” and “B”)	Clearing House pays IDR minus 15 bps	Clearing House charges 9.5 basis points	Clearing House charges 9.5 basis points
Individually Segregated Operationally Co-mingled (“ISOC”) Account (“I” and “J” Account)	Clearing House pays IDR minus 15 bps	Clearing House charges 9.5 basis points	Clearing House charges 9.5 basis points
Individually Segregated Sponsored Account (“Sponsored Principal”)	Clearing House pays IDR minus 20 bps	Clearing House charges 12.5 basis points	Clearing House charges 12.5 basis points
Guaranty Fund
All Clearing Members	Clearing House pays IDR	Clearing House charges 7.5 basis points	N/A

For more information, please refer to CIRCULAR NO. C18/002

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

Euroclear

Clearstream

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.

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

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.
MBCD	The 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
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. This file can be found on MFT in member/reference.

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

Report Spec Link

Finance Procedures

Assured Payment System (APS)

For Initial Margin

For Variation Margin

Related Links