Where available and practicable - as determined by ICE Clear Netherlands - Clearing Members must use Target2, the payment system of the Eurosystem, for payments in Euro to and from the Clearing House. Clearing Members must complete the Target2 Mandate which authorises the Clearing House to issue direct debits for amounts due in accordance with the Rules.
ICE Clear Netherlands operates the Assured Payment System (APS) in order to ensure the safe and secure transfer of non Target2 payments between the Clearing House and its Clearing Members. The APS consists of approved banks ("Approved Financial Institutions") which hold accounts for the collection of margin and other payments between Clearing Members and the Clearing House. Clearing Members must complete the APS Mandate for each account which authorises the Clearing House to issue direct debits for amounts due in accordance with the Rules.
The following bank participates in the APS:
CITIBank N.A (London)
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.
In compliance with the European Market Infrastructure Regulation (“EMIR”) requirements on Investment Policies, cash is currently held with the Dutch National Bank. Whenever possible non cash collateral is now held in dedicated ICE Clear Netherlands accounts at the (i)CSDs used by the Clearing House.
ICE Clear Netherlands deposits its EUR Cash with the Dutch Central Bank (De Nederlandsche Bank).
The cut-off time for the deposit and withdrawals of cash in Euro is set to 16:30 CET.
The List of Permitted Cover accepted by ICE Clear Netherlands 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 are calculated by means of two risk measures: 5 day expected shortfall based on a level of confidence of 99% and 2 day value-at-risk based on a level of confidence of 99.9%. Haircuts for Permitted Cover are determined based on changes in yields. Time series that start on March 1st, 2005 and extend to the current date are used. Haircut floors and concentration limits may also be applied.
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
|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|
(C) denotes reports generated only for ISOC Customers (PDF only)
(I) denotes intraday reports