ICE Clear Netherlands

Treasury

Target2

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.

Assured Payment System (APS)

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:

APS BANKBRANCH

CITIBank N.A

London

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.

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.

Deposit of Cash

ICE Clear Netherlands deposits its EUR Cash with the Dutch Central Bank (De Nederlandsche Bank).

Cash Cut-off Times

The cut-off time for the deposit and withdrawals of cash in Euro is set to 16:30 CET.

Acceptable Collateral

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 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.

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

REPORTDESCRIPTION
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