ICE Risk Model 2

Benefits of IRM 2

IRM 2 is a portfolio-based margin model which offers full diversification benefit based on accurate estimate of the portfolio risk. The model is based on filtered historical simulation and is responsive to changing market conditions. IRM 2 includes model features which provide stability through different volatility regimes and avoids big step margin changes through its anti-procyclical add-on. The model is resilient against stress events, correlation breakdown and adjusts for seasonality where appropriate.

From the operational standpoint, IRM 2 offers a wider range of tools providing full transparency of margin. Enhanced analytics supported by the latest technology will be made available as part of the IRM 2 implementation project. The model architecture that underpins IRM 2 offers both scalability and fully automated margin update process.

Accuracy & Capital Efficiency Accurate portfolio risk measure, consistent with portfolio P&L Capital efficiency via portfolio level margining approach
Responsiveness Responsive to changing market levels and conditions (Filtered Historical Simulation)
Stability Limiting procyclicality by avoiding big step margin changes in response to changing market conditions
Risk Management IRM 2 is resilient against stress events and correlation breakdowns Adjusts for seasonality where applicable
Ease of Implementation and Replication Enhanced tooling and reports available Enabling easy transition and adoption
Easily Maintained Scalability with increasing products Automated margin updates

IRM 2 vs IRM 1

	IRM 2	IRM 1
Value-At-Risk IM Framework
Portfolio-Based Filtered Historical Simulation		—
Anti-Procyclicality Measures
Incorporates Periods of Market Stress
Margin Offsets between Products Based on Full Portfolio Dynamics		—
Natively Captures Options Pricing Dynamics		—
Model Supported in ICE Clearing Analytics
LRC comprising Concentration and Bid-Ask Charges		—

Implementation Approach

The first group of ICE Clear Europe products to switch to IRM 2 will be Energy Futures and Options. IRM 2 will be rolled out to other product groups in successive stages. Key milestones for the Energy migration are summarized below. Full details are available in the Member Transition Plan

* Go-live of initial product set Freight is subject to completion of all relevant regulatory processes

ICE Equity Index Futures cleared at ICE Clear U.S. went live on January 24, 2022. Rollout of additional products will be implemented in successive stages.

Product Scope

The table below contains links to the ICE Clear Europe Energy products that are currently scheduled to switch to IRM 2, as well as the collection of products not currently in scope that will remain on IRM 1 until a subsequent implementation stage.

Model Category	Product Groups	Link
Products switching to IRM 2	ICE Clear Europe Energy Futures and Options	ICEU Energy Futures & Options
Products remaining on IRM 1	All remaining ICEU Products	ICEU Interest Rates ICEU Equity Derivatives ICEU Agriculture ICE Block Equity Contracts

The table below contains links to products live under IRM 2, as well as the collection of products not in currently in scope that will remain on IRM 1 until a subsequent implementation stage. For production clearing, Members should refer to the downloadable Product Reference Data File (GSPD) to determine if a product is subject to either IRM 2 or IRM 1 by evaluating the value in the attribute ‘MARGIN_MODEL’.

Model Category	Product Groups	Link
Products Live under IRM 2	Equity Index & Interest Rates Futures	ICUS MSCI Indices ICUS FANG+ ICUS Interest Rates
Products Remaining on IRM 1	All remaining ICUS ETD Futures & Options	ICUS Agriculture ICUS Digital Assets ICUS FX ICUS Metals

Resources

IRM 2 Methodology

ICE Risk Model 2 utilizes a Filtered Historical Simulation (FHS) Value-at-Risk (VaR) approach that models the behavior of a portfolio.

Learn more

ICE Clearing Analytics

ICE Clearing Analytics (ICA) is ICE’s new web-based platform for calculating ICE Risk Model 2 initial margin (IM) and related margin add-ons.

Learn more

Frequently Asked Questions

A list of questions and answers relating to ICE Risk Model 2.

Learn more

IRM 2 Methodology

ICE Risk Model 2 utilizes a Filtered Historical Simulation (FHS) Value-at-Risk (VaR) approach that models the behavior of a portfolio.

Learn more

ICE Clearing Analytics

ICE Clearing Analytics (ICA) is ICE’s new web-based platform for calculating ICE Risk Model 2 initial margin (IM) and related margin add-ons.

Learn more

Frequently Asked Questions

A list of questions and answers relating to ICE Risk Model 2.

Learn more

IRM 2 is covered under various patents and patent applications in the US, Canada, Europe and Singapore, including US Patent Nos. 10,922,755; 11,023,978; 11,216,886; and 11,321,782.

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ICE Risk Model 2

Benefits of IRM 2

IRM 2 vs IRM 1

Implementation Approach

Product Scope

Resources

IRM 2 Methodology

ICE Clearing Analytics

Frequently Asked Questions

IRM 2 Methodology

ICE Clearing Analytics

Frequently Asked Questions

Contact us

ICE Clear Europe F&O Risk

ICE Clear Europe IRM2 Program Team

ICE Clearing Analytics Helpdesk

ICE Clear U.S. Operations Helpdesk

ICE Clear U.S. Program Support Team