ICE Risk Model 2.0 (IRM 2.0) is ICE’s new portfolio-based risk management system. As a replacement for ICE Risk Model 1.0 (IRM 1.0), IRM 2.0 allows for computing margin requirements across the entire ICE futures & options derivatives complex.
|IRM 2.0||IRM 1.0|
|Value-At-Risk IM Framework||✔||✔|
|Portfolio-Based Filtered Historical Simulation||✔||—|
|Incorporates Periods of Market Stress||✔||✔|
|Margin Offsets between Products Based on Full Portfolio Dynamics||✔||—|
|Natively Captures Options Pricing Dynamics||✔||—|
|Direct Time Series Modelling||✔||—|
|Model Supported in ICE Portfolio Analytics||✔||✔|
|LRC with separate Concentration and Bid-Ask consideration||✔||—|
ICE’s new web-based platform, IPA, allows users to calculate initial margin (IM) and related margin add-ons without specific software installs. IPA fully supports both IRM 2.0 and IRM 1.0 but without requiring the IRM 1.0 array files. With IPA you can:
IRM 2.0 will be implemented in successive stages based on discrete product groupings.
The initial launch is planned for January 24, 2022 and will include the ICE Equity Index Futures cleared at ICE Clear U.S.
IRM 2.0 products will continue to be included in the IRM 1.0 array files until February 28, 2022.
For additional operational aspects of this implementation, please see IRM 2.0 for ICUS Equity Index Member Transition Plan (login required). The plan provides information on the implementation approach, operational considerations, systems and technology impacts and the transition process and timetable.
The table below contains links to the list of products slated for migration to IRM 2.0, as well as the collection of products not in currently in scope that will remain on IRM 1.0 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 2.0 or IRM 1.0 by evaluating the value in the attribute ‘MARGIN_MODEL’
|Model Category||Product Groups||Link|
|Products Migrating to IRM 2.0||ICE Clear U.S. Equity Index Futures||
ICUS MSCI Indices
[MSCI TIC+ products will migrate to IRM 2.0 in Q1 2022]
|Products Remaining on IRM 1.0||All remaining ICUS ETD Futures & Options||ICUS Agriculture / ICUS Digital Assets / ICUS FX / ICUS Metals|
To assist clearing members in understanding the full scope and impact of the IRM 2.0 implementation, ICE Clear U.S. has created a dedicated IRM 2.0 page that is available through ICE Service Community. The new IRM 2.0 landing page, located here, contains full IRM 2.0 technical specifications, systems and technology impacts, details pertaining to operational considerations, as well as a transition and implementation timeline.
Clearing member and vendor staff accessing Community for the first time will need to register here before viewing the IRM 2.0 page. When registering, within the “Content” drop down list, please select content group “ICE Clearing”.