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:
ICE Equity Index Futures cleared at ICE Clear U.S. went live January 24, 2022. Rollout of additional products will be implemented in successive stages.
The table below contains links to products live under 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 Live under IRM 2.0||ICE Clear U.S. Equity Index Futures|
|Products Remaining on IRM 1.0||All remaining ICUS ETD Futures & Options|