ICE Risk Model 2.0


ICE Risk Model 2.0

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.

Benefits of IRM 2.0

Accuracy & Capital Efficiency
  • Passing statistical tests (e.g. back-tests, calibration, sensitivity and procyclicality analyses)
  • Capital efficiency via portfolio level margining approach
  • Reaction to changing market levels and conditions
  • Limiting procyclicality by avoiding big step margin changes in response to changing market conditions
  • Model acceptance by financial/regulatory community
Ease of Implementation and Replication
  • Enabling customer transition/adoption
  • Transparency with users
Easily Maintained
  • Scalability with increasing products
  • Automated design

IRM 2.0 vs IRM 1.0

IRM 2.0 IRM 1.0
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
Direct Time Series Modelling
Model Supported in ICE Portfolio Analytics
LRC with separate Concentration and Bid-Ask consideration

ICE Portfolio Analytics (IPA)

Find out more about IPA for Clearing

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:

  • Simulate margin calculations on combinations of portfolios and selected positions
  • View full margin composition of portfolios
  • Run IRM 2.0 to IRM 1.0 margin comparisons
  • Export portfolios, positions and generated requests into Excel
  • Expose the risk concentration within portfolios using Excel-rendered reports
  • Upload user-defined portfolios in multiple file formats including legacy IRM 1.0
  • Access IPA functionality via API

Implementation Approach

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.

Product Scope

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 / ICUS FANG+
[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

IRM 2.0 Timeline

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”.

IRM 2.0 Contacts

ICE Clear U.S. Operations Helpdesk:

+1 312-836-6777 / [email protected]

ICE Clear U.S. Program Support Team:

[email protected]

ICE Portfolio Analytics for Clearing:

+1 770-738-2101(option #6) / [email protected]