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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


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
  • 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

Implementation Approach

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.

Product Scope

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 CategoryProduct GroupsLink
Products Live under IRM 2.0ICE Clear U.S. Equity Index Futures
Products Remaining on IRM 1.0All remaining ICUS ETD Futures & Options

Resources


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]