ICE Risk Model 2
ICE Risk Model 2 (IRM 2) is ICE’s new portfolio-based risk management system. As a replacement for ICE Risk Model 1 (IRM 1), IRM 2 allows for computing margin requirements across the entire ICE futures & options derivatives complex.
Benefits of IRM 2
Accuracy & Capital Efficiency
- Passing statistical tests (e.g. back-tests, calibration, sensitivity and procyclicality analyses)
- Capital efficiency via portfolio level margining approach
Responsiveness
- Reaction to changing market levels and conditions
Stability
- Limiting procyclicality by avoiding big step margin changes in response to changing market conditions
Simplicity
- 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 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 | ✔ | — |
| Direct Time Series Modelling | ✔ | — |
| Model Supported in ICE Clearing Analytics | ✔ | ✔ |
| LRC with separate Concentration and Bid-Ask consideration | ✔ | — |
ICE Clearing Analytics (ICA)
ICE’s new web-based platform, ICA, allows users to calculate initial margin (IM) and related margin add-ons without specific software installs. ICA fully supports both IRM 2 and IRM 1 but without requiring the IRM 1 array files. With ICA 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
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, 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 | ICE Clear U.S. Equity Index Futures | |
| Products Remaining on IRM 1 | All remaining ICUS ETD Futures & Options |
Contacts
ICE Clear U.S. Operations Helpdesk
+1 312-836-6777 / [email protected]
ICE Clearing Analytics
+1 770-738-2101(option #6) / [email protected]
ICE Clear Europe F&O Risk
+44 (0) 207 065 7630 / [email protected]
ICE Clearing Analytics Helpdesk
+1 770-738-2101(option #6) / [email protected]