Connecting to IRM 2
Margin Reports
Margin Tools
Margin Replication
Users who wish to replicate the margin calculation in-house can implement the model locally. Developer resources, including an External Developer Guide, Input Data File Specification and Reference implementation are available here.
A list of approved vendors who provide IRM 2 margin calculation services is available below. If you wish to use a vendor that is not on the list, please contact the vendor to ensure they are aware of the IRM 2 Project.
Margin Reports
Margin Tools
Margin Replication
Users who wish to replicate the margin calculation in-house can implement the model locally. Developer resources, including an External Developer Guide, Input Data File Specification and Reference implementation are available here.
A list of approved vendors who provide IRM 2 margin calculation services is available below. If you wish to use a vendor that is not on the list, please contact the vendor to ensure they are aware of the IRM 2 Project.
Connection options
See Approved Vendor list below for service provider solutions.
| Margin Solutions | Clearing Reports | Margin Tools | Margin Replication | |||
| Type | Clearing House Margin Reports | ICE Clearing Analytics - Web UI | Margin API | Margin Matrix | In-house Margin Replication | Service Provider |
|---|---|---|---|---|---|---|
| Supported Methodology | IRM 1 & IRM 2 | IRM 1 & IRM 2 | IRM 1 & IRM 2 | IRM 2 | IRM 2 | Check with Service Provider |
| Availability |
IRM 1: Live IRM 2 (ICUS): Live IRM 2 (ICEU): Jan 2024 (Parallel Run) Available to Clearing Members via ECS and MFT |
IRM 1: Live IRM 2 (ICUS): Live IRM 2 (ICEU): 2024 |
Jan 2024 (Parallel Run) | Jan 2024 (Parallel Run) |
ICUS - Now ICEU - Conformance Test started now Register to access Developer Resources |
See Approved Vendor list below |
IRM 2 Approved Vendors
| Vendor Name | Contact Details |
|---|---|
| Adenza Inc. | |
| Alphalion Technology Limited | |
| Cassini Systems | T: +44 20 7031 5730 Marc Knaap: [email protected] Frances Pickup: [email protected] Anthony Campbell-Brown: [email protected] |
| Cumulus9 | |
| FIS Global | |
| IF Informatica srl | |
| ION Group | |
| Nasdaq Technology AB | |
| OpenGamma Limited | |
| OptiMargin Software | |
| Revendex Solutions GmbH | Peter Hollenstein T: +41 43 305 83 64 +41 79 677 94 99 |
| Sernova Financials Ltd | |
| TS Imagine |
Resources
IRM 2 Methodology
ICE Risk Model 2 utilizes a Filtered Historical Simulation (FHS) Value-at-Risk (VaR) approach that models the behavior of a portfolio.
ICE Clearing Analytics
ICE Clearing Analytics (ICA) is ICE’s new web-based platform for calculating ICE Risk Model 2 initial margin (IM) and related margin add-ons.
Frequently Asked Questions
A list of questions and answers relating to ICE Risk Model 2.
IRM 2 Methodology
ICE Risk Model 2 utilizes a Filtered Historical Simulation (FHS) Value-at-Risk (VaR) approach that models the behavior of a portfolio.
ICE Clearing Analytics
ICE Clearing Analytics (ICA) is ICE’s new web-based platform for calculating ICE Risk Model 2 initial margin (IM) and related margin add-ons.
Frequently Asked Questions
A list of questions and answers relating to ICE Risk Model 2.