ICE Clearing Analytics
ICE Clearing Analytics (ICA) is ICE’s new web-based platform for calculating ICE Risk Model 2 (IRM 2) initial margin (IM) for ICE’s futures and options complex. Designed for ICE’s new initial margin model, IRM 2, ICA offers a rich set of features for calculating margins and managing risk.
Why use ICA for Clearing?
IM Calculations Run IRM 2 and IRM 1 IM calculations for any supported business date. |
IRM 2 Transparency Designed specifically for IRM 2, ICA calculates and displays all components of the new model. |
"What If?" Analysis Create "What-if?" margin scenarios and view impact of potential trades. |
Rich Reporting Generate on-demand, detailed Excel-rendered reports. |
Customize Portfolios Upload user-defined portfolios and ETD positions in multiple supported file formats. |
Export Data Export information directly into Excel from UI widgets. |
ICA Benefits
- ICA represents large scale enhancements from ICE’s existing IRM 1 margin calculator
- Supports IRM 2 & IRM 1 and eliminates the need to load input risk array data
- Edit portfolios and positions on the fly for ad-hoc "What-if?" scenarios
- Full suite of Excel rendered risk reporting for in-depth margin analysis
- Margin Matrix provides up to date IM values for benchmark contracts, spreads and other common trading strategies
| Feature | ICA | IRM 1 |
|---|---|---|
| Web Based UI |  | — |
| IRM 2 Support | | — |
| IRM 1 Support | | |
| Embedded Input Data Files | | — |
| Add/Remove/Edit Positions in UI | | — |
| Excel Rendered Reporting | | — |
| Margin Matrix | | — |
Portfolio Management
- Upload, create and manage user portfolios
- Customize portfolio labels and properties
- View summary IM information at the portfolio level
Position Blotter
- Upload, capture and display position level information
- Add, delete, adjust and even move positions between portfolios
- Filter, sort and export data into Excel
Calculation Engine
- Initiate IM calculations for specific portfolios, positions or both
- Compare IM results between models
Portfolio Management
- Upload, create and manage user portfolios
- Customize portfolio labels and properties
- View summary IM information at the portfolio level
Position Blotter
- Upload, capture and display position level information
- Add, delete, adjust and even move positions between portfolios
- Filter, sort and export data into Excel
Calculation Engine
- Initiate IM calculations for specific portfolios, positions or both
- Compare IM results between models
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.