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ICE Clearing Analytics

ICE Clearing Analytics (ICA) is ICE’s new web-based platform for calculating ICE Risk Model (IRM) 2 initial margin (IM) and related margin add-ons 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 and add-ons 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
FeatureICAIRM 1
Web Based UI✔—
IRM 2 Support✔—
IRM 1 Support✔✔
Automatic Input Data Load✔—
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

Resources

IRM 2 Overview

IRM 2 Methodology

IRM 2 FAQ

24 Hour ICA Helpdesk

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