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.
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.
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 |
Vendor Name | Contact Details |
---|---|
Adenza Inc. | |
Alphalion Technology Limited | |
ATPlatform | |
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 | |
Lynx | |
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 |
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 (ICA) is ICE’s new web-based platform for calculating ICE Risk Model 2 initial margin (IM) and related margin add-ons.
A list of questions and answers relating to ICE Risk Model 2.
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 (ICA) is ICE’s new web-based platform for calculating ICE Risk Model 2 initial margin (IM) and related margin add-ons.
A list of questions and answers relating to ICE Risk Model 2.