IRM 2 will be rolled out across product groups and ICE Clearing Houses in discrete implementation phases. The first implementation of IRM 2 was for Equity Index Futures, cleared at ICE Clear U.S. The second phase will cover Energy products cleared at ICE Clear Europe. Subsequent phases will extend its use to other product groups and other ICE Clearing Houses.
There are several options:
ICE Clearing Analytics (ICA) allows users to upload portfolios, run interactive margin calculations and view detailed margin reports. Register for an ICA account
Margin reports, containing a breakdown of the key IRM 2 margin components, are published during end of day clearing. Register for an ICE Service Community account to access the Clearing Member Report Specification
ICE will provide a REST API that can be used to run margin calculations for portfolios that are supplied in request messages. Please note that the API is not intended for high frequency or low latency applications.
A list of approved vendors who provide IRM 2 margin calculation services is available here. 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
ICE is providing ICE Clearing Analytics (ICA), a web-based calculator UI for initial margin analysis through which portfolios can be submitted and margin results obtained. Client can also leverage Margin API (for a fee), use service providers or develop in-house replication (there is a fee to download daily IRM 2 input data files).
Yes. For customer positions held in gross-margined accounts, the margins calculated by the Clearing House are published during end of day clearing and can be used by members in their back-office.
Margin reports containing the initial product set Freight, along with other Energy products which are due to migrate to IRM2, are available now in the external parallel run.
Conformance testing is required for any Clearing Members or Service Providers intending to replicate the IRM 2 margin model. For the initial energy products conformance testing window is open now until the go-live. It is recommended however that all conformance testing is completed.
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.