ICE Clearing Analytics
ICE Clearing Analytics (ICA) is ICE’s web-based margin simulation platform, built specifically for IRM 2. It allows clearing members to calculate initial margin requirements on their own portfolios, run ‘what-if’ scenarios, and generate detailed margin reports, all without integration work. ICA is the fastest way to understand how IRM 2 applies to your specific positions.
What you can do with ICA?
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 | | — |
ICA features
ICA gives clearing members direct access to IRM 2 margin calculations on their own portfolios. Whether you need to replicate official margin figures, model the impact of a potential trade, or generate a report for your risk team, ICA is built to handle it through a browser, with no data files to load.
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
Tutorials
Intro
A walkthrough of the ICA interface and how to get started.
Position load
How to upload and manage your portfolio positions in ICA.
What if
How to create and run margin scenarios to assess the impact of potential trades.
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.