Energy products fact sheet

ICE Clear Europe (“ICEU”) has completed the development of a new margin model which involves changes to initial margin and margin add-on charges for the Futures and Options (F&O) Clearing Service. The new margining model, called “IRM 2”, will replace the current production model (“IRM 1”).

IRM 2 utilises a Filtered Historical Simulation (FHS) Value-at-Risk (VaR) approach that models the behaviour of the total portfolio rather than measuring risk on an instrument-by-instrument basis (as IRM 1 does today). IRM 2 leverages a portfolio-level perspective by capturing all relationships and diversifying effects within a portfolio.