ICE Announces New Risk Methodology for Futures and Options

Intercontinental Exchange, Inc. announced the first phase of its futures and options initial margin methodology update from ICE Risk Model (IRM 1.0) to a Value-at-Risk (VaR)-based portfolio margining methodology, IRM 2.0. IRM 2.0 utilizes a Filtered Historical Simulation VaR approach that models the behavior of a portfolio, capturing all relationships and diversifying effects within a portfolio, rather than measuring risk on an instrument-by-instrument basis. The initial launch is planned for January 24, 2022, for ICE equity index futures contracts cleared at ICE Clear U.S., which includes the ICE MSCI and MICRO NYSE FANG+Index futures. It is our plan to seek approval for IRM 2.0 in other product groups and other ICE Clearing Houses in phases, subject to all appropriate regulatory approvals. ICE’s CDS services, operated by both ICE Clear Credit and ICE Clear Europe, will continue to utilize the existing CDS margin methodology and there are no plans to change the CDS margin methodology.