ICE Announces Planned Launch of Phase One of ICE Risk Model 2.0, a VaR-Based Portfolio Margining Methodology

Intercontinental Exchange, Inc. (NYSE:ICE), a leading global provider of data, technology, and market infrastructure, today 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.

“Over the last decade, ICE has invested heavily in its clearing operations technology and its world class risk management and models,” said Christopher S. Edmonds, Global Head of Clearing and Risk at ICE. “By modelling the portfolio as a whole, IRM 2.0 allows for offsets to be reflected in the final initial margin value, creating risk-appropriate capital efficiencies for clearing members and their customers. We are working closely with clearing members, regulators and the wider market as we develop and transition to the new risk model.”

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.

ICE Clear U.S. has created a dedicated ICE Risk Model 2.0 page on its website, which also includes a comprehensive FAQ.

About Intercontinental Exchange

Intercontinental Exchange, Inc. (NYSE: ICE) is a Fortune 500 company that designs, builds and operates digital networks to connect people to opportunity. We provide financial technology and data services across major asset classes that offer our customers access to mission-critical workflow tools that increase transparency and operational efficiencies. We operate exchanges, including the New York Stock Exchange, and clearing houses that help people invest, raise capital and manage risk across multiple asset classes. Our comprehensive fixed income data services and execution capabilities provide information, analytics and platforms that help our customers capitalize on opportunities and operate more efficiently. At ICE Mortgage Technology, we are transforming and digitizing the U.S. residential mortgage process, from consumer engagement through loan registration. Together, we transform, streamline and automate industries to connect our customers to opportunity.

Trademarks of ICE and/or its affiliates include Intercontinental Exchange, ICE, ICE block design, NYSE and New York Stock Exchange. Information regarding additional trademarks and intellectual property rights of Intercontinental Exchange, Inc. and/or its affiliates is located here. Key Information Documents for certain products covered by the EU Packaged Retail and Insurance-based Investment Products Regulation can be accessed on the relevant exchange website under the heading “Key Information Documents (KIDS).”

Safe Harbor Statement under the Private Securities Litigation Reform Act of 1995 -- Statements in this press release regarding ICE's business that are not historical facts are "forward-looking statements" that involve risks and uncertainties. For a discussion of additional risks and uncertainties, which could cause actual results to differ from those contained in the forward-looking statements, see ICE's Securities and Exchange Commission (SEC) filings, including, but not limited to, the risk factors in ICE's Annual Report on Form 10-K for the year ended December 31, 2020, as filed with the SEC on February 4, 2021.

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Source: Intercontinental Exchange

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