ICE Risk Model Parameter Files
Layout Guide
Version 3.7
May 2018
1.
Introduction .................................................................................................. 2
2.
Scanning Ranges and Tiering ..................................................................... 3
3.
Inter-Month Spread Rates............................................................................ 5
4.
Strategy Spread Rates ................................................................................. 6
5.
Inter-Commodity Spread Rates Detailed .................................................... 8
6. Decomposed Contracts and Margin Rates (Applies to ICE Clear EU
only) ................................................................................................................... 10
7. Deliverable Contracts Security Rates (Applies to ICE Clear EU Energy
Only) ................................................................................................................... 11
Intercontinental Exchange
© 2018 Intercontinental Exchange, Inc.
i
ICE Risk Model Parameter Files Layout Guide
1. Introduction
The ICE clearinghouses publish ICE Risk Model parameter information in Comma Separated
Value (CSV) format. The following document is a guide to information displayed in this format.
ICE Risk Model parameters for all cleared ICE products, both exchange traded and OTC are is
contained in the following four files:
a.
b.
c.
d.
e.
Scanning ranges and tiering
Inter-month spread rates
Strategy spread rates
Inter-commodity spread rates detailed
Decomposed contract margins (Applies to ICE Clear EU only)
In the following guide ICE Brent Futures (BRN) will be used as an example to illustrate how
information is organised.
For further information please e-mail questions to: icecleareuroperisk@theice.com.
Intercontinental Exchange
© 2018 Intercontinental Exchange, Inc.
2
2. Scanning Ranges and Tiering
This file contains the margin requirements applicable to outright positions; information on the tiers
that different expiries along the forward curve are grouped into and the discounts applied to the
scanning ranges.
Listed below are the column headings contained in this file together with a description on the
information contained in each column:
Column
Column Heading
Description
A
Effective Date
Date the rate takes effect; changes will be reflected in
margin calls made on the following business day.
B
Exchange Code
Cleared Market Code: I = ICE Energy Futures.
L = ICE Financials products (Interest Rates Futures and
Options and Equity Index Futures)
O: ICE Single Stock Equity products and Equity Index
options.
X: Soft Commodities products
N: ICE Clear US products
C
Logical Commodity
Code
TRS contract code: Brent is BRN.
D
Physical Commodity
Code
Applies only to Balmo contracts.
E
Contract Name
Name of contract: B-Brent Crude Future.
F
Currency
Currency of contract. Brent’s currency is USD.
G
New Scanning Range
New scanning range that will take effect on the date shown
in A. This is expressed as a per lot value in the contract
currency. Brent will be expressed as $’s per lot.
H
Previous Scanning
Range
Previous scanning range that was superseded.
I
New Applied Margin
Rate
This is the new rate for each tier having taken into account
the discount rate shown in column K. For example 12,000 x
92% = $11,040.
J
Previous Applied
Margin Rate
This is the previous rate for each tier.
K
Percentage Change
Percentage change between columns I and J.
L
Tier
Tier number. Brent forward curve is grouped into 11 tiers.
M
New Discount Rate
The new discount rate for each tier that is applied to the new
scanning range shown in column G, expressed as a
percentage.
N
Old Discount Rate
The previous discount rate for each tier that is applied to the
previous scanning range shown in column H, expressed as a
Intercontinental Exchange
© 2018 Intercontinental Exchange, Inc.
3
Column
Column Heading
Description
percentage.
O
Tier structure from
The forward expiry that a tier starts from, with 1 being the
front month.
P
Tier structure to
The forward expiry a tier ends with.
Q
Indicative Expiry from
The expiry month (or day for daily contracts) of the first
contract within a particular tier. Please note that this expiry
date will not always be accurate as it is only updated when
the margin rates are updated.
R
Indicative Expiry to
The expiry month (or day for daily contracts) of the last
contract within a particular tier. Please note that this expiry
date will not always be accurate as it is only updated when
the margin rates are updated.
S
New Volatility Up Shift
The new volatility shift up that is applied to option positions
when calculating scanning losses, expressed as a
percentage of a percentage.
T
New Volatility Down
Shift
The new volatility shift down that is applied to option
positions when calculating scanning losses.
U
Previous Volatility Up
Shift
Previous option volatility up shift.
V
Previous Volatility
Down Shift
Previous option volatility down shift.
W
New Short Option
Minimum
The new minimum margin requirement applicable to deep
out-of-the-money options. The short option minimum charge
is only called if it exceeds the value of the ICE Risk Model
commodity risk. The short option charge for Brent is $1 per
lot.
X
Margin Units
This indicates if the scanning range is expressed as per lot,
per day or per Mwh rate. Brent scanning range is expressed
in $’s per lot.
Y
Multiplier
Contract value for a price change of one point. Brent is 1,000
barrels per lot.
Z
Market
Indicates if the contract is Exchange Traded or OTC traded.
Brent is an exchange traded contract.
AA
Asset Class
Classification of products.
AB
Sector
Sub-classification of asset class (where applicable).
AC
Spread Reference
Product
Product against which per lot spread charges and
intercontract delta ratios are based.
AD
Position Allocation
Indicates whether Position Allocation method is applied to
this contract. If “Yes”, the details of the allocation can be
found in the published ‘Position Allocation’ file.
AE
Margin Erosion
This indicates whether margin erosion is applied to the front
month and if so, which method is used.
Intercontinental Exchange
© 2018 Intercontinental Exchange, Inc.
4
Column
Column Heading
Description
Linear method Erosion factor = number of remaining days in
the settlement month / total number of days in the settlement
month ,
Square root of time method Erosion factor = SQRT (number
of remaining days in the settlement month / total number of
days in the settlement month),
Erosion factors are updated daily using the number of
calendar days in the month convention and applied to
original positions in that contract.
Please note that the “New Applied Margin Rates” are indicative rates. The final result produced
by ICE Risk Model may differ slightly due to rounding rules; this is not included in this file.
3. Inter-Month Spread Rates
This file contains the margin requirements applicable to inter-month spread positions within the
same contact.
Column
Column Heading
Description
A
Effective Date
Date the rate takes effect; changes will be reflected in
margin calls made on the following business date.
B
Exchange Code
Cleared Market Code:
I = ICE Energy products
L = ICE Financials products (Interest Rates Futures and
Options and Equity Index Futures)
O: ICE Single Stock Equity products and Equity Index
options.
X: Soft Commodities products
N: ICE Clear US products
C
Logical Commodity Code
TRS contract code: Brent is BRN.
D
Contract Name
Name of contract: B-Brent Crude Future.
E
Currency
Currency of contract. Brent’s currency is USD.
F
Front Tier
The tier in which the front month of the spread falls.
G
Front Tier Periods
Range of relative months in front tier.
H
Back Tier
The tier in which the back month of the spread falls.
I
Back Tier Periods
Range of relative months in back tier.
J
Priority
K
New Spread Parameter
L
Previous Spread
The priority order in which the charges are applied.
New inter-month spread rate. This is quoted in currency
units per position delta, which generally equates to the
equivalent of a one lot futures position. For Brent this is
quoted in $’s per spread.
Previous inter-month spread rate.
Intercontinental Exchange
© 2018 Intercontinental Exchange, Inc.
5
Column
Column Heading
Description
Parameter
M
New Applied Spread
Rate
The new total margin cost of a one lot spread once
scanning risk discounts have been applied.
N
Previous Applied Spread
Rate
The previous total margin cost of a one lot spread once
scanning risk discounts have been applied.
O
Percentage Change
Percentage change between columns M and N.
P
Multiplier
Contract value for a price change of one point. Brent is
1,000 barrels per lot.
Q
Per Share Rate
Applicable to individual equity products.
R
Asset Class
Classification of products.
S
Sector
Sub-classification of asset class.
4. Strategy Spread Rates
This file contains the margin requirements applicable to strategy spread positions within the
same contact.
Column
Column
Heading
Description
A
Effective Date
Date the rate takes effect; changes will be reflected in margin calls
made on the following business date.
B
Exchange Code
Cleared Market Code:
I = ICE Energy products
L = ICE Financials products (Interest Rates Futures and Options
and Equity Index Futures)
O: ICE Single Stock Equity products and Equity Index options.
X: Soft Commodities products
N: ICE Clear US products
C
Logical
Commodity
Code
TRS contract code: Brent is BRN.
D
Contract Name
Name of contract: B-Brent Crude Future.
E
Currency
Currency of contract. Brent’s currency is USD.
F
Strategy Type
Intercontinental Exchange
© 2018 Intercontinental Exchange, Inc.
The five strategy spreads available are:
•
B: Butterfly (3 leg spread defined as 1 lot long (short), 2 lots
short (long), 1 lot long (short) or +1/-2/+1),
•
C: Condor (4 leg spread defined as 1 lot long (short), 1 lot short
(long), 1 lot short (long) and 1 lot long (short) or +1/-1/-1/+1),
•
D: Double-Butterfly (4 leg spread defined as 1 lot long (short),
3 lots short (long), 3 lots long (short) and 1 lot short (long) or
6
Column
Column
Heading
Description
+1/-3/+3/-1),
G
Strategy Period
Type
•
E: Extended Double-Butterfly (5 leg spread defined as 1 lot
long (short), 2 lots short (long), zero, 2 lots long (short) and 1
lot short (long) or +1/-2/0/+2/-1),
•
Q: Intermonth (2 leg spread defined as 1 lot long (short), 1 lot
short (long) or +1/-1).
The six different period types available are:
•
M: Monthly (positions must be in consecutive months; e.g.
Jan13, Feb13, Mar13),
•
T: Two-monthly (positions must be 2 consecutive months
apart; e.g. Jan13, Mar13, May13),
•
Q: Quarterly (positions must be 3 consecutive months apart;
e.g. Mar13, Jun13, Sep13),
•
S: Six-monthly (positions must be 6 consecutive months apart;
e.g. Mar13, Sep13, Mar14),
•
N: Nine-monthly (positions must be 9 consecutive months
apart; e.g. Mar13, Dec13, Sep14),
•
Y: Yearly (positions must be 12 consecutive months apart; e.g.
Mar13, Mar14, Mar15).
H
Period 1
Relative expiry month, e.g.1 (front month) of the first leg of the
spread. If prefixed with Q this is the relative quarterly in a Mar, Jun,
Sep, Dec expiry cycle.
I
Period 2
Relative expiry month of the second leg of the spread.
J
Period 3
K
Period 4
L
Indicative Expiry
1
M
Indicative Expiry
2
Relative expiry month of the third leg of the spread.
Relative expiry month of the fourth leg of the spread. Applies only
to condor spreads.
The expiry month of the first leg of the particular spread. Please
note that this expiry date will not always be accurate as it will not
be updated on each occasion an expiry occurs.
The expiry month of the second leg of the particular spread. Please
note that this expiry date will not always be accurate as it will not
be updated on each occasion an expiry occurs.
N
Indicative Expiry
3
The expiry month of the second leg of the particular spread. Please
note that this expiry date will not always be accurate as it will not
be updated on each occasion an expiry occurs.
O
Indicative Expiry
4
P
New Spread
Parameter
Q
Previous Spread
Parameter
The expiry month of the second leg of the particular spread. Please
note that this expiry date will not always be accurate as it will not
be updated on each occasion an expiry occurs.
New strategy spread rate. This is quoted in currency units per
position delta, which generally equates to the equivalent of a one
lot futures position. Brent is quoted in $’s per spread.
Previous strategy spread rate.
Intercontinental Exchange
© 2018 Intercontinental Exchange, Inc.
7
Column
Column
Heading
Description
R
New Applied
Spread Rate
The new total margin cost of a one lot strategy once scanning risk
discounts have been applied.
S
Previous
Applied Spread
Rate
The previous total margin cost of a one lot strategy once scanning
risk discounts have been applied.
T
Percentage
Change
Percentage change between columns R and S.
U
Multiplier
Contract value for a price change of one point. Brent is 1,000
barrels per lot.
V
Per Share Rate
Applicable to individual equity products.
W
Asset Class
Classification of products.
X
Sector
Sub-classification of asset class.
5. Inter-Commodity Spread Rates Detailed
This file contains the margin requirements applicable to inter-commodity spread positions. The
percentages shown are the amount the scanning ranges for each leg of the spread are reduced
by where the position is part of an inter-commodity spread.
Column
Column Heading
Description
A
Effective Date
Date the rate takes effect; changes will be reflected in margin
calls made on the following business date.
B
Exchange Code 1
Cleared Market Code:
I = ICE Energy products
L = ICE Financials products (Interest Rates Futures and
Options and Equity Index Futures)
O: ICE Single Stock Equity products and Equity Index options.
X: Soft Commodities products
N: ICE Clear US productsCleared Market Code for the contract
that forms leg 1 of the inter-commodity spread.
C
Asset Class 1
Classification of leg 1 product.
D
Sector 1
Sub-classification of leg 1 product.
E
Logical Commodity
Code 1
Combined commodity code for the contract that forms leg 1 of
the inter-commodity spread.
F
Contract Name 1
Name of contract for the contract that forms leg 1 of the intercommodity spread.
G
Tier 1
The Inter-commodity tier used in this spread for the contract that
forms leg 1.
H
Tier Periods 1
Range of relative months in leg 1 intercontract tier.
Intercontinental Exchange
© 2018 Intercontinental Exchange, Inc.
8
Column
Column Heading
Description
I
Delta Ratio 1
The Delta Ratio used in this spread for the contract that forms
leg 1.
J
Leg side 1
Always equal to A.
K
Currency 1
Currency of contract for the contract that forms leg 1 of the
inter-commodity spread.
L
Exchange Code 2
Cleared Market Code:
I = ICE Energy products
L = ICE Financials products (Interest Rates Futures and
Options and Equity Index Futures)
O: ICE Single Stock Equity products and Equity Index options.
X: Soft Commodities products
N: ICE Clear US productsCleared Market Code for the contract
that forms leg 2 of the inter-commodity spread.
M
Asset Class 2
Classification of leg 2 product.
N
Sector 2
Sub-classification of leg 2 product.
O
Logical Commodity
Code 2
Combined commodity code for the contract that forms leg 2 of
the inter-commodity spread.
P
Contract Name 2
Name of contract for the contract that forms leg 2 of the intercommodity spread.
Q
Tier 2
The Inter-commodity tier used in this spread for the contract that
forms leg 2.
R
Tier Periods 2
Range of relative months in leg 2 intercontract tier
S
Delta Ratio 2
The Delta Ratio used in this spread for the contract that forms
leg 2.
T
Leg Side 2
Market side for leg 2 of the spread.
U
Currency 2
Currency of contract for the contract that forms leg 2 of the
inter-commodity spread.
V
Exchange Code 3
Cleared Market Code:
I = ICE Energy products
L = ICE Financials products (Interest Rates Futures and
Options and Equity Index Futures)
O: ICE Single Stock Equity products and Equity Index options.
X: Soft Commodities products
N: ICE Clear US productsCleared Market Code for the contract
that forms leg 3 of the inter-commodity spread.
W
Asset Class 3
Classification of leg 3 product.
X
Sector 3
Sub-classification of leg 3 product.
Y
Logical Commodity
Code 3
Combined commodity code for the contract that forms leg 3 of
the inter-commodity spread.
Intercontinental Exchange
© 2018 Intercontinental Exchange, Inc.
9
Column
Column Heading
Description
Z
Contract Name 3
Name of contract for the contract that forms leg 3 of the intercommodity spread.
AA
Tier 3
The Inter-commodity tier used in this spread for the contract that
forms leg 3.
AB
Tier Periods 3
Range of relative months in leg 3 intercontract tier.
AC
Delta Ratio 3
The Delta Ratio used in this spread for the contract that forms
leg 3.
AD
Leg Side 3
Market side for leg 3 of the spread.
AE
Currency 3
Currency of contract for the contract that forms leg 3 of the
inter-commodity spread.
AF
New Credit Rate
The percentage of the scanning range that is credited back
when a position is part of an inter-commodity spread.
AG
Previous Credit
Rate
The previous inter-commodity spread credit rate.
AH
Percentage
Change
Percentage change between columns AF and AG.
AI
Volatility Credit
Option volatility credit rate as a percentage.
6. Decomposed Contracts and Margin Rates
(Applies to ICE Clear EU only)
This file contains the total margin calculated by ICE Risk Model for futures contracts to which
Position Allocation is applied (decomposed), as well as the details of ICE Risk Model scanning
margin and inter-contract credit which consist the final margin charge.
Listed below are the column headings contained in this file together with a description on the
information contained in each column:
Column
Column Heading
Description
A
Effective Date
Date the rate takes effect; changes will be reflected in
margin calls made on the following business day.
B
Exchange Code
Cleared Market Code:
I = ICE Energy products
L = ICE Financials products (Interest Rates Futures and
Options and Equity Index Futures)
O: ICE Single Stock Equity products and Equity Index
options.
X: Soft Commodities products
C
Decomp Logical
Commodity
Combined commodity code for the decomposed future.
Intercontinental Exchange
© 2018 Intercontinental Exchange, Inc.
10
Column
Column Heading
Description
D
Decomp Physical
Commodity
Individual commodity code for the decomposed future.
E
Decomp Contract Name
Name of contract.
F
Currency
Currency of contract.
G
Expiry Label
Expiry Date of the decomposed future.
H
Leg 1 Logical Code
Combined commodity code for leg 1 of the decomposed
margin.
I
Leg 1 Contract Name
Name of leg 1 Combined Commodity.
J
Leg 1 Scanning
Outright margin attributed to leg 1.
K
Leg 1 Delta
Delta position assigned to leg 1.
L
Leg 2 Logical Code
Combined commodity code for leg 2 of the decomposed
margin.
M
Leg 2 Contract Name
Name of leg 2 Combined Commodity.
N
Leg 2 Scanning
Outright margin attributed to leg 2.
O
Leg 2 Delta
Delta position assigned to leg 2.
P
Floor Margin
Outright margin attributed to the futures position.
Q
Intercontract Credit
Margin Credit produced by decomposed positions.
R
Applied Margin
Total margin for the decomposed future.
S
Margin Units
Products with variable size contain multiple units per lot.
This column indicates the units applicable.
T
Multiplier
Contract value for a price change of one point.
U
Asset Class
Classification of products.
V
Sector
Sub-classification of asset class (where applicable).
7. Deliverable Contracts Security Rates (Applies to
ICE Clear EU Energy Only)
This file contains the security rates applicable to positions in delivery together with the timing of
when the security will be called.
Column
Column Heading
Description
A
Effective Date
Date the rate takes effect; changes will be reflected in
margin calls made on the following business day.
B
Logical Commodity
TRS contract code.
C
Contract Name
Name of the contract.
Intercontinental Exchange
© 2018 Intercontinental Exchange, Inc.
11
D
Seller Security(per lot)
Indicates the amount the seller has to lodge in respect of
a position in delivery. For Gas oil there in no seller
security requirement.
E
Buyers Security
Name of contract.
F
Security Called
Indicates the first day on which security is called.
G
Currency
Currency of contract.
H
Delivery Margin Type
Absolute or Percentage
I
Delivery Margin Rate
Applied delivery margin rate
J
Delivery Margin Unit
Unit of the delivery margin rate
K
CVM Price Source
Data source for the calculation of contingent variation
margin.
L
Exchange Code
Cleared Market Code: I = ICE Energy Products.
M
Physical Commodity Code
Physical commodity code of the product.
Intercontinental Exchange
© 2018 Intercontinental Exchange, Inc.
12