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