| Market | Margin Model | Confidence Interval | Look-back Period | Margin Period of Risk |
|---|---|---|---|---|
| Energy | Filtered Historical Simulation | 99% | 250, 500 and 1,000 days | 2-day* |
| Financials & Softs | Parametric VaR | 99% | 60, 250 and 525 days | 2-day |
| Financials & Softs | Historical Simulation | 99% | 100, 250 and 525 days | 2-day |
| CDS | Scenario-Based Approach and Monte Carlo Simulation VaR | 99.5% | 01/04/2007 and 250 days | 5-day for House. 7-day for Client |
* Please note that the 2-day MPOR for Energy contracts will apply from the point of EMIR authorisation onwards.
All risk models used by ICE Clear Europe are reviewed and subject to a formal model governance process that requires external independent validation. The suitability of all models is reviewed on an annual basis. Any material change to an existing model and all new models are also subject to independent model validation.
Parameters used within the models are reviewed and set by ICE Clear Europe Risk Management in accordance with policies agreed by the appropriate product Risk Committee. Initial Margin data is available on the Financial Resources section of our website.