ICE Expands IRM 2 Portfolio Margining Model to Over 1,000 Energy Contracts
Intercontinental platform, Inc. (NYSE: ICE), the leading global provider of data, technology, and market infrastructure, has launched the latest phase of its Value-at-Risk (VaR)-based portfolio margining methodology, ICE Risk Model 2 (IRM 2), marking a significant milestone in the modernization of energy clearing risk management.
The new expansion brings more than 1,000 energy futures and options contracts under IRM 2 — spanning oil, natural gas, LNG, power, emissions, and freight products. Key benchmark contracts including Brent, Gasoil, Midland WTI (HOU), Murban, TTF, and EUA are now margined under the enhanced framework, alongside correlated spread contracts. ICE confirmed that the is available on its ICE Risk Model 2 page.
Using a Filtered Historical Simulation VaR approach, IRM 2 models risk dynamically across portfolios, accounting for inter-commodity correlations, seasonality, and hedging effects. This portfolio-based approach allows ICE to calculate risk exposure more precisely and deliver capital-efficient margining to participants while maintaining robust protection against market stress and correlation breakdowns.
“By assessing risk on a portfolio basis, IRM 2 is able to calculate risk precisely, allowing us to offer customers greater margining benefits when the portfolio is diversified or hedged,” said Hester Serafini, President of . “As the largest clearing house for energy products globally, ICE continues to invest heavily in world-class clearing and risk management technology.”
Takeaway
Enhancing Transparency and Stability in Global Energy Clearing
IRM 2’s enhanced model is built to adapt to changing volatility regimes and minimize the “large step” margin changes that often accompany periods of market turbulence. Anti-procyclical measures within the model are designed to smooth margin adjustments, assisting firms better manage conditions.
ICE has also launched new analytics tools under its ICE Clearing Analytics (ICA) suite, which allow customers to run “what-if” scenarios to visualize the impact of potential requirements under IRM 2. This real-time insight supports transparency and assists firms manage capital more efficiently in line with risk exposure.
“The energy markets are a matrix of interconnected and correlated positions covering exposures across , gas, environmentals, and freight,” said Trabue Bland, Senior Vice President, Futures platforms at ICE. “IRM 2 is a major milestone that captures these complex relationships to deliver risk-appropriate margin offsets. We’re grateful to our customers for their partnership in shaping this transition.”
Takeaway
Transition Roadmap and Broader Market Impact
With the implementation of IRM 2 for energy products at ICE Clear Europe, the platform builds upon earlier phases of the model — first introduced in January 2022 for ICE’s equity index futures cleared at ICE Clear U.S. The next steps include expanding IRM 2 coverage to interest rate, equity derivative, and agricultural products, with timelines to be confirmed in forthcoming updates.
IRM 1 remains in use for products awaiting migration, ensuring operational continuity while ICE collaborates closely with members on model adoption and integration. The company emphasized that IRM 2’s advanced architecture aligns with global regulatory expectations for margin stability and risk sensitivity, reinforcing ICE’s position as the benchmark for clearing innovation in energy and derivatives markets.
“IRM 2 allows us to better reflect diversification and cross-market linkages in margin calculations, giving customers the flexibility to deploy capital efficiently without compromising systemic resilience,” added Serafini. “It is another step forward in ICE’s mission to provide risk-appropriate, transparent, and globally trusted clearing infrastructure.”
Takeaway
