ICE announced the launch of IRM 2 on November 17, 2025, marking the first phase of its new Value‑at‑Risk (VaR) portfolio‑margining methodology for energy clearing. The rollout follows a phased approach that began with equity index futures in 2022 and now extends to more than 1,000 energy futures and options contracts.
IRM 2 uses a Filtered Historical Simulation (FHS) VaR model that evaluates a portfolio as a whole, capturing inter‑contract correlations and diversification benefits that were not fully reflected in the previous instrument‑by‑instrument approach. The model’s real‑time responsiveness to market conditions allows margin requirements to adjust more quickly to changing volatility, providing traders with more accurate and timely capital allocations.
The first energy‑clearing phase includes benchmark contracts such as Brent, Gasoil, Midland WTI (HOU), Murban, TTF, and EUA. By applying portfolio‑level risk assessment to these contracts, ICE can offer margin offsets that reduce the capital burden for diversified or hedged positions, a benefit that is especially valuable in the highly correlated oil and gas markets.
From a business perspective, IRM 2 strengthens ICE’s competitive position as the world’s largest energy‑product clearing house. The methodology’s ability to lower capital costs for clearing members translates into a tangible value proposition that can attract new participants and deepen existing relationships. The investment also signals ICE’s continued commitment to technology leadership and risk‑management innovation across its exchanges and data services.
"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 ICE Clear Europe. "ICE has invested heavily in its world‑class clearing operations technology and risk management. As the largest clearing house in the world to clear energy products, we work every day to provide customers with capital efficient, risk‑appropriate clearing," she added.
Trabue Bland, SVP of Futures Exchanges at ICE, noted that the methodology’s design “captures the complex correlations across oil, gas, and environmental contracts, producing margin offsets that enable capital‑efficient and risk‑appropriate trading and clearing.” The company plans to roll out IRM 2 to additional product groups in the coming months, further expanding its portfolio‑margining capabilities across the derivatives market.
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