ICE Extends ICE Risk Model 2 to Interest Rate Markets
Business Wire•22/10/2026•09:00 ET
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Key Highlights
- ➤IRM 2 expanded to ICE interest rate and fixed income derivatives
- ➤More than 1,300 contracts now margined under IRM 2
- ➤Interest rate open interest up 23% year-over-year
- ➤Interest rate average daily volume up 47% year-to-date
Expert Statements
Hester Serafini, President of ICE Clear Europe
“Margin should reflect the risk of positions a member holds, so IRM 2 looks at the whole portfolio and measures risk with greater precision, giving credit where exposures offset one another. Backed by our continued investment in clearing and risk technology, IRM 2 adapts as markets move, and we thank our customers for their continued trust and collaboration.”
Caterina Caramaschi, VP of Financial Derivatives at ICE
“The move to IRM 2 comes during a record year for ICE’s interest rate products. Diverging central bank policy paths are driving demand for more sophisticated risk tools. Rates exposures across currencies and tenors move in relation to one another, and clients need a margin model that reflects those relationships. With IRM 2, clients can manage multi-currency interest rate risk on ICE with greater capital efficiency.”
Intercontinental Exchange, Inc. (NYSE:ICE), a leading provider of financial market technology and data powering global capital markets, today announced the expansion of its Value-at-Risk (VaR)-based portfolio margining methodology, ICE Risk Model 2 (IRM 2), to ICE’s interest rate and fixed income derivatives complex.
ICE’s U.K. and European interest rate and fixed income futures and options, including Euribor, €STR, SONIA, SARON, and Gilts, plus key related spread contracts, join more than 1,300 contracts already margined under IRM 2 across ICE’s energy and financial markets.
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