ICE Risk Model 2 (IRM 2) is ICE’s new portfolio-based risk management system. As a replacement for ICE Risk Model 1 (IRM 1), IRM 2 will ultimately allow for computing margin requirements across the entire ICE futures & options derivatives complex.
IRM 2 is a portfolio-based margin model which offers full diversification benefit based on accurate estimate of the portfolio risk. The model is based on filtered historical simulation and is responsive to changing market conditions. IRM 2 includes model features which provide stability through different volatility regimes and avoids big step margin changes through its anti-procyclical add-on. The model is resilient against stress events, correlation breakdown and adjusts for seasonality where appropriate.
Accuracy & Capital Efficiency
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Responsiveness
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Stability
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Risk Management
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Ease of Implementation and Replication
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Easily Maintained
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| IRM 2 | IRM 1 | |
|---|---|---|
| Value-At-Risk IM Framework |  | |
| Portfolio-Based Filtered Historical Simulation | | — |
| Anti-Procyclicality Measures | | |
| Incorporates Periods of Market Stress | | |
| Margin Offsets between Products Based on Full Portfolio Dynamics | | — |
| Natively Captures Options Pricing Dynamics | | — |
| Model Supported in ICE Clearing Analytics | | |
| LRC comprising Concentration and Bid-Ask Charges | | — |
Discover ICE Clear Europe’s new portfolio-based margin model and gain valuable insights into the implementation and methodology.
This Risk Model 2 webinar was held on October 15, 2025.
Freight products cleared by ICE Clear Europe were switched to IRM 2 from September 12, 2025. Further Energy products cleared by ICE Clear Europe were switched to IRM 2 from November 7, 2025. IRM 2 is being rolled out to other product groups in successive stages.
The table below contains links to the ICE Clear Europe Energy products that are live on IRM 2, as well as the collection of products not currently in scope that will remain on IRM 1 until a subsequent implementation stage. For production clearing, Members should refer to the downloadable Product Reference Data File (GSPD) to determine if a product is subject to either IRM 2 or IRM 1 by evaluating the value in the attribute ‘MARGIN_MODEL’.
| Model Category | Product Groups | Link |
|---|---|---|
| Products switching to IRM 2 | ICE Clear Europe Energy Futures and Options
| |
| Products remaining on IRM 1 | All remaining ICEU Products |
**Scope of products remaining on IRM 1 excludes those products now switched to IRM 2
The table below contains links to products live under IRM 2, as well as the collection of products not in currently in scope that will remain on IRM 1 until a subsequent implementation stage. For production clearing, Members should refer to the downloadable Product Reference Data File (GSPD) to determine if a product is subject to either IRM 2 or IRM 1 by evaluating the value in the attribute ‘MARGIN_MODEL’.
| Model Category | Product Groups | Link |
|---|---|---|
| Products Live under IRM 2 | Equity Index & Interest Rates Futures | |
| Products Remaining on IRM 1 | All remaining ICUS ETD Futures & Options |
ICE Risk Model 2 utilizes a Filtered Historical Simulation (FHS) Value-at-Risk (VaR) approach that models the behavior of a portfolio.
ICE Clearing Analytics (ICA) is ICE’s new web-based platform for calculating ICE Risk Model 2 initial margin (IM) and related margin add-ons.
A list of questions and answers relating to ICE Risk Model 2.
ICE Risk Model 2 utilizes a Filtered Historical Simulation (FHS) Value-at-Risk (VaR) approach that models the behavior of a portfolio.
ICE Clearing Analytics (ICA) is ICE’s new web-based platform for calculating ICE Risk Model 2 initial margin (IM) and related margin add-ons.
A list of questions and answers relating to ICE Risk Model 2.
IRM 2 is covered under various patents and patent applications in the US, Canada, Europe and Singapore, including US Patent Nos. 10,922,755; 11,023,978; 11,216,886; and 11,321,782.