Intercontinental Exchange Expands Var-Based Portfolio Margining Methodology Ice Risk Model 2 To U.S. Ercot Power

Published: 2026-05-11 11:52:05 ET ICE

Published on 05/11/2026 at 11:52 am EDT

Intercontinental Exchange, Inc. announced that ICE has expanded its Value-at-Risk (VaR)-based portfolio margining methodology, IRM 2, to ICE?s U.S. ERCOT power markets. ICE?s U.S. ERCOT power futures and options allow market participants to manage electricity price risk in Texas. These contracts now join more than 1,000 energy derivative contracts already margined under IRM 2, which includes ICE?s global power, oil and refined products, natural gas, LNG, emissions and freight markets.

The IRM 2 model is designed to be responsive to changing market conditions, providing stability through different volatility conditions and avoiding ?big step? margin changes through anti-procyclical features. The model is designed to be resilient against stress events and correlation breakdown, as well as adjusting for seasonality where appropriate.

By utilizing a Filtered Historical Simulation VaR approach which models the behavior of a portfolio, IRM 2 is designed to capture all relationships and diversifying effects within a portfolio. ICE ERCOT futures and options are structured around specific locations on the Texas electricity grid, covering peak or off-peak hours, and are available across multi-hour blocks, daily, or monthly periods. ICE ERCOT futures and options open interest is up 23% year-over-year with average daily volume up 14% year-over-year.

ICE offers the most comprehensive suite of power derivative products in the U.S., including over 400 financially settled futures and 60 options contracts, allowing market participants to hedge and manage risk at scale. In the First Quarter 2026, open interest across ICE?s U.S. power futures and options hit 1,550,000,000 megawatt hours, rising 10% over the quarter, while volumes during the quarter reached nearly 2,000,000,000 megawatt hours, up 9%. 2025 was a record year for U.S. power futures and options trading at ICE with a record 7,800,000,000 megawatt hours traded, up 30% versus 2024, as volumes in U.S. power options rose 96% year-over-year.