IntercontinentalExchange expands VaR-based portfolio margining methodology

Intercontinental Exchange announced that ICE has expanded its Value-at-Risk-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 1000 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 expansion of IRM 2 to ICE ERCOT power is an important move for our customers who rely on capital-efficient risk management tools to trade and hedge effectively across U.S. power and wider energy markets,” said Brian Lewis, Senior Director, Head of North American Natural Gas and Power at ICE. “As U.S. power consumption hits new highs, customers can now benefit from IRM 2’s portfolio-based approach which captures the correlations across interconnected energy exposures and translates them into margin benefits when trading diversified or hedged portfolios across ICE.”