Intercontinental Exchange, Inc. (NYSE:ICE) 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.

“Bringing interest rates onto IRM 2 is the next major step in rolling out our new risk model,” said 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.”

“The move to IRM 2 comes during a record year for ICE’s interest rate products,” said Caterina Caramaschi, VP of Financial Derivatives at ICE. “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.”

IRM 2 uses anti-procyclical features to avoid “big step” margin changes while remaining resilient in stress events, and its Filtered Historical Simulation VaR approach captures diversification across related benchmarks and currencies.

In addition, ICE has broadened its multi-currency rates offering this year with new STIR futures covering Japanese, Swedish, Norwegian, South African and Australian markets, and these contracts will migrate to IRM 2 in due course.

Across ICE’s interest rates and fixed income complex, open interest is up 23% year-over-year, while average daily volume is up 47% year-to-date.