ICE Clear Europe’s first tranche of interest-rate products moved to the IRM2 portfolio margin model under a timetable set out in circular C26/066: close of business 16 October, reflected in margin calls on 19 October. ICE’s 22 October announcement names UK and European futures and options including Euribor, €STR, SONIA, SARON and Gilts.[4][1]
Implementation evidence and scope
| Document or group | What it establishes |
|---|---|
| 9 October circular C26/066 | First rates tranche migration at close 16 October; margin calls 19 OctoberSource 4Source 1Source 2 |
| 22 October issuer release | Named UK/European benchmarks join more than 1,300 contracts already under IRM2Source 4Source 1Source 2 |
| New Japanese, Swedish, Norwegian, South African and Australian STIR contracts | Migration to IRM2 will followSource 4Source 1Source 2 |
| General IRM2 overview | Still displays an approval qualifier for ICE Clear Europe rates; less specific than the operating circularSource 4Source 1Source 2 |
IRM2 uses filtered historical simulation value-at-risk to assess portfolio exposures, including offsets between related positions. It also includes liquidity and concentration charges; a portfolio approach does not imply lower margin for every portfolio. The model’s anti-procyclical features aim to temper abrupt margin changes as volatility shifts.[3][2]
Operational changes for clearing members
| File or tool | Circular instruction |
|---|---|
| Product reference data | Affected rates products show IRM2 in margin-model fieldsSource 4 |
| IRM2 input files | Available after 16 October end-of-day processingSource 4 |
| IRM1 financial risk arrays | Exclude migrated rates productsSource 4 |
| Simulation arrays in IRM1 format | Indicative only; not for calculating actual marginSource 4 |
ICE reports rates and fixed-income open interest up 23% year on year and average daily volume up 47% year to date. These are different measures and periods. The circular, rather than those activity figures or a generic web-page caveat, supplies the implementation date.[1][4]
Sources & further reading
- ICE Extends ICE Risk Model 2 to Interest Rate Markets Intercontinental Exchange / Business Wire · 22 Oct 2026 · Accessed 26 Oct 2026
- ICE Risk Model 2 overview and clearing-house scope Intercontinental Exchange · Accessed 26 Oct 2026
- ICE Risk Model 2 frequently asked questions Intercontinental Exchange · Accessed 26 Oct 2026
- Circular C26/066: IRM2 implementation—rates products ICE Clear Europe · 9 Oct 2026 · Accessed 26 Oct 2026