The move brings Intercontinental Exchange (ICE)’s US Electric Reliability Council of Texas (ERCOT) power contracts under its Value-at-Risk (VaR)-based portfolio margining system.
Intercontinental Exchange has expanded its ICE Risk Model (IRM) 2 portfolio margining model to its US ERCOT power futures and options markets. ERCOT power contracts are used by market participants to manage electricity price risk in Texas The IRM 2 model is ICE’s VaR-based margining methodology and is already used across more than 1,000 energy derivative contracts, including oil, natural gas, LNG, emissions and global power markets. ERCOT power contracts are used by market partic