Ice, CME set to launch new VAR models in early 2020

Bourses plan to switch margining of energy futures at different times, prompting speculation of “arbitrage opportunities”

CME is switching to a VAR-based margin model for energy in H1 2020; Ice will start with rate futures

Ice Clear Europe is set to roll out its new value-at-risk-based margin methodology for listed derivatives clearing in early 2020 – a move that puts it on a potential collision course with CME Group, which is plotting the launch of its own revised VAR-based method during the first half of next year. Both timelines are provisional, and subject to regulatory approval.

Ice is planning to roll out the model for its interest rate futures complex, including its flagship Libor and Euribor futures early