Lehman’s ghost: how three CCPs anchor models to crash

The Lehman crash still haunts the margin models of LCH, CME and Eurex, albeit in different ways

“Listen to me very carefully,” Robert De Niro’s mobster tells John Bloom’s hapless lieutenant in the 1995 gangster flick Casino. “There are three ways of doing things around here: the right way, the wrong way, and the way that I do it.”

That sums up the choices the three largest over-the-counter rates clearing houses have made when hardwiring the decade-old default of Lehman Brothers into their initial margin (IM) models.

Beyond regulatory minimums, there are no right or wrong ways of setting