CME plans sweeping overhaul of ageing Span model
New margin calculator will bring futures, options and swaps under single framework
CME Group, the world’s largest derivatives exchange, is planning some big changes to its widely used margin calculator, Span, with the aim of rejuvenating an approach described as “archaic”, and broadening its use across futures, options and swaps.
The new version of the Standard Portfolio Analysis of Risk, the CME’s margin calculator for listed derivatives, will incorporate elements of value-at-risk (VAR), making it suitable for margining over-the-counter interest rate swaps and foreign
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