The great migration: CCPs ponder life after Span

As CME moves to a value-at-risk methodology, CCPs that license its model look on nervously

When first reported CME Group’s plans to stop using its long-established Span margin framework, one senior risk manager’s reaction probably summed up how many of his peers felt at the 50-odd firms that license it: “What – CME’s moving away from Span? The Span we use? The Span everyone uses?”

CME’s decision to begin moving its vast futures and options product universe to a new margin model – dubbed ‘Span 2’ (see box: Span 2: harder, better, faster, stronger), but in essence a classic

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