CME no longer looking back to Lehman

Changes to rates margin model move CCP into line with rivals

cme
CME Group will fix a rolling 10-year lookback period from the present day for its normal scaled filtered VAR mode

Almost 11 years after the Lehman Brothers default triggered a global financial crisis, CME Group is finally letting the shocks that reverberated through fixed income markets in the days and months that followed roll off its interest rate swap clearing margin model – sort of.

Most CCP risk models use a rolling lookback when setting margins, with the historical window tied to a set number of years: each day, the previous trading day’s data gets added to the time series, while the data from the

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