CME no longer looking back to Lehman

Changes to rates margin model move CCP into line with rivals

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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options


Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here