A look under the hood of Span 2, CME’s new margin engine

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The devil’s in the details.

The CME Group is putting the finishing touches on its new value-at-risk margin framework Span 2, an abrupt break from the Span 1 vernacular, now in its fourth decade. As the fine print of Span 2 starts to seep out, risk managers are looking at where it departs from current orthodoxy.

The differences are stark. Among them: correlations for purposes of netting out contracts will be crunched by computer for an entire portfolio – a sea change from the manual, product-by

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