Ice postpones migration to VAR in bid to improve offsets
Clearing house will move on freight products before energy, as users fret over margin spikes
A leading European clearing house has postponed plans to move to an upgraded margin model based on value-at-risk, in the latest sign that the risk methodology is proving difficult to implement.
Ice Clear Europe had planned to move energy products from its existing IRM 1 model, which uses the less risk-sensitive Span methodology, to the VAR-based IRM 2, in June this year, with testing to be completed in May.
“Following extensive consultation with our clearing members, clients and associated
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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Risk management
Fed’s NBFI scenario may be more use than CCAR – experts
Main severely adverse scenario does not capture contagion risks from any squeeze on non-banks
Configuration and control: next-level risk analytics for alternative assets
The evolving needs of traditional and alternative asset industries, including the transformative impact of advanced data analytics and model training within new customisable frameworks
CCP models vulnerable to Trump risk
Volatility of ‘will he, won’t he’ tariff strategy could confound clearing house risk models
CME-FICC cross-margin extension timeline questioned
SEC changes and queries around margin segregation may make end-2025 deadline unrealistic
Op risk data: Crypto hack bites Bybit; fat-finger flurry at Citi
Also: OKX gets AML scold, UK motor finance fiasco revs up. Data by ORX News
PTFs clash with banks over ‘done-away’ US Treasury clearing
Trading firms losing patience with banks’ reluctance to unbundle trading and execution
Iosco chief defends margin transparency standards
More reporting will improve financial system’s resilience, argues Rodrigo Buenaventura
