Clearing firms flummoxed by new margin models at CME, Ice
VAR-based portfolio margining is easier to manage, but harder to explain
Clearing firms are finding it difficult to decompose and explain the outputs of value-at-risk models used to set margin requirements for cleared energy contracts.
The transition from standard portfolio analysis (Span) to VAR-based portfolio margining – CME made the switch in 2023, with Ice following suit in 2025 – has materially reduced margin volatility during periods of market stress, including
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