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
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
ECC risk chief says Iran crisis will not delay VAR transition
Incorporating 2022 Ukraine shock ensured new margin model is robust in face of energy volatility
The quiet force steering prediction platforms to regulation
Former Cantor Futures president Richard Jaycobs warns on growth prospects for ‘zero-sum’ market
Regulators question human-in-the-loop as AI governance tool
Bank of England and FSB executives suggest it’s more important to retain overall accountability
Banks in Asia turn to integrated third-party risk units
Regional and global firms create centres of excellence bridging first and second lines
Op risk data: Cyber hacks shake crypto protocols
Also: JP Morgan fined over investor losses; Symetra’s Methodist pensions mess. Data by ORX News
Why bank stablecoin projects get stuck in the sandbox
Five years ago, a wave of banks launched stablecoin projects, but most never got beyond the testing phase
Banks fear US cross-product capital relief will fall short
Proposal to treat repo as futures for SA-CCR may not do enough to support UST clearing mandate
AI governance rules coming soon, says CFTC chair
Selig doesn’t want to stifle innovation, but says trading or advice algos will need guardrails
