CME plans sweeping overhaul of ageing Span model
New margin calculator will bring futures, options and swaps under single framework
CME Group, the world’s largest derivatives exchange, is planning some big changes to its widely used margin calculator, Span, with the aim of rejuvenating an approach described as “archaic”, and broadening its use across futures, options and swaps.
The new version of the Standard Portfolio Analysis of Risk, the CME’s margin calculator for listed derivatives, will incorporate elements of value-at-risk (VAR), making it suitable for margining over-the-counter interest rate swaps and foreign
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 Markets
FXGO eyes platform upgrades with new fee model
Bloomberg’s brokerage charges will fund upcoming automation and TCA projects
EU bonds favoured over swaps as hedge for European debt
Hedge funds are increasingly using the bonds to hedge Bunds and OATs as swap correlations decline
Canada benchmark shaken by T+1 hedge fund influx
Shortened settlement cycle swept hedge fund trades into Corra, making the rate more volatile
Basis swaps surge amid US repo concerns
Fed funds-versus-SOFR swap volumes nearly quadruple as declining Fed reserves impact funding rates
India delays initial margin go-live date
RBI communicated putting off initial margin rules one day before planned November 8 implementation
Clearing bottlenecks blamed for muted volumes at FMX
Regulatory hurdles and market conditions have also hampered CME rival since its September launch
JPM sees upside in blurring lines between QIS and SMAs
Hedge funds are combining their strategies with bank indexes to create new products
Hedge funds take profit on vol trades with Trump win
FX volatility drops sharply as positions unwind; rates market sees mixed reaction
