CME no longer looking back to Lehman
Changes to rates margin model come as bourse tweaks pricing for Eurodollar futures
Almost 11 years after the Lehman Brothers default triggered a global financial crisis, CME Group is finally letting the shocks that reverberated through fixed income markets in the days and months that followed roll off its interest rate swap clearing margin model – sort of.
Most CCP risk models use a rolling lookback when setting margins, with the historical window tied to a set number of years: each day, the previous trading day’s data gets added to the time series, while the data from the
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