The CME’s SPAN 2 margin methodology is going through testing and should begin to be implemented later this year. The new margin methodology is not only a significant change to how margin is currently calculated but is being deployed as an “evolutionary” change rather than a “revolutionary” change.
The new margin rules are intended to co-exist with current SPAN margin methodology as opposed to replacing them. The current SPAN methodology has been highly effective for many years. When SPAN 2 is put in place it means members of the exchange will have new set of margin calculations which incorporate more product correlations and historical data– not necessarily better or worse, but different.
The reason for this is simple – different periods of volatility equate with different results under different margin methods.
KRM22’s Global Risk Platform provides applications to help you address your firm’s regulatory, market, technology and operations risk challenges and to manage your entire enterprise risk profile. KRM22 is a public Group listed on AIM and headquartered in London.