CME’s Span 2 margin model generates systems headaches
Market participants welcome smarter margin requirements, but not the computational workload
The introduction of a new margin model at clearing house CME from mid-2023 is delivering on the promise of more appropriate margin calls – but at a cost. Market participants say the systems demands for running the successor to CME’s original Span model – dubbed Span 2 – are proving hard to manage.
“The speed at which the initial margin calculation occurs can be significantly slower than under Span, where it is possible to optimise calculation speeds,” says Tom Griffiths, head of product at
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