Ice postpones migration to VAR in bid to improve offsets
Clearing house will move on freight products before energy, as users fret over margin spikes
A leading European clearing house has postponed plans to move to an upgraded margin model based on value-at-risk, in the latest sign that the risk methodology is proving difficult to implement.
Ice Clear Europe had planned to move energy products from its existing IRM 1 model, which uses the less risk-sensitive Span methodology, to the VAR-based IRM 2, in June this year, with testing to be completed in May.
“Following extensive consultation with our clearing members, clients and associated
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