Iran strikes a stress test for CCP margin models
CME’s Span2 and Ice’s IRM2 are performing as advertised. The next few days could test their mettle
New margin models introduced by clearing houses in recent years have so far weathered the volatility in energy markets caused by the Iran conflict, though clearing firms warn of more disruptive margin hikes if the conflict lasts more than a few weeks.
Oil prices saw intraday moves of more than 6% on Monday and Tuesday, prompting CME to review the parameters of its Span 2 margin model, which was rolled out for energy contracts in late 2023.
The Chicago exchange subsequently raised initial margin
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