This page is available in multiple languages
Select Language

FIRE: new Fixed Income Risk Engine

FIRE (Fixed Income Risk Engine) is the new VaR-like margining algorithm developed by CC&G for the Fixed Income Section.

Instruments in scope of this new methodology include Italian, Spanish, Portuguese, and Irish government bonds cleared in bond and ICSD bond Clearing Sections. The current SPAN-like margining methodology will continue to apply to all remaining bonds (i.e. corporate bonds and government bonds issued by countries other than those mentioned).

Expected go-live, subject to regulatory approval, will be within Q1 2022.

On this page you can download the documents pertaining to the technical aspects of FIRE, as well as general presentation that provides an overview of the new Risk Framework.

FIRE Presentation

  • PDF

FIRE | presentation

English Version

English 22/09/2021 /sites/default/files/2021-09/FIRE_presentation.pdf FIRE | presentation

FIRE Methodological Notes

  • PDF

FIRE | MtM Margin

English Version

English 22/09/2021 /sites/default/files/2021-09/module%20A1%20-%20mark-to-market%20margins.pdf FIRE | MtM Margin
  • PDF

FIRE | Initial Margin

English Version

English 22/09/2021 /sites/default/files/2021-09/module%20A2%20-%20initial%20margins.pdf FIRE | Initial Margin
  • PDF

FIRE | Decorrelation Margin

English Version

English 22/09/2021 /sites/default/files/2021-09/module%20A3%20-%20decorrelation%20risk%20add-on.pdf FIRE | Decorrelation Margin
  • PDF

FIRE | Idiosyncratic Margin

English Version

English 22/09/2021 /sites/default/files/2021-09/module%20A4%20-%20idiosyncratic-concentration%20risk%20add-on.pdf FIRE | Idiosyncratic Margin
  • PDF

FIRE | Repo-Term Margin

English Version

English 22/09/2021 /sites/default/files/2021-09/module%20A5%20-%20repo-concentration%20risk%20add-on.pdf FIRE | Repo-Term Margin
  • PDF

FIRE | Settlement Margin

English Version

English 22/09/2021 /sites/default/files/2021-09/module%20A6%20-%20settlement%20risk%20add-on.pdf FIRE | Settlement Margin
  • PDF

FIRE | Total Margin Requirement

English Version

English 22/09/2021 /sites/default/files/2021-09/module%20A7%20-%20final%20margins.pdf FIRE | Total Margin Requirement

FIRE Data Flows

  • PDF

FIRE | Data Flows

English Version

English 22/09/2021 /sites/default/files/2021-09/Data%20Flows.pdf FIRE | Data Flows