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.