Consistent with this advisory, and pending all applicable regulatory reviews, CME is migrating equity products to the SPAN 2 framework. As part of this migration, CME is updating the calibration of OCC / CME cross-margin program risk arrays to use risk data from the SPAN 2 framework. The risk data file impacts are described in this advisory.
To further assist OCC / CME cross-margin program users, CME is introducing a new margin comparison report to understand the impacts of calibrating the OCC/CME cross-margin program risk arrays to use data from the SPAN 2 framework. Reports will be available to Clearing Members from Monday, November 04, 2024 as of Friday, November 01, 2024 business date.
For the full text of this advisory, please click the link below.