As per normal review, CME Clearing has undertaken a review of the parameters within the SPAN 2 framework’s market risk component for the equity pod. Following this review, CME Clearing has determined it will implement adjustments to these parameters to further align with current market conditions.

● Reduce valuation uncertainty margin multiplier for short-dated expiries in equity options;

● Reduce the margin volatility floor for the SDA futures curve within the historical value-at-risk (“HVaR”) component; and

● Enable the short-term loss (“STL”) value-at-risk within the stress value-at-risk (“SVaR”) sub-component.

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