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. The market risk component includes the use of a rolling lookback period in the filtered historical value-at-risk (“FHVaR”). Given the use of a rolling lookback period, historical scenarios from the COVID period in 2020 will exit the rolling lookback period. Following CME Clearing’s review, CME Clearing has determined it will retain the COVID period in the FHVaR component going forward. The changes will be implemented in production as of Friday, February 7, 2025. While the impact to production portfolios will vary depending upon the risk profile for each individual portfolio, CME Clearing expects the impact on total margin for futures and options products to be under 1%.

The associated changes will be effective after the close of business on February 07, 2025.

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