Given recent increases in volatility observed in equity markets, CME Clearing has undertaken a review of the hypothetical stressed scenario parameters used in the SPAN 2 framework’s equity pod. In particular, within the SPAN 2 framework, the hypothetical stressed scenarios are incorporated in the stress value-at-risk sub-component of the market risk component. Following this review, CME Clearing has determined it will adjust hypothetical stressed scenarios to align with current volatility conditions. The impact to production portfolios’ margin requirements will vary depending upon the risk profile for each individual portfolio.

CME Clearing has also undertaken a review of the volatility floors used in the SPAN 2 framework’s equity pod relative to the prevailing EWMA forecast volatility. Following CME Clearing’s review, CME Clearing has determined that volatility floors will be increased to reflect the current market environment. CME Clearing does not expect a change in margin requirements as a result of the changes to the volatility floors.

The associated changes will be effective after the close of business on April 10, 2025.

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