As per normal review, CME Clearing’s Risk Management staff approved the addition of the following products from the SPAN 2 framework’s cross model offset (“CMO”) against products that are margined in the SPAN 2 framework’s crude pod and equity pod. For avoidance of doubt, products that are added or removed to or from CMO continue to be margined under the SPAN methodology, however they may receive margin offsets against products that are margined under the SPAN 2 methodology. The rollout schedule for asset classes to be margined under the SPAN 2 methodology is available here and the list of current products margined under SPAN 2 methodology is available here.

For the full text of the advisory, please click the link below.