As per normal review, CME Clearing has undertaken a review of the hypothetical stressed scenarios parameter used in the SPAN 2 framework’s Equity Pod. In particular, within the SPAN 2 framework, the hypothetical stressed scenario parameter is incorporated in the stress value-at-risk sub-component of the market risk component. Following this review, CME Clearing has determined it will decrease the hypothetical scenario forward shocks specific to the Adjusted Interest Rate Nasdaq 100 (AQR) product group.

While the impact to production portfolios will vary depending upon the risk profile for each individual portfolio, CME Clearing expects limited impact, with aggregate change in the total margin for futures and options products to be negligible. To understand impacts to your individual portfolio, please refer to the margin requirements via the SPAN 2 risk parameter “x” file that will be published at approximately 8:00 am CST on September 5th, 2025. Margin requirements from the “x” file can also be consumed via CME CORE.

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