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 scenarios 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 introduce hypothetical stressed scenarios parameter increases to align with current notional contract values. The hypothetical scenario parameter increases will impact all product groups within the equity pod, with a subset of the changes also specifically impacting exposures in deep out-of-the-money short options exposures.

While the impact to production portfolios will vary depending upon the risk profile for each individual portfolio, CME Clearing expects the aggregate change in the total margin for futures and options products to be around 2%.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 November 21st, 2025. Margin requirements from this “x” file can also be consumed via CME CORE.

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