CME Clearing has undertaken a review of parameters within the market risk component of the SPAN 2 framework’s Equity pod. Following this review, CME Clearing has determined it will adjust the volatility floor within the historical value-at-risk sub-component from a normal to lognormal based floor to maintain more consistent notional coverage levels; and it will decrease hypothetical stress scenario parameters within the stress value-at-risk sub-component for selected products groups. The impact to production portfolios will vary depending upon the risk profile for each individual portfolio. Though there may be some exceptions, CME Clearing anticipates increases or decreases in portfolio level margin due to this change to generally be under 10%.

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 August 18, 2026. Margin requirements from the “x” file can also be consumed via CME CORE.

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