Explore Risk Management

SPAN 2 Framework Rollout

After extensive testing, the SPAN 2™ initial margin framework rollout has begun for specific product groupings in a phased, multi-year approach.

Over the next few years, margins for diversified portfolios will consist of products using the SPAN 2 framework as well as existing SPAN. Appropriate levels of offsets will continue to be provided across products subject to the SPAN and SPAN 2 frameworks.

Major Energy futures and options on futures products are now being margined using the SPAN 2 framework. Up next: Equity Index futures and options in H1 2024.

SPAN 2 timelines

CME Group will continue to update the timeline below with key dates as each asset class migrates to the SPAN 2 framework.

Subject to any necessary regulatory reviews.

2024

  • H2: Interest Rate and FX products test environment availability
  • H1: Equity products test environment availability

2025

  • H2: Agriculture and remaining Commodity products rollout

2023

  • Q3: Energy products rollout
    Migration of clearing member firms from SPAN to SPAN 2 framework
  • Q2: Operational readiness testing for Energy rollout completed by market participants

2021

  • Sept 2021: Daily SPAN 2 margin testing made available
  • June 2021: CME CORE UI, API and deployable margin software ready to support SPAN 2 margin analysis
  • May 2021: New CME CORE UI launched
    With features enabling use by PC SPAN users

2020

  • Q4 2020: CME deployable software made available for testing 
    • Data packages updated with each monthly release
    • Daily risk data packages will be published closer to go-live
    • Production parallel environment is live, producing a detailed margin breakdown report to help clearing members begin to understand SPAN 2 margin requirements

Learn about the SPAN 2 framework

Watch these short videos to learn more about the SPAN 2 framework margin model components and the operating tools that CME Group has developed to accompany the framework:

  • SPAN 2 framework project overview
  • SPAN 2 model overview
  • Achieving operational readiness for the SPAN 2 framework

Product scope – H1 2024

The table below shows examples of Energy products currently being margined using the SPAN 2 framework. It also lists examples of the next group of in-scope Equities products for H1 2024.

CATEGORY EXAMPLE PRODUCTS: LIVE EXAMPLE PRODUCTS: UPCOMING
Regular futures - Seasonal & Non-seasonal  Energy: CL, NG, NN, RB, HO Equities**: ES, NQ
Vanilla options on regular futures – Seasonal and Non-seasonal Energy: LO, LN, BZO, BE Equities**: ES, MNQ
Swaps and spreads on regular futures Energy: CS, BK, GZ, RBB N/A
Non-standard options Energy: AO, WA, BV, 9C Equities**: YM2, EW

**Please see the Quick links above for a full list of supported products.

Adoption

CME Group has now migrated Clearing Member firms from the SPAN framework to the SPAN 2 Framework for in-scope products.

CME build

CME Group has built margin services to support integration testing.

TIMEFRAME: COMPLETE

  • Enhanced existing margin services with the SPAN 2 framework to prepare for industry adoption and production parallel.
  • Developed a new Risk API and Deployable Margin Software to compute margin requirements (available for integration now)

Industry adoption of services

Clearing members and users adopt margin tools from CME Group or service provider software.

TIMEFRAME: NOW

  • CME CORE, CORE API and CME Deployable Margin Engine are  available for daily testing
  • Tool and PC-SPAN users should get familiar with the CME Margin Services supporting the SPAN 2 framework to make any operational transitions easier, before portfolios are brought into scope
  • Enhancements and feedback will continue through regular releases

Firm production parallel

Each asset class rollout includes a production parallel phase for testing new in-scope products in the SPAN 2 framework.

TIMEFRAME: BY ASSET CLASS ROLLOUT

During production parallel periods:

  • CME Group provides multiple reports to help firms understand margin impacts
  • Clearing member firms and clients can test and prepare for cutover to the SPAN 2 framework.
  • Clearing member firms and clients test CME Margin Services (see the “Calculation tools” section below).
  • Service providers, clearing members and clients work together to achieve operational readiness.

You can use the suite of margin tools available within CME Clearing Margin Services to compute margins and compare margin changes between the SPAN and SPAN 2 frameworks.SPAN will be supported for the foreseeable future. Note:

  • CME Group has incorporated the most commonly used PC SPAN functionality into CME CORE and the Deployable Margin Software.
  • PC-SPAN software will continue to support products margined through SPAN but will not be updated to support the SPAN 2 framework.

Calculation tools

CME Group has provided several tools supporting the SPAN 2 framework. Compare our offerings below to help choose the right margin tool for your needs.


 

CME Core UI

CME CORE API

Products supported

All

All

Expected use cases

Business users looking for an interface to analyze portfolio margin for CME Group markets.

Users currently integrated with PC SPAN’s UI*.

Users programmatically interacting with CME Group margin methodologies who want CME Group to manage infrastructure, manage releases and maintain large data sets.

Methodology

SPAN and SPAN 2 frameworks

SPAN and SPAN 2 frameworks

*PC-SPAN is not being enhanced to support the SPAN 2 framework. SPAN software users should integrate with CME CORE.


 

Deployable Margin Software
Products supported Futures and options (including contracts not in scope for SPAN 2 framework)
Expected use cases Users programmatically interacting with CME Group margin methodologies who want to manage infrastructure and can take mandatory releases from CME Group every 3-6 months.
Methodology SPAN and SPAN 2 frameworks
Roadmaps

Testing roadmap: Now live
Production roadmap: Now live


 

Pre-trade Approximation Services (extension to legacy SPAN risk array format)

Products supported

Futures and options

Expected use cases

Users programmatically interacting with CME Group margin methodologies who have very low latency requirements and have previously integrated with SPAN risk parameter data files.

Methodology

SPAN and SPAN 2 frameworks

Roadmaps

Testing roadmap: Now live
Production roadmap: Now live


CME CORE

Access a variety of reports in CME CORE that enable users to compare SPAN and SPAN 2 margin levels.

Service providers: Supporting the SPAN 2 margin framework

CME Group has been working closely with industry service providers on supporting the SPAN 2 margin framework. The list will be updated as more providers become operationally ready.

Last updated: March 13, 2024

FIRM NAME

CONTACT INFORMATION

Cassini Systems

Marc Knapp
sales@cassinisystem.com
mknaap@cassinisystems.com
Euro Finance Systems Claudio Ghelfi
T: +39 3316663823
c.ghelfi@basedigitalegroup.com
sales@euro-finance-systems.com

FIS Global

Rick Jackson
T: +1 312 402 5502
Rick.jackson@fisglobal.com

ION XTP

T: +1 212 906 0050
info@iongroup.com

KRM22 Dave Zurkowski
dave@krm22.com

OpenGamma

T: +44 (0)20 3725 3376
info@opengamma.com
OptiMargin Alex Vugman, Founder
T: +1 917 836 4988
team@OptiMargin.com

React Consulting Services

Patrick Mayo
T: +1 312-371-0967
pat@reactcs.io

Revendex Solutions GmbH

Peter M. Hollenstein
T: +41 79 677 94 99
T: +41 43 305 83 64
peter.hollenstein@revendex.com
The Technancial Company Rocco Pisano
enquiries@technancial.com
TS Imagine Inc. Martin Packham
tsi_sales@tsimagine.com
martin.packham@tsimagine.com

Contact us

Connect with a SPAN 2 expert.


US

+1 312 580 5353

UK

+44 20 3379 3500

APAC

+65 6593 5599

Email

PostTradeServices@cmegroup.com

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2024 CME Group Inc. All rights reserved.