Support for SPAN 2™ framework in OCC / CME Cross-margin Program - Effective December 06, 2024
To: Clearing Member Firms; Back Office Managers; Margin Managers; PC SPAN Users; Bookkeeping Software Providers; ISVs
From: CME Clearing
# 24-331
Notice Date: 28 October 2024
Effective Date: 06 December 2024
Consistent with this advisory, and pending all applicable regulatory reviews, CME is migrating equity products to the SPAN 2 framework. As part of this migration, CME will update the calibration of OCC / CME cross-margin program risk arrays to use risk data from the SPAN 2 framework.
The migration date for the OCC / CME cross-margin program is Friday, December 6, 2024. Following that date, all clearing cycles for the OCC / CME cross-margin program will consider SPAN 2 calibrated risk arrays. Users of the OCC / CME cross-margin program should review impacts to prepare for the December 6 migration.
Below please find the expected impacts to CME services.
For the full text of this advisory, please click the link below.
