SPAN 2 Framework Equity Model Parameter Changes - Effective April 04, 2025
To: Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers; CME CORE Users; PC SPAN Users; Bookkeeping Software Providers
From: CME Clearing
# 25-135
Notice Date: 04 April 2025
Effective Date: 04 April 2025
Given recent increases in volatility observed in equity markets, CME Clearing has undertaken a review of volatility floors used in the SPAN 2 framework’s equity pod relative to the prevailing EWMA forecast volatility. Following CME Clearing’s review, CME Clearing has determined that volatility floors will be increased effective for today’s end-of-day clearing cycle, on April 04, 2025. While the impact to production portfolios will vary depending upon the risk profile for each individual portfolio, CME Clearing expects an increase in margin requirements for directional long or short equity outright portfolios to be approximately 10% on average.
The associated changes will be effective after the close of business on April 04, 2025.
