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.
Quick links
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.
2025
- H1: Interest Rate and FX products test environment availability
2026
- H1: Agriculture and remaining Commodity Products rollout
2024
- H2: Equity products live
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
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 |
|---|---|
| Calypso | Adrian Carr T: +44 7960 220867 Adrian.Carr@nasdaq.com tech@nasdaq.com |
|
Cassini Systems | Marc Knapp sales@cassinisystem.com mknaap@cassinisystems.com |
|
Clear Street Technology | Patrick Mayo T: +1 312 371 0967 pmayo@clearstreet.io |
| Cumulus9 | Cumulus9.com info@cumulus9.com |
| Euro Finance Systems | Claudio Ghelfi T: +39 3316663823 c.ghelfi@basedigitalegroup.com sales@euro-finance-systems.com |
|
FIS Global |
Rick Jackson |
|
ION XTP |
T: +1 212 906 0050 |
| KRM22 | Dave Zurkowski dave@krm22.com |
| Nasdaq Risk Platform | Adrian Carr T: +44 7960 220867 Adrian.Carr@nasdaq.com tech@nasdaq.com |
|
OpenGamma | T: +44 (0)20 3725 3376 info@opengamma.com |
| OptiMargin | Alex Vugman, Founder T: +1 917 836 4988 team@OptiMargin.com |
|
Revendex Solutions GmbH | Peter M. Hollenstein T: +41 79 677 94 99 T: +41 43 305 83 64 peter.hollenstein@revendex.com |
| Siman Systems | David Simpson Ray McGrath T: +44 (0) 203 576 1342 margin.strategy@simansystems.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
PostTradeServices@cmegroup.com
