On Oct. 28, CME reported migration of certain equity products.
CME issued notice regarding the migration of equity products to SPAN 2 framework.
Migration Details
As part of migration, CME will update calibration of OCC/CME cross-margin program risk arrays to use risk data from the SPAN 2 framework; scheduled for Dec. 6, 2024.
After that date, all clearing cycles for OCC/CME cross-margin program will consider SPAN 2 calibrated risk arrays; users should review impacts to prepare for migration.
Existing OCC/CME cross-margin pa2-formatted SPAN risk array file to decommission.
Starting Oct. 28, 2024, users of the OCC/CME cross-margin SPAN risk array files can consume test data to understand the impacts of re-calibrated SPAN 2 risk arrays.
Effectiveness
Migration date for the OCC/CME cross-margin program is Dec. 6, 2024.
