CME Securities Gets Official Margin Policy Nod from SEC
Published Date: 8/7/2026
Notice
Summary
No summary available.
Analyzed Economic Effects
7 provisions identified: 0 benefits, 6 costs, 1 mixed.
CMESC Can Require Extra Margin
CMESC may, in its sole discretion, require additional margin from Participants pursuant to its Rules (see Rule 509(b)). This means clearing participants could be asked to post extra collateral beyond modeled margin levels when CMESC decides it is needed.
Margin Coverage Set at 99% Over MPOR
CMESC's SPAN 2 margin model is designed to ensure margin coverage of at least 99% of anticipated daily price changes on an ex post basis for each cleared portfolio. The Policy also documents that the margin period of risk (MPOR) used by CMESC is at least two business days.
Historical Data Lookback: 5-Year Minimum
CMESC's filtered historical value-at-risk (FHVaR) uses a rolling lookback period of at least 5 years and scales historical returns with an exponentially weighted moving average (EWMA). The FHVaR also includes a target forecast volatility floor to prevent margin requirements from falling to low levels during calm periods.
Stress Scenarios Persist via SVaR
CMESC's stress value-at-risk (SVaR) includes historical stress periods from a rolling lookback of at least 5 years, additional stress periods beyond that window, and hypothetical scenarios. These SVaR scenarios are intended to persist in margin requirements even during periods of low volatility.
Valuation Uncertainty Margin for Curve-Priced Treasuries
CMESC's Valuation Uncertainty Margin (VUM) dynamically accounts for pricing discrepancies between curve-based U.S. Treasury prices and actual prices by aggregating portfolio Greeks and applying shocks from historical pricing differences. This can increase margin for securities where pricing uncertainty exists.
Liquidity & Concentration Add-Ons Based on ADV
CMESC's liquidity and concentration risk component sets thresholds based on a percentage of average daily volume (ADV) of U.S. Treasury securities by maturity bucket to decide if additional margin beyond market risk components is required to address close-out costs for concentrated portfolios.
New Product Margins May Use Proxy Data
For new product groups lacking sufficient historical data, CMESC's Working Group will identify appropriate proxy data to set outright margin levels and other parameters, and a senior member may approve the selected proxy prior to use. This can affect margin levels for newly launched cleared products.
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