CME sets cross-margin rules with sister exchange—finance inside baseball
Published Date: 8/31/2026
Notice
Summary
No summary available.
Analyzed Economic Effects
5 provisions identified: 3 benefits, 2 costs, 0 mixed.
Cross‑Margining Lets Members Offset Margin
If you are a CMESC Member or Independent User that is also a clearing member of CME (or affiliates with one), you may cross‑margin eligible U.S. Treasury transactions cleared at CMESC with interest rate futures cleared at CME. CMESC will compute a single margin for the paired accounts under its SPAN 2 framework to reflect the combined risk of those positions.
SPAN 2 Margin Methodology and Coverage Standard
CMESC will use its SPAN 2 margin framework to calculate the single margin requirement for cross‑margin portfolios; the SPAN 2 framework is designed to achieve 99% coverage on an ex‑post basis over a margin period of risk of at least two business days. Margin offsets are limited to products that are significantly and reliably correlated.
Twice‑Daily Settlements and Joint Default Rules
CMESC and CME will run clearing cycles twice each business day (intraday and end‑of‑day) to collect margin and settle outstanding exposure; margin calls must be met in U.S. Dollar cash (though posted cash may be replaced later with eligible collateral). The Cross‑Margining Agreement gives CMESC and CME joint security interests in posted margin and permits suspension, liquidation, and coordinated default management (including use of posted margin and proceeds) for X‑M Participants.
Proprietary‑Only Participation Requirement
The proposed arrangement is limited to proprietary accounts: CMESC Eligible Products must be for the Member or Independent User's own account and CME positions must be held in a clearing member's proprietary account. Independent Users may join only with their authorizing Member's consent.
Collateral Limited to Cash and U.S. Treasuries
Under the proposed arrangement, CMESC and CME intend to accept U.S. Dollar cash and U.S. Treasury securities as the Eligible Margin for the cross‑margining program, and when haircuts or limits differ the more conservative haircut or limit applies. Collateral haircuts and conservative limits set by each clearing organization will apply.
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