# CME SPAN 2 Next-Generation Margin Architecture

> Advanced margin framework deployed by CME Clearing utilizing filtered historical simulation and value-at-risk models to determine portfolio performance bonds.

Canonical: https://instrumentledger.com/contracts/cme-span-2-margin-system
Last updated: 2026-10-13T03:41:50.410Z

## CME SPAN 2 Next-Generation Margin Architecture (SPAN-2)

- Type: product
- Jurisdiction: United States (CME Clearing)
- Regulatory body: CME SPAN 2 Next-Generation Margin Architecture
- Wikidata: Not supplied

Advanced margin framework deployed by CME Clearing utilizing filtered historical simulation and value-at-risk models to determine portfolio performance bonds.

### Recorded metadata

| Field | Value |
| --- | --- |
| category | Exchange Margin Models |
| coverageDesk | Instrument Ledger |
| regulatoryBody | CME SPAN 2 Next-Generation Margin Architecture |
### Related research

- [CME SPAN 2 Margin System: Transitioning from Parametric Grids to 99% Tail Expected Shortfall](https://instrumentledger.com/specs/cme-span-2-margin-system-historical-simulation-and-tail-risk-scaling) — Exchange Margin Models. How the Chicago Mercantile Exchange’s SPAN 2 engine calculates initial margin across correlated futures and options portfolios with granular tail-risk modeling.
- [FX Futures CLS Eligibility — Tick Rounding Worked Example: 2026 Institutional Audit & Desk Controls](https://instrumentledger.com/specs/fx-futures-cls-eligibility-tick-rounding-worked-example-033) — Exchange Margin Models. 2026 institutional desk audit of fx futures cls eligibility focusing on tick rounding worked example. Covers statutory register tie-out (SPAN-2), 3.7 bps quantitative benchmarks, mathematical calibration, and compliance verification workflows.
- [SOFR Futures Convexity Bias — Clearing Margin Walkthrough: 2026 Institutional Audit & Desk Controls](https://instrumentledger.com/specs/sofr-futures-convexity-bias-clearing-margin-walkthrough-097) — Exchange Margin Models. 2026 institutional desk audit of sofr futures convexity bias focusing on clearing margin walkthrough. Covers statutory register tie-out (SPAN-2), 9.3 bps quantitative benchmarks, mathematical calibration, and compliance verification workflows.