• SPAN 2 Framework Energy Model Parameter Changes - Effective December 19, 2023

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers; CME CORE Users; PC SPAN Users; Bookkeeping Software Providers
      • From
      • CME Clearing
      • #
      • 23-371
      • Notice Date
      • 18 December 2023
      • Effective Date
      • 19 December 2023

    • As per normal review, CME Clearing has undertaken a review of the volatility floor parameters used in the SPAN 2 Framework’s natural gas pod. Following this review, CME Clearing has determined it will introduce volatility floor parameter changes to align with current volatility across the term structure for natural gas. These parameter changes will decrease the volatility floor used in the SPAN 2 framework’s natural gas pod. While the impact to production portfolios will vary depending upon the risk profile of each individual portfolio, CME Clearing expects a decrease in margin requirements for the majority of production portfolios and the total margin for futures and options products to decrease by approximately 1%.

      Click here for the full text of the advisory

      23-371

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