• SPAN 2 Framework Energy Model Parameter Changes - Effective January 10, 2024

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Mangers; CME Core Users; PC SPAN Users; Bookkeeping Software Providers;
      • From
      • CME Clearing
      • #
      • 24-010
      • Notice Date
      • 09 January 2024
      • Effective Date
      • 10 January 2024

    • As per normal review, CME Clearing has undertaken a review of the hypothetical stressed scenarios parameter used in the SPAN 2 Framework’s natural gas pod. In particular, within the SPAN 2 framework, the hypothetical stressed scenarios parameter is incorporated in the stress value-at-risk sub-component of the market risk component. Following this review, CME Clearing has determined it will introduce hypothetical stressed scenarios parameter changes to align with current volatility across the term structure for natural gas. While the impact to production portfolios will vary depending upon the risk profile for each individual portfolio, CME Clearing expects an increase in margin requirements for spreads against the front month natural gas contract and the total margin for futures and options products to increase by under 1%.

      The associated changes will be effective after the close of business on January 10, 2024.

      For the full text of this advisory, please click here.

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