SPAN 2 Framework Energy Product Addition to Cross Model Offset (“CMO”) - Effective February 29, 2024

As per normal review, CME Clearing’s Risk Management staff approved the addition of the following products to the SPAN 2 framework’s cross model offset (“CMO”) against products that are margined in the SPAN 2 framework’s crude pod. For avoidance of doubt, products that are added to CMO continue to be margined under the SPAN methodology, however they may receive margin offsets against products that are margined under the SPAN 2 methodology. The rollout schedule for asset classes to be margined under the SPAN 2 methodology is available here and the list of current products margined under SPAN 2 methodology is available here.

The addition and associated margin impacts will be effective after the close of business on Thursday, February 29, 2024.

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