CME Clearing has undertaken a review of parameters within both the historical value-at-risk and stress value-at-risk subcomponents of the market risk component of the SPAN 2 framework’s crude pod. Following this review, CME Clearing has determined that it will implement adjustments to certain parameters, which include the volatility floors, to more closely align with the current market regime.

While the impact to production portfolios will vary depending upon the risk profile for each individual portfolio, overall impact to aggregate margin resulting from these adjustments is expected to be under 1%. CME Clearing expects that these adjustments will generally lead to a decrease in margin requirements for directional long or short outright and spread portfolios within the crude pod.

To understand impacts to your individual portfolio, please refer to the margin requirements via the SPAN 2 risk parameter “x” file that will be published at approximately 8:00 am CST on October 24th, 2025.

Margin requirements from this “x” file can also be consumed via CME CORE.

For the full text of this advisory, please refer to the link below.