As per normal review, CME Clearing has undertaken a review of the hypothetical stressed scenarios parameter used in the SPAN 2 framework’s crude 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 crude and refined products. While the impact to production portfolios will vary depending upon the risk profile for each individual portfolio, CME Clearing expects the aggregate change in the total margin for futures and options products to be under 1% and for most portfolios to see a decrease to overall requirements 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 November 10th, 2025. Margin requirements from this “x” file can also be consumed via CME CORE.

The associated changes will be effective after the close of business on: November 10, 2025.

Additional details regarding the SPAN 2 framework can be found here.

Please contact our Clearing Risk Management Team with any questions.

clearing.riskmanagement@cmegroup.com

US: +1 312 648 3888

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