Given the market volatility observed in the energy markets and possible further impacts of the ongoing conflict in the Middle East, CME Clearing has undertaken a review of parameters within both the historical and stressed 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 increases to the volatility floors within the historical value-at-risk subcomponent and hypothetical scenarios within the stressed value-at-risk subcomponent. Impact on production portfolios will vary depending upon the risk profile for each individual portfolio as will the impact on individual outright and spread margins, but CME Clearing generally expects most outrights and spreads to see increases around 40% or below.

The associated changes will be effective after the close of business on March 09, 2026.