As per normal review, CME Clearing has undertaken a review of the parameters within liquidity risk component of the SPAN 2 framework’s natural gas pod. Following this review, CME Clearing has determined that it will make adjustments to parameters within the liquidity risk component impacting certain product spreads to align with the liquidity risk profile of these spreads. Impact on production portfolios will vary depending upon the risk profile for each individual portfolio as will the impact on individual spreads, but CME Clearing generally expects the liquidity risk component’s margin requirements in the natural gas pod for some spreads to see decreases up to 20%, on a dollar basis.

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